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)
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, 2019
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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, 2019
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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
ANNUAL REPORT
JULY 31, 2019
Shareholder Letter........................................................... 2
Market Overview.............................................................. 3
Fund Performance Overview
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 4
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 6
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 8
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 10
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 12
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 14
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 16
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 18
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 20
Notes to Fund Performance Overview........................................... 22
Understanding Your Fund Expenses............................................. 23
Portfolio of Investments
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 25
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 28
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 29
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 31
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 34
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 36
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 39
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 41
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 43
Statements of Assets and Liabilities......................................... 44
Statements of Operations..................................................... 46
Statements of Changes in Net Assets.......................................... 48
Financial Highlights......................................................... 52
Notes to Financial Statements................................................ 57
Report of Independent Registered Public Accounting Firm...................... 65
Additional Information....................................................... 66
Board of Trustees and Officers............................................... 72
Privacy Policy............................................................... 74
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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
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
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, 2019
Dear Shareholders:
One thing we can all agree on and expect: headline news coming out of
Washington, DC continues to influence the financial markets. By late February of
2019, President Trump announced the U.S. was close to a trade deal with China,
yet by May 10, existing tariffs on Chinese imports jumped from 10% to 25%.
Furthermore, the President's threat of additional tariffs on the remaining $300
billion in Chinese imports became a reality with his announcement after a
Federal Funds rate cut of 0.25% on the last day of July. This led many to wonder
if these events could be signaling a recession.
While reticent investors sought cover in "risk-on" assets, calendar year-to-date
performances of broad markets as of July 31, 2019, were strong. Both U.S. and
world equities, as indicated by the S&P 500(R) Index and the MSCI All Country
World Index, returned 20.24% and 16.57%, respectively. Bonds, as measured by the
Bloomberg Barclays U.S. Aggregate Bond Index, returned 6.35%, for the same
period.
Despite the ongoing bluster of the news cycle, we believe the economy is doing
well and productivity growth, due to deregulation and lower taxes on corporate
profits, has improved over the last two years.
o The Consumer Confidence Index of 135.7 for July is strong and at the
highest level this year.
o The U.S. inflation rate hovers near 2%, on average, as it has for
the last decade.
o July's unemployment rate of 3.7% barely moved from 3.6% in May,
which was the lowest level since December of 1969.
Before you head for the exits or reach for the antacids due to the latest
political equivocation, keep a balanced perspective in view. Remember, no one
can predict the inevitable and expected market fluctuations. Speak periodically
with your investment professional, who can provide insight when it comes to
investing and discovering opportunities when they arise.
Thank you for giving First Trust the opportunity to be a part of your financial
plan. We value our relationship with you.
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, 2019
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
The trade conflict between the U.S. and China was nearly 17-months-old at the
close of July 2019. In our opinion, the most notable change from the business
climate of 2018 to that of 2019 was the Trump Administration's ratcheting up of
tariffs on roughly $200 billion of imported goods from China. On May 10, 2019,
tariffs jumped from 10% to 25%. At the end of July, President Trump decided to
up the ante on China by announcing a 10% tariff on the remaining $300 billion or
so in goods shipped to the U.S. annually. The Trump Administration tends to play
the tariff card whenever trade negotiations get bogged down. The tariff was to
begin on September 1, 2019. We learned in August, however, that President Trump
softened his stance by shielding some consumer products from the new tariff
until at least December in order to allow retailers to stock their inventories
for the critical holiday shopping season. The ongoing dispute has become a drag
on global growth, according to organizations such as the International Monetary
Fund.
While the U.S. economy continues to flourish relative to many other developed
and emerging economies, recent data suggests that China's economy is being
stressed by the tariffs. China's gross domestic product rose at an annualized
pace of 6.2% in the second quarter of 2019, the slowest rate of growth in 27
years, according to MarketWatch. CNBC reported that, as of July 1, 2019, the
current U.S. economic expansion will become the longest in its history, breaking
the previous record of 120 months of growth from March 1991 to March 2001,
according to data from the National Bureau of Economic Research.
The recent escalation in the trade conflict between the U.S. and China has
investors flocking to safe-haven assets around the globe, including bonds. One
reflection of this is the market value of the Bloomberg Barclays Global Negative
Yielding Debt Index, which closed the July 31, 2019 trading session at $14.01
trillion, according to Bloomberg. Another is the plunge in the yield on the
benchmark 10-year Treasury Note, which declined by 94 basis points to 2.02% over
the past 12 months. More than half of that drop transpired after mid-April 2019.
ETFGI, an independent research and consultancy firm, reported that total assets
invested in exchange-traded funds ("ETFs") and related exchange-traded products
("ETPs") listed globally stood at an all-time high of $5.74 trillion in July
2019, up from $5.12 trillion a year ago, according to its own release. Total
assets of U.S. listed ETFs/ETPs also stood at an all-time high of $4.02 trillion
for the same period, up from $3.63 trillion a year ago.
SECTOR/EQUITY INVESTING
One barometer for gauging investors' appetites for equities is tracking money
flows in and out of open-end mutual funds and ETFs. The flows are reported over
time on a rolling 12-month basis. For the 12-month period ended July 31, 2019,
U.S. Equity funds/ETFs reported estimated net inflows totaling $40.68 billion,
according to data from Morningstar. As has been the case in recent years,
investors are favoring passive funds over actively managed funds. Passive U.S.
Equity funds/ETFs reported estimated net inflows totaling $242.78 billion,
compared to estimated net outflows totaling $202.10 billion for actively managed
U.S. Equity funds/ETFs, for the same period.
Investors shied away from sector funds and sector ETFs. For the 12-month period
ended July 31, 2019, Sector Equity funds/ETFs reported estimated net outflows
totaling $50.79 billion. Passive Sector Equity funds/ETFs reported estimated net
outflows totaling $20.18 billion, compared to estimated net outflows totaling
$30.61 billion for actively managed Sector Equity funds/ETFs for the same
period.
For the 12-month period ended July 31, 2019, nine of the 11 major sectors that
comprise the S&P 500(R) Index generated positive total returns, according to
Bloomberg. The S&P 500(R) Index posted a total return of 7.99% over the period.
Six of the 11 sectors outperformed the broader index. Those six sectors were as
follows: Real Estate (+17.56%); Utilities (+16.53%); Information Technology
(+15.72%); Communication Services (+14.82%); Consumer Staples (+14.64%); and
Consumer Discretionary (+9.22%), according to Bloomberg. The two sectors that
posted negative total returns for the period were Materials, down 0.14%, and
Energy, down 15.99%.
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 (including investment borrowings) 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 ICE Data Indices, LLC. or its affiliates ("IDI") 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) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 3.13% 7.09% 13.90% 7.36% 40.84% 267.62% 138.32%
Market Price 3.13% 7.09% 13.90% 7.36% 40.84% 267.33% 138.31%
INDEX PERFORMANCE
StrataQuant(R) Consumer
Discretionary Index 3.79% 7.78% 14.69% 8.12% 45.44% 293.85% 159.96%
Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19%
S&P 500(R) Consumer
Discretionary Index 9.22% 14.49% 18.75% 11.34% 96.73% 457.75% 271.81%
Russell 1000(R) Consumer
Discretionary Index(1) 11.21% 13.73% 18.12% N/A 90.28% 428.62% N/A
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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 3.13% underperformed the S&P
500(R) Consumer Discretionary Index ("Benchmark") return of 9.22% by 6.09%. The
Specialty Retail industry received the greatest allocation in the Fund during
the period, with an average weight of 19.3%. This industry contributed 0.7% to
the Fund's return. The greatest contributor to Fund performance was the Hotels,
Restaurants, & Leisure industry. This industry received 14.6% allocation,
performed 7.4% and contributed 1.8% to the Fund's overall return. The Auto
Components industry was the greatest drag on the Fund, with a 6.1% weight,
-26.6% return and -1.9% contribution to the Fund's return. The Fund
underperformed the Benchmark during the period. The Hotels, Restaurants, &
Leisure industry contributed the most to this underperformance. While the
industry returned well in the Fund, the Benchmark gave this industry a slightly
greater weight and received a much better return. In all, this industry
contributed -3.4% to underperformance in the Fund versus the Benchmark. The
greatest outperformance came from Internet & Direct Marketing Retail, which
caused 0.7% outperformance for the Fund versus the Benchmark.
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
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Consumer Discretionary 78.60%
Communication Services 15.28
Industrials 2.50
Consumer Staples 1.97
Information Technology 1.65
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Total 100.00%
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
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Trade Desk (The), Inc., Class A 1.65%
Qurate Retail, Inc., Series A 1.63
Roku, Inc. 1.63
Kohl's Corp. 1.62
Tempur Sealy International, Inc. 1.56
Gap (The), Inc. 1.55
Dick's Sporting Goods, Inc. 1.53
Macy's, Inc. 1.51
General Motors Co. 1.49
Urban Outfitters, Inc. 1.49
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Total 15.66%
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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 IDI
and has been licensed for use by First Trust Portfolios L.P., which has
sub-licensed the Index for use by the Fund. The Fund is not sponsored, endorsed,
sold or promoted by IDI, and IDI 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
JULY 31, 2009 - JULY 31, 2019
First Trust Russell 1000(R)
Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Consumer
AlphaDEX(R) Fund Discretionary Index Index Discretionary Index Discretionary Index
7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/10 11,458 11,502 11,027 11,545 11,471
7/31/10 12,508 12,604 11,450 12,614 12,380
1/31/11 15,402 15,576 13,599 15,076 14,937
7/31/11 16,854 17,122 13,819 16,209 15,907
1/31/12 16,505 16,847 14,135 17,058 16,686
7/31/12 16,339 16,702 14,918 18,136 17,897
1/31/13 19,526 20,041 16,543 21,094 20,901
7/31/13 23,228 23,924 18,831 25,155 24,704
1/31/14 24,587 25,424 20,221 26,865 26,407
7/31/14 26,102 27,082 22,045 28,348 27,780
1/31/15 28,135 29,289 23,003 30,361 29,674
7/31/15 30,420 31,779 24,522 35,061 33,544
1/31/16 26,447 27,711 22,587 32,722 30,877
7/31/16 29,711 31,222 25,708 36,298 34,487
1/31/17 29,719 31,335 27,287 38,113 35,942
7/31/17 31,223 33,027 29,808 41,345 39,252
1/31/18 36,812 39,067 34,336 49,164 46,679
7/31/18 35,649 37,946 34,631 51,062 47,528
1/31/19 34,433 36,755 33,589 50,005 47,005
7/31/19 36,764 39,386 37,404 55,775 52,862
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 200 0 0 0
8/1/15 - 7/31/16 146 0 0 0
8/1/16 - 7/31/17 102 0 0 0
8/1/17 - 7/31/18 119 0 0 0
8/1/18 - 7/31/19 158 2 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%
8/1/14 - 7/31/15 52 0 0 0
8/1/15 - 7/31/16 105 0 0 0
8/1/16 - 7/31/17 150 0 0 0
8/1/17 - 7/31/18 132 0 1 0
8/1/18 - 7/31/19 89 2 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 (including investment borrowings) 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
IDI 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) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 0.83% 5.67% 12.41% 8.52% 31.73% 222.01% 171.82%
Market Price 0.94% 5.68% 12.41% 8.52% 31.79% 222.08% 171.86%
INDEX PERFORMANCE
StrataQuant(R) Consumer
Staples Index 1.49% 6.34% 13.23% 9.32% 36.00% 246.57% 197.26%
Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19%
S&P 500(R) Consumer
Staples Index 14.64% 9.65% 12.42% 9.66% 58.49% 222.32% 209.01%
Russell 1000(R) Consumer
Staples Index(1) 10.13% 8.16% 11.97% N/A 48.00% 209.80% N/A
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(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXG's one-year NAV return of 0.83% underperformed the S&P 500(R) Consumer
Staples Index ("Benchmark") return of 14.64% by 13.81%. Over the period, the
Food Products industry was given the greatest allocation in the Fund with a
weighting of 53.8%. With a return of 5.7% and contribution of 3.3% to the Fund's
total return, this industry was the greatest positive contributor to the Fund's
return. The Food & Staples Retailing industry caused the greatest drag in the
portfolio, with a weight of 20.5%, return of -6.2%, and contribution to the
Fund's return of -1.6%. The Fund underperformed the Benchmark during the period.
The Household Products industry caused the most underperformance. The Benchmark
allocated 22.3% to this industry, in contrast with the Fund's 10.2%, and these
investments in the Benchmark returned 35%, while Household Products in the Fund
returned 9.0%. In all, Household Products accounted for -4.3% underperformance
in the Fund. The greatest outperformance for the Fund came simply by investing
very little in the Tobacco industry. This industry was very nearly absent from
the Fund, with an average allocation of only 0.5%, and earned 2.3%
outperformance in the Fund versus the Benchmark.
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Staples 100.00%
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Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Pilgrim's Pride Corp. 5.92%
Casey's General Stores, Inc. 5.77
Archer-Daniels-Midland Co. 5.59
Walgreens Boots Alliance, Inc. 5.54
Kroger (The) Co. 5.41
Molson Coors Brewing Co., Class B 5.36
Hershey (The) Co. 4.31
Campbell Soup Co. 3.93
Constellation Brands, Inc., Class A 3.81
Tyson Foods, Inc., Class A 3.75
-------
Total 49.39%
=======
-----------------------------
(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 IDI and
has been licensed for use by First Trust Portfolios L.P., which has sub-licensed
the Index for use by the Fund. The Fund is not sponsored, endorsed, sold or
promoted by IDI, and IDI makes no representation or warranty regarding the
advisability of investing in the Fund or as to the result to be obtained by any
person from use of the StrataQuant(R) Consumer Staples Index in connection with
the trading of the Fund.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2009 - JULY 31, 2019
S&P 500(R) Russell 1000(R)
First Trust Consumer StrataQuant(R) Russell 1000(R) Consumer Staples Consumer Staples
Staples AlphaDEX(R) Fund Consumer Staples Index Index Index Index
7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/10 10,819 10,855 11,027 10,876 10,850
7/31/10 11,597 11,679 11,450 11,334 11,385
1/31/11 12,982 13,132 13,599 12,351 12,396
7/31/11 15,216 15,448 13,819 13,341 13,668
1/31/12 14,701 14,985 14,135 14,087 14,242
7/31/12 14,754 15,144 14,918 15,965 15,946
1/31/13 17,187 17,704 16,543 16,766 16,934
7/31/13 21,230 21,968 18,831 18,986 19,242
1/31/14 22,000 22,846 20,221 18,955 19,317
7/31/14 24,445 25,483 22,045 20,337 20,933
1/31/15 27,652 28,895 23,003 22,918 23,521
7/31/15 30,091 31,545 24,522 24,261 25,313
1/31/16 28,818 30,289 22,587 24,863 25,824
7/31/16 32,858 34,651 25,708 27,093 28,213
1/31/17 30,758 32,540 27,287 26,462 27,643
7/31/17 31,770 33,722 29,808 28,285 29,247
1/31/18 34,449 36,686 34,336 30,013 30,162
7/31/18 31,941 34,147 34,631 28,119 28,132
1/31/19 31,391 33,652 33,589 28,476 28,321
7/31/19 32,204 34,655 37,404 32,235 30,980
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 204 0 0 0
8/1/15 - 7/31/16 164 0 0 0
8/1/16 - 7/31/17 118 0 0 0
8/1/17 - 7/31/18 58 0 0 1
8/1/18 - 7/31/19 114 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 48 0 0 0
8/1/15 - 7/31/16 87 0 0 0
8/1/16 - 7/31/17 134 0 0 0
8/1/17 - 7/31/18 193 0 0 0
8/1/18 - 7/31/19 135 1 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 (including
investment borrowings) 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 IDI 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) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Energy Index
using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV -35.77% -16.18% -1.22% -3.99% -58.62% -11.52% -39.25%
Market Price -35.87% -16.19% -1.23% -4.00% -58.66% -11.60% -39.31%
INDEX PERFORMANCE
StrataQuant(R) Energy Index -35.50% -15.78% -0.62% -3.41% -57.63% -6.05% -34.57%
Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19%
S&P 500(R) Energy Index -15.99% -5.24% 4.37% 1.83% -23.59% 53.41% 24.84%
Russell 1000(R) Energy Index(1) -17.58% -6.33% 3.79% N/A -27.90% 45.05% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXN's one-year NAV return of -35.77% underperformed the S&P 500(R) Energy Index
("Benchmark") return of -15.99% by 19.78%. The Oil, Gas, & Consumable Fuels
industry was given by far the greatest allocation in the Fund and caused
significant negative performance in the Fund. The allocation of 84.9% performed
-36.3%, contributing -30.9% to the Fund's total return. The best-returning
industry was the Chemicals industry, with a performance of -5.3%. With a meager
0.2% allocation, this industry contributed essentially nothing to the Fund's
return (-2 basis points over the year). The Fund underperformed the Benchmark
during the period. The heavily weighted Oil, Gas, & Consumable Fuels industry
contributed -21% to this underperformance, while Energy Equipment & Services and
Chemicals created 0.6% and 0.5% outperformance, respectively.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Energy 100.00%
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Phillips 66 5.48%
HollyFrontier Corp. 5.38
Occidental Petroleum Corp. 5.11
Marathon Oil Corp. 4.95
ConocoPhillips 4.84
Cimarex Energy Co. 4.27
Antero Resources Corp. 4.17
Halliburton Co. 4.04
Marathon Petroleum Corp. 4.04
Murphy Oil Corp. 3.90
-------
Total 46.18%
=======
-----------------------------
(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 IDI and has been
licensed for use by First Trust Portfolios L.P., which has sub-licensed the
Index for use by the Fund. The Fund is not sponsored, endorsed, sold or promoted
by IDI, and IDI 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
JULY 31, 2009 - JULY 31, 2019
First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Energy Index Index Energy Index Energy Index
7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/10 11,660 11,705 11,027 10,637 10,688
7/31/10 11,827 11,918 11,450 10,569 10,628
1/31/11 16,637 16,826 13,599 14,400 14,524
7/31/11 17,585 17,856 13,819 15,051 15,172
1/31/12 14,726 15,008 14,135 14,262 14,229
7/31/12 13,804 14,124 14,918 14,295 14,162
1/31/13 16,428 16,876 16,543 15,820 15,714
7/31/13 17,064 17,578 18,831 16,956 16,833
1/31/14 18,060 18,672 20,221 17,228 17,186
7/31/14 21,380 22,173 22,045 20,082 20,115
1/31/15 15,381 15,973 23,003 16,138 15,941
7/31/15 13,129 13,648 24,522 14,923 14,734
1/31/16 10,121 10,522 22,587 12,970 12,536
7/31/16 11,465 11,940 25,708 15,228 14,638
1/31/17 12,702 13,279 27,287 16,420 15,818
7/31/17 10,893 11,431 29,808 15,256 14,570
1/31/18 12,170 12,824 34,336 17,503 16,710
7/31/18 13,775 14,567 34,631 18,264 17,596
1/31/19 10,721 11,346 33,589 15,344 14,687
7/31/19 8,847 9,397 37,404 15,344 14,505
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 161 1 0 0
8/1/15 - 7/31/16 151 0 0 0
8/1/16 - 7/31/17 141 0 0 0
8/1/17 - 7/31/18 91 0 0 1
8/1/18 - 7/31/19 92 3 2 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 90 0 0 0
8/1/15 - 7/31/16 100 0 0 0
8/1/16 - 7/31/17 111 0 0 0
8/1/17 - 7/31/18 160 0 0 0
8/1/18 - 7/31/19 151 2 1 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 (including investment borrowings) 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 IDI
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) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Financials Index using the RGS sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 3.03% 10.22% 13.90% 5.78% 62.65% 267.52% 98.89%
Market Price 3.00% 10.21% 13.91% 5.78% 62.58% 267.87% 98.87%
INDEX PERFORMANCE
StrataQuant(R) Financials Index 3.72% 10.96% 14.74% 6.64% 68.22% 295.50% 119.51%
Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19%
S&P 500(R) Financials Index 3.46% 11.44% 12.41% 1.47% 71.87% 222.06% 19.57%
Russell 1000(R) Financial
Services Index(1) 9.81% 12.54% 13.34% N/A 80.51% 249.92% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXO's one-year NAV return of 3.03% underperformed the S&P 500(R) Financials
Index ("Benchmark") return of 3.46% by 0.43%. The Banking industry received the
greatest allocation during the period, with 21.2% average weight. This industry
performed -6.0% during the period and contributed -0.7% to the Fund's total
return. The Insurance industry had the greatest positive impact on the Fund's
return with a weight of 20.9%, performance of 9.7%, and a total contribution to
return of 1.7%. The Real Estate Management & Development industry had the
greatest drag on the portfolio, with a 2.3% average weight and -0.9%
contribution to the Fund's return. The Fund underperformed the Benchmark during
the period. The greatest outperformance came from the IT Services industry,
which, absent from the Benchmark, earned 1.4% outperformance for the Fund. The
greatest source of underperformance came from the Real Estate Management &
Development industry. The Benchmark did not include this industry, while the
Fund gave Real Estate Management and Development industry a 2.3% allocation
which caused -1.0% underperformance.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 74.19%
Real Estate 15.60
Information Technology 9.26
Industrials 0.95
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
OneMain Holdings, Inc. 1.09%
Santander Consumer USA Holdings, Inc. 0.99
Jefferies Financial Group, Inc. 0.98
Fair Isaac Corp. 0.98
First American Financial Corp. 0.95
Ally Financial, Inc. 0.94
Popular, Inc. 0.94
Outfront Media, Inc. 0.93
BGC Partners, Inc., Class A 0.93
White Mountains Insurance Group Ltd. 0.93
-------
Total 9.66%
=======
----------------------------
(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 IDI and has
been licensed for use by First Trust Portfolios L.P., which has sub-licensed the
Index for use by the Fund. The Fund is not sponsored, endorsed, sold or promoted
by IDI, and IDI 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
JULY 31, 2009 - JULY 31, 2019
First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Financials Index Index Financials Index Financial Services Index
7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/10 11,880 11,924 11,027 10,992 11,079
7/31/10 12,668 12,767 11,450 11,455 11,512
1/31/11 14,593 14,771 13,599 12,855 12,941
7/31/11 13,966 14,194 13,819 11,680 12,048
1/31/12 14,082 14,376 14,135 11,210 11,752
7/31/12 14,604 14,966 14,918 11,810 12,504
1/31/13 17,307 17,812 16,543 14,153 14,781
7/31/13 20,364 21,035 18,831 16,821 17,320
1/31/14 21,519 22,312 20,221 17,458 18,144
7/31/14 22,595 23,513 22,045 18,740 19,385
1/31/15 23,560 24,604 23,003 19,427 20,388
7/31/15 25,845 27,086 24,522 21,438 22,477
1/31/16 22,795 23,955 22,587 18,731 19,928
7/31/16 25,902 27,323 25,708 20,630 22,164
1/31/17 29,547 31,274 27,287 25,292 25,467
7/31/17 32,117 34,098 29,808 27,434 27,835
1/31/18 35,595 37,927 34,336 32,828 32,311
7/31/18 35,670 38,136 34,631 31,131 31,869
1/31/19 33,740 36,179 33,589 29,185 30,861
7/31/19 36,752 39,550 37,404 32,206 34,992
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 200 0 0 0
8/1/15 - 7/31/16 151 0 0 0
8/1/16 - 7/31/17 152 0 0 0
8/1/17 - 7/31/18 139 0 0 1
8/1/18 - 7/31/19 120 3 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 52 0 0 0
8/1/15 - 7/31/16 100 0 0 0
8/1/16 - 7/31/17 100 0 0 0
8/1/17 - 7/31/18 112 0 0 1
8/1/18 - 7/31/19 125 1 1 1
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 (including investment borrowings) 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 IDI
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) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Health Care
Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 1.07% 7.88% 16.03% 11.79% 46.09% 342.46% 290.69%
Market Price 1.05% 7.88% 16.03% 11.79% 46.09% 342.46% 290.69%
INDEX PERFORMANCE
StrataQuant(R) Health Care Index 1.79% 8.59% 16.84% 12.60% 50.98% 374.00% 326.68%
Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19%
S&P 500(R) Health Care Index 4.29% 10.23% 14.68% 9.80% 62.71% 293.32% 213.64%
Russell 1000(R) Health Care
Index(1) 5.26% 10.64% 15.26% N/A 65.82% 313.62% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXH's one-year NAV return of 1.07% underperformed the S&P 500(R) Health Care
Index ("Benchmark") return of 4.29% by 3.22%. The industry receiving the
greatest allocation was Health Care Providers and Services, with a 27.5% average
weight over the period. This industry performed -3.3% and contributed -1.7% to
the Fund's total performance. This -1.7% contribution was the greatest drag on
the Fund's performance during the period. The greatest contributor to the Fund's
performance was the Health Care Equipment and Supplies industry, with a 26.3%
allocation, 10.2% performance and 2.5% contribution to the Fund's return. The
Fund underperformed the Benchmark during the period. Investments in Health Care
Technology garnered the most outperformance for the Fund. The Fund allocated
3.5% to this industry, while the Benchmark had only 0.6%, and this led to the
Fund's outperformance of 1.8%. Meanwhile, investments in Health Care Equipment
and Supplies caused -1.4% underperformance for the Fund.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care 100.00%
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Universal Health Services, Inc., Class B 2.57%
Mylan N.V. 2.44
DexCom, Inc. 2.32
Insulet Corp. 2.29
Veeva Systems, Inc., Class A 2.27
Biogen, Inc. 2.26
WellCare Health Plans, Inc. 2.24
STERIS PLC 2.22
Exelixis, Inc. 2.21
IQVIA Holdings, Inc. 2.20
-------
Total 23.02%
=======
-----------------------------
(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 IDI and has
been licensed for use by First Trust Portfolios L.P., which has sub-licensed the
Index for use by the Fund. The Fund is not sponsored, endorsed, sold or promoted
by IDI, and IDI 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
JULY 31, 2009 - JULY 31, 2019
First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Health Care Index Index Health Care Index Health Care Index
7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/10 12,174 12,213 11,027 11,339 11,355
7/31/10 12,208 12,296 11,450 10,431 10,534
1/31/11 14,938 15,111 13,599 11,670 11,931
7/31/11 16,197 16,448 13,819 12,718 12,974
1/31/12 16,242 16,563 14,135 13,496 13,705
7/31/12 17,035 17,406 14,918 14,680 14,946
1/31/13 20,234 20,755 16,543 16,585 16,993
7/31/13 24,273 25,002 18,831 19,911 20,492
1/31/14 28,504 29,459 20,221 22,035 22,804
7/31/14 30,288 31,395 22,045 24,177 24,943
1/31/15 34,883 36,273 23,003 27,695 28,739
7/31/15 39,693 41,432 24,522 30,814 32,245
1/31/16 30,568 31,993 22,587 27,024 27,763
7/31/16 35,089 36,840 25,708 30,818 31,786
1/31/17 33,938 35,732 27,287 29,096 30,174
7/31/17 38,149 40,302 29,808 33,285 34,465
1/31/18 42,266 44,795 34,336 37,050 38,304
7/31/18 43,783 46,565 34,631 37,717 39,293
1/31/19 42,588 45,438 33,589 38,777 40,369
7/31/19 44,246 47,401 37,404 39,331 41,362
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 220 0 0 0
8/1/15 - 7/31/16 136 0 0 0
8/1/16 - 7/31/17 146 0 0 0
8/1/17 - 7/31/18 93 0 0 0
8/1/18 - 7/31/19 147 3 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 32 0 0 0
8/1/15 - 7/31/16 115 0 0 0
8/1/16 - 7/31/17 106 0 0 0
8/1/17 - 7/31/18 158 0 0 1
8/1/18 - 7/31/19 98 3 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 (including investment borrowings)
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 IDI
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)
selection methodology. Alpha is an indication of how much an investment
outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
IDI constructs the Industrials Index using the RGS sector scheme to determine a
stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 3.67% 8.50% 14.38% 7.16% 50.40% 283.22% 133.07%
Market Price 3.57% 8.50% 14.37% 7.16% 50.38% 283.04% 132.96%
INDEX PERFORMANCE
StrataQuant(R) Industrials Index 4.25% 9.23% 15.20% 7.94% 55.47% 311.78% 154.55%
Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19%
S&P 500(R) Industrials Index 3.58% 10.34% 14.65% 7.85% 63.52% 292.28% 151.89%
Russell 1000(R) Producer
Durables Index(1) 4.93% 11.08% 15.15% N/A 69.11% 309.78% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXR's one-year NAV return of 3.67% outperformed the S&P 500(R) Industrials Index
("Benchmark") return of 3.58% by 0.09%. The Machinery industry carried the most
weight in the Fund during the period. With an average weight of 19.9% and a
performance of -3.2%, this industry contributed -1.1% to the Fund's total
return. The best industry for the Fund during this period was Commercial
Services & Supplies, which received a 6.4% allocation, experienced 22.8%
performance and contributed 2% to the Fund's total return. The worst drag on the
Fund was from Trading Companies & Distributors. Investments in this industry
accounted for -1.3% of the Fund's performance. The Fund outperformed the
Benchmark during the period. The outperformance of 1.7% is attributable to
investments in the Industrial Conglomerates industry, which was a drag on the
Benchmark but was barely represented in the Fund. The greatest source of
underperformance were the investments in the Machinery industry, which caused
-1.5% underperformance against the Benchmark.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 86.80%
Information Technology 11.56
Health Care 0.95
Materials 0.69
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
CoStar Group, Inc. 2.05%
Knight-Swift Transportation Holdings, Inc. 2.01
Northrop Grumman Corp. 1.97
Schneider National, Inc., Class B 1.95
Genpact Ltd. 1.92
FedEx Corp. 1.92
Booz Allen Hamilton Holding Corp. 1.92
Carlisle Cos., Inc. 1.90
HEICO Corp. 1.89
Air Lease Corp. 1.87
-------
Total 19.40%
=======
-----------------------------
(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 IDI and has
been licensed for use by First Trust Portfolios L.P., which has sub-licensed the
Index for use by the Fund. The Fund is not sponsored, endorsed, sold or promoted
by IDI, and IDI 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
JULY 31, 2009 - JULY 31, 2019
First Trust Industrials/ Russell 1000(R)
Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) Producer Durables
AlphaDEX(R) Fund Industrials Index Index Industrials Index Index
7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/10 11,895 11,945 11,027 11,624 11,574
7/31/10 12,916 13,019 11,450 12,868 12,736
1/31/11 15,909 16,102 13,599 15,544 15,544
7/31/11 15,200 15,435 13,819 14,977 14,991
1/31/12 15,703 16,022 14,135 15,849 15,763
7/31/12 15,091 15,451 14,918 15,972 15,799
1/31/13 18,015 18,515 16,543 18,055 18,117
7/31/13 20,813 21,467 18,831 20,552 20,710
1/31/14 24,006 24,860 20,221 22,965 23,213
7/31/14 25,482 26,489 22,045 23,989 24,232
1/31/15 25,568 26,669 23,003 25,445 25,665
7/31/15 25,814 26,986 24,522 25,646 26,103
1/31/16 21,426 22,461 22,587 24,259 24,378
7/31/16 25,599 26,937 25,708 28,329 28,371
1/31/17 29,920 31,662 27,287 31,021 31,336
7/31/17 31,437 33,378 29,808 33,515 33,999
1/31/18 37,442 39,887 34,336 38,984 39,963
7/31/18 36,963 39,500 34,631 37,869 39,052
1/31/19 34,460 36,904 33,589 35,767 37,029
7/31/19 38,320 41,178 37,404 39,226 40,980
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 167 0 0 0
8/1/15 - 7/31/16 153 0 0 0
8/1/16 - 7/31/17 172 0 0 0
8/1/17 - 7/31/18 146 0 0 0
8/1/18 - 7/31/19 142 3 0 1
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 85 0 0 0
8/1/15 - 7/31/16 98 0 0 0
8/1/16 - 7/31/17 80 0 0 0
8/1/17 - 7/31/18 105 0 1 0
8/1/18 - 7/31/19 103 2 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
(including investment borrowings) 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 IDI 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) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Materials Index using the RGS sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV -10.08% 4.72% 11.21% 6.90% 25.95% 189.33% 126.08%
Market Price -10.19% 4.71% 11.19% 6.89% 25.85% 188.72% 125.90%
INDEX PERFORMANCE
StrataQuant(R) Materials Index -9.45% 5.44% 12.02% 7.69% 30.32% 211.25% 147.45%
Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19%
S&P 500(R) Materials Index -0.14% 5.77% 9.97% 5.56% 32.37% 158.59% 93.92%
Russell 1000(R) Materials and
Processing Index(1) -0.66% 6.57% 11.03% N/A 37.46% 184.71% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXZ's one-year NAV return of -10.08% underperformed the S&P 500(R) Materials
Index ("Benchmark") return of -0.14% by 9.94%. With an average weight of 35.8%,
the Chemicals industry was the largest allocation in the Fund. Investments in
Chemicals performed -12.5% and contributed -4.4% to the Fund's total return. The
greatest drag on portfolio performance, however, were investments in the Metals
& Mining industry, which received an allocation of 18.7% and caused a -6.7%
return in the Fund. The greatest contributor to the Fund's performance were the
investments in the Building Products industry, which carried an average weight
of 6.4% and contributed 1.4% to the Fund's total return. The Fund underperformed
the Benchmark during the period. The vast majority of this underperformance is
attributable to investments in Metals and Mining, with -4.5% underperformance,
and Chemicals with -3.9% underperformance against the Benchmark. The Building
Products industry, meanwhile, caused 1.1% outperformance against the Benchmark
during the period.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Materials 85.01%
Industrials 13.64
Information Technology 1.35
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Scotts Miracle-Gro (The) Co. 4.24%
Reliance Steel & Aluminum Co. 3.93
Crown Holdings, Inc. 3.90
Steel Dynamics, Inc. 3.89
WestRock Co. 3.68
Nucor Corp. 3.68
United States Steel Corp. 3.66
LyondellBasell Industries N.V., Class A 3.62
Domtar Corp. 3.55
Albemarle Corp. 2.78
-------
Total 36.93%
=======
-----------------------------
(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 IDI and has been
licensed for use by First Trust Portfolios L.P., which has sub-licensed the
Index for use by the Fund. The Fund is not sponsored, endorsed, sold or promoted
by IDI, and IDI 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
JULY 31, 2009 - JULY 31, 2019
First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) Materials
AlphaDEX(R) Fund Materials Index Index Materials Index and Processing Index
7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/10 11,857 11,910 11,027 10,521 10,738
7/31/10 13,272 13,356 11,450 11,268 11,657
1/31/11 16,299 16,466 13,599 14,060 14,604
7/31/11 16,341 16,580 13,819 14,097 14,810
1/31/12 16,145 16,467 14,135 14,115 14,982
7/31/12 15,561 15,932 14,918 13,363 14,243
1/31/13 18,903 19,440 16,543 15,160 16,422
7/31/13 19,513 20,140 18,831 15,866 17,271
1/31/14 21,883 22,676 20,221 17,494 18,976
7/31/14 22,973 23,885 22,045 19,534 20,711
1/31/15 21,326 22,232 23,003 19,228 20,330
7/31/15 21,970 22,988 24,522 18,706 19,943
1/31/16 18,809 19,737 22,587 16,058 17,414
7/31/16 24,931 26,260 25,708 20,278 22,141
1/31/17 27,578 29,144 27,287 21,922 24,127
7/31/17 28,425 30,143 29,808 23,233 25,529
1/31/18 33,513 35,672 34,336 27,020 29,557
7/31/18 32,176 34,370 34,631 25,891 28,469
1/3/119 27,871 29,857 33,589 23,346 25,600
7/31/19 28,933 31,125 37,404 25,859 28,471
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 163 0 0 0
8/1/15 - 7/31/16 147 0 0 0
8/1/16 - 7/31/17 162 0 0 0
8/1/17 - 7/31/18 114 0 0 0
8/1/18 - 7/31/19 76 4 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 89 0 0 0
8/1/15 - 7/31/16 104 0 0 0
8/1/16 - 7/31/17 90 0 0 0
8/1/17 - 7/31/18 137 0 0 1
8/1/18 - 7/31/19 169 2 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 (including investment borrowings) 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 IDI
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) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Technology
Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 23.20% 17.59% 17.41% 11.04% 124.79% 397.75% 260.12%
Market Price 23.17% 17.58% 17.39% 11.05% 124.75% 397.13% 260.17%
INDEX PERFORMANCE
StrataQuant(R) Technology Index 23.60% 18.19% 18.17% 11.84% 130.65% 431.19% 292.94%
Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19%
S&P 500(R) Information
Technology Index 15.72% 18.97% 17.92% 12.83% 138.31% 420.03% 337.61%
Russell 1000(R) Technology
Index(1) 13.82% 17.87% 17.17% N/A 127.49% 387.57% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXL's one-year NAV return of 23.20% outperformed the S&P 500(R) Information
Technology Index ("Benchmark") return of 15.72% by 7.48%. The Software industry
received the most weight in the Fund during the period, with an allocation of
36.0%. This industry was an excellent performer, returning 31.8% and
contributing 11.3% to the Fund's total return. The most negative industry in the
Fund was Technology Hardware Storage & Peripherals, which received an average
weight of 8.0% and contributed -1.6% to the Fund's total return. The Fund
outperformed the Benchmark during the period. The heavily-weighted Software
industry accounted for 4.2% of this outperformance. Meanwhile, the Technology
Hardware Storage and Peripherals industry caused the most underperformance, with
a total effect of -0.8% underperformance against the Benchmark.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 88.73%
Communication Services 7.03
Industrials 2.69
Health Care 1.55
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Micron Technology, Inc. 1.86%
Avalara, Inc. 1.80
Match Group, Inc. 1.79
Zscaler, Inc. 1.75
Alteryx, Inc., Class A 1.72
Coupa Software, Inc. 1.71
Atlassian Corp. PLC, Class A 1.71
CDW Corp. 1.70
Paycom Software, Inc. 1.69
Okta, Inc. 1.69
-------
Total 17.42%
=======
-----------------------------
(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 IDI and has
been licensed for use by First Trust Portfolios L.P., which has sub-licensed the
Index for use by the Fund. The Fund is not sponsored, endorsed, sold or promoted
by IDI, and IDI 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
JULY 31, 2009 - JULY 31, 2019
First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information Russell 1000(R)
AlphaDEX(R) Fund Technology Index Index Technology Index Technology Index
7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/10 11,396 11,434 11,027 10,863 10,881
7/31/10 12,522 12,614 11,450 11,371 11,499
1/31/11 16,402 16,592 13,599 13,624 13,870
7/31/11 15,076 15,315 13,819 13,555 13,659
1/31/12 15,268 15,578 14,135 14,407 14,494
7/31/12 14,502 14,852 14,918 15,323 15,100
1/31/13 15,877 16,327 16,543 15,579 15,199
7/31/13 18,061 18,646 18,831 17,030 16,586
1/31/14 20,796 21,556 20,221 19,244 18,841
7/31/14 22,141 23,031 22,045 21,818 21,436
1/31/15 23,379 24,394 23,003 22,798 22,261
7/31/15 24,515 25,662 24,522 24,606 23,750
1/31/16 21,284 22,355 22,587 23,902 22,781
7/31/16 24,617 25,943 25,708 27,012 25,920
1/31/17 28,009 29,504 27,287 29,856 28,790
7/31/17 32,180 34,001 29,808 34,974 33,523
1/31/18 39,655 42,042 34,336 42,727 40,814
7/31/18 40,401 42,975 34,631 44,932 42,847
1/31/19 42,296 44,995 33,589 42,340 40,914
7/31/19 49,775 53,119 37,404 52,003 48,757
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 177 0 0 0
8/1/15 - 7/31/16 140 0 0 0
8/1/16 - 7/31/17 168 0 0 0
8/1/17 - 7/31/18 180 1 0 0
8/1/18 - 7/31/19 162 4 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 75 0 0 0
8/1/15 - 7/31/16 111 0 0 0
8/1/16 - 7/31/17 84 0 0 0
8/1/17 - 7/31/18 71 0 0 0
8/1/18 - 7/31/19 82 3 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
(including investment borrowings) 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 IDI 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) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Utilities
Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 11.71% 8.22% 10.89% 6.22% 48.46% 181.23% 109.25%
Market Price 11.67% 8.22% 10.88% 6.22% 48.41% 180.92% 109.15%
INDEX PERFORMANCE
StrataQuant(R) Utilities Index 12.33% 8.95% 11.77% 7.08% 53.51% 204.20% 130.98%
Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19%
S&P 500(R) Utilities Index 16.53% 11.49% 11.72% 6.89% 72.24% 202.82% 125.98%
Russell 1000(R) Utilities
Index(1) 14.75% 8.72% 10.89% N/A 51.89% 181.04% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
FXU's one-year NAV return of 11.71% underperformed the S&P 500(R) Utilities
Index ("Benchmark") return of 16.53% by 4.82%. The Electric Utilities industry
received the largest allocation during the period, performed at 15.4%, and
contributed more than any other industry to the Fund's total performance,
contributing 5.5% to the Fund's total return. The sector with the greatest drag
in the Fund was Independent Power & Renewable Electricity Producers, which
received a 1.1% allocation and contributed -0.4% to the Fund's total return. The
Fund underperformed the Benchmark during the period. Much of this
underperformance is attributable to the investments in Diversified
Telecommunications Services, which received 14.5% allocation in the Fund, was
absent in the Benchmark, and caused -2.9% underperformance against the
Benchmark. The most outperformance came from investments in Wireless
Telecommunication Services, which was also absent from the Benchmark, and
garnered 1.8% outperformance relative to the Benchmark.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Utilities 69.11%
Communication Services 30.89
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
United States Cellular Corp. 6.03%
Telephone & Data Systems, Inc. 5.98
AT&T, Inc. 5.71
National Fuel Gas Co. 5.09
PPL Corp. 4.66
Vistra Energy Corp. 4.60
Sprint Corp. 4.30
T-Mobile US, Inc. 4.15
MDU Resources Group, Inc. 4.00
Avangrid, Inc. 3.86
-------
Total 48.38%
=======
-----------------------------
(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 IDI and has been
licensed for use by First Trust Portfolios L.P., which has sub-licensed the
Index for use by the Fund. The Fund is not sponsored, endorsed, sold or promoted
by IDI, and IDI 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
JULY 31, 2009 - JULY 31, 2019
First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Utilities Index Index Utilities Index Utilities Index
7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/10 10,796 10,838 11,027 10,420 10,194
7/31/10 11,580 11,673 11,450 10,947 10,900
1/31/11 12,899 13,053 13,599 11,693 12,108
7/31/11 13,551 13,770 13,819 12,490 12,806
1/31/12 13,451 13,723 14,135 13,358 13,232
7/31/12 14,452 14,810 14,918 14,900 15,515
1/31/13 15,049 15,475 16,543 14,725 15,394
7/31/13 16,751 17,378 18,831 16,093 16,859
1/31/14 17,227 17,948 20,221 16,374 16,970
7/31/14 18,943 19,815 22,045 17,584 18,506
1/31/15 21,377 22,431 23,003 20,989 19,877
7/31/15 20,035 21,092 24,522 19,421 19,261
1/31/16 20,243 21,391 22,587 20,470 20,392
7/31/16 24,573 26,074 25,708 23,909 24,013
1/31/17 24,755 26,358 27,287 22,970 23,250
7/31/17 25,451 27,185 29,808 25,273 24,226
1/31/18 24,056 25,777 34,336 24,652 24,333
7/31/18 25,172 27,082 34,631 25,988 24,503
1/31/19 26,760 28,893 33,589 27,383 25,635
7/31/19 28,123 30,420 37,404 30,282 28,104
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 136 0 0 0
8/1/15 - 7/31/16 173 0 0 0
8/1/16 - 7/31/17 119 0 0 0
8/1/17 - 7/31/18 73 0 0 0
8/1/18 - 7/31/19 158 4 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 116 0 0 0
8/1/15 - 7/31/16 78 0 0 0
8/1/16 - 7/31/17 133 0 0 0
8/1/17 - 7/31/18 178 0 0 1
8/1/18 - 7/31/19 88 1 0 0
Page 21
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the period 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, 2019 (UNAUDITED)
As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First
Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund,
First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R)
Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust
Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First
Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"),
you incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service fees, 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, 2019.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
-----------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2019 JULY 31, 2019 PERIOD PERIOD (a)
-----------------------------------------------------------------------------------------------------------------------
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
Actual $1,000.00 $1,067.70 0.64% $3.28
Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
Actual $1,000.00 $1,025.90 0.64% $3.21
Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
Actual $1,000.00 $ 825.20 0.64% $2.90
Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
Actual $1,000.00 $1,089.30 0.62% $3.21
Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
Actual $1,000.00 $1,039.10 0.63% $3.19
Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16
Page 23
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2019 (UNAUDITED)
-----------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2019 JULY 31, 2019 PERIOD PERIOD (a)
-----------------------------------------------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
Actual $1,000.00 $1,112.00 0.63% $3.30
Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
Actual $1,000.00 $1,038.20 0.65% $3.28
Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
Actual $1,000.00 $1,176.80 0.61% $3.29
Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
Actual $1,000.00 $1,050.80 0.62% $3.15
Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
(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,
2019 through July 31, 2019), multiplied by 181/365 (to reflect the
six-month period).
Page 24
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AUTO COMPONENTS -- 6.1%
12,987 Aptiv PLC $ 1,138,310
130,474 BorgWarner, Inc. 4,931,917
205,176 Garrett Motion, Inc. (a) 2,907,344
170,633 Gentex Corp. 4,678,757
357,996 Goodyear Tire & Rubber (The)
Co. 4,915,285
39,328 Lear Corp. 4,986,004
---------------
23,557,617
---------------
AUTOMOBILES -- 3.4%
307,865 Ford Motor Co. 2,933,954
142,157 General Motors Co. 5,734,613
58,600 Harley-Davidson, Inc. 2,096,708
35,922 Thor Industries, Inc. 2,140,951
---------------
12,906,226
---------------
BUILDING PRODUCTS -- 0.8%
55,127 Fortune Brands Home &
Security, Inc. 3,028,677
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.9%
125,979 KAR Auction Services, Inc. 3,368,678
---------------
DISTRIBUTORS -- 1.4%
78,905 LKQ Corp. (a) 2,124,912
16,489 Pool Corp. 3,122,522
---------------
5,247,434
---------------
DIVERSIFIED CONSUMER SERVICES
-- 3.6%
27,833 Bright Horizons Family
Solutions, Inc. (a) 4,232,564
6,085 Graham Holdings Co., Class B 4,519,512
8,972 Grand Canyon Education,
Inc. (a) 975,885
71,660 H&R Block, Inc. 1,984,265
44,884 Service Corp. International 2,070,948
---------------
13,783,174
---------------
ENTERTAINMENT -- 4.0%
29,080 Cinemark Holdings, Inc. 1,160,874
63,385 Live Nation Entertainment,
Inc. (a) 4,567,523
2,858 Netflix, Inc. (a) 923,106
7,181 Spotify Technology S.A. (a) 1,112,624
183,372 Viacom, Inc., Class B 5,565,340
15,036 Walt Disney (The) Co. 2,150,298
---------------
15,479,765
---------------
FOOD & STAPLES RETAILING
-- 1.1%
15,891 Costco Wholesale Corp. 4,380,036
---------------
HOTELS, RESTAURANTS & LEISURE
-- 15.3%
58,226 Aramark 2,107,199
88,818 Caesars Entertainment Corp. (a) 1,051,605
117,666 Carnival Corp. 5,557,365
4,297 Chipotle Mexican Grill,
Inc. (a) 3,418,392
24,130 Choice Hotels International,
Inc. 2,070,595
8,625 Darden Restaurants, Inc. 1,048,455
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
186,468 Extended Stay America, Inc. $ 3,117,745
98,977 Hilton Grand Vacations,
Inc. (a) 3,236,548
42,964 Hilton Worldwide Holdings, Inc. 4,148,174
27,580 Hyatt Hotels Corp., Class A 2,133,313
242,827 International Game Technology
PLC 3,241,740
7,483 Marriott International, Inc.,
Class A 1,040,586
73,491 MGM Resorts International 2,206,200
78,300 Norwegian Cruise Line
Holdings Ltd. (a) 3,871,152
43,478 Planet Fitness, Inc.,
Class A (a) 3,419,980
34,645 Royal Caribbean Cruises Ltd. 4,030,599
50,093 Starbucks Corp. 4,743,306
160,852 Wendy's (The) Co. 2,925,898
37,669 Wyndham Hotels & Resorts,
Inc. 2,130,182
8,467 Wynn Resorts Ltd. 1,101,303
45,447 Yum China Holdings, Inc. 2,067,839
---------------
58,668,176
---------------
HOUSEHOLD DURABLES -- 11.1%
97,363 D.R. Horton, Inc. 4,471,883
13,155 Garmin Ltd. 1,033,852
27,361 Leggett & Platt, Inc. 1,093,619
113,029 Lennar Corp., Class A 5,376,790
28,476 Mohawk Industries, Inc. (a) 3,550,672
1,246 NVR, Inc. (a) 4,166,798
173,224 PulteGroup, Inc. 5,458,288
60,470 Roku, Inc. (a) 6,248,365
74,654 Tempur Sealy International,
Inc. (a) 5,988,744
149,572 Toll Brothers, Inc. 5,380,105
---------------
42,769,116
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 4.6%
1,108 Amazon.com, Inc. (a) 2,068,392
53,155 eBay, Inc. 2,189,455
17,107 Etsy, Inc. (a) 1,146,511
15,783 Expedia Group, Inc. 2,095,035
442,077 Qurate Retail, Inc.,
Series A (a) 6,250,969
28,761 Wayfair, Inc., Class A (a) 3,772,293
---------------
17,522,655
---------------
LEISURE PRODUCTS -- 1.2%
22,876 Brunswick Corp. 1,124,584
9,934 Hasbro, Inc. 1,203,604
23,015 Polaris Industries, Inc. 2,178,830
---------------
4,507,018
---------------
MACHINERY -- 0.3%
7,918 WABCO Holdings, Inc. (a) 1,048,422
---------------
MEDIA -- 11.2%
172,455 Altice USA, Inc., Class A (a) 4,451,063
3,586 Cable One, Inc. 4,363,445
84,153 CBS Corp., Class B 4,334,721
10,626 Charter Communications, Inc.,
Class A (a) 4,095,048
See Notes to Financial Statements Page 25
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
74,491 Comcast Corp., Class A $ 3,215,776
102,589 Discovery, Inc., Class A (a) 3,109,473
81,995 DISH Network Corp.,
Class A (a) 2,776,351
85,958 Fox Corp., Class A 3,207,952
46,474 Interpublic Group of Cos.
(The), Inc. 1,065,184
68,676 John Wiley & Sons, Inc.,
Class A 3,125,445
32,184 New York Times (The) Co.,
Class A 1,148,325
31,183 Nexstar Media Group, Inc.,
Class A 3,173,494
102,132 Sinclair Broadcast Group, Inc.,
Class A 5,132,133
---------------
43,198,410
---------------
MULTILINE RETAIL -- 5.8%
31,070 Dollar General Corp. 4,164,002
9,775 Dollar Tree, Inc. (a) 994,606
115,191 Kohl's Corp. 6,204,187
255,234 Macy's, Inc. 5,801,469
24,103 Ollie's Bargain Outlet
Holdings, Inc. (a) 2,041,283
36,363 Target Corp. 3,141,763
---------------
22,347,310
---------------
PERSONAL PRODUCTS -- 0.8%
17,199 Estee Lauder (The) Cos., Inc.,
Class A 3,167,884
---------------
ROAD & RAIL -- 0.6%
5,546 AMERCO 2,146,302
---------------
SOFTWARE -- 1.6%
24,047 Trade Desk (The), Inc.,
Class A (a) 6,331,816
---------------
SPECIALTY RETAIL -- 17.9%
100,127 AutoNation, Inc. (a) 4,874,182
1,910 AutoZone, Inc. (a) 2,145,006
45,166 Best Buy Co., Inc. 3,456,554
6,170 Burlington Stores, Inc. (a) 1,115,227
63,080 CarMax, Inc. (a) 5,535,901
87,510 Carvana Co. (a) 5,562,136
158,168 Dick's Sporting Goods, Inc. 5,879,105
8,746 Five Below, Inc. (a) 1,027,305
50,111 Floor & Decor Holdings, Inc.,
Class A (a) 1,961,846
130,661 Foot Locker, Inc. 5,364,941
304,804 Gap (The), Inc. 5,943,678
10,096 Home Depot (The), Inc. 2,157,414
88,781 Penske Automotive Group, Inc. 4,081,263
10,592 Ross Stores, Inc. 1,123,070
22,423 Tiffany & Co. 2,105,968
38,596 Tractor Supply Co. 4,199,631
9,078 Ulta Beauty, Inc. (a) 3,170,491
240,761 Urban Outfitters, Inc. (a) 5,732,519
48,454 Williams-Sonoma, Inc. 3,230,913
---------------
68,667,150
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TEXTILES, APPAREL & LUXURY
GOODS -- 8.3%
157,938 Capri Holdings Ltd. (a) $ 5,621,014
21,527 Carter's, Inc. 2,002,442
10,481 Columbia Sportswear Co. 1,110,776
60,964 Hanesbrands, Inc. 980,911
23,303 Lululemon Athletica, Inc. (a) 4,452,970
44,372 PVH Corp. 3,945,558
18,484 Ralph Lauren Corp. 1,926,587
100,015 Skechers U.S.A., Inc.,
Class A (a) 3,794,569
132,345 Tapestry, Inc. 4,093,431
124,239 Under Armour, Inc., Class A (a) 2,866,194
12,019 VF Corp. 1,050,340
---------------
31,844,792
---------------
TOTAL COMMON STOCKS
-- 100.0% 383,970,658
(Cost $366,930,923) ---------------
MONEY MARKET FUNDS -- 0.1%
365,226 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 2.15% (b) 365,226
(Cost $365,226) ---------------
TOTAL INVESTMENTS -- 100.1% 384,335,884
(Cost $367,296,149) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (219,337)
---------------
NET ASSETS -- 100.0% $ 384,116,547
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2019.
(c) Aggregate cost for federal income tax purposes is $370,428,263. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $35,777,688 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $21,870,067. The net
unrealized appreciation was $13,907,621.
Page 26 See Notes to Financial Statements
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 383,970,658 $ -- $ --
Money Market
Funds 365,226 -- --
--------------------------------------------
Total Investments $ 384,335,884 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 27
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BEVERAGES -- 17.6%
63,700 Constellation Brands, Inc.,
Class A $ 12,537,434
325,580 Keurig Dr Pepper, Inc. 9,161,821
326,711 Molson Coors Brewing Co.,
Class B 17,639,127
147,414 Monster Beverage Corp. (a) 9,503,781
71,753 PepsiCo, Inc. 9,170,751
---------------
58,012,914
---------------
FOOD & STAPLES RETAILING
-- 24.8%
117,284 Casey's General Stores, Inc. 18,989,453
842,731 Kroger (The) Co. 17,832,188
664,142 Sprouts Farmers Market,
Inc. (a) 11,243,924
88,700 Sysco Corp. 6,082,159
263,120 US Foods Holding Corp. (a) 9,306,554
334,658 Walgreens Boots Alliance, Inc. 18,235,514
---------------
81,689,792
---------------
FOOD PRODUCTS -- 45.7%
448,425 Archer-Daniels-Midland Co. 18,421,299
168,898 Bunge Ltd. 9,868,710
313,091 Campbell Soup Co. 12,943,182
354,799 Conagra Brands, Inc. 10,243,047
134,784 Flowers Foods, Inc. 3,194,381
59,721 General Mills, Inc. 3,171,782
93,603 Hershey (The) Co. 14,203,319
154,736 Hormel Foods Corp. 6,342,629
152,086 Ingredion, Inc. 11,754,727
54,455 J.M. Smucker (The) Co. 6,054,852
58,551 Kellogg Co. 3,408,839
49,503 Lamb Weston Holdings, Inc. 3,322,641
40,467 McCormick & Co., Inc. 6,415,638
58,189 Mondelez International, Inc.,
Class A 3,112,530
720,588 Pilgrim's Pride Corp. (a) 19,499,111
60,333 Post Holdings, Inc. (a) 6,468,904
155,383 Tyson Foods, Inc., Class A 12,352,949
---------------
150,778,540
---------------
HOUSEHOLD PRODUCTS -- 6.6%
42,928 Church & Dwight Co., Inc. 3,238,489
57,205 Procter & Gamble (The) Co. 6,752,478
233,319 Spectrum Brands Holdings, Inc. 11,691,615
---------------
21,682,582
---------------
PERSONAL PRODUCTS -- 2.3%
190,781 Nu Skin Enterprises, Inc.,
Class A 7,627,424
---------------
TOBACCO -- 2.9%
132,478 Altria Group, Inc. 6,235,740
39,936 Philip Morris International,
Inc. 3,339,049
---------------
9,574,789
---------------
TOTAL COMMON STOCKS
-- 99.9% 329,366,041
(Cost $333,751,818) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.1%
548,031 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 2.15% (b) $ 548,031
(Cost $548,031) ---------------
TOTAL INVESTMENTS -- 100.0% 329,914,072
(Cost $334,299,849) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (121,893)
---------------
NET ASSETS -- 100.0% $ 329,792,179
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2019.
(c) Aggregate cost for federal income tax purposes is $336,959,295. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $18,505,759 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $25,550,982. The net
unrealized depreciation was $7,045,223.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 329,366,041 $ -- $ --
Money Market
Funds 548,031 -- --
--------------------------------------------
Total Investments $ 329,914,072 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
Page 28 See Notes to Financial Statements
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
ENERGY EQUIPMENT & SERVICES
-- 10.5%
31,902 Apergy Corp. (a) $ 1,037,772
43,447 Baker Hughes a GE Co. 1,103,119
215,117 Halliburton Co. 4,947,691
21,139 Helmerich & Payne, Inc. 1,050,186
48,135 National Oilwell Varco, Inc. 1,146,576
212,505 Patterson-UTI Energy, Inc. 2,471,433
26,923 Schlumberger Ltd. 1,076,112
---------------
12,832,889
---------------
OIL, GAS & CONSUMABLE FUELS
-- 89.5%
51,997 Anadarko Petroleum Corp. 3,830,099
1,105,732 Antero Resources Corp. (a) 5,097,425
36,939 Apache Corp. 902,050
159,794 Cabot Oil & Gas Corp. 3,061,653
644,504 Centennial Resource
Development, Inc.,
Class A (a) 3,834,799
15,639 Cheniere Energy, Inc. (a) 1,018,881
2,508,588 Chesapeake Energy Corp. (a) (b) 4,540,544
29,483 Chevron Corp. 3,629,652
103,063 Cimarex Energy Co. 5,222,202
23,709 Concho Resources, Inc. 2,315,895
100,238 ConocoPhillips 5,922,061
87,171 Continental Resources, Inc. (a) 3,240,146
85,762 Devon Energy Corp. 2,315,574
22,442 Diamondback Energy, Inc. 2,321,176
39,382 EOG Resources, Inc. 3,380,945
154,699 EQT Corp. 2,337,502
31,916 Exxon Mobil Corp. 2,373,274
132,126 HollyFrontier Corp. 6,575,911
51,246 Kinder Morgan, Inc. 1,056,693
430,314 Marathon Oil Corp. 6,054,518
87,541 Marathon Petroleum Corp. 4,936,437
198,448 Murphy Oil Corp. 4,770,690
121,612 Occidental Petroleum Corp. 6,245,992
257,320 Parsley Energy, Inc.,
Class A (a) 4,268,939
156,280 PBF Energy, Inc., Class A 4,364,900
65,363 Phillips 66 6,703,629
15,892 Pioneer Natural Resources Co. 2,193,732
42,861 Valero Energy Corp. 3,653,900
318,745 WPX Energy, Inc. (a) 3,327,698
---------------
109,496,917
---------------
TOTAL COMMON STOCKS
-- 100.0% 122,329,806
(Cost $157,521,646) ---------------
MONEY MARKET FUNDS -- 0.5%
467,797 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) 467,797
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS (CONTINUED)
165,220 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 2.15% (c) $ 165,220
---------------
TOTAL MONEY MARKET FUNDS
-- 0.5% 633,017
(Cost $633,017) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 3.1%
$ 3,829,534 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $3,829,803.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $3,907,473. (d) 3,829,534
(Cost $3,829,534) ---------------
TOTAL INVESTMENTS -- 103.6% 126,792,357
(Cost $161,984,197) (e)
NET OTHER ASSETS AND
LIABILITIES -- (3.6)% (4,418,852)
---------------
NET ASSETS -- 100.0% $ 122,373,505
===============
(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 $4,086,401 and the total value of the collateral held by the
Fund is $4,297,331.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $162,807,522. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $576,459 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $36,591,624. The net unrealized
depreciation was $36,015,165.
See Notes to Financial Statements Page 29
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 122,329,806 $ -- $ --
Money Market
Funds 633,017 -- --
Repurchase
Agreements -- 3,829,534 --
--------------------------------------------
Total Investments $ 122,962,823 $ 3,829,534 $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 4,086,401
Non-cash Collateral(2) (4,086,401)
---------------
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, 2019, 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) $ 3,829,534
Non-cash Collateral(4) (3,829,534)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 30 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
BANKS -- 21.8%
322,237 Associated Banc-Corp. $ 6,982,876
180,935 Bank of America Corp. 5,551,086
226,390 Bank OZK 6,923,006
155,516 BankUnited, Inc. 5,351,306
106,800 BB&T Corp. 5,503,404
69,518 BOK Financial Corp. 5,817,266
166,450 CIT Group, Inc. 8,414,047
97,274 Citigroup, Inc. 6,922,018
192,648 Citizens Financial Group, Inc. 7,178,064
72,234 Comerica, Inc. 5,287,529
28,546 Commerce Bancshares, Inc. 1,736,453
18,184 Cullen/Frost Bankers, Inc. 1,726,389
112,191 East West Bancorp, Inc. 5,386,290
578,766 F.N.B. Corp. 6,974,130
244,160 Fifth Third Bancorp 7,249,110
7,565 First Citizens BancShares,
Inc., Class A 3,533,006
131,660 First Hawaiian, Inc. 3,523,222
456,268 First Horizon National Corp. 7,482,795
379,677 Huntington Bancshares, Inc. 5,410,397
30,466 JPMorgan Chase & Co. 3,534,056
295,613 KeyCorp 5,430,411
20,028 M&T Bank Corp. 3,289,599
175,433 PacWest Bancorp 6,776,977
202,982 People's United Financial, Inc. 3,332,964
91,286 Pinnacle Financial Partners,
Inc. 5,544,712
38,222 PNC Financial Services Group
(The), Inc. 5,461,924
161,231 Popular, Inc. 9,280,456
51,568 Prosperity Bancshares, Inc. 3,578,304
351,214 Regions Financial Corp. 5,594,839
28,185 Signature Bank 3,592,460
320,116 Sterling Bancorp 6,994,535
54,192 SunTrust Banks, Inc. 3,609,187
7,583 SVB Financial Group (a) 1,759,029
97,316 Synovus Financial Corp. 3,714,552
85,501 Texas Capital Bancshares,
Inc. (a) 5,380,578
32,499 U.S. Bancorp 1,857,318
316,282 Umpqua Holdings Corp. 5,522,284
71,301 Webster Financial Corp. 3,636,351
143,957 Wells Fargo & Co. 6,968,958
76,164 Western Alliance Bancorp (a) 3,765,548
46,556 Wintrust Financial Corp. 3,330,616
148,152 Zions Bancorp N.A. 6,677,211
---------------
215,585,263
---------------
CAPITAL MARKETS -- 16.5%
46,928 Ameriprise Financial, Inc. 6,828,493
154,293 Bank of New York Mellon (The)
Corp. 7,239,428
1,672,129 BGC Partners, Inc., Class A 9,213,431
3,629 BlackRock, Inc. 1,697,211
16,433 Cboe Global Markets, Inc. 1,796,291
76,367 E*TRADE Financial Corp. 3,725,946
121,658 Eaton Vance Corp. 5,413,781
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
98,738 Evercore, Inc., Class A $ 8,528,001
23,773 FactSet Research Systems, Inc. 6,592,253
251,300 Franklin Resources, Inc. 8,199,919
33,294 Goldman Sachs Group (The),
Inc. 7,329,008
31,420 Interactive Brokers Group,
Inc., Class A 1,610,589
19,816 Intercontinental Exchange, Inc. 1,741,034
427,431 Invesco Ltd. 8,202,401
408,655 Janus Henderson Group PLC 8,201,706
198,084 Lazard Ltd., Class A 7,667,832
107,212 LPL Financial Holdings, Inc. 8,991,870
27,208 MarketAxess Holdings, Inc. 9,170,184
8,720 Moody's Corp. 1,869,045
155,492 Morgan Stanley 6,928,724
36,277 Morningstar, Inc. 5,513,378
36,624 MSCI, Inc. 8,322,438
18,922 Northern Trust Corp. 1,854,356
40,285 Raymond James Financial, Inc. 3,249,791
7,477 S&P Global, Inc. 1,831,491
60,714 SEI Investments Co. 3,617,947
121,513 State Street Corp. 7,058,690
62,093 T. Rowe Price Group, Inc. 7,040,725
34,115 TD Ameritrade Holding Corp. 1,743,277
78,193 Virtu Financial, Inc., Class A 1,695,224
---------------
162,874,464
---------------
CONSUMER FINANCE -- 8.2%
282,196 Ally Financial, Inc. 9,287,070
70,845 American Express Co. 8,810,993
96,377 Capital One Financial Corp. 8,907,162
14,079 Credit Acceptance Corp. (a) 6,730,184
87,796 Discover Financial Services 7,878,813
384,405 Navient Corp. 5,439,331
258,659 OneMain Holdings, Inc. 10,721,416
364,994 Santander Consumer USA
Holdings, Inc. 9,821,989
539,829 SLM Corp. 4,917,842
252,242 Synchrony Financial 9,050,443
---------------
81,565,243
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 2.6%
162,967 AXA Equitable Holdings, Inc. 3,663,498
15,978 Berkshire Hathaway, Inc.,
Class B (a) 3,282,361
454,791 Jefferies Financial Group, Inc. 9,700,692
158,141 Voya Financial, Inc. 8,882,780
---------------
25,529,331
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 13.4%
70,055 American Homes 4 Rent,
Class A 1,696,032
8,330 American Tower Corp. 1,762,795
105,060 Americold Realty Trust 3,522,662
174,486 Apartment Investment &
Management Co., Class A 8,644,036
See Notes to Financial Statements Page 31
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
330,841 Apple Hospitality REIT, Inc. $ 5,197,512
118,926 Brandywine Realty Trust 1,754,158
190,495 Brixmor Property Group, Inc. 3,615,595
29,574 CoreSite Realty Corp. 3,099,651
13,065 Crown Castle International
Corp. 1,741,042
22,832 EPR Properties 1,699,386
13,508 Equinix, Inc. 6,782,367
268,919 Equity Commonwealth 9,030,300
14,035 Equity LifeStyle Properties,
Inc. 1,743,849
164,076 HCP, Inc. 5,238,947
62,087 Healthcare Trust of America,
Inc., Class A 1,672,003
272,482 Hospitality Properties Trust 6,733,030
373,878 Host Hotels & Resorts, Inc. 6,501,738
54,410 Iron Mountain, Inc. 1,600,198
184,310 Kimco Realty Corp. 3,540,595
21,101 Lamar Advertising Co., Class A 1,707,493
17,911 Life Storage, Inc. 1,746,143
501,447 Medical Properties Trust, Inc. 8,775,323
339,095 Outfront Media, Inc. 9,216,602
247,172 Park Hotels & Resorts, Inc. 6,527,812
56,205 Rayonier, Inc. 1,632,193
23,336 SBA Communications Corp. (a) 5,726,888
396,309 SITE Centers Corp. 5,647,403
39,920 Spirit Realty Capital, Inc. 1,761,270
40,933 Sun Communities, Inc. 5,436,312
238,073 VICI Properties, Inc. 5,080,478
124,217 Weingarten Realty Investors 3,466,896
---------------
132,300,709
---------------
INSURANCE -- 21.3%
62,141 Aflac, Inc. 3,271,102
10,002 Alleghany Corp. (a) 6,858,671
33,495 Allstate (The) Corp. 3,597,363
16,619 American Financial Group, Inc. 1,701,453
98,483 American International Group,
Inc. 5,514,063
27,190 Aon PLC 5,145,707
235,848 Arch Capital Group Ltd. (a) 9,124,959
77,772 Arthur J. Gallagher & Co. 7,032,922
207,824 Assured Guaranty Ltd. 9,079,831
203,095 Athene Holding Ltd.,
Class A (a) 8,298,462
57,101 Axis Capital Holdings Ltd. 3,635,621
46,416 Brighthouse Financial, Inc. (a) 1,818,115
156,632 Brown & Brown, Inc. 5,627,788
11,562 Chubb Ltd. 1,767,136
32,855 Cincinnati Financial Corp. 3,526,327
34,391 Erie Indemnity Co., Class A 7,661,283
27,558 Everest Re Group Ltd. 6,796,905
169,035 Fidelity National Financial,
Inc. 7,248,221
162,854 First American Financial Corp. 9,416,218
13,275 Hanover Insurance Group
(The), Inc. 1,721,900
94,170 Hartford Financial Services
Group (The), Inc. 5,427,017
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INSURANCE (CONTINUED)
101,347 Kemper Corp. $ 8,920,563
105,696 Lincoln National Corp. 6,906,177
31,152 Loews Corp. 1,667,878
3,126 Markel Corp. (a) 3,482,145
17,072 Marsh & McLennan Cos., Inc. 1,686,714
27,248 Mercury General Corp. 1,545,234
105,640 MetLife, Inc. 5,220,729
390,761 Old Republic International
Corp. 8,913,258
28,395 Primerica, Inc. 3,483,783
58,806 Principal Financial Group, Inc. 3,413,100
109,411 Progressive (The) Corp. 8,860,103
33,722 Prudential Financial, Inc. 3,416,376
21,830 Reinsurance Group of America,
Inc. 3,403,734
49,129 RenaissanceRe Holdings Ltd. 8,899,718
38,073 Torchmark Corp. (a) 3,476,826
45,559 Travelers (The) Cos., Inc. 6,679,861
156,397 Unum Group 4,996,884
25,830 W.R. Berkley Corp. 1,792,344
8,561 White Mountains Insurance
Group Ltd. 9,211,636
---------------
210,248,127
---------------
IT SERVICES -- 8.3%
37,444 Alliance Data Systems Corp. 5,875,712
41,097 Broadridge Financial Solutions,
Inc. 5,224,251
40,712 CoreLogic, Inc. (a) 1,855,246
51,981 Euronet Worldwide, Inc. (a) 8,104,358
39,777 Fidelity National Information
Services, Inc. 5,300,285
56,806 Fiserv, Inc. (a) 5,989,057
24,256 FleetCor Technologies, Inc. (a) 6,892,827
21,271 Global Payments, Inc. 3,571,826
12,716 Jack Henry & Associates, Inc. 1,776,425
25,751 Mastercard, Inc., Class A 7,011,225
59,515 PayPal Holdings, Inc. (a) 6,570,456
46,960 Square, Inc., Class A (a) 3,776,054
40,907 Total System Services, Inc. 5,551,898
30,234 Visa, Inc., Class A 5,381,652
85,623 Western Union (The) Co. 1,798,083
32,735 WEX, Inc. (a) 7,138,521
---------------
81,817,876
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.6%
180,500 Chimera Investment Corp. 3,480,040
948,758 MFA Financial, Inc. 6,812,082
340,946 New Residential Investment
Corp. 5,349,443
---------------
15,641,565
---------------
PROFESSIONAL SERVICES -- 0.9%
25,185 Equifax, Inc. 3,502,982
71,381 TransUnion 5,909,633
---------------
9,412,615
---------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 2.2%
170,472 CBRE Group, Inc., Class A (a) 9,036,720
Page 32 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE MANAGEMENT &
DEVELOPMENT (CONTINUED)
42,369 Howard Hughes (The) Corp. (a) $ 5,719,815
48,420 Jones Lang LaSalle, Inc. 7,054,310
---------------
21,810,845
---------------
SOFTWARE -- 1.0%
27,849 Fair Isaac Corp. (a) 9,675,300
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.2%
20,820 LendingTree, Inc. (a) 6,715,283
665,543 MGIC Investment Corp. (a) 8,552,227
525,766 New York Community Bancorp,
Inc. 6,062,082
---------------
21,329,592
---------------
TOTAL COMMON STOCKS
-- 100.0% 987,790,930
(Cost $908,048,597) ---------------
MONEY MARKET FUNDS -- 0.2%
2,290,020 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 2.15% (b) 2,290,020
(Cost $2,290,020) ---------------
TOTAL INVESTMENTS -- 100.2% 990,080,950
(Cost $910,338,617) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.2)% (1,728,298)
---------------
NET ASSETS -- 100.0% $ 988,352,652
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2019.
(c) Aggregate cost for federal income tax purposes is $918,779,988. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $103,732,627 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $32,431,665. The net
unrealized appreciation was $71,300,962.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 987,790,930 $ -- $ --
Money Market
Funds 2,290,020 -- --
--------------------------------------------
Total Investments $ 990,080,950 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 33
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
BIOTECHNOLOGY -- 17.4%
80,284 Alexion Pharmaceuticals,
Inc. (a) $ 9,095,374
57,062 Amgen, Inc. 10,646,628
112,406 Biogen, Inc. (a) 26,732,395
170,632 Celgene Corp. (a) 15,674,255
222,709 Exact Sciences Corp. (a) 25,636,033
1,230,159 Exelixis, Inc. (a) 26,165,482
233,469 Gilead Sciences, Inc. 15,296,889
185,652 Incyte Corp. (a) 15,765,568
76,695 Ionis Pharmaceuticals, Inc. (a) 5,051,133
67,192 Regeneron Pharmaceuticals,
Inc. (a) 20,477,434
173,008 Sarepta Therapeutics, Inc. (a) 25,752,241
71,218 Seattle Genetics, Inc. (a) 5,391,915
26,879 Vertex Pharmaceuticals,
Inc. (a) 4,478,579
---------------
206,163,926
---------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 25.7%
125,035 Abbott Laboratories 10,890,548
18,009 Align Technology, Inc. (a) 3,765,322
60,186 Baxter International, Inc. 5,053,818
19,560 Becton, Dickinson and Co. 4,944,768
244,658 Boston Scientific Corp. (a) 10,388,179
61,126 Cantel Medical Corp. 5,640,707
62,425 Cooper (The) Cos., Inc. 21,062,195
147,152 Danaher Corp. 20,674,856
175,445 DexCom, Inc. (a) 27,522,057
26,682 Edwards Lifesciences Corp. (a) 5,679,264
47,116 Hill-Rom Holdings, Inc. 5,024,450
102,646 Hologic, Inc. (a) 5,260,608
76,385 IDEXX Laboratories, Inc. (a) 21,544,389
220,208 Insulet Corp. (a) 27,072,372
141,318 Masimo Corp. (a) 22,307,046
50,611 Medtronic PLC 5,159,285
98,582 Penumbra, Inc. (a) 16,522,343
86,169 ResMed, Inc. 11,089,950
176,575 STERIS PLC 26,284,955
51,149 Stryker Corp. 10,730,037
47,632 Teleflex, Inc. 16,182,496
36,207 Varian Medical Systems,
Inc. (a) 4,249,616
126,034 West Pharmaceutical Services,
Inc. 17,300,687
---------------
304,349,948
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 23.4%
184,999 AmerisourceBergen Corp. 16,122,663
37,261 Anthem, Inc. 10,977,463
200,524 Centene Corp. (a) 10,445,295
43,713 Chemed Corp. 17,720,813
66,742 Cigna Corp. 11,340,801
280,361 DaVita, Inc. (a) 16,779,606
165,963 Encompass Health Corp. 10,595,078
116,690 HCA Healthcare, Inc. 15,579,282
39,636 Humana, Inc. 11,761,983
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
91,227 Laboratory Corp. of America
Holdings (a) $ 15,282,347
156,491 McKesson Corp. 21,744,424
1,041,954 MEDNAX, Inc. (a) 25,600,810
110,194 Molina Healthcare, Inc. (a) 14,631,559
154,927 Quest Diagnostics, Inc. 15,814,948
20,201 UnitedHealth Group, Inc. 5,030,251
201,614 Universal Health Services,
Inc., Class B 30,415,488
92,219 WellCare Health Plans, Inc. (a) 26,489,908
---------------
276,332,719
---------------
HEALTH CARE TECHNOLOGY -- 5.8%
286,913 Cerner Corp. 20,557,316
232,359 Medidata Solutions, Inc. (a) 21,230,642
162,163 Veeva Systems, Inc.,
Class A (a) 26,902,842
---------------
68,690,800
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 14.7%
140,824 Agilent Technologies, Inc. 9,774,594
67,278 Bio-Rad Laboratories, Inc.,
Class A (a) 21,185,842
100,871 Bio-Techne Corp. 21,198,041
526,295 Bruker Corp. 25,183,216
111,157 Charles River Laboratories
International, Inc. (a) 14,955,063
57,127 Illumina, Inc. (a) 17,102,681
163,383 IQVIA Holdings, Inc. (a) 26,005,672
163,722 PerkinElmer, Inc. 14,099,738
49,714 PRA Health Sciences, Inc. (a) 4,966,926
71,611 Thermo Fisher Scientific, Inc. 19,884,942
---------------
174,356,715
---------------
PHARMACEUTICALS -- 13.0%
463,745 Bristol-Myers Squibb Co. 20,594,916
437,049 Horizon Therapeutics PLC (a) 10,878,150
147,521 Jazz Pharmaceuticals PLC (a) 20,561,477
35,390 Johnson & Johnson 4,608,486
58,784 Merck & Co., Inc. 4,878,484
1,380,697 Mylan N.V. (a) 28,856,567
738,818 Nektar Therapeutics (a) 21,026,760
220,819 Perrigo Co. PLC 11,926,434
242,737 Pfizer, Inc. 9,427,905
185,308 Zoetis, Inc. 21,290,036
---------------
154,049,215
---------------
TOTAL COMMON STOCKS
-- 100.0% 1,183,943,323
(Cost $1,163,589,911) ---------------
MONEY MARKET FUNDS -- 0.1%
867,979 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class 2.15% (b) 867,979
(Cost $867,979) ---------------
Page 34 See Notes to Financial Statements
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 100.1% $ 1,184,811,302
(Cost $1,164,457,890) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (1,071,330)
---------------
NET ASSETS -- 100.0% $ 1,183,739,972
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2019.
(c) Aggregate cost for federal income tax purposes is $1,169,029,786. As of
July 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$85,739,742 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$69,958,226. The net unrealized appreciation was $15,781,516.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $1,183,943,323 $ -- $ --
Money Market
Funds 867,979 -- --
--------------------------------------------
Total Investments $1,184,811,302 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 35
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 12.6%
102,419 Arconic, Inc. $ 2,564,572
10,400 Curtiss-Wright Corp. 1,319,864
14,545 General Dynamics Corp. 2,704,497
52,152 HEICO Corp. 7,131,786
17,650 Huntington Ingalls Industries,
Inc. 4,029,495
19,196 Lockheed Martin Corp. 6,952,216
21,597 Northrop Grumman Corp. 7,463,275
15,208 Raytheon Co. 2,772,266
32,500 Spirit AeroSystems Holdings,
Inc., Class A 2,497,300
99,716 Textron, Inc. 4,915,999
10,932 TransDigm Group, Inc. (a) 5,306,830
---------------
47,658,100
---------------
AIR FREIGHT & LOGISTICS -- 3.8%
15,675 C.H. Robinson Worldwide, Inc. 1,312,468
17,430 Expeditors International of
Washington, Inc. 1,330,780
42,503 FedEx Corp. 7,248,036
68,616 XPO Logistics, Inc. (a) 4,630,208
---------------
14,521,492
---------------
AIRLINES -- 6.5%
62,067 Alaska Air Group, Inc. 3,932,565
93,198 Delta Air Lines, Inc. 5,688,806
214,532 JetBlue Airways Corp. (a) 4,125,450
104,154 Southwest Airlines Co. 5,367,056
60,410 United Airlines Holdings,
Inc. (a) 5,552,283
---------------
24,666,160
---------------
BUILDING PRODUCTS -- 4.0%
28,038 A.O. Smith Corp. 1,274,327
63,125 Allegion PLC 6,535,962
32,008 Johnson Controls International
PLC 1,358,420
318,360 Resideo Technologies, Inc. (a) 6,004,270
---------------
15,172,979
---------------
COMMERCIAL SERVICES &
SUPPLIES -- 5.5%
648,153 ADT, Inc. (b) 4,115,772
22,289 Cintas Corp. 5,804,947
70,765 Copart, Inc. (a) 5,486,410
15,261 Republic Services, Inc. 1,352,888
34,382 Waste Management, Inc. 4,022,694
---------------
20,782,711
---------------
CONSTRUCTION & ENGINEERING
-- 2.4%
69,868 AECOM (a) 2,511,754
39,247 Fluor Corp. 1,275,920
138,490 Quanta Services, Inc. 5,182,296
---------------
8,969,970
---------------
CONTAINERS & PACKAGING -- 0.7%
22,860 Avery Dennison Corp. 2,625,928
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 8.0%
43,666 AMETEK, Inc. $ 3,912,910
47,631 Eaton Corp. PLC 3,914,792
39,636 Emerson Electric Co. 2,571,584
53,516 Hubbell, Inc. 6,950,658
160,012 nVent Electric PLC 3,966,698
64,728 Regal Beloit Corp. 5,153,643
80,953 Sensata Technologies Holding
PLC (a) 3,839,601
---------------
30,309,886
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 4.2%
58,890 Keysight Technologies, Inc. (a) 5,271,833
154,699 Trimble, Inc. (a) 6,537,580
18,935 Zebra Technologies Corp.,
Class A (a) 3,993,202
---------------
15,802,615
---------------
INDUSTRIAL CONGLOMERATES
-- 3.6%
7,628 3M Co. 1,332,764
49,700 Carlisle Cos., Inc. 7,167,237
7,574 Honeywell International, Inc. 1,306,212
10,830 Roper Technologies, Inc. 3,938,330
---------------
13,744,543
---------------
IT SERVICES -- 4.9%
7,156 Accenture PLC, Class A 1,378,103
7,998 Automatic Data Processing, Inc. 1,331,827
105,399 Booz Allen Hamilton Holding
Corp. 7,246,181
183,209 Genpact Ltd. 7,269,733
16,068 Paychex, Inc. 1,334,447
---------------
18,560,291
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.9%
4,723 Mettler-Toledo International,
Inc. (a) 3,574,130
---------------
MACHINERY -- 18.7%
51,137 AGCO Corp. 3,937,549
19,403 Caterpillar, Inc. 2,554,793
47,172 Colfax Corp. (a) 1,305,721
47,540 Crane Co. 3,979,098
30,868 Cummins, Inc. 5,062,352
15,959 Deere & Co. 2,643,608
39,587 Dover Corp. 3,834,001
100,378 Flowserve Corp. 5,021,911
15,362 IDEX Corp. 2,584,196
20,192 ITT, Inc. 1,260,385
16,062 Lincoln Electric Holdings, Inc. 1,357,560
38,975 Middleby (The) Corp. (a) 5,237,461
83,585 Oshkosh Corp. 6,985,198
73,806 PACCAR, Inc. 5,176,753
15,554 Parker-Hannifin Corp. 2,723,194
35,544 Pentair PLC 1,379,463
31,930 Snap-on, Inc. 4,872,837
63,722 Trinity Industries, Inc. 1,248,951
61,668 Woodward, Inc. 6,909,283
31,618 Xylem, Inc. 2,538,609
---------------
70,612,923
---------------
Page 36 See Notes to Financial Statements
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PROFESSIONAL SERVICES -- 3.8%
12,595 CoStar Group, Inc. (a) $ 7,750,963
41,063 ManpowerGroup, Inc. 3,751,105
18,055 Verisk Analytics, Inc. 2,739,305
---------------
14,241,373
---------------
ROAD & RAIL -- 10.4%
17,090 CSX Corp. 1,203,136
39,667 Genesee & Wyoming, Inc.,
Class A (a) 4,355,833
28,930 J.B. Hunt Transport Services,
Inc. 2,961,564
21,708 Kansas City Southern 2,686,148
212,499 Knight-Swift Transportation
Holdings, Inc. 7,615,964
24,488 Landstar System, Inc. 2,724,780
13,267 Norfolk Southern Corp. 2,535,589
17,718 Old Dominion Freight Line, Inc. 2,958,552
90,720 Ryder System, Inc. 4,831,747
382,590 Schneider National, Inc.,
Class B 7,383,987
---------------
39,257,300
---------------
SOFTWARE -- 1.5%
56,374 Paylocity Holding Corp. (a) 5,755,222
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.0%
112,022 Xerox Corp. 3,595,906
---------------
TRADING COMPANIES &
DISTRIBUTORS -- 6.7%
168,806 Air Lease Corp. 7,054,403
32,826 HD Supply Holdings, Inc. (a) 1,329,781
71,222 MSC Industrial Direct Co.,
Inc., Class A 5,060,323
39,877 United Rentals, Inc. (a) 5,046,434
137,778 WESCO International, Inc. (a) 6,990,856
---------------
25,481,797
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.7%
65,231 Macquarie Infrastructure Corp. 2,703,173
---------------
TOTAL COMMON STOCKS
-- 99.9% 378,036,499
(Cost $367,689,837) ---------------
MONEY MARKET FUNDS -- 0.2%
321,834 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class 2.15% (c) 321,834
358,838 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) 358,838
---------------
TOTAL MONEY MARKET FUNDS
-- 0.2% 680,672
(Cost $680,672) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.8%
$ 2,937,566 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $2,937,772.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $2,997,352. (d) $ 2,937,566
(Cost $2,937,566) ---------------
TOTAL INVESTMENTS -- 100.9% 381,654,737
(Cost $371,308,075) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.9)% (3,482,137)
---------------
NET ASSETS -- 100.0% $ 378,172,600
===============
(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 $3,104,166 and the total value of the collateral held by the
Fund is $3,296,404.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $375,294,572. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $23,746,200 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $17,386,035. The net
unrealized appreciation was $6,360,165.
See Notes to Financial Statements Page 37
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 378,036,499 $ -- $ --
Money Market
Funds 680,672 -- --
Repurchase
Agreements -- 2,937,566 --
--------------------------------------------
Total Investments $ 378,717,171 $ 2,937,566 $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 3,104,166
Non-cash Collateral(2) (3,104,166)
---------------
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, 2019, 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) $ 2,937,566
Non-cash Collateral(4) (2,937,566)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 38 See Notes to Financial Statements
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
BUILDING PRODUCTS -- 5.3%
46,159 Armstrong World Industries,
Inc. $ 4,510,196
4,079 Lennox International, Inc. 1,046,182
57,817 Owens Corning 3,353,386
---------------
8,909,764
---------------
CHEMICALS -- 38.7%
9,910 Air Products & Chemicals, Inc. 2,262,156
63,719 Albemarle Corp. 4,648,938
37,677 Axalta Coating Systems Ltd. (a) 1,116,369
70,529 Cabot Corp. 3,154,057
31,215 Celanese Corp. 3,501,387
24,013 CF Industries Holdings, Inc. 1,190,084
140,205 Chemours (The) Co. 2,673,709
90,987 Dow, Inc. 4,407,410
44,823 DuPont de Nemours, Inc. 3,234,428
43,234 Eastman Chemical Co. 3,257,682
11,363 Ecolab, Inc. 2,292,258
219,498 Huntsman Corp. 4,510,684
5,585 Linde PLC 1,068,299
72,349 LyondellBasell Industries N.V.,
Class A 6,054,888
179,246 Mosaic (The) Co. 4,515,207
204,772 Olin Corp. 4,109,774
63,262 Scotts Miracle-Gro (The) Co. 7,096,731
2,447 Sherwin-Williams (The) Co. 1,255,409
64,591 Westlake Chemical Corp. 4,364,414
---------------
64,713,884
---------------
CONSTRUCTION MATERIALS -- 2.8%
9,749 Martin Marietta Materials, Inc. 2,415,315
16,338 Vulcan Materials Co. 2,260,362
---------------
4,675,677
---------------
CONTAINERS & PACKAGING
-- 20.4%
27,062 AptarGroup, Inc. 3,275,043
64,103 Ball Corp. 4,582,083
21,328 Berry Global Group, Inc. (a) 960,826
101,985 Crown Holdings, Inc. (a) 6,528,060
160,462 Graphic Packaging Holding Co. 2,384,465
77,676 International Paper Co. 3,410,753
64,948 Owens-Illinois, Inc. 1,102,168
35,302 Packaging Corp. of America 3,564,443
36,654 Silgan Holdings, Inc. 1,101,819
17,165 Sonoco Products Co. 1,030,415
170,861 WestRock Co. 6,159,539
---------------
34,099,614
---------------
ELECTRICAL EQUIPMENT -- 2.6%
16,266 Acuity Brands, Inc. 2,183,223
195,067 GrafTech International Ltd. 2,233,517
---------------
4,416,740
---------------
MACHINERY -- 4.4%
35,419 Ingersoll-Rand PLC 4,379,914
65,541 Timken (The) Co. 2,995,879
---------------
7,375,793
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
METALS & MINING -- 19.6%
95,824 Alcoa Corp. (a) $ 2,155,082
386,438 Freeport-McMoRan, Inc. 4,274,004
113,091 Nucor Corp. 6,149,889
65,856 Reliance Steel & Aluminum Co. 6,582,307
28,871 Southern Copper Corp. 1,033,293
206,335 Steel Dynamics, Inc. 6,501,616
407,008 United States Steel Corp. 6,117,330
---------------
32,813,521
---------------
PAPER & FOREST PRODUCTS -- 3.5%
139,934 Domtar Corp. 5,940,198
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.4%
43,491 Versum Materials, Inc. 2,260,662
---------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.3%
68,833 Fastenal Co. 2,120,056
---------------
TOTAL COMMON STOCKS
-- 100.0% 167,325,909
(Cost $179,166,987) ---------------
MONEY MARKET FUNDS -- 0.0%
93,750 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 2.15% (b) 93,750
(Cost $93,750) ---------------
TOTAL INVESTMENTS -- 100.0% 167,419,659
(Cost $179,260,737) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (50,462)
---------------
NET ASSETS -- 100.0% $ 167,369,197
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2019.
(c) Aggregate cost for federal income tax purposes is $181,637,395. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $6,933,018 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $21,150,754. The net unrealized
depreciation was $14,217,736.
See Notes to Financial Statements Page 39
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 167,325,909 $ -- $ --
Money Market
Funds 93,750 -- --
--------------------------------------------
Total Investments $ 167,419,659 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
Page 40 See Notes to Financial Statements
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.4%
161,711 L3Harris Technologies, Inc. $ 33,571,204
---------------
COMMUNICATIONS EQUIPMENT
-- 5.2%
133,056 Cisco Systems, Inc. 7,371,303
1,388,819 CommScope Holding Co.,
Inc. (a) 19,832,335
492,916 EchoStar Corp., Class A (a) 22,437,536
50,003 F5 Networks, Inc. (a) 7,336,440
820,356 Juniper Networks, Inc. 22,166,019
229,297 Motorola Solutions, Inc. 38,054,130
55,376 Ubiquiti Networks, Inc. 7,128,553
---------------
124,326,316
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 10.7%
75,902 Amphenol Corp., Class A 7,083,175
536,420 Arrow Electronics, Inc. (a) 38,949,456
482,572 Avnet, Inc. 21,918,420
344,419 CDW Corp. 40,696,549
224,278 Coherent, Inc. (a) 31,141,000
920,389 Corning, Inc. 28,301,962
112,724 Dolby Laboratories, Inc.,
Class A 7,676,505
99,138 IPG Photonics Corp. (a) 12,988,069
1,209,832 Jabil, Inc. 37,359,612
310,819 SYNNEX Corp. 30,628,104
---------------
256,742,852
---------------
ENTERTAINMENT -- 3.0%
462,842 Activision Blizzard, Inc. 22,558,919
134,698 Take-Two Interactive Software,
Inc. (a) 16,503,199
4,989,316 Zynga, Inc., Class A (a) 31,831,836
---------------
70,893,954
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 1.5%
1,562,988 Covetrus, Inc. (a) 36,995,926
---------------
INTERACTIVE MEDIA & SERVICES
-- 4.1%
113,193 Facebook, Inc., Class A (a) 21,985,477
100,427 IAC/InterActiveCorp (a) 24,007,074
568,315 Match Group, Inc. 42,788,436
208,654 Twitter, Inc. (a) 8,828,151
---------------
97,609,138
---------------
IT SERVICES -- 15.0%
190,819 Akamai Technologies, Inc. (a) 16,816,878
246,290 Amdocs Ltd. 15,760,097
121,064 Black Knight, Inc. (a) 7,665,773
74,745 CACI International, Inc.,
Class A (a) 16,081,387
344,631 Cognizant Technology Solutions
Corp., Class A 22,449,263
693,212 DXC Technology Co. 38,660,433
176,688 EPAM Systems, Inc. (a) 34,240,368
95,017 Gartner, Inc. (a) 13,238,719
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES (CONTINUED)
52,805 International Business Machines
Corp. $ 7,827,813
191,511 Leidos Holdings, Inc. 15,723,053
201,095 MongoDB, Inc. (a) 28,800,826
309,535 Okta, Inc. (a) 40,496,464
328,021 Sabre Corp. 7,711,774
2,920,599 Switch, Inc., Class A 39,632,528
224,311 Twilio, Inc., Class A (a) 31,203,903
104,447 VeriSign, Inc. (a) 22,047,717
---------------
358,356,996
---------------
PROFESSIONAL SERVICES -- 1.3%
479,985 IHS Markit Ltd. (a) 30,920,634
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 20.2%
1,007,063 Advanced Micro Devices,
Inc. (a) 30,665,068
64,516 Analog Devices, Inc. 7,578,049
486,442 Applied Materials, Inc. 24,015,642
388,860 Cree, Inc. (a) 24,179,315
687,602 Cypress Semiconductor Corp. 15,794,218
409,761 Entegris, Inc. 17,828,701
798,637 Intel Corp. 40,371,100
61,607 KLA Corp. 8,398,266
162,824 Lam Research Corp. 33,966,715
83,993 Microchip Technology, Inc. 7,930,619
990,686 Micron Technology, Inc. (a) 44,471,895
392,662 MKS Instruments, Inc. 33,427,316
391,668 NXP Semiconductors N.V. 40,494,554
1,513,337 ON Semiconductor Corp. (a) 32,551,879
229,578 Qorvo, Inc. (a) 16,825,772
201,029 QUALCOMM, Inc. 14,707,282
395,815 Skyworks Solutions, Inc. 33,755,103
455,982 Teradyne, Inc. 25,411,877
81,318 Universal Display Corp. 17,164,603
129,685 Xilinx, Inc. 14,811,324
---------------
484,349,298
---------------
SOFTWARE -- 33.4%
74,141 Adobe, Inc. (a) 22,157,779
350,354 Alteryx, Inc., Class A (a) 41,180,609
106,658 ANSYS, Inc. (a) 21,664,373
175,780 Aspen Technology, Inc. (a) 23,180,109
292,194 Atlassian Corp. PLC,
Class A (a) 40,942,223
93,875 Autodesk, Inc. (a) 14,660,459
529,509 Avalara, Inc. (a) 43,144,393
431,924 Cadence Design Systems,
Inc. (a) 31,923,503
304,628 Ceridian HCM Holding, Inc. (a) 16,239,719
301,956 Coupa Software, Inc. (a) 40,978,449
290,701 Dropbox, Inc., Class A (a) 6,848,916
150,840 Guidewire Software, Inc. (a) 15,397,747
128,113 HubSpot, Inc. (a) 22,896,355
27,864 Intuit, Inc. 7,726,966
98,833 LogMeIn, Inc. 7,508,343
315,103 Manhattan Associates, Inc. (a) 26,780,604
228,309 Microsoft Corp. 31,111,667
See Notes to Financial Statements Page 41
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
127,823 Oracle Corp. $ 7,196,435
168,625 Paycom Software, Inc. (a) 40,596,469
214,750 Pegasystems, Inc. 16,235,100
240,174 Pluralsight, Inc., Class A (a) 7,370,940
60,559 Proofpoint, Inc. (a) 7,642,546
123,738 RealPage, Inc. (a) 7,731,150
266,137 RingCentral, Inc., Class A (a) 37,786,131
111,390 ServiceNow, Inc. (a) 30,898,472
789,889 Smartsheet, Inc., Class A (a) 39,423,360
121,608 Splunk, Inc. (a) 16,454,778
265,444 SS&C Technologies Holdings,
Inc. 12,728,040
237,661 Synopsys, Inc. (a) 31,551,874
230,277 Tableau Software, Inc.,
Class A (a) 39,038,860
106,267 Workday, Inc., Class A (a) 21,251,275
343,530 Zendesk, Inc. (a) 28,705,367
498,835 Zscaler, Inc. (a) 42,036,825
---------------
800,989,836
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 4.2%
36,792 Apple, Inc. 7,838,168
143,346 Dell Technologies, Inc.,
Class C (a) 8,276,798
1,461,274 Hewlett Packard Enterprise Co. 20,998,507
735,557 HP, Inc. 15,476,119
702,445 NCR Corp. (a) 23,749,666
459,435 Western Digital Corp. 24,758,952
---------------
101,098,210
---------------
TOTAL COMMON STOCKS
-- 100.0% 2,395,854,364
(Cost $2,104,225,844) ---------------
MONEY MARKET FUNDS -- 0.1%
1,552,661 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class 2.15% (b) 1,552,661
(Cost $1,552,661) ---------------
TOTAL INVESTMENTS -- 100.1% 2,397,407,025
(Cost $2,105,778,505) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (2,060,071)
---------------
Net Assets -- 100.0% $ 2,395,346,954
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2019.
(c) Aggregate cost for federal income tax purposes is $2,136,632,136. As of
July 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$307,590,549 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$46,815,660. The net unrealized appreciation was $260,774,889.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $2,395,854,364 $ -- $ --
Money Market
Funds 1,552,661 -- --
--------------------------------------------
Total Investments $2,397,407,025 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
Page 42 See Notes to Financial Statements
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 98.6%
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 10.3%
2,233,342 AT&T, Inc. $ 76,045,295
898,273 Verizon Communications, Inc. 49,647,549
389,840 Zayo Group Holdings, Inc. (a) 13,149,303
---------------
138,842,147
---------------
ELECTRIC UTILITIES -- 39.6%
522,804 Alliant Energy Corp. 25,899,710
291,549 American Electric Power Co.,
Inc. 25,600,918
1,016,206 Avangrid, Inc. 51,369,213
581,578 Duke Energy Corp. 50,434,444
373,931 Entergy Corp. 39,494,592
426,588 Evergy, Inc. 25,804,308
169,346 Eversource Energy 12,846,588
1,070,471 Exelon Corp. 48,235,423
299,684 FirstEnergy Corp. 13,177,105
294,596 Hawaiian Electric Industries,
Inc. 13,197,901
255,494 IDACORP, Inc. 26,075,718
904,344 OGE Energy Corp. 38,841,575
409,062 Pinnacle West Capital Corp. 37,314,636
2,095,024 PPL Corp. 62,075,561
696,251 Southern (The) Co. 39,129,306
431,321 Xcel Energy, Inc. 25,711,045
---------------
535,208,043
---------------
GAS UTILITIES -- 7.8%
121,538 Atmos Energy Corp. 13,252,504
1,418,757 National Fuel Gas Co. 67,731,459
480,418 UGI Corp. 24,544,556
---------------
105,528,519
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS
-- 5.5%
765,488 AES Corp. 12,852,543
2,852,406 Vistra Energy Corp. 61,212,633
---------------
74,065,176
---------------
MULTI-UTILITIES -- 15.2%
341,623 Ameren Corp. 25,857,445
448,118 CenterPoint Energy, Inc. 12,999,903
438,970 Consolidated Edison, Inc. 37,294,891
300,975 DTE Energy Co. 38,256,932
1,989,087 MDU Resources Group, Inc. 53,188,187
654,349 Public Service Enterprise
Group, Inc. 37,396,045
---------------
204,993,403
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 20.2%
7,811,021 Sprint Corp. (a) 57,254,784
2,461,819 Telephone & Data Systems, Inc. 79,615,226
692,183 T-Mobile US, Inc. (a) 55,187,751
1,674,426 United States Cellular
Corp. (a) 80,188,261
---------------
272,246,022
---------------
TOTAL COMMON STOCKS
-- 98.6% 1,330,883,310
(Cost $1,312,994,455) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 1.3%
17,462,319 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 2.15% (b) $ 17,462,319
(Cost $17,462,319) ---------------
TOTAL INVESTMENTS -- 99.9% 1,348,345,629
(Cost $1,330,456,774) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 1,195,797
---------------
NET ASSETS -- 100.0% $ 1,349,541,426
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2019.
(c) Aggregate cost for federal income tax purposes is $1,336,056,750. As of
July 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$42,797,010 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$30,508,131. The net unrealized appreciation was $12,288,879.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $1,330,883,310 $ -- $ --
Money Market
Funds 17,462,319 -- --
--------------------------------------------
Total Investments $1,348,345,629 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 43
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2019
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............................................... $ 384,335,884 $ 329,914,072 $ 126,792,357
Cash .............................................................. -- -- --
Receivables:
Investment securities sold.................................... -- -- --
Dividends..................................................... 198,995 212,404 54,139
Securities lending income..................................... 156 -- 2,507
Prepaid expenses.................................................... 2,991 2,772 3,124
---------------- ---------------- ----------------
Total Assets.................................................. 384,538,026 330,129,248 126,852,127
---------------- ---------------- ----------------
LIABILITIES:
Due to custodian.................................................... 739 -- --
Due to authorized participant....................................... 42,342 -- --
Payables:
Investment securities purchased............................... -- -- --
Capital shares redeemed....................................... -- -- --
Collateral for securities on loan............................. -- -- 4,297,331
Investment advisory fees...................................... 162,915 136,232 54,502
Licensing fees................................................ 79,533 75,815 41,588
Audit and tax fees............................................ 22,924 22,925 22,924
Shareholder reporting fees.................................... 17,929 18,643 16,298
Trustees' fees................................................ 695 688 653
Other liabilities................................................... 94,402 82,766 45,326
---------------- ---------------- ----------------
Total Liabilities............................................. 421,479 337,069 4,478,622
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 384,116,547 $ 329,792,179 $ 122,373,505
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 775,515,240 $ 587,451,588 $ 555,858,761
Par value........................................................... 88,500 72,000 112,500
Accumulated distributable earnings (loss)........................... (391,487,193) (257,731,409) (433,597,756)
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 384,116,547 $ 329,792,179 $ 122,373,505
================ ================ ================
NET ASSET VALUE, per share.......................................... $ 43.40 $ 45.80 $ 10.88
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 8,850,002 7,200,002 11,250,002
================ ================ ================
Investments, at cost................................................ $ 367,296,149 $ 334,299,849 $ 161,984,197
================ ================ ================
Securities on loan, at value........................................ $ -- $ -- $ 4,086,401
================ ================ ================
Page 44 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 990,080,950 $ 1,184,811,302 $ 381,654,737 $ 167,419,659 $ 2,397,407,025 $ 1,348,345,629
-- -- 4,073 -- -- --
10,153,287 -- 2,124,030 -- 3,466,519 2,846,806
990,561 248,836 201,014 126,526 37,240 2,310,444
138 -- 2,591 -- 38 --
5,514 5,838 5,658 2,632 7,518 2,703
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
1,001,230,450 1,185,065,976 383,992,103 167,548,817 2,400,918,340 1,353,505,582
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
-- -- -- -- -- --
-- -- -- -- -- --
8,674,807 -- -- -- -- --
3,235,196 -- 2,124,565 -- 3,465,992 2,886,719
-- -- 3,296,404 -- -- --
421,490 504,983 160,556 70,062 1,024,856 587,009
229,727 394,503 86,723 33,395 503,925 190,632
22,925 22,925 22,925 22,924 22,925 22,925
43,867 71,807 17,901 11,842 61,123 25,961
844 1,013 699 645 1,146 776
248,942 330,773 109,730 40,752 491,419 250,134
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
12,877,798 1,326,004 5,819,503 179,620 5,571,386 3,964,156
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 988,352,652 $ 1,183,739,972 $ 378,172,600 $ 167,369,197 $ 2,395,346,954 $ 1,349,541,426
================ ================ ================ ================ ================ ================
$ 1,020,859,166 $ 1,811,251,002 $ 547,308,236 $ 303,066,016 $ 2,412,235,008 $ 1,450,248,351
305,500 152,500 89,000 43,500 345,550 467,500
(32,812,014) (627,663,530) (169,224,636) (135,740,319) (17,233,604) (101,174,425)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 988,352,652 $ 1,183,739,972 $ 378,172,600 $ 167,369,197 $ 2,395,346,954 $ 1,349,541,426
================ ================ ================ ================ ================ ================
$ 32.35 $ 77.62 $ 42.49 $ 38.48 $ 69.32 $ 28.87
================ ================ ================ ================ ================ ================
30,550,002 15,250,002 8,900,002 4,350,002 34,555,000 46,750,002
================ ================ ================ ================ ================ ================
$ 910,338,617 $ 1,164,457,890 $ 371,308,075 $ 179,260,737 $ 2,105,778,505 $ 1,330,456,774
================ ================ ================ ================ ================ ================
$ -- $ -- $ 3,104,166 $ -- $ -- $ --
================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2019
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........................................................... $ 5,501,192 $ 7,175,494 $ 4,754,710
Securities lending income (net of fees)............................. 15,645 23 15,700
Foreign withholding tax............................................. (2,623) -- --
---------------- ---------------- ----------------
Total investment income....................................... 5,514,214 7,175,517 4,770,410
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................ 1,797,083 1,669,456 1,310,377
Accounting and administration fees.................................. 181,270 168,199 132,319
Licensing fees...................................................... 143,891 133,616 105,319
Custodian fees...................................................... 54,593 50,068 42,807
Shareholder reporting fees.......................................... 38,410 42,403 45,757
Transfer agent fees................................................. 17,971 16,694 13,104
Audit and tax fees.................................................. 15,331 15,331 15,331
Legal fees.......................................................... 13,041 12,483 12,571
Listing fees........................................................ 8,049 8,049 8,049
Trustees' fees and expenses......................................... 7,535 7,515 7,392
Registration and filing fees........................................ (4,090) (181) (10,572)
Other expenses...................................................... 9,571 8,008 9,014
---------------- ---------------- ----------------
Total expenses................................................ 2,282,655 2,131,641 1,691,468
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)........................................ 3,231,559 5,043,876 3,078,942
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (10,031,264) (31,436,235) (62,221,417)
In-kind redemptions........................................... 13,426,253 15,191,728 (7,617,098)
---------------- ---------------- ----------------
Net realized gain (loss)............................................ 3,394,989 (16,244,507) (69,838,515)
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments. (4,579,483) 12,583,208 (64,441,284)
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (1,184,494) (3,661,299) (134,279,799)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 2,047,065 $ 1,382,577 $ (131,200,857)
================ ================ ================
Page 46 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 27,953,237 $ 8,246,598 $ 9,688,464 $ 3,421,682 $ 17,743,554 $ 17,568,386
20,571 122,742 35,074 8 5,562,723 312
(10,185) -- -- -- (39,710) --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
27,963,623 8,369,340 9,723,538 3,421,690 23,266,567 17,568,698
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
5,208,976 8,127,988 3,642,843 891,980 10,521,302 3,080,750
517,014 751,686 349,350 90,563 943,209 300,630
417,301 653,389 293,884 71,169 844,794 247,089
143,265 239,881 106,670 27,928 241,568 82,900
97,255 156,837 36,134 23,950 142,112 59,178
50,635 65,649 32,305 8,920 77,605 28,639
15,331 15,331 15,331 15,331 15,331 15,331
39,794 68,950 31,295 6,713 77,119 15,492
10,549 9,501 9,097 8,049 10,549 8,049
8,423 9,476 7,713 7,276 9,908 7,909
(5,639) -- -- (3,942) (84,156) --
25,204 25,050 34,363 6,641 38,510 10,494
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
6,528,108 10,123,738 4,558,985 1,154,578 12,837,851 3,856,461
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
21,435,515 (1,754,398) 5,164,553 2,267,112 10,428,716 13,712,237
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
(22,673,813) (101,184,121) (34,759,682) (6,384,733) (153,314,599) (23,459,084)
42,288,977 165,024,507 56,415,793 (2,640,170) 397,299,436 49,720,375
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
19,615,164 63,840,386 21,656,111 (9,024,903) 243,984,837 26,261,291
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
(26,430,170) (151,566,044) (132,608,865) (29,969,693) 157,909,622 25,589,904
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
(6,815,006) (87,725,658) (110,952,754) (38,994,596) 401,894,459 51,851,195
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 14,620,509 $ (89,480,056) $ (105,788,201) $ (36,727,484) $ 412,323,175 $ 65,563,432
================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
CONSUMER DISCRETIONARY CONSUMER STAPLES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG)
---------------------------------- ----------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2019 7/31/2018 7/31/2019 7/31/2018
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)............................ $ 3,231,559 $ 4,665,380 $ 5,043,876 $ 7,775,129
Net realized gain (loss)................................ 3,394,989 38,976,580 (16,244,507) (2,346,535)
Net change in unrealized appreciation (depreciation).... (4,579,483) 12,181,662 12,583,208 (4,372,240)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations...................................... 2,047,065 55,823,622 1,382,577 1,056,354
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (2,816,656) (8,074,707)
-------------- --------------
Net investment income................................... (4,531,050) (4,589,886)
-------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 118,936,453 217,704,196 124,804,864 89,018,129
Cost of shares redeemed................................. (143,392,949) (266,850,762) (157,963,843) (177,217,120)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (24,456,496) (49,146,566) (33,158,979) (88,198,991)
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets................. (25,226,087) 2,146,006 (39,851,109) (91,732,523)
NET ASSETS:
Beginning of period..................................... 409,342,634 407,196,628 369,643,288 461,375,811
-------------- -------------- -------------- --------------
End of period........................................... $ 384,116,547 $ 409,342,634 $ 329,792,179 $ 369,643,288
============== ============== ============== ==============
Accumulated net investment income (loss)
at end of period..................................... $ 407,977 $ 3,418,985
============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 9,650,002 10,850,002 7,950,002 9,850,002
Shares sold............................................. 2,800,000 5,500,000 2,700,000 1,900,000
Shares redeemed......................................... (3,600,000) (6,700,000) (3,450,000) (3,800,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period....................... 8,850,002 9,650,002 7,200,002 7,950,002
============== ============== ============== ==============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ENERGY FINANCIALS HEALTH CARE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXN) (FXO) (FXH)
---------------------------------- ---------------------------------- ----------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
7/31/2019 7/31/2018 7/31/2019 7/31/2018 7/31/2019 7/31/2018
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 3,078,942 $ 1,784,404 $ 21,435,515 $ 23,459,877 $ (1,754,398) $ (295,408)
(69,838,515) (6,701,737) 19,615,164 122,632,791 63,840,386 91,131,071
(64,441,284) 59,182,168 (26,430,170) (23,300,665) (151,566,044) 48,168,654
-------------- -------------- -------------- -------------- -------------- --------------
(131,200,857) 54,264,835 14,620,509 122,792,003 (89,480,056) 139,004,317
-------------- -------------- -------------- -------------- -------------- --------------
(2,654,300) (20,256,006) --
-------------- -------------- --------------
(2,590,690) (21,806,216) --
-------------- -------------- --------------
156,076,566 243,140,883 74,828,025 662,405,279 1,723,952,631 275,096,318
(337,620,739) (106,337,998) (333,749,514) (631,715,109) (1,514,477,381) (417,737,507)
-------------- -------------- -------------- -------------- -------------- --------------
(181,544,173) 136,802,885 (258,921,489) 30,690,170 209,475,250 (142,641,189)
-------------- -------------- -------------- -------------- -------------- --------------
(315,399,330) 188,477,030 (264,556,986) 131,675,957 119,995,194 (3,636,872)
437,772,835 249,295,805 1,252,909,638 1,121,233,681 1,063,744,778 1,067,381,650
-------------- -------------- -------------- -------------- -------------- --------------
$ 122,373,505 $ 437,772,835 $ 988,352,652 $1,252,909,638 $1,183,739,972 $1,063,744,778
============== ============== ============== ============== ============== ==============
$ -- $ 2,591,144 $ (37,822)
============== ============== ==============
25,600,002 18,250,002 39,100,002 38,150,002 13,850,002 15,950,002
10,400,000 14,950,000 2,450,000 21,450,000 22,250,000 3,950,000
(24,750,000) (7,600,000) (11,000,000) (20,500,000) (20,850,000) (6,050,000)
-------------- -------------- -------------- -------------- -------------- --------------
11,250,002 25,600,002 30,550,002 39,100,002 15,250,002 13,850,002
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
INDUSTRIALS/PRODUCER DURABLES MATERIALS
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXR) (FXZ)
---------------------------------- ----------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2019 7/31/2018 7/31/2019 7/31/2018
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss)............................ $ 5,164,553 $ 11,127,343 $ 2,267,112 $ 3,111,370
Net realized gain (loss)................................ 21,656,111 169,020,704 (9,024,903) 24,250,432
Net change in unrealized appreciation (depreciation).... (132,608,865) 67,890,805 (29,969,693) 5,229,986
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations...................................... (105,788,201) 248,038,852 (36,727,484) 32,591,788
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (4,745,501) (2,117,421)
-------------- --------------
Net investment income................................... (11,199,166) (3,162,041)
-------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 706,888,586 1,234,023,624 64,963,487 280,033,282
Cost of shares redeemed................................. (1,797,275,535) (1,336,139,067) (172,775,616) (256,162,451)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (1,090,386,949) (102,115,443) (107,812,129) 23,870,831
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets................. (1,200,920,651) 134,724,243 (146,657,034) 53,300,578
NET ASSETS:
Beginning of period..................................... 1,579,093,251 1,444,369,008 314,026,231 260,725,653
-------------- -------------- -------------- --------------
End of period........................................... $ 378,172,600 $1,579,093,251 $ 167,369,197 $ 314,026,231
============== ============== ============== ==============
Accumulated net investment income (loss)
at end of period..................................... $ -- $ 232,589
============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 38,250,002 40,850,002 7,250,002 6,750,002
Shares sold............................................. 17,350,000 31,400,000 1,650,000 6,600,000
Shares redeemed......................................... (46,700,000) (34,000,000) (4,550,000) (6,100,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period....................... 8,900,002 38,250,002 4,350,002 7,250,002
============== ============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXL) (FXU)
---------------------------------- ----------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2019 7/31/2018 7/31/2019 7/31/2018
---------------- ---------------- ---------------- ----------------
$ 10,428,716 $ 2,484,348 $ 13,712,237 $ 15,009,787
243,984,837 184,838,724 26,261,291 53,774,587
157,909,622 57,513,718 25,589,904 (82,012,328)
-------------- -------------- -------------- --------------
412,323,175 244,836,790 65,563,432 (13,227,954)
-------------- -------------- -------------- --------------
(9,561,020) (10,275,866)
-------------- --------------
(2,688,800) (16,157,772)
-------------- --------------
1,756,769,650 2,013,289,240 1,503,287,322 461,544,643
(1,760,385,574) (866,337,102) (517,573,676) (1,473,950,260)
-------------- -------------- -------------- --------------
(3,615,924) 1,146,952,138 985,713,646 (1,012,405,617)
-------------- -------------- -------------- --------------
399,146,231 1,389,100,128 1,041,001,212 (1,041,791,343)
1,996,200,723 607,100,595 308,540,214 1,350,331,557
-------------- -------------- -------------- --------------
$2,395,346,954 $1,996,200,723 $1,349,541,426 $ 308,540,214
============== ============== ============== ==============
$ 30,524 $ --
============== ==============
35,305,000 13,455,000 11,700,002 48,850,002
27,100,000 37,700,000 53,150,000 17,200,000
(27,850,000) (15,850,000) (18,100,000) (54,350,000)
-------------- -------------- -------------- --------------
34,555,000 35,305,000 46,750,002 11,700,002
============== ============== ============== ==============
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 42.42 $ 37.53 $ 36.06 $ 37.29 $ 32.24
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.37 0.43 0.34 0.53 0.30
Net realized and unrealized gain (loss) 0.93 4.88 1.48 (1.43) 5.03
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.30 5.31 1.82 (0.90) 5.33
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.32) (0.42) (0.35) (0.33) (0.28)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 43.40 $ 42.42 $ 37.53 $ 36.06 $ 37.29
========== ========== ========== ========== ==========
TOTAL RETURN (a) 3.13% 14.17% 5.10% (2.34)% 16.54%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 384,117 $ 409,343 $ 407,197 $1,766,902 $2,559,671
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.64% 0.64% 0.63% 0.61% 0.63%
Ratio of net expenses to average net assets 0.64% 0.64% 0.63% 0.61% 0.63%
Ratio of net investment income (loss) to
average net assets 0.90% 1.03% 0.79% 1.39% 0.91%
Portfolio turnover rate (b) 97% 101% 93% 103% 131%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 46.50 $ 46.84 $ 49.06 $ 45.69 $ 37.71
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.70 1.00 0.56 0.76 0.72
Net realized and unrealized gain (loss) (0.32) (0.74) (2.20) 3.38 7.95
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.38 0.26 (1.64) 4.14 8.67
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.08) (0.60) (0.58) (0.77) (0.69)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 45.80 $ 46.50 $ 46.84 $ 49.06 $ 45.69
========== ========== ========== ========== ==========
TOTAL RETURN (a) 0.83% 0.53% (3.31)% 9.19% 23.09%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 329,792 $ 369,643 $ 461,376 $2,558,300 $2,894,359
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.64% 0.64% 0.62% 0.61% 0.62%
Ratio of net expenses to average net assets 0.64% 0.64% 0.62% 0.61% 0.62%
Ratio of net investment income (loss) to
average net assets 1.51% 2.09% 0.94% 1.60% 1.75%
Portfolio turnover rate (b) 90% 107% 100% 102% 87%
(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 52 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 17.10 $ 13.66 $ 14.54 $ 16.93 $ 28.07
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.16 0.12 0.14 0.22 0.40
Net realized and unrealized gain (loss) (6.25) 3.47 (0.85) (2.37) (11.14)
---------- ---------- ---------- ---------- ----------
Total from investment operations (6.09) 3.59 (0.71) (2.15) (10.74)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.13) (0.15) (0.17) (0.24) (0.40)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 10.88 $ 17.10 $ 13.66 $ 14.54 $ 16.93
========== ========== ========== ========== ==========
TOTAL RETURN (a) (35.77)% 26.45% (4.99)% (12.67)% (38.59)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 122,374 $ 437,773 $ 249,296 $1,458,077 $ 346,292
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.65% 0.63% 0.63% 0.62% 0.64%
Ratio of net expenses to average net assets 0.65% 0.63% 0.63% 0.62% 0.64%
Ratio of net investment income (loss) to
average net assets 1.17% 0.68% 1.03% 1.40% 1.68%
Portfolio turnover rate (b) 99% 108% 55% 112% 97%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 32.04 $ 29.39 $ 24.09 $ 24.43 $ 21.64
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.65 0.62 0.44 0.39 0.30
Net realized and unrealized gain (loss) 0.25 2.61 5.30 (0.36) 2.79
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.90 3.23 5.74 0.03 3.09
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.59) (0.58) (0.44) (0.37) (0.30)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 32.35 $ 32.04 $ 29.39 $ 24.09 $ 24.43
========== ========== ========== ========== ==========
TOTAL RETURN (a) 3.03% 11.06% 24.00% 0.22% 14.39%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 988,353 $1,252,910 $1,121,234 $ 710,692 $1,074,976
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.63% 0.63% 0.63% 0.64% 0.64%
Ratio of net expenses to average net assets 0.63% 0.63% 0.63% 0.64% 0.64%
Ratio of net investment income (loss) to
average net assets 2.06% 1.99% 1.72% 1.72% 1.59%
Portfolio turnover rate (b) 81% 70% 80% 75% 80%
(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 53
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
YEAR ENDED JULY 31,
-------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 76.80 $ 66.92 $ 61.55 $ 69.63 $ 53.13
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.11) (0.02) (0.03) 0.00 (a) (b) (0.05)
Net realized and unrealized gain (loss) 0.93 9.90 5.40 (8.08) 16.55
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.82 9.88 5.37 (8.08) 16.50
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 77.62 $ 76.80 $ 66.92 $ 61.55 $ 69.63
========== ========== ========== ========== ==========
TOTAL RETURN (c) 1.07% 14.76% 8.72% (11.60)% 31.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,183,740 $1,063,745 $1,067,382 $1,147,893 $4,233,585
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.62% 0.63% 0.62% 0.61% 0.62%
Ratio of net expenses to average net assets 0.62% 0.63% 0.62% 0.61% 0.62%
Ratio of net investment income (loss) to
average net assets (0.11)% (0.03)% (0.05)% 0.01% (0.10)%
Portfolio turnover rate (d) 123% 107% 112% 118% 125%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 41.28 $ 35.36 $ 28.94 $ 29.46 $ 29.27
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.30 0.28 0.17 0.24 0.13
Net realized and unrealized gain (loss) 1.17 5.92 6.42 (0.51) 0.26
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.47 6.20 6.59 (0.27) 0.39
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.26) (0.28) (0.17) (0.25) (0.20)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 42.49 $ 41.28 $ 35.36 $ 28.94 $ 29.46
========== ========== ========== ========== ==========
TOTAL RETURN (c) 3.67% 17.57% 22.81% (0.82)% 1.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 378,173 $1,579,093 $1,444,369 $ 159,169 $ 380,087
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.63% 0.62% 0.63% 0.66% 0.63%
Ratio of net expenses to average net assets 0.63% 0.62% 0.63% 0.66% 0.63%
Ratio of net investment income (loss) to
average net assets 0.71% 0.70% 0.53% 0.93% 0.55%
Portfolio turnover rate (d) 79% 91% 101% 103% 105%
(a) Based on average shares outstanding.
(b) Amount is less than $0.01.
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 54 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 43.31 $ 38.63 $ 34.32 $ 30.68 $ 32.55
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.50 0.40 0.48 0.41 0.47
Net realized and unrealized gain (loss) (4.88) 4.69 4.30 3.65 (1.88)
---------- ---------- ---------- ---------- ----------
Total from investment operations (4.38) 5.09 4.78 4.06 (1.41)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.45) (0.41) (0.47) (0.42) (0.46)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 38.48 $ 43.31 $ 38.63 $ 34.32 $ 30.68
========== ========== ========== ========== ==========
TOTAL RETURN (a) (10.08)% 13.20% 14.01% 13.48% (4.36)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 167,369 $ 314,026 $ 260,726 $ 250,558 $ 156,470
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.65% 0.64% 0.65% 0.66% 0.64%
Ratio of net expenses to average net assets 0.65% 0.64% 0.65% 0.66% 0.64%
Ratio of net investment income (loss) to
average net assets 1.27% 0.92% 1.40% 1.26% 1.25%
Portfolio turnover rate (b) 82% 92% 84% 113% 104%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 56.54 $ 45.12 $ 34.84 $ 34.98 $ 31.74
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.31 0.09 0.32 0.27 0.14
Net realized and unrealized gain (loss) 12.75 11.43 10.32 (0.14) 3.26
---------- ---------- ---------- ---------- ----------
Total from investment operations 13.06 11.52 10.64 0.13 3.40
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.28) (0.10) (0.36) (0.27) (0.16)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 69.32 $ 56.54 $ 45.12 $ 34.84 $ 34.98
========== ========== ========== ========== ==========
TOTAL RETURN (a) 23.20% 25.55% 30.72% 0.42% 10.72%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $2,395,347 $1,996,201 $ 607,101 $ 491,478 $ 900,971
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.63% 0.63% 0.63% 0.63%
Ratio of net expenses to average net assets 0.61% 0.63% 0.63% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets 0.50% 0.17% 0.82% 0.82% 0.53%
Portfolio turnover rate (b) 91% 127% 115% 109% 91%
(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 55
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 26.37 $ 27.64 $ 27.46 $ 23.06 $ 22.59
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.63 0.98 0.76 0.73 0.83
Net realized and unrealized gain (loss) 2.43 (1.30) 0.19 4.38 0.47
---------- ---------- ---------- ---------- ----------
Total from investment operations 3.06 (0.32) 0.95 5.11 1.30
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.56) (0.95) (0.77) (0.71) (0.83)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 28.87 $ 26.37 $ 27.64 $ 27.46 $ 23.06
========== ========== ========== ========== ==========
TOTAL RETURN (a) 11.71% (1.09)% 3.57% 22.66% 5.77%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,349,541 $ 308,540 $1,350,332 $1,831,298 $ 132,568
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.63% 0.63% 0.62% 0.62% 0.69%
Ratio of net expenses to average net assets 0.63% 0.63% 0.62% 0.62% 0.69%
Ratio of net investment income (loss) to
average net assets 2.23% 2.67% 2.74% 2.79% 2.58%
Portfolio turnover rate (b) 60% 76% 57% 71% 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 56 See Notes to Financial Statements
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NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019
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." Each Fund's Creation Units are generally issued and redeemed
in-kind for securities in which a Fund invests, and in certain circumstances,
for cash, and only to and from broker-dealers and large institutional investors
that have entered into participation agreements. 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 ICE Data Indices, LLC
or its affiliates ("IDI"), and licensed to First Trust Portfolios L.P.
("FTP"), the distributor of the Trust, by IDI. IDI is a
successor-in-interest to previous entities that maintained the index in
NYSE Group, Inc. and American Stock Exchange LLC.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board ("FASB")
Accounting Standards Codification ("ASC") 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'
Page 57
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019
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 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 third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the 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 third-party 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 58
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019
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, 2019, 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.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
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 fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At July 31, 2019, only FXN
and FXR had securities in the securities lending program. During the fiscal year
ended July 31, 2019, 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 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.
Page 59
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019
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 securities. The U.S. Treasury securities 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 securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund are less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended July 31, 2019, 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 net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on 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, 2019 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 $ 2,816,656 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 8,074,707 -- --
First Trust Energy AlphaDEX(R) Fund 2,654,300 -- --
First Trust Financials AlphaDEX(R) Fund 20,256,006 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 4,745,501 -- --
First Trust Materials AlphaDEX(R) Fund 2,117,421 -- --
First Trust Technology AlphaDEX(R) Fund 9,561,020 -- --
First Trust Utilities AlphaDEX(R) Fund 10,275,866 -- --
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2018 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 4,531,050 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 4,589,886 -- --
First Trust Energy AlphaDEX(R) Fund 2,590,690 -- --
First Trust Financials AlphaDEX(R) Fund 21,806,216 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 11,199,166 -- --
First Trust Materials AlphaDEX(R) Fund 3,162,041 -- --
First Trust Technology AlphaDEX(R) Fund 2,688,800 -- --
First Trust Utilities AlphaDEX(R) Fund 16,157,772 -- --
Page 60
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019
As of July 31, 2019, 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 $ 822,880 $ (406,217,694) $ 13,907,621
First Trust Consumer Staples AlphaDEX(R) Fund 388,154 (251,074,340) (7,045,223)
First Trust Energy AlphaDEX(R) Fund 523,346 (398,105,937) (36,015,165)
First Trust Financials AlphaDEX(R) Fund 5,862,971 (109,975,947) 71,300,962
First Trust Health Care AlphaDEX(R) Fund (889,570) (642,555,476) 15,781,516
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 839,513 (176,424,314) 6,360,165
First Trust Materials AlphaDEX(R) Fund 382,280 (121,904,863) (14,217,736)
First Trust Technology AlphaDEX(R) Fund 898,220 (278,906,713) 260,774,889
First Trust Utilities AlphaDEX(R) Fund 6,412,239 (119,875,543) 12,288,879
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2016, 2017,
2018, and 2019 remain open to federal and state audit. As of July 31, 2019,
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, 2019, the Funds had 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.
Post Enactment -
No Expiration
--------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $406,217,694
First Trust Consumer Staples AlphaDEX(R) Fund 251,074,340
First Trust Energy AlphaDEX(R) Fund 398,105,937
First Trust Financials AlphaDEX(R) Fund 109,975,947
First Trust Health Care AlphaDEX(R) Fund 642,555,476
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 176,424,314
First Trust Materials AlphaDEX(R) Fund 121,904,863
First Trust Technology AlphaDEX(R) Fund 278,906,713
First Trust Utilities AlphaDEX(R) Fund 119,875,543
At the taxable year ended July 31, 2019, the following Funds' capital loss
carryforwards expired in the following amounts:
Capital Loss
Carryforward Expired
--------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 9,617,858
First Trust Energy AlphaDEX(R) Fund 3,349,453
First Trust Financials AlphaDEX(R) Fund 3,464,108
First Trust Health Care AlphaDEX(R) Fund 1,764,162
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,133,736
First Trust Materials AlphaDEX(R) Fund 7,397,299
First Trust Technology AlphaDEX(R) Fund 2,516,610
Page 61
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended July 31, 2019, the following Fund
listed below incurred and elected to defer net late year ordinary or capital
losses as follows:
Qualified Late Year Losses
--------------------------
Ordinary Losses Capital Losses
--------------- --------------
First Trust Health Care AlphaDEX(R) Fund $ 889,570 $ --
In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended July 31, 2019, 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 $ -- $ (1,920,393) $ 1,920,393
First Trust Consumer Staples AlphaDEX(R) Fund -- (8,659,986) 8,659,986
First Trust Energy AlphaDEX(R) Fund 98,704 17,483,132 (17,581,836)
First Trust Financials AlphaDEX(R) Fund 2,092,318 (35,218,979) 33,126,661
First Trust Health Care AlphaDEX(R) Fund 902,650 (158,569,278) 157,666,628
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 420,461 (37,158,257) 36,737,796
First Trust Materials AlphaDEX(R) Fund -- 11,220,824 (11,220,824)
First Trust Technology AlphaDEX(R) Fund -- (383,390,863) 383,390,863
First Trust Utilities AlphaDEX(R) Fund 2,975,868 (37,118,879) 34,143,011
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 IDI for each of the Funds. The
license agreements allow for the use by FTP of certain trademarks and trade
names of IDI. 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.
I. NEW ACCOUNTING PRONOUNCEMENT
On August 28, 2018, the FASB issued Accounting Standards Update ("ASU") 2018-13,
"Disclosure Framework - Changes to the Disclosure Requirements for Fair Value
Measurement," which amends the fair value measurement disclosure requirements of
ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified
disclosure requirements of ASC 820. In addition, the amendments clarify that
materiality is an appropriate consideration of entities when evaluating
disclosure requirements. The ASU is effective for fiscal years beginning after
December 15, 2019, including interim periods therein. Early adoption is
permitted for any eliminated or modified disclosures upon issuance of this ASU.
The Funds have early adopted ASU 2018-13 for these financial statements, which
did not result in a material impact.
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
Page 62
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019
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, 2020.
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 its Expense Cap. These amounts would be
included in "Expenses previously waived or reimbursed" on the Statements of
Operations.
For the fiscal year ended July 31, 2019, there were no fees waived or expenses
reimbursed by First Trust for the Funds. As of July 31, 2019, none of the Funds
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.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
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, 2019, 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 $ 350,435,563 $ 349,265,199
First Trust Consumer Staples AlphaDEX(R) Fund 302,071,220 305,367,826
First Trust Energy AlphaDEX(R) Fund 259,961,690 258,401,024
First Trust Financials AlphaDEX(R) Fund 859,584,928 852,441,200
First Trust Health Care AlphaDEX(R) Fund 1,932,398,266 1,931,173,764
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 594,472,491 595,124,019
First Trust Materials AlphaDEX(R) Fund 147,888,329 147,855,235
First Trust Technology AlphaDEX(R) Fund 1,922,809,610 1,917,723,072
First Trust Utilities AlphaDEX(R) Fund 397,334,575 387,225,204
For the fiscal year ended July 31, 2019, 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 $ 118,551,213 $ 143,268,095
First Trust Consumer Staples AlphaDEX(R) Fund 124,593,985 157,780,356
First Trust Energy AlphaDEX(R) Fund 155,508,383 336,916,079
First Trust Financials AlphaDEX(R) Fund 74,573,304 332,694,509
First Trust Health Care AlphaDEX(R) Fund 1,720,502,989 1,512,349,097
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 705,703,068 1,793,121,838
First Trust Materials AlphaDEX(R) Fund 64,897,353 172,574,929
First Trust Technology AlphaDEX(R) Fund 1,754,082,483 1,757,896,012
First Trust Utilities AlphaDEX(R) Fund 1,477,955,266 513,719,710
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, 2019
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 November 30, 2020.
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 SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(R) FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
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 (the "Funds"), each a series of the First Trust
Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the portfolios of
investments, as of July 31, 2019, 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, and the related notes. In our opinion, the
financial statements and financial highlights present fairly, in all material
respects, the financial position of each of the nine portfolios included within
the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2019, and the
results of their operations for the year then ended, the changes in their net
assets for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended in conformity
with accounting principles generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of July 31, 2019, by correspondence with the
custodian and brokers; when replies were not received from brokers, we performed
other auditing procedures. We believe that our audits provide a reasonable basis
for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 24, 2019
We have served as the auditor of one or more First Trust investment companies
since 2001.
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended July 31, 2019, the following percentages of income
dividend paid by the Funds qualify for the dividends received deduction
available to corporations:
Dividends Received
Deduction
---------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 100.00%
First Trust Energy AlphaDEX(R) Fund 100.00%
First Trust Financials AlphaDEX(R) Fund 68.20%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 80.94%
First Trust Utilities AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2019, 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 69.16%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 81.17%
First Trust Utilities AlphaDEX(R) Fund 100.00%
A portion of First Trust Financials AlphaDEX(R) Fund's 2019 ordinary dividends
(including short-term capital gains) paid to its shareholders during the fiscal
year ended July 31, 2019, may be eligible for the Qualified Business Income
Deduction (QBI) under Code Section 199A for the aggregate dividends this Fund
received from the underlying Real Estate Investment Trust (REIT) it invests in.
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019 (UNAUDITED)
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
Page 67
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019 (UNAUDITED)
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
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, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of the
First Trust Exchange-Traded AlphaDEX(R) Fund funds it manages (the "Funds") in
certain member states in the European Economic Area in accordance with the
cooperation arrangements in Article 42 of the Alternative Investment Fund
Managers Directive (the "Directive"). First Trust is required under the
Directive to make disclosures in respect of remuneration. The following
disclosures are made in line with First Trust's interpretation of currently
available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2018, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $3,416,811.
This figure is comprised of $149,724 paid (or to be paid) in fixed compensation
and $3,267,087 paid (or to be paid) in variable compensation. There were a total
of 14 beneficiaries of the remuneration described above. Those amounts include
$2,169,857 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $1,246,954 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").
Page 68
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019 (UNAUDITED)
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 First Trust Exchange-Traded AlphaDEX(R)
Fund (the "Trust"), including the Independent Trustees, unanimously approved the
continuation of the Investment Management Agreement (the "Agreement") with First
Trust Advisors L.P. (the "Advisor") on behalf of the following nine series of
the Trust (each a "Fund" and collectively, the "Funds"):
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2020 at a meeting held on June 2, 2019. The
Board determined for each Fund that the continuation of the Agreement is in the
best interests of the Fund in light of the nature, 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 18, 2019 and June 2, 2019, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees, submitted on behalf of 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 (the "Expense Group") and a broad peer universe of funds (the
"Expense Universe"), each assembled by Broadridge Financial Solutions, Inc.
("Broadridge"), an independent source, and as compared to fees charged to other
clients of the Advisor, including other exchange-traded funds ("ETFs") managed
by the Advisor; the expense ratio of each Fund as compared to expense ratios
Page 69
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019 (UNAUDITED)
of the funds in the Fund's Expense Group and Expense Universe; performance
information for each Fund, including comparisons of each Fund's performance to
that of one or more relevant benchmark indexes and to that of a performance
group of funds and a broad performance universe of funds (the "Performance
Universe"), each assembled by Broadridge; 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 the
meeting held on April 18, 2019, 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 2, 2019 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. 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, policies and restrictions. The Board
also considered a report from the Advisor with respect to its risk management
functions related to the operation of the Funds. Finally, as part of the Board's
consideration of the Advisor's services, the Advisor, in its written materials
and at the April 18, 2019 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 its investment objective, policies and
restrictions.
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,
2020. 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 Expense Groups, as well as advisory and unitary fee rates
charged by the Advisor to other fund (including ETFs) and non-fund clients, as
applicable. Because each Fund's Expense 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 its respective Expense Group. With respect to
the Expense Groups, the Board, at the April 18, 2019 meeting, discussed with
Broadridge its methodology for assembling peer groups and discussed with 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 non-ETF
clients, the Board considered differences between the Funds and other non-ETF
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, 2018 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 within a reasonable
Page 70
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2019 (UNAUDITED)
range. In addition, the Board reviewed data prepared by Broadridge comparing
each Fund's performance to that of its respective Performance Universe and to
that of a broad-based benchmark index, 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 believes its expenses will
likely increase over the next twelve months as the Advisor continues to hire
personnel and build infrastructure, including technology, to improve the
services to the 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, 2018 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. In addition, the Board
considered fall-out benefits described by the Advisor that may be realized from
its relationship with the Funds. 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 the Funds. The Board concluded that the
character and amount of potential fall-out benefits to the Advisor were not
unreasonable.
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 each Fund. No single factor was
determinative in the Board's analysis.
Page 71
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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2019 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 E. Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR 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, Officer, Wheaton 162 None
(1951) Orthopedics; Limited Partner,
o Since Inception Gundersen Real Estate Limited
Partnership (June 1992 to December 2016);
Member, Sportsmed LLC (April 2007 to
November 2015)
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 162 Director of ADM
(1957) (Futures Commission Merchant) Investor Services,
o Since Inception Inc., ADM Investor
Services
International,
Futures Industry
Association, and
National Futures
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial and 162 Director of Trust
(1956) Management Consulting) Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 162 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (January 2015 to August 2018),
Pelita Harapan Educational Foundation
(Educational Product and Services);
President and Chief Executive Officer
(June 2012 to September 2014), Servant
Interactive LLC (Educational Products
and Services); President and Chief
Executive Officer (June 2012 to September
2014), Dew Learning LLC (Educational
Products and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 162 None
Chairman of the Board Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P.; Chairman of the
Board of Directors, BondWave LLC
(Software Development Company)
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 72
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2019 (UNAUDITED)
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
James M. Dykas President and Chief Executive o Indefinite Term Managing Director and Chief Financial Officer
(1966) Officer (January 2016 to Present), Controller (January 2011
o Since January 2016 to January 2016), Senior Vice President (April 2007
to January 2016), First Trust Advisors L.P. and First
Trust Portfolios L.P.; Chief Financial Officer
(January 2016 to Present), BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice
(1972) Officer and Chief President (April 2012 to July 2016), First Trust
Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and
(1960) Legal Officer First Trust Portfolios L.P.; Secretary and General
o Since Inception Counsel, BondWave LLC; Secretary, Stonebridge
Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
(1966) and Assistant Secretary and First Trust Portfolios L.P.
o Chief Compliance
Officer Since
January 2011
o Assistant Secretary
Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1966) and First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1970) and First Trust Portfolios L.P.
o Since Inception
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
Page 73
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PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2019 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
advisor or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2019
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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
240 Greenwich 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, 2019
--------------------------------------------------------------------------------
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
ANNUAL REPORT
JULY 31, 2019
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 4
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 6
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 8
First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 10
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 12
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 14
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 16
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 18
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 20
First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 22
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 24
First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 26
Notes to Fund Performance Overview.......................................... 28
Understanding Your Fund Expenses............................................ 29
Portfolio of Investments
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 31
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 37
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 45
First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 53
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 57
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 61
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 71
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 81
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 86
First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 91
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 96
First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 102
Statements of Assets and Liabilities........................................ 104
Statements of Operations.................................................... 107
Statements of Changes in Net Assets......................................... 110
Financial Highlights........................................................ 114
Notes to Financial Statements............................................... 121
Report of Independent Registered Public Accounting Firm..................... 131
Additional Information...................................................... 132
Board of Trustees and Officers.............................................. 138
Privacy Policy.............................................................. 140
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2019
Dear Shareholders:
One thing we can all agree on and expect: headline news coming out of
Washington, DC continues to influence the financial markets. By late February of
2019, President Trump announced the U.S. was close to a trade deal with China,
yet by May 10, existing tariffs on Chinese imports jumped from 10% to 25%.
Furthermore, the President's threat of additional tariffs on the remaining $300
billion in Chinese imports became a reality with his announcement after a
Federal Funds rate cut of 0.25% on the last day of July. This led many to wonder
if these events could be signaling a recession.
While reticent investors sought cover in "risk-on" assets, calendar year-to-date
performances of broad markets as of July 31, 2019, were strong. Both U.S. and
world equities, as indicated by the S&P 500(R) Index and the MSCI All Country
World Index, returned 20.24% and 16.57%, respectively. Bonds, as measured by the
Bloomberg Barclays U.S. Aggregate Bond Index, returned 6.35%, for the same
period.
Despite the ongoing bluster of the news cycle, we believe the economy is doing
well and productivity growth, due to deregulation and lower taxes on corporate
profits, has improved over the last two years.
o The Consumer Confidence Index of 135.7 for July is strong and at the
highest level this year.
o The U.S. inflation rate hovers near 2%, on average, as it has for
the last decade.
o July's unemployment rate of 3.7% barely moved from 3.6% in May,
which was the lowest level since December of 1969.
Before you head for the exits or reach for the antacids due to the latest
political equivocation, keep a balanced perspective in view. Remember, no one
can predict the inevitable and expected market fluctuations. Speak periodically
with your investment professional, who can provide insight when it comes to
investing and discovering opportunities when they arise.
Thank you for giving First Trust the opportunity to be a part of your financial
plan. We value our relationship with you.
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
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL REPORT
JULY 31, 2019
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
The trade conflict between the U.S. and China was nearly 17-months-old at the
close of July 2019. In our opinion, the most notable change from the business
climate of 2018 to that of 2019 was the Trump Administration's ratcheting up of
tariffs on roughly $200 billion of imported goods from China. On May 10, 2019,
tariffs jumped from 10% to 25%. At the end of July, President Trump decided to
up the ante on China by announcing a 10% tariff on the remaining $300 billion or
so in goods shipped to the U.S. annually. The Trump Administration tends to play
the tariff card whenever trade negotiations get bogged down. The tariff was to
begin on September 1, 2019. We learned in August, however, that President Trump
softened his stance by shielding some consumer products from the new tariff
until at least December in order to allow retailers to stock their inventories
for the critical holiday shopping season. The ongoing dispute has become a drag
on global growth, according to such organizations as the International Monetary
Fund.
While the U.S. economy continues to flourish relative to many other developed
and emerging economies, recent data suggests that China's economy is being
stressed by the tariffs. China's gross domestic product rose at an annualized
pace of 6.2% in the second quarter of 2019, the slowest rate of growth in 27
years, according to MarketWatch. CNBC reported that, as of July 1, 2019, the
current U.S. economic expansion will become the longest in its history, breaking
the previous record of 120 months of growth from March 1991 to March 2001,
according to data from the National Bureau of Economic Research.
The recent escalation in the trade conflict between the U.S. and China has
investors flocking to safe-haven assets around the globe, including bonds. One
reflection of this is the market value of the Bloomberg Barclays Global Negative
Yielding Debt Index, which closed the July 31, 2019 trading session at $14.01
trillion, according to Bloomberg. Another is the plunge in the yield on the
benchmark 10-year Treasury Note, which declined by 94 basis points to 2.02% over
the past 12 months. More than half of that drop transpired after mid-April 2019.
ETFGI, an industry research and consultancy firm, reported that total assets
invested in exchange-traded funds ("ETFs") and related exchange-traded products
("ETPs") listed globally stood at an all-time high of $5.74 trillion in July
2019, up from $5.12 trillion a year ago, according to its own release. Total
assets of U.S. listed ETFs/ETPs also stood at an all-time high of $4.02 trillion
for the same period, up from $3.63 trillion a year ago.
STYLE/EQUITY INVESTING
One barometer for gauging investors' appetites for equities is tracking money
flows in and out of open-end mutual funds and ETFs. The flows are reported over
time on a rolling 12-month basis. For the 12-month period ended July 31, 2019,
U.S. Equity funds/ETFs reported estimated net inflows totaling $40.68 billion,
according to data from Morningstar. As has been the case in recent years,
investors are favoring passive funds over actively managed funds. Passive U.S.
Equity funds/ETFs reported estimated net inflows totaling $242.78 billion,
compared to estimated net outflows totaling $202.10 billion for actively managed
U.S. Equity funds/ETFs for the same period.
For the 12-month period ended July 31, 2019, U.S. Large Blend, U.S. Large Growth
and U.S. Large Value equity funds/ETFs reported estimated net flows totaling
$175.56 billion, -$46.08 billion and -$19.60 billion, respectively, according to
Morningstar. U.S. Mid-Cap Blend, U.S. Mid-Cap Growth and U.S. Mid-Cap Value
equity funds/ETFs reported estimated net flows totaling $11.22 billion, -$8.41
billion and -$14.71 billion, respectively, for the same period. U.S. Small
Blend, U.S. Small Growth and U.S. Small Value equity funds/ETFs reported
estimated net flows totaling $2.75 billion, -$6.11 billion and -$2.45 billion,
respectively, for the same period. Investors were clearly more comfortable
funneling their capital into blended portfolios.
For the 12-month period ended July 31, 2019, the S&P 500(R) Index posted a total
return of 7.99%, according to Bloomberg. Growth stocks outperformed value stocks
in the same period. The S&P 500(R) Growth Index posted a total return of 9.55%,
compared to 6.28% for the S&P 500(R) Value Index for the period. The S&P MidCap
400(R) Index posted a total return of 0.79% in the same period. Growth stocks
outperformed value stocks in the period. The S&P MidCap 400(R) Growth Index
posted a total return of 1.81%, compared to -0.24% for the S&P MidCap 400(R)
Value Index for the same period. The S&P SmallCap 600(R) Index posted a total
return of -6.75% in the period. Growth stocks outperformed value stocks in the
period. The S&P SmallCap 600(R) Growth Index posted a total return of -4.81%,
compared to -8.48% for the S&P SmallCap 600(R) Value Index for the same period.
Page 3
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Core
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FEX."
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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 3.48% 8.90% 13.58% 7.41% 53.15% 257.17% 139.70%
Market Price 3.41% 8.89% 13.57% 7.41% 53.10% 257.04% 139.66%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Large Cap Core Index(1) 4.08% N/A N/A N/A N/A N/A N/A
Nasdaq US 500 Large
Cap Index(1) 8.41% N/A N/A N/A N/A N/A N/A
S&P 500(R) Index 7.99% 11.34% 14.03% 8.00% 71.08% 271.71% 156.32%
------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FEX's one-year net asset value ("NAV") return of 3.48% underperformed the S&P
500(R) Index ("Benchmark") return of 7.99% by 4.51%. The Information Technology
sector received the largest allocation and contributed the most to the Fund's
return during the period. This sector carried an average weight of 16.6%,
returned 11.5%, and contributed 1.5% to the Fund's return. The Energy sector,
meanwhile, was the greatest drag on the Fund's return with a 6.1% allocation,
-21.7% performance and -1.9% contribution to the Fund's return. On a relative
basis, the Fund underperformed the Benchmark. The Benchmark over-weighted
Information Technology, in comparison to the Fund, and this well-performing
sector caused -1.4% underperformance for the Fund versus the Benchmark. Some
outperformance for the Fund came from investments in Industrials, which earned
0.4% outperformance versus the Benchmark.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
Page 4
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 16.44%
Information Technology 15.90
Industrials 14.25
Consumer Discretionary 12.93
Health Care 10.26
Energy 6.28
Materials 6.25
Communication Services 5.41
Consumer Staples 4.71
Utilities 4.62
Real Estate 2.95
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Micron Technology, Inc. 0.51%
Qurate Retail, Inc. 0.50
Kohl's Corp. 0.50
Starbucks Corp. 0.50
CoStar Group, Inc. 0.49
Skyworks Solutions, Inc. 0.48
Cintas Corp. 0.48
Phillips 66 0.48
Gap (The), Inc. 0.48
Delta Air Lines, Inc. 0.47
-------
Total 4.89%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2009 - JULY 31, 2019
First Trust Large Cap S&P 500(R)
Core AlphaDEX(R) Fund Index
7/09 $10,000 $10,000
1/10 11,351 10,987
7/10 12,226 11,384
1/11 14,550 13,425
7/11 14,738 13,621
1/12 14,846 13,990
7/12 15,062 14,864
1/13 17,319 16,337
7/13 19,792 18,580
1/14 21,272 19,853
7/14 23,321 21,727
1/15 24,235 22,677
7/15 25,110 24,162
1/16 22,481 22,526
7/16 26,013 25,520
1/17 27,862 27,041
7/17 30,350 29,613
1/18 34,742 34,182
7/18 34,514 34,421
1/19 32,663 33,390
7/19 35,717 37,171
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 201 0 0 0
8/1/15 - 7/31/16 148 0 0 0
8/1/16 - 7/31/17 156 0 0 0
8/1/17 - 7/31/18 139 0 0 0
8/1/18 - 7/31/19 123 3 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 51 0 0 0
8/1/15 - 7/31/16 103 0 0 0
8/1/16 - 7/31/17 96 0 0 0
8/1/17 - 7/31/18 113 0 0 0
8/1/18 - 7/31/19 122 3 0 0
Page 5
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Core
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FNX."
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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 1.22% 7.67% 13.16% 8.01% 44.71% 244.26% 156.57%
Market Price 1.24% 7.64% 13.15% 8.00% 44.53% 243.97% 156.35%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Mid Cap Core Index(1) 1.83% N/A N/A N/A N/A N/A N/A
Nasdaq US 600 Mid
Cap Index(1) 3.15% N/A N/A N/A N/A N/A N/A
S&P MidCap 400(R) Index 0.79% 9.23% 13.82% 8.33% 55.46% 264.90% 165.92%
------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNX's one-year NAV return of 1.22% outperformed the S&P MidCap 400(R) Index
("Benchmark") return of 0.79% by 0.43%. The Industrials sector received the
greatest average weight over the period, with a 17.4% allocation. However, with
a return of 1.4%, this sector contributed only 0.4% to the Fund's total return.
The top contributing sector in the Fund during the period was Information
Technology, which received a 14.1% average weight, returned 24.9% and
contributed 3.4% to the Fund's total return. The worst performing sector and the
greatest drag on the Fund's performance were the investments in the Energy
sector. Energy received an average weight of 4.4%, returned -45.1% and
contributed -3.5% to the Fund's return. On a relative basis, the Fund
outperformed the Benchmark. Investments in Information Technology generated 1.6%
of this outperformance while investments in Energy returned -0.7% of
underperformance against the Benchmark.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
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 20.63%
Industrials 18.46
Consumer Discretionary 15.36
Information Technology 15.03
Materials 7.28
Health Care 6.44
Real Estate 5.38
Energy 3.71
Communication Services 3.67
Utilities 2.13
Consumer Staples 1.91
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Novocure Ltd. 0.48%
FTI Consulting, Inc. 0.46
OneMain Holdings, Inc. 0.45
Snap, Inc., Class A 0.43
AutoNation, Inc. 0.42
Mercury Systems, Inc. 0.42
Trade Desk (The), Inc., Class A 0.42
Roku, Inc. 0.42
Avalara, Inc. 0.41
Match Group, Inc. 0.41
-------
Total 4.32%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2009 - JULY 31, 2019
First Trust Mid Cap S&P MidCap 400(R)
Core AlphaDEX(R) Fund Index
7/09 $10,000 $10,000
1/10 11,403 11,273
7/10 12,393 12,282
1/11 15,215 15,044
7/11 15,689 15,446
1/12 15,940 15,450
7/12 15,794 15,631
1/13 18,441 18,318
7/13 20,960 20,789
1/14 22,890 22,324
7/14 23,787 23,469
1/15 24,197 24,753
7/15 25,106 26,119
1/16 21,607 23,094
7/16 25,297 27,563
1/17 27,670 30,060
7/17 28,992 31,611
1/18 33,005 35,354
7/18 34,012 36,201
1/19 31,977 33,762
7/19 34,426 36,490
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 176 0 0 0
8/1/15 - 7/31/16 138 0 0 0
8/1/16 - 7/31/17 158 0 0 0
8/1/17 - 7/31/18 150 0 0 0
8/1/18 - 7/31/19 143 3 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 76 0 0 0
8/1/15 - 7/31/16 113 0 0 0
8/1/16 - 7/31/17 94 0 0 0
8/1/17 - 7/31/18 100 1 1 0
8/1/18 - 7/31/19 101 4 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Core
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FYX."
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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV -6.52% 6.95% 12.28% 6.75% 39.94% 218.47% 122.33%
Market Price -6.52% 6.96% 12.28% 6.75% 40.01% 218.37% 122.27%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Small Cap Core Index(1) -5.91% N/A N/A N/A N/A N/A N/A
Nasdaq US 700 Small
Cap Index(1) -4.26% N/A N/A N/A N/A N/A N/A
S&P SmallCap 600(R) Index -6.75% 9.89% 14.00% 8.18% 60.26% 270.70% 161.72%
------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYX's one-year NAV return of -6.52% outperformed the S&P SmallCap 600(R) Index
("Benchmark") return of -6.75% by 0.23%. Investments in Industrials received the
greatest allocation of any sector in the Fund during the period. This sector had
an average weight of 20.5%, returned -6.6%, and contributed -1.1% to the Fund's
total return. The most contributing sector in the Fund were the investments in
Information Technology, which received an allocation of 12.1%, returned 15% and
contributed 1.6% to the Fund's total return. The investments in the Energy
sector were the greatest drag on performance, with a weight of 6.5%, a return of
-53.6%, and a contribution to the Fund's return of -5.2%. On a relative basis,
the Fund outperformed the Benchmark. The greatest contribution to the
outperformance came from investments in the Consumer Discretionary sector. The
Consumer Discretionary investments in the Fund outperformed those in the
Benchmark, resulting in 1.4% outperformance for the Fund. The poorly returning
Energy sector, meanwhile, caused -1.9% underperformance for the Fund, as the
Fund allocated more weight to Energy than did the Benchmark.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 20.15%
Financials 15.01
Consumer Discretionary 14.62
Information Technology 13.19
Health Care 10.73
Energy 6.71
Real Estate 5.64
Materials 5.21
Consumer Staples 3.85
Communication Services 3.33
Utilities 1.56
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
ACCO Brands Corp. 0.39%
Amkor Technology, Inc. 0.39
Meritage Homes Corp. 0.39
eHealth, Inc. 0.38
Medpace Holdings, Inc. 0.38
Abercrombie & Fitch Co., Class A 0.37
Dillard's, Inc., Class A 0.37
Everbridge, Inc. 0.36
TRI Pointe Group, Inc. 0.36
CNX Resources Corp. 0.35
-------
Total 3.74%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2009 - JULY 31, 2019
First Trust Small Cap S&P SmallCap 600(R)
Core AlphaDEX(R) Fund Index
7/09 $10,000 $10,000
1/10 11,180 10,923
7/10 12,063 11,917
1/11 14,477 14,302
7/11 14,984 14,864
1/12 15,588 15,375
7/12 15,196 15,458
1/13 17,681 17,752
7/13 20,756 20,834
1/14 22,777 22,800
7/14 22,759 23,133
1/15 23,294 24,204
7/15 24,002 25,903
1/16 20,534 23,070
7/16 24,530 27,446
1/17 27,208 30,992
7/17 28,463 32,294
1/18 31,608 36,124
7/18 34,071 39,753
1/19 31,046 35,672
7/19 31,847 37,070
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 189 0 0 0
8/1/15 - 7/31/16 94 0 0 0
8/1/16 - 7/31/17 129 0 0 0
8/1/17 - 7/31/18 153 0 0 0
8/1/18 - 7/31/19 146 4 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 63 0 0 0
8/1/15 - 7/31/16 157 0 0 0
8/1/16 - 7/31/17 123 0 0 0
8/1/17 - 7/31/18 98 1 0 0
8/1/18 - 7/31/19 99 2 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
The First Trust Large Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FTA."
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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV -0.65% 6.34% 12.55% 6.55% 35.99% 226.23% 117.31%
Market Price -0.74% 6.32% 12.56% 6.55% 35.87% 226.44% 117.21%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Large Cap Value Index(1) -0.05% N/A N/A N/A N/A N/A N/A
Nasdaq US 500 Large
Cap Value Index(1) 5.38% N/A N/A N/A N/A N/A N/A
S&P 500(R) Index 7.99% 11.34% 14.03% 8.00% 71.08% 271.71% 156.32%
S&P 500(R) Value Index 6.28% 8.64% 12.39% 5.74% 51.31% 221.45% 97.92%
------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FTA's one-year NAV return of -0.65% underperformed the S&P 500(R) Value Index
("Benchmark") return of 6.28% by 6.93%. The Financials sector received the
greatest allocation during the period and had the greatest contribution to the
Fund's return. With an average weight of 23.6%, Financials returned 3.7% and
contributed 1.2% to the Fund's return. The greatest drag on the Fund's
performance were investments in the Energy sector. This sector carried a weight
of 7.1%, returned -18.9% and contributed -1.5% to the Fund's return. On a
relative basis, the Fund underperformed the Benchmark. Investments in the
Information Technology sector caused -2.5% of this underperformance, which were
overweight and received superior return in the Benchmark than in the Fund.
Outperformance of 0.5% was earned by the Fund for investments in the Industrials
sector.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
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 24.21%
Consumer Discretionary 13.48
Industrials 11.80
Energy 10.81
Information Technology 8.76
Materials 8.60
Communication Services 5.37
Health Care 5.28
Utilities 5.17
Consumer Staples 5.13
Real Estate 1.39
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Micron Technology, Inc. 1.04%
Qurate Retail, Inc. 1.02
Kohl's Corp. 1.01
Mylan N.V. 0.98
Phillips 66 0.98
Gap (The), Inc. 0.97
HollyFrontier Corp. 0.96
D.R. Horton, Inc. 0.95
Ally Financial, Inc. 0.95
General Motors Co. 0.93
-------
Total 9.79%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2009 - JULY 31, 2019
First Trust Large Cap S&P 500(R) S&P 500(R)
Value AlphaDEX(R) Fund Index Value Index
7/09 $10,000 $10,000 $10,000
1/10 11,658 10,987 11,108
7/10 12,353 11,384 11,497
1/11 14,544 13,425 13,471
7/11 14,613 13,621 13,242
1/12 15,121 13,990 13,623
7/12 15,337 14,864 14,266
1/13 17,951 16,337 16,275
7/13 20,421 18,580 18,589
1/14 21,564 19,853 19,362
7/14 23,986 21,727 21,244
1/15 24,190 22,677 21,657
7/15 23,917 24,162 22,646
1/16 21,063 22,526 20,880
7/16 24,619 25,520 23,955
1/17 28,184 27,041 25,941
7/17 30,365 29,613 27,392
1/18 33,881 34,182 30,963
7/18 32,835 34,421 30,246
1/19 31,160 33,390 29,389
7/19 32,622 37,171 32,148
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 197 0 0 0
8/1/15 - 7/31/16 115 0 0 0
8/1/16 - 7/31/17 134 0 0 0
8/1/17 - 7/31/18 134 0 0 0
8/1/18 - 7/31/19 143 3 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 55 0 0 0
8/1/15 - 7/31/16 136 0 0 0
8/1/16 - 7/31/17 118 0 0 0
8/1/17 - 7/31/18 118 0 0 0
8/1/18 - 7/31/19 103 2 0 0
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
The First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FTC."
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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 7.16% 11.38% 14.31% 8.00% 71.39% 280.86% 156.34%
Market Price 7.11% 11.37% 14.31% 8.00% 71.31% 280.96% 156.40%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Large Cap Growth Index(1) 7.72% N/A N/A N/A N/A N/A N/A
Nasdaq US 500 Large
Cap Growth Index(1) 10.94% N/A N/A N/A N/A N/A N/A
S&P 500(R) Index 7.99% 11.34% 14.03% 8.00% 71.08% 271.71% 156.32%
S&P 500(R) Growth Index 9.55% 13.64% 15.47% 10.07% 89.48% 321.39% 223.42%
------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FTC's one-year NAV return of 7.16% underperformed the ("Benchmark") S&P 500(R)
Growth Index return of 9.55% by 2.39%. The Information Technology sector
received the greatest allocation and contributed the most to the Fund's return
over the period, with an average weight of 28.5%, a return of 14.4% and a
contribution to the Fund's return of 3.5%. The worst performing sector in the
Fund were the investments in the Energy sector, which received a 5.5%
allocation, returned -22.3% and contributed -2.8% to the Fund's return. On a
relative basis, the Fund underperformed the Benchmark. Much of this
underperformance came from investments in the Energy sector, which accounted for
-2.1% of underperformance against the Benchmark. Investments in the
Communication Services sector reversed some of the underperformance, earning
1.0% of outperformance against the Benchmark.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
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 25.93%
Health Care 15.27
Industrials 14.87
Consumer Discretionary 12.60
Financials 6.32
Communication Services 5.26
Real Estate 4.90
Consumer Staples 4.39
Materials 4.23
Utilities 4.19
Energy 2.04
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Starbucks Corp. 1.00%
CoStar Group, Inc. 0.99
Cintas Corp. 0.97
Live Nation Entertainment, Inc. 0.97
Chipotle Mexican Grill, Inc. 0.96
CDW Corp. 0.95
Altice USA, Inc., Class A 0.94
DexCom, Inc. 0.93
Cadence Design Systems, Inc. 0.93
FMC Corp. 0.93
-------
Total 9.57%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2009 - JULY 31, 2019
First Trust Large Cap S&P 500(R) S&P 500(R)
Growth AlphaDEX(R) Fund Index Growth Index
7/09 $10,000 $10,000 $10,000
1/10 10,954 10,987 10,867
7/10 12,020 11,384 11,271
1/11 14,545 13,425 13,383
7/11 14,836 13,621 13,992
1/12 14,373 13,990 14,362
7/12 14,556 14,864 15,445
1/13 16,300 16,337 16,432
7/13 18,694 18,580 18,610
1/14 20,530 19,853 20,367
7/14 22,223 21,727 22,237
1/15 23,861 22,677 23,709
7/15 26,073 24,162 25,682
1/16 23,888 22,526 24,161
7/16 27,108 25,520 27,039
1/17 26,802 27,041 28,012
7/17 29,573 29,613 31,629
1/18 34,852 34,182 37,167
7/18 35,542 34,421 38,464
1/19 33,342 33,390 37,266
7/19 38,086 37,171 42,139
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 206 0 0 0
8/1/15 - 7/31/16 182 0 0 0
8/1/16 - 7/31/17 146 0 0 0
8/1/17 - 7/31/18 158 0 0 0
8/1/18 - 7/31/19 163 3 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 46 0 0 0
8/1/15 - 7/31/16 69 0 0 0
8/1/16 - 7/31/17 106 0 0 0
8/1/17 - 7/31/18 94 0 0 0
8/1/18 - 7/31/19 82 3 0 0
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FAB."
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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV -3.62% 5.15% 11.99% 6.50% 28.54% 210.31% 116.09%
Market Price -3.71% 5.14% 11.98% 6.49% 28.51% 210.17% 115.88%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Multi Cap Value Index(1) -2.95% N/A N/A N/A N/A N/A N/A
Nasdaq US Multi Cap
Value Index(1) 4.15% N/A N/A N/A N/A N/A N/A
S&P Composite 1500(R) Index 7.04% 11.16% 14.04% 8.05% 69.70% 272.01% 157.86%
S&P Composite 1500(R) Value
Index 5.29% 8.58% 12.48% 5.93% 50.92% 224.12% 102.19%
------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FAB's one-year NAV return of -3.62% underperformed the S&P Composite 1500(R)
Value Index ("Benchmark") return of 5.29% by 8.91%. The Financials sector was
given the heaviest weight in the Fund over the period with a 21.7% allocation.
This sector had a relatively low return of 0.1%, which limited its contribution
to the Fund's return to only 0.2%. The Utilities sector was the Fund's top
performing and contributing sector with a 15.1% return and 0.6% contribution,
stemming from its 6.1% allocation. The Energy sector was the Fund's worst
performing and least contributing sector with a -36.9% return and -3.2%
contribution, stemming from its 7.1% allocation. On a relative basis, the Fund
underperformed the Benchmark. The Fund under-allocated and underperformed the
Benchmark amongst the well-performing Information Technology sector by -5.4% and
-15.5%, respectively, creating -1.9% of relative drag. The Fund over-allocated
the Benchmark among the well-performing Utilities sector by 0.9%, which created
0.1% of relative outperformance.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
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 23.54%
Industrials 15.75
Consumer Discretionary 15.61
Energy 9.42
Materials 9.06
Information Technology 8.34
Communication Services 4.05
Consumer Staples 3.92
Real Estate 3.82
Utilities 3.38
Health Care 3.11
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Micron Technology, Inc. 0.52%
Qurate Retail, Inc. 0.51
Kohl's Corp. 0.51
Mylan N.V. 0.49
Phillips 66 0.49
Gap (The), Inc. 0.49
HollyFrontier Corp. 0.48
D.R. Horton, Inc. 0.48
Ally Financial, Inc. 0.48
General Motors Co. 0.47
-------
Total 4.92%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2009 - JULY 31, 2019
First Trust Multi Cap S&P Composite S&P Composite 1500(R)
Value AlphaDEX(R) Fund 1500(R) Index Value Index
7/09 $10,000 $10,000 $10,000
1/10 11,611 11,007 11,128
7/10 12,365 11,474 11,571
1/11 14,760 13,583 13,593
7/11 14,854 13,808 13,394
1/12 15,506 14,155 13,774
7/12 15,393 14,950 14,355
1/13 18,148 16,544 16,438
7/13 20,923 18,833 18,804
1/14 22,415 20,150 19,663
7/14 24,141 21,923 21,478
1/15 24,138 22,903 21,923
7/15 23,962 24,389 22,878
1/16 20,689 22,614 21,014
7/16 24,436 25,755 24,256
1/17 27,942 27,406 26,371
7/17 29,191 29,878 27,761
1/18 32,289 34,380 31,290
7/18 32,196 34,753 30,784
1/19 30,245 33,544 29,756
7/19 31,031 37,201 32,412
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 132 0 0 0
8/1/15 - 7/31/16 109 0 0 0
8/1/16 - 7/31/17 97 0 0 0
8/1/17 - 7/31/18 81 0 0 0
8/1/18 - 7/31/19 99 3 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 120 0 0 0
8/1/15 - 7/31/16 142 0 0 0
8/1/16 - 7/31/17 155 0 0 0
8/1/17 - 7/31/18 171 0 0 0
8/1/18 - 7/31/19 148 1 0 0
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FAD."
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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 4.65% 11.33% 14.27% 8.27% 71.03% 279.52% 164.21%
Market Price 4.48% 11.31% 14.25% 8.26% 70.87% 278.98% 163.96%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Multi Cap Growth Index(1) 5.33% N/A N/A N/A N/A N/A N/A
Nasdaq US Multi Cap
Growth Index(1) 10.20% N/A N/A N/A N/A N/A N/A
S&P Composite 1500(R) Index 7.04% 11.16% 14.04% 8.05% 69.70% 272.01% 157.86%
S&P Composite 1500(R)
Growth Index 8.65% 13.36% 15.41% 10.02% 87.18% 319.34% 221.59%
------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FAD's one-year NAV return of 4.65% underperformed the S&P Composite 1500(R)
Growth Index ("Benchmark") return of 8.65% by 4.00%. The Information Technology
sector was the largest allocated and top contributing sector in the Fund over
the period with a 24.5% allocation and 4.7% contribution, stemming from its
20.7% return. The top performing sector in the Fund was the Utilities sector
with a 23.8% return. This sector had a limited 0.4% contribution due to its 2.3%
allocation. The Energy sector, which was only given a 4.8% allocation in the
Fund, was the least contributing and worst performing sector over the period
with a -3.8% contribution and -41.5% return. On a relative basis, the Fund
underperformed the Benchmark. The Fund over weighted the Benchmark among the
poor performing Energy sector by 2.5%, which created -2.9% of relative
underperformance. The Fund outperformed the Benchmark among the Communication
Services sector by 11.4%, which reversed 0.8% of the relative underperformance.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 23.87%
Health Care 16.69
Industrials 15.49
Consumer Discretionary 12.48
Financials 8.64
Real Estate 5.41
Communication Services 4.92
Materials 3.53
Utilities 3.40
Consumer Staples 3.32
Energy 2.25
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Starbucks Corp. 0.50%
CoStar Group, Inc. 0.49
Cintas Corp. 0.49
Live Nation Entertainment, Inc. 0.48
Chipotle Mexican Grill, Inc. 0.48
CDW Corp. 0.47
Altice USA, Inc., Class A 0.47
DexCom, Inc. 0.46
Cadence Design Systems, Inc. 0.46
FMC Corp. 0.46
-------
Total 4.76%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2009 - JULY 31, 2019
First Trust Multi Cap S&P Composite S&P Composite 1500(R)
Growth AlphaDEX(R) Fund 1500(R) Index Growth Index
7/09 $10,000 $10,000 $10,000
1/10 10,977 11,007 10,888
7/10 12,065 11,474 11,377
1/11 14,683 13,583 13,577
7/11 15,291 13,808 14,222
1/12 14,994 14,155 14,546
7/12 15,123 14,950 15,538
1/13 17,027 16,544 16,684
7/13 19,358 18,833 18,902
1/14 21,344 20,150 20,666
7/14 22,192 21,923 22,402
1/15 23,616 22,903 23,903
7/15 25,716 24,389 25,913
1/16 23,034 22,614 24,216
7/16 26,399 25,755 27,226
1/17 26,900 27,406 28,323
7/17 29,526 29,878 31,801
1/18 34,525 34,380 37,252
7/18 36,261 34,755 38,593
1/19 33,730 33,546 37,208
7/19 37,952 37,201 41,934
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, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 162 0 0 0
8/1/15 - 7/31/16 106 0 0 0
8/1/16 - 7/31/17 156 0 0 0
8/1/17 - 7/31/18 171 0 0 0
8/1/18 - 7/31/19 92 4 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 90 0 0 0
8/1/15 - 7/31/16 145 0 0 0
8/1/16 - 7/31/17 96 0 0 0
8/1/17 - 7/31/18 81 0 0 0
8/1/18 - 7/31/19 152 3 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
The First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FNK."
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 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 (4/19/11) Ended (4/19/11)
7/31/19 7/31/19 to 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV -4.26% 4.26% 8.11% 23.18% 90.77%
Market Price -4.29% 4.22% 8.10% 22.98% 90.65%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mid Cap Value Index(1) -3.60% N/A N/A N/A N/A
Nasdaq US 600 Mid Cap Value Index(1) -1.15% N/A N/A N/A N/A
S&P MidCap 400(R) Value Index -0.24% 8.03% 10.30% 47.14% 125.29%
--------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNK's one-year NAV return of -4.26% underperformed the S&P MidCap 400(R) Value
Index ("Benchmark") return of -0.24% by 4.02%. Over the period, the heaviest
weight in the Fund was allocated to the Financials sector, which received a
24.1% weight, returned -1.4%, and contributed -0.2% to the Fund's total return.
The greatest contributor to the Fund's return over the period was the
Information Technology sector, which received an allocation of 6.6%, returned
9.8%, and contributed 0.7% to the Fund's total return. The greatest drag on the
Fund's return came from the investments in the Energy sector, which received a
5.5% allocation, returned -50.8%, and contributed -3.7% to the Fund's total
return. On a relative basis, the Fund underperformed the Benchmark. The
investments in the Consumer Discretionary industry caused the most
underperformance. The Consumer Discretionary investments in the Fund were more
heavily weighted and underperforming in comparison to those in the Benchmark,
leading to -1.4% underperformance for the Fund. The Consumer Staples sector
caused 0.6% outperformance against the Benchmark, as the investments in this
sector in the Fund outperformed those in the Benchmark.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
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 28.00%
Industrials 17.70
Consumer Discretionary 17.28
Materials 10.35
Information Technology 6.45
Energy 6.45
Real Estate 6.44
Utilities 2.54
Communication Services 2.50
Consumer Staples 1.98
Health Care 0.31
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
OneMain Holdings, Inc. 0.91%
Knight-Swift Transportation Holdings, Inc. 0.81
Graham Holdings Co., Class B 0.80
Dick's Sporting Goods, Inc. 0.79
Telephone & Data Systems, Inc. 0.79
Delek US Holdings, Inc. 0.79
Macy's, Inc. 0.78
Reliance Steel & Aluminum Co. 0.78
American Eagle Outfitters, Inc. 0.77
Urban Outfitters, Inc. 0.77
-------
Total 7.99%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2019
First Trust Mid Cap S&P MidCap 400(R)
Value AlphaDEX(R) Fund Value Index
4/11 $10,000 $10,000
7/11 9,625 9,581
1/12 9,982 9,720
7/12 9,935 9,869
1/13 11,765 11,640
7/13 13,549 13,358
1/14 14,657 14,305
7/14 15,487 15,311
1/15 15,205 15,816
7/15 15,351 16,204
1/16 13,091 14,376
7/16 15,539 17,468
1/17 17,704 19,524
7/17 17,984 20,073
1/18 19,750 21,915
7/18 19,925 22,582
1/19 18,796 21,295
7/19 19,078 22,530
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 188 0 0 0
8/1/15 - 7/31/16 140 0 0 0
8/1/16 - 7/31/17 173 0 0 0
8/1/17 - 7/31/18 125 0 0 0
8/1/18 - 7/31/19 131 4 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 64 0 0 0
8/1/15 - 7/31/16 111 0 0 0
8/1/16 - 7/31/17 79 0 0 0
8/1/17 - 7/31/18 127 0 0 0
8/1/18 - 7/31/19 113 2 1 0
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
The First Trust Mid Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FNY."
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 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 (4/19/11) Ended (4/19/11)
7/31/19 7/31/19 to 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 6.43% 11.36% 10.97% 71.28% 136.78%
Market Price 6.43% 11.37% 10.97% 71.35% 136.78%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mid Cap Growth Index(1) 7.20% N/A N/A N/A N/A
Nasdaq US 600 Mid Cap Growth Index(1) 7.41% N/A N/A N/A N/A
S&P MidCap 400(R) Growth Index 1.81% 10.15% 10.73% 62.14% 132.60%
--------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FNY's one-year NAV return of 6.43% outperformed the S&P MidCap 400(R) Growth
Index ("Benchmark") return of 1.81% by 4.62%. The Information Technology sector
was the largest allocated and top contributing sector in the Fund over the
period with a 23% allocation and 7.4% contribution, stemming from its 31.9%
return. The Energy sector was the worst performing sector and the greatest drag
on the Fund's return. Energy received a 3.9% allocation, returned -49.1% and
contributed -4.7% to the Fund's total return. On a relative basis, the Fund
outperformed the Benchmark. These same two sectors contributed the most to
outperformance and underperformance, respectively. Investments in Information
Technology caused 4.6% outperformance against the Benchmark, while Energy earned
-2.7% underperformance.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 25.24%
Industrials 16.28
Health Care 15.35
Consumer Discretionary 13.79
Financials 9.59
Real Estate 6.10
Communication Services 5.11
Materials 4.16
Utilities 1.88
Energy 1.65
Consumer Staples 0.85
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Novocure Ltd. 0.95%
FTI Consulting, Inc. 0.90
Mercury Systems, Inc. 0.84
Trade Desk (The), Inc., Class A 0.84
Roku, Inc. 0.82
Avalara, Inc. 0.82
EPAM Systems, Inc. 0.81
Match Group, Inc. 0.81
Fair Isaac Corp. 0.80
Zscaler, Inc. 0.79
-------
Total 8.38%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2019
First Trust Mid Cap S&P MidCap 400(R)
Growth AlphaDEX(R) Fund Growth Index
4/11 $10,000 $10,000
7/11 9,881 9,910
1/12 9,804 9,779
7/12 9,673 9,861
1/13 11,050 11,485
7/13 12,290 12,894
1/14 13,612 13,883
7/14 13,824 14,345
1/15 14,646 15,414
7/15 15,748 16,711
1/16 13,744 14,724
7/16 15,753 17,266
1/17 16,331 18,295
7/17 17,791 19,634
1/18 21,047 22,457
7/18 22,251 22,846
1/19 20,796 21,092
7/19 23,678 23,261
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 192 0 0 0
8/1/15 - 7/31/16 106 0 0 0
8/1/16 - 7/31/17 178 0 0 0
8/1/17 - 7/31/18 208 0 0 0
8/1/18 - 7/31/19 140 4 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 60 0 0 0
8/1/15 - 7/31/16 145 0 0 0
8/1/16 - 7/31/17 74 0 0 0
8/1/17 - 7/31/18 44 0 0 0
8/1/18 - 7/31/19 105 2 0 0
Page 21
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
The First Trust Small Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FYT."
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 Value Index which may generate positive alpha relative
to traditional passive indices. The Index is a modified equal-dollar weighted
index where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (4/19/11) Ended (4/19/11)
7/31/19 7/31/19 to 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV -9.69% 3.43% 7.96% 18.38% 88.57%
Market Price -9.75% 3.43% 7.95% 18.39% 88.41%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Small Cap Value Index(1) -9.02% N/A N/A N/A N/A
Nasdaq US 700 Small Cap Value Index(1) -7.25% N/A N/A N/A N/A
S&P SmallCap 600(R) Value Index -8.48% 8.32% 10.84% 49.09% 134.41%
--------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYT's one-year NAV return of -9.69% underperformed the S&P SmallCap 600(R) Value
Index ("Benchmark") return of -8.48% by 1.21%. The Industrials sector was the
Fund's heaviest allocated sector over the period with a 23.4% allocation. This
sector had a -8.1% return over the period in the Fund and led to a -1.6%
contribution. The Communication Services sector was the most contributing sector
in the Fund with a 0.5% contribution, stemming from its 5.4% allocation and
13.4% return. The Utilities sector was the Fund's top performing sector with a
33.3% return. The Energy sector was the worst performing and contributing sector
with a -51.9% return and -6.2% contribution, stemming from its 9.7% allocation.
On a relative basis, the Fund underperformed the Benchmark. The Fund
underperformed the Benchmark among Information Technology sector securities by
-11.9%, which created -1.8% of relative drag. The Fund outperformed the
Benchmark among the Communication Services sector securities by 20.5%, which
created 1.1% of relative outperformance.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
Page 22
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 22.80%
Consumer Discretionary 18.49
Financials 15.19
Energy 10.36
Information Technology 10.09
Materials 8.29
Real Estate 6.00
Consumer Staples 3.79
Communication Services 3.03
Health Care 1.83
Utilities 0.13
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
ACCO Brands Corp. 0.79%
Amkor Technology, Inc. 0.79
Meritage Homes Corp. 0.78
Abercrombie & Fitch Co., Class A 0.75
Dillard's, Inc., Class A 0.75
TRI Pointe Group, Inc. 0.73
CNX Resources Corp. 0.72
Marten Transport Ltd. 0.71
M.D.C. Holdings, Inc. 0.71
Cooper-Standard Holdings, Inc. 0.69
-------
Total 7.42%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2019
First Trust Small Cap S&P SmallCap 600(R)
Value AlphaDEX(R) Fund Value Index
4/11 $10,000 $10,000
7/11 9,930 9,813
1/12 10,692 10,331
7/12 10,005 10,231
1/13 11,945 11,945
7/13 14,241 14,054
1/14 15,577 15,278
7/14 15,931 15,723
1/15 15,996 16,154
7/15 15,630 16,701
1/16 13,090 14,973
7/16 15,754 18,195
1/17 18,060 20,662
7/17 18,181 21,216
1/18 19,883 23,634
7/18 20,883 25,612
1/19 19,012 22,856
7/19 18,857 23,442
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 164 0 0 0
8/1/15 - 7/31/16 100 0 0 0
8/1/16 - 7/31/17 125 0 0 0
8/1/17 - 7/31/18 132 0 0 0
8/1/18 - 7/31/19 136 3 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 88 0 0 0
8/1/15 - 7/31/16 151 0 0 0
8/1/16 - 7/31/17 127 0 0 0
8/1/17 - 7/31/18 119 1 0 0
8/1/18 - 7/31/19 111 1 0 0
Page 23
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
The First Trust Small Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FYC."
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 Growth Index which may generate positive alpha relative
to traditional passive indices. The Index is a modified equal-dollar weighted
index where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (4/19/11) Ended (4/19/11)
7/31/19 7/31/19 to 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV -3.90% 11.05% 10.94% 68.90% 136.35%
Market Price -3.97% 11.05% 10.94% 68.89% 136.25%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Small Cap Growth Index(1) -3.18% N/A N/A N/A N/A
Nasdaq US 700 Small Cap Growth Index(1) -1.21% N/A N/A N/A N/A
S&P SmallCap 600(R) Growth Index -4.81% 11.49% 12.23% 72.23% 159.97%
--------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FYC's one-year NAV return of -3.90% outperformed the S&P SmallCap 600(R) Growth
Index ("Benchmark") return of -4.81% by 0.91%. The Health Care sector received
the largest allocation in the Fund over the period. This sector carried a 24.7%
average weight in the Fund, returned -9.2% and contributed -2.8% to the Fund's
total return. The greatest contribution to the Fund's return were the
investments in the Information Technology sector. This sector received a 16.8%
return which came from the investments in the Energy sector, which received a
4.2% allocation, returned -59.6% and contributed -4.8% to the Fund's total
return. On a relative basis, the Fund outperformed the Benchmark. The Fund
over-allocated and underperformed in the Energy sector, leading to a -3.1% Fund
underperformance versus the Benchmark. Meanwhile, the investments in the
Information Technology sector, which performed much better than those in the
Benchmark, resulted in 3.4% outperformance for the Fund versus the Benchmark.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
Page 24
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care 22.30%
Information Technology 16.61
Industrials 15.84
Financials 13.00
Consumer Discretionary 10.16
Real Estate 5.66
Consumer Staples 4.38
Communication Services 3.78
Utilities 3.74
Energy 3.69
Materials 0.84
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Lattice Semiconductor Corp. 0.84%
Sleep Number Corp. 0.77
eHealth, Inc. 0.76
Medpace Holdings, Inc. 0.76
Federal Signal Corp. 0.74
Everbridge, Inc. 0.73
PROS Holdings, Inc. 0.73
Inspire Medical Systems, Inc. 0.71
Viavi Solutions, Inc. 0.70
Denny's Corp. 0.70
-------
Total 7.44%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2019
First Trust Small Cap S&P SmallCap 600(R)
Growth AlphaDEX(R) Fund Growth Index
4/11 $10,000 $10,000
7/11 9,920 9,982
1/12 9,826 10,155
7/12 10,157 10,362
1/13 11,338 11,710
7/13 13,014 13,710
1/14 14,413 15,107
7/14 13,992 15,093
1/15 14,637 16,071
7/15 16,115 17,778
1/16 14,186 15,737
7/16 16,685 18,361
1/17 17,809 20,597
7/17 19,540 21,757
1/18 22,008 24,431
7/18 24,592 27,311
1/19 22,219 24,686
7/19 23,630 25,997
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 209 0 0 0
8/1/15 - 7/31/16 141 0 0 0
8/1/16 - 7/31/17 175 0 0 0
8/1/17 - 7/31/18 159 0 0 0
8/1/18 - 7/31/19 71 5 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 43 0 0 0
8/1/15 - 7/31/16 110 0 0 0
8/1/16 - 7/31/17 77 0 0 0
8/1/17 - 7/31/18 92 1 0 0
8/1/18 - 7/31/19 172 3 0 0
Page 25
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
The First Trust Mega Cap AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Nasdaq AlphaDEX(R) Mega Cap Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in common stocks that comprise the Index. The
shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the
ticker symbol "FMK."
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)
7/31/19 7/31/19 to 7/31/19 7/31/19 to 7/31/19
FUND PERFORMANCE
NAV 3.24% 8.08% 9.06% 47.51% 104.00%
Market Price 3.18% 8.08% 9.05% 47.47% 103.94%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mega Cap Index(1) 3.99% N/A N/A N/A N/A
Nasdaq US 500 Large Cap Index(1) 8.41% N/A N/A N/A N/A
S&P 100(R) Index 8.34% 11.36% 12.63% 71.26% 165.81%
--------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
FMK's one-year NAV return of 3.24% underperformed the S&P 100(R) Index
("Benchmark") return of 8.34% by 5.10%. The Information Technology sector was
the Fund's heaviest allocated sector over the period with a 19.4% allocation.
However, it was the Communication Services sector that contributed the most to
the Fund over the period with a 3.2% contribution, stemming from its 16.3%
allocation and 20.2% return. The Fund had a relatively smaller allocation to the
Utilities sector with a 3% weighting. This sector was the top performing sector
in the Fund with a 25.8% return. The least performing sector in the Fund was the
Energy sector with a -15.0% return and -1.3% contribution, stemming from its
9.7% allocation. The Fund's least contributing sector was the Consumer Staples
sector with a -1.5% contribution, stemming from its -14.7% return and 9.8%
allocation. On a relative basis, the Fund underperformed the Benchmark. The
primary cause of the underperformance is attributable to the Fund
underperforming the Benchmark among Information Technology securities by -10.2%,
which created -3.7% of relative drag. The Fund outperformed the Benchmark among
Communication Services securities by 11.6%, which created 1.2% of relative
outperformance.
-----------------------------
Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc.
("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First
Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed
to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed,
sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of
the Fund.
Page 26
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Communication Services 18.11%
Information Technology 18.07
Financials 15.71
Consumer Staples 10.01
Health Care 9.65
Energy 9.06
Industrials 6.44
Consumer Discretionary 5.73
Materials 5.22
Utilities 2.00
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Starbucks Corp. 3.74%
Intel Corp. 3.50
AT&T, Inc. 3.37
American Express Co. 3.34
Lockheed Martin Corp. 3.30
Chevron Corp. 3.28
Charter Communications, Inc., Class A 3.23
ConocoPhillips 3.21
QUALCOMM, Inc. 3.19
DuPont de Nemours, Inc. 3.18
-------
Total 33.34%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 11, 2011 - JULY 31, 2019
First Trust Mega S&P 100(R)
Cap AlphaDEX(R) Fund Index
5/11 $10,000 $10,000
7/11 9,612 9,761
1/12 9,571 10,120
7/12 9,248 10,960
1/13 10,467 11,784
7/13 11,969 13,341
1/14 12,545 14,108
7/14 13,829 15,520
1/15 13,679 15,998
7/15 14,699 17,202
1/16 13,304 16,228
7/16 14,726 18,190
1/17 15,712 19,216
7/17 17,097 21,066
1/18 20,050 24,464
7/18 19,759 24,536
1/19 19,156 23,803
7/19 20,400 26,581
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2019
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, 2014 through July
31, 2019. 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%
8/1/14 - 7/31/15 166 0 0 0
8/1/15 - 7/31/16 145 0 0 0
8/1/16 - 7/31/17 85 0 0 0
8/1/17 - 7/31/18 136 0 0 0
8/1/18 - 7/31/19 197 5 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/14 - 7/31/15 86 0 0 0
8/1/15 - 7/31/16 106 0 0 0
8/1/16 - 7/31/17 167 0 0 0
8/1/17 - 7/31/18 116 0 0 0
8/1/18 - 7/31/19 46 2 1 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, 2019 (UNAUDITED)
As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid
Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First
Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R)
Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth
AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid
Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First
Trust Small Cap Growth AlphaDEX(R) Fund or First Trust Mega Cap AlphaDEX(R) Fund
(each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1)
transaction costs; and (2) ongoing costs, including management fees,
distribution and/or service fees, 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, 2019.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
-----------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2019 JULY 31, 2019 PERIOD (a) PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
Actual $1,000.00 $1,093.50 0.60% $3.11
Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
Actual $1,000.00 $1,076.50 0.61% $3.14
Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
Actual $1,000.00 $1,025.90 0.61% $3.06
Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
Actual $1,000.00 $1,046.90 0.60% $3.05
Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
Actual $1,000.00 $1,142.40 0.61% $3.24
Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06
Page 29
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2019 (UNAUDITED)
-----------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2019 JULY 31, 2019 PERIOD (a) PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
Actual $1,000.00 $1,026.00 0.70% $3.52
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
Actual $1,000.00 $1,125.10 0.68% $3.58
Hypothetical (5% return before expenses) $1,000.00 $1,021.42 0.68% $3.41
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
Actual $1,000.00 $1,015.00 0.70% $3.50
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
Actual $1,000.00 $1,138.60 0.70% $3.71
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
Actual $1,000.00 $ 992.00 0.70% $3.46
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
Actual $1,000.00 $1,063.50 0.70% $3.58
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
Actual $1,000.00 $1,064.90 0.70% $3.58
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in
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,
2019 through July 31, 2019), multiplied by 181/365 (to reflect the
six-month period).
Page 30
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.2%
146,152 Arconic, Inc. $ 3,659,646
3,460 Boeing (The) Co. 1,180,483
13,836 General Dynamics Corp. 2,572,666
47,000 HEICO Corp. 6,427,250
6,654 L3Harris Technologies, Inc. 1,381,370
3,464 Lockheed Martin Corp. 1,254,557
7,785 Northrop Grumman Corp. 2,690,262
118,573 Textron, Inc. 5,845,649
13,002 TransDigm Group, Inc. (a) 6,311,691
---------------
31,323,574
---------------
AIR FREIGHT & LOGISTICS -- 0.5%
29,820 C.H. Robinson Worldwide, Inc. 2,496,829
33,161 Expeditors International of
Washington, Inc. 2,531,842
7,658 FedEx Corp. 1,305,919
12,183 United Parcel Service, Inc.,
Class B 1,455,503
---------------
7,790,093
---------------
AIRLINES -- 1.4%
38,577 American Airlines Group, Inc. 1,176,984
110,823 Delta Air Lines, Inc. 6,764,636
123,855 Southwest Airlines Co. 6,382,248
57,473 United Airlines Holdings,
Inc. (a) 5,282,344
---------------
19,606,212
---------------
AUTO COMPONENTS -- 0.6%
31,127 Aptiv PLC 2,728,281
45,156 Lear Corp. 5,724,878
---------------
8,453,159
---------------
AUTOMOBILES -- 0.6%
245,919 Ford Motor Co. 2,343,608
163,234 General Motors Co. 6,584,860
---------------
8,928,468
---------------
BANKS -- 4.6%
173,493 Bank of America Corp. 5,322,765
76,811 BB&T Corp. 3,958,071
71,843 Citigroup, Inc. 5,112,348
142,292 Citizens Financial Group, Inc. 5,301,800
69,265 Comerica, Inc. 5,070,198
180,341 Fifth Third Bancorp 5,354,324
364,069 Huntington Bancshares, Inc. 5,187,983
33,753 JPMorgan Chase & Co. 3,915,348
283,457 KeyCorp 5,207,105
22,189 M&T Bank Corp. 3,644,543
27,490 PNC Financial Services Group
(The), Inc. 3,928,321
336,776 Regions Financial Corp. 5,364,842
5,602 SVB Financial Group (a) 1,299,496
48,009 U.S. Bancorp 2,743,715
106,330 Wells Fargo & Co. 5,147,435
---------------
66,558,294
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BEVERAGES -- 0.9%
6,386 Constellation Brands, Inc.,
Class A $ 1,256,892
112,310 Molson Coors Brewing Co.,
Class B 6,063,617
59,119 Monster Beverage Corp. (a) 3,811,402
19,180 PepsiCo, Inc. 2,451,396
---------------
13,583,307
---------------
BIOTECHNOLOGY -- 1.5%
53,284 Exact Sciences Corp. (a) 6,133,521
55,854 Gilead Sciences, Inc. 3,659,554
44,417 Incyte Corp. (a) 3,771,892
41,386 Sarepta Therapeutics, Inc. (a) 6,160,306
18,177 Seattle Genetics, Inc. (a) 1,376,181
---------------
21,101,454
---------------
BUILDING PRODUCTS -- 0.7%
121,794 Johnson Controls International
PLC 5,168,938
13,719 Lennox International, Inc. 3,518,649
32,060 Masco Corp. 1,307,086
---------------
9,994,673
---------------
CAPITAL MARKETS -- 4.1%
8,664 Ameriprise Financial, Inc. 1,260,699
113,960 Bank of New York Mellon
(The) Corp. 5,347,003
2,678 BlackRock, Inc. 1,252,447
6,480 CME Group, Inc. 1,259,841
84,611 E*TRADE Financial Corp. 4,128,171
180,729 Franklin Resources, Inc. 5,897,187
24,594 Goldman Sachs Group (The),
Inc. 5,413,877
14,633 Intercontinental Exchange, Inc. 1,285,655
99,557 KKR & Co., Inc., Class A 2,663,150
12,879 Moody's Corp. 2,760,485
114,844 Morgan Stanley 5,117,449
26,338 MSCI, Inc. 5,985,047
13,082 Nasdaq, Inc. 1,260,712
44,628 Raymond James Financial, Inc. 3,600,141
5,521 S&P Global, Inc. 1,352,369
89,753 State Street Corp. 5,213,752
45,864 T. Rowe Price Group, Inc. 5,200,519
---------------
58,998,504
---------------
CHEMICALS -- 3.9%
5,557 Air Products & Chemicals, Inc. 1,268,496
46,674 Celanese Corp. 5,235,423
80,786 CF Industries Holdings, Inc. 4,003,754
83,782 DuPont de Nemours, Inc. 6,045,709
80,808 Eastman Chemical Co. 6,088,883
25,484 Ecolab, Inc. 5,140,887
60,659 FMC Corp. 5,242,151
73,022 LyondellBasell Industries N.V.,
Class A 6,111,211
251,270 Mosaic (The) Co. 6,329,491
10,780 PPG Industries, Inc. 1,265,464
5,488 Sherwin-Williams (The) Co. 2,815,564
See Notes to Financial Statements Page 31
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CHEMICALS (CONTINUED)
90,546 Westlake Chemical Corp. $ 6,118,193
---------------
55,665,226
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.5%
26,508 Cintas Corp. 6,903,744
84,150 Copart, Inc. (a) 6,524,149
29,035 Republic Services, Inc. 2,573,953
43,615 Waste Management, Inc. 5,102,955
---------------
21,104,801
---------------
COMMUNICATIONS EQUIPMENT
-- 1.0%
45,970 Cisco Systems, Inc. 2,546,738
188,938 Juniper Networks, Inc. 5,105,105
37,719 Motorola Solutions, Inc. 6,259,845
---------------
13,911,688
---------------
CONSTRUCTION MATERIALS -- 0.3%
10,930 Martin Marietta Materials, Inc. 2,707,907
9,160 Vulcan Materials Co. 1,267,286
---------------
3,975,193
---------------
CONSUMER FINANCE -- 1.9%
162,360 Ally Financial, Inc. 5,343,267
50,953 American Express Co. 6,337,025
69,311 Capital One Financial Corp. 6,405,723
48,638 Discover Financial Services 4,364,774
145,124 Synchrony Financial 5,207,049
---------------
27,657,838
---------------
CONTAINERS & PACKAGING -- 1.2%
89,858 Ball Corp. 6,423,050
116,150 International Paper Co. 5,100,146
172,454 WestRock Co. 6,216,967
---------------
17,740,163
---------------
DISTRIBUTORS -- 0.1%
12,147 Genuine Parts Co. 1,179,717
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.6%
240,739 AXA Equitable Holdings, Inc. 5,411,813
17,706 Berkshire Hathaway, Inc.,
Class B (a) 3,637,343
---------------
9,049,156
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.7%
187,686 AT&T, Inc. 6,390,708
66,052 Verizon Communications, Inc. 3,650,694
---------------
10,041,402
---------------
ELECTRIC UTILITIES -- 2.7%
25,633 Alliant Energy Corp. 1,269,859
28,584 American Electric Power Co.,
Inc. 2,509,961
42,762 Duke Energy Corp. 3,708,321
18,663 Edison International 1,391,140
24,441 Entergy Corp. 2,581,459
49,808 Eversource Energy 3,778,435
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRIC UTILITIES (CONTINUED)
104,955 Exelon Corp. $ 4,729,272
58,766 FirstEnergy Corp. 2,583,941
6,143 NextEra Energy, Inc. 1,272,645
40,105 Pinnacle West Capital Corp. 3,658,378
162,253 PPL Corp. 4,807,556
68,260 Southern (The) Co. 3,836,212
42,284 Xcel Energy, Inc. 2,520,549
---------------
38,647,728
---------------
ELECTRICAL EQUIPMENT -- 1.0%
55,387 AMETEK, Inc. 4,963,229
60,414 Eaton Corp. PLC 4,965,427
56,562 Emerson Electric Co. 3,669,743
7,675 Rockwell Automation, Inc. 1,233,986
---------------
14,832,385
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 2.7%
26,219 Amphenol Corp., Class A 2,446,757
56,657 CDW Corp. 6,694,591
189,263 Corning, Inc. 5,819,837
70,025 Keysight Technologies, Inc. (a) 6,268,638
65,666 TE Connectivity Ltd. 6,067,539
139,420 Trimble, Inc. (a) 5,891,889
24,017 Zebra Technologies Corp.,
Class A (a) 5,064,945
---------------
38,254,196
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.1%
51,067 Baker Hughes a GE Co. 1,296,591
276,571 Halliburton Co. 6,361,133
113,167 National Oilwell Varco, Inc. 2,695,638
126,609 Schlumberger Ltd. 5,060,562
---------------
15,413,924
---------------
ENTERTAINMENT -- 1.8%
79,949 Activision Blizzard, Inc. 3,896,714
12,421 Electronic Arts, Inc. (a) 1,148,942
75,950 Live Nation Entertainment,
Inc. (a) 5,472,957
6,847 Netflix, Inc. (a) 2,211,513
22,159 Take-Two Interactive Software,
Inc. (a) 2,714,921
210,553 Viacom, Inc., Class B 6,390,284
27,028 Walt Disney (The) Co. 3,865,274
---------------
25,700,605
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.7%
12,301 American Tower Corp. 2,603,138
19,297 Crown Castle International
Corp. 2,571,518
39,794 Duke Realty Corp. 1,326,334
7,485 Equinix, Inc. 3,758,218
10,371 Equity LifeStyle Properties,
Inc. 1,288,597
345,187 Host Hotels & Resorts, Inc. 6,002,802
188,235 Invitation Homes, Inc. 5,170,815
10,682 Mid-America Apartment
Communities, Inc. 1,258,767
Page 32 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
15,703 Prologis, Inc. $ 1,265,819
22,382 SBA Communications Corp. (a) 5,492,767
19,629 Sun Communities, Inc. 2,606,927
18,402 Ventas, Inc. 1,238,270
39,246 Vornado Realty Trust 2,524,303
15,432 Welltower, Inc. 1,282,708
---------------
38,390,983
---------------
FOOD & STAPLES RETAILING
-- 1.0%
289,696 Kroger (The) Co. 6,129,967
17,788 Sysco Corp. 1,219,723
115,041 Walgreens Boots Alliance, Inc. 6,268,584
11,381 Walmart, Inc. 1,256,235
---------------
14,874,509
---------------
FOOD PRODUCTS -- 2.1%
154,146 Archer-Daniels-Midland Co. 6,332,318
142,292 Conagra Brands, Inc. 4,107,970
23,949 General Mills, Inc. 1,271,931
37,542 Hershey (The) Co. 5,696,623
32,759 J.M. Smucker (The) Co. 3,642,473
46,958 Kellogg Co. 2,733,895
8,110 McCormick & Co., Inc. 1,285,759
62,315 Tyson Foods, Inc., Class A 4,954,043
---------------
30,025,012
---------------
GAS UTILITIES -- 0.3%
23,828 Atmos Energy Corp. 2,598,205
47,101 UGI Corp. 2,406,390
---------------
5,004,595
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 2.7%
29,911 Abbott Laboratories 2,605,248
15,360 Baxter International, Inc. 1,289,779
58,530 Boston Scientific Corp. (a) 2,485,184
14,938 Cooper (The) Cos., Inc. 5,040,081
26,404 Danaher Corp. 3,709,762
41,972 DexCom, Inc. (a) 6,584,148
6,807 Edwards Lifesciences Corp. (a) 1,448,870
26,192 Hologic, Inc. (a) 1,342,340
18,270 IDEXX Laboratories, Inc. (a) 5,153,053
12,915 Medtronic PLC 1,316,555
10,310 ResMed, Inc. 1,326,897
12,242 Stryker Corp. 2,568,127
11,393 Teleflex, Inc. 3,870,658
---------------
38,740,702
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 2.6%
8,916 Anthem, Inc. 2,626,743
106,827 Cardinal Health, Inc. 4,885,199
71,958 Centene Corp. (a) 3,748,292
23,950 Cigna Corp. 4,069,584
22,362 DaVita, Inc. (a) 1,338,366
27,921 HCA Healthcare, Inc. 3,727,733
35,989 Henry Schein, Inc. (a) 2,394,708
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
21,827 Laboratory Corp. of America
Holdings (a) $ 3,656,459
37,068 Quest Diagnostics, Inc. 3,783,901
5,157 UnitedHealth Group, Inc. 1,284,144
38,584 Universal Health Services,
Inc., Class B 5,820,782
---------------
37,335,911
---------------
HEALTH CARE TECHNOLOGY -- 0.5%
17,162 Cerner Corp. 1,229,657
38,796 Veeva Systems, Inc.,
Class A (a) 6,436,257
---------------
7,665,914
---------------
HOTELS, RESTAURANTS & LEISURE
-- 3.6%
135,113 Carnival Corp. 6,381,387
6,863 Chipotle Mexican Grill,
Inc. (a) 5,459,722
20,664 Darden Restaurants, Inc. 2,511,916
9,036 Domino's Pizza, Inc. 2,209,573
64,350 Hilton Worldwide Holdings, Inc. 6,212,992
17,930 Marriott International, Inc.,
Class A 2,493,346
6,059 McDonald's Corp. 1,276,752
88,050 MGM Resorts International 2,643,261
117,270 Norwegian Cruise Line
Holdings Ltd. (a) 5,797,829
41,509 Royal Caribbean Cruises Ltd. 4,829,157
75,027 Starbucks Corp. 7,104,307
54,451 Yum China Holdings, Inc. 2,477,521
22,734 Yum! Brands, Inc. 2,558,030
---------------
51,955,793
---------------
HOUSEHOLD DURABLES -- 1.8%
145,819 D.R. Horton, Inc. 6,697,467
47,291 Garmin Ltd. 3,716,600
129,783 Lennar Corp., Class A 6,173,777
42,651 Mohawk Industries, Inc. (a) 5,318,153
1,123 NVR, Inc. (a) 3,755,469
---------------
25,661,466
---------------
HOUSEHOLD PRODUCTS -- 0.2%
17,220 Church & Dwight Co., Inc. 1,299,077
11,471 Procter & Gamble (The) Co. 1,354,037
---------------
2,653,114
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS
-- 0.2%
75,055 AES Corp. 1,260,173
55,562 Vistra Energy Corp. 1,192,361
---------------
2,452,534
---------------
INDUSTRIAL CONGLOMERATES
-- 0.6%
14,517 3M Co. 2,536,410
14,412 Honeywell International, Inc. 2,485,494
10,306 Roper Technologies, Inc. 3,747,777
---------------
8,769,681
---------------
See Notes to Financial Statements Page 33
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE -- 5.1%
45,902 Aflac, Inc. $ 2,416,281
1,847 Alleghany Corp. (a) 1,266,543
37,111 Allstate (The) Corp. 3,985,721
70,828 American International Group,
Inc. 3,965,660
101,772 Arch Capital Group Ltd. (a) 3,937,559
43,085 Arthur J. Gallagher & Co. 3,896,177
17,080 Chubb Ltd. 2,610,507
24,262 Cincinnati Financial Corp. 2,604,041
124,851 Fidelity National Financial,
Inc. 5,353,611
67,720 Hartford Financial Services
Group (The), Inc. 3,902,704
78,068 Lincoln National Corp. 5,100,963
23,006 Loews Corp. 1,231,741
1,156 Markel Corp. (a) 1,287,703
75,977 MetLife, Inc. 3,754,783
65,152 Principal Financial Group, Inc. 3,781,422
78,688 Progressive (The) Corp. 6,372,154
37,361 Prudential Financial, Inc. 3,785,043
24,188 Reinsurance Group of America,
Inc. 3,771,393
42,184 Torchmark Corp. 3,852,243
25,235 Travelers (The) Cos., Inc. 3,699,956
38,154 W.R. Berkley Corp. 2,647,506
---------------
73,223,711
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.7%
26,074 Facebook, Inc., Class A (a) 5,064,353
17,344 IAC/InterActiveCorp (a) 4,146,083
36,042 Twitter, Inc. (a) 1,524,937
---------------
10,735,373
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.4%
1,995 Amazon.com, Inc. (a) 3,724,226
675 Booking Holdings, Inc. (a) 1,273,462
95,532 eBay, Inc. 3,934,963
28,371 Expedia Group, Inc. 3,765,967
507,608 Qurate Retail, Inc.,
Series A (a) 7,177,577
---------------
19,876,195
---------------
IT SERVICES -- 5.2%
6,806 Accenture PLC, Class A 1,310,699
15,696 Akamai Technologies, Inc. (a) 1,383,288
26,932 Alliance Data Systems Corp. 4,226,169
15,216 Automatic Data Processing, Inc. 2,533,768
49,254 Broadridge Financial Solutions,
Inc. 6,261,168
79,371 Cognizant Technology Solutions
Corp., Class A 5,170,227
114,038 DXC Technology Co. 6,359,899
10,255 Fidelity National Information
Services, Inc. 1,366,479
13,797 Fiserv, Inc. (a) 1,454,618
17,913 FleetCor Technologies, Inc. (a) 5,090,337
23,444 Gartner, Inc. (a) 3,266,453
23,566 Global Payments, Inc. 3,957,203
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES (CONTINUED)
18,248 International Business Machines
Corp. $ 2,705,084
19,022 Mastercard, Inc., Class A 5,179,120
30,573 Paychex, Inc. 2,539,088
43,960 PayPal Holdings, Inc. (a) 4,853,184
34,686 Square, Inc., Class A (a) 2,789,101
46,125 Twilio, Inc., Class A (a) 6,416,449
12,029 VeriSign, Inc. (a) 2,539,202
28,989 Visa, Inc., Class A 5,160,042
---------------
74,561,578
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.8%
33,690 Agilent Technologies, Inc. 2,338,423
13,663 Illumina, Inc. (a) 4,090,429
39,084 IQVIA Holdings, Inc. (a) 6,221,000
5,990 Mettler-Toledo International,
Inc. (a) 4,532,933
39,168 PerkinElmer, Inc. 3,373,148
17,133 Thermo Fisher Scientific, Inc. 4,757,491
---------------
25,313,424
---------------
MACHINERY -- 3.0%
27,687 Caterpillar, Inc. 3,645,547
36,710 Cummins, Inc. 6,020,440
22,774 Deere & Co. 3,772,513
12,555 Dover Corp. 1,215,952
29,231 IDEX Corp. 4,917,239
8,341 Illinois Tool Works, Inc. 1,286,432
9,934 Ingersoll-Rand PLC 1,228,439
87,765 PACCAR, Inc. 6,155,837
29,596 Parker-Hannifin Corp. 5,181,668
30,374 Snap-on, Inc. 4,635,376
8,697 Stanley Black & Decker, Inc. 1,283,590
45,114 Xylem, Inc. 3,622,203
---------------
42,965,236
---------------
MEDIA -- 1.9%
258,287 Altice USA, Inc., Class A (a) 6,666,388
126,036 CBS Corp., Class B 6,492,114
6,365 Charter Communications, Inc.,
Class A (a) 2,452,944
118,998 Comcast Corp., Class A 5,137,144
163,888 Discovery, Inc., Class A (a) 4,967,445
15,352 Omnicom Group, Inc. 1,231,537
---------------
26,947,572
---------------
METALS & MINING -- 0.9%
541,710 Freeport-McMoRan, Inc. 5,991,313
114,143 Nucor Corp. 6,207,096
---------------
12,198,409
---------------
MULTILINE RETAIL -- 1.0%
18,615 Dollar General Corp. 2,494,782
132,270 Kohl's Corp. 7,124,062
58,090 Target Corp. 5,018,976
---------------
14,637,820
---------------
MULTI-UTILITIES -- 1.2%
16,748 Ameren Corp. 1,267,656
87,872 CenterPoint Energy, Inc. 2,549,167
Page 34 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTI-UTILITIES (CONTINUED)
43,442 CMS Energy Corp. $ 2,529,193
43,040 Consolidated Edison, Inc. 3,656,678
29,508 DTE Energy Co. 3,750,762
9,150 Sempra Energy 1,239,185
30,178 WEC Energy Group, Inc. 2,579,012
---------------
17,571,653
---------------
OIL, GAS & CONSUMABLE FUELS
-- 5.2%
173,676 Apache Corp. 4,241,168
18,374 Cheniere Energy, Inc. (a) 1,197,066
50,545 Chevron Corp. 6,222,595
60,954 Concho Resources, Inc. 5,953,987
220,525 Devon Energy Corp. 5,954,175
65,660 Exxon Mobil Corp. 4,882,478
59,366 Hess Corp. 3,849,291
135,898 HollyFrontier Corp. 6,763,643
180,729 Kinder Morgan, Inc. 3,726,632
442,597 Marathon Oil Corp. 6,227,340
112,547 Marathon Petroleum Corp. 6,346,525
112,310 Noble Energy, Inc. 2,479,805
67,232 Phillips 66 6,895,314
8,172 Pioneer Natural Resources Co. 1,128,063
64,075 Targa Resources Corp. 2,493,158
73,465 Valero Energy Corp. 6,262,891
---------------
74,624,131
---------------
PERSONAL PRODUCTS -- 0.3%
20,604 Estee Lauder (The) Cos., Inc.,
Class A 3,795,051
---------------
PHARMACEUTICALS -- 1.2%
110,949 Bristol-Myers Squibb Co. 4,927,245
15,006 Merck & Co., Inc. 1,245,348
264,255 Mylan N.V. (a) 5,522,930
44,333 Zoetis, Inc. 5,093,418
---------------
16,788,941
---------------
PROFESSIONAL SERVICES -- 1.1%
11,348 CoStar Group, Inc. (a) 6,983,559
51,335 TransUnion 4,250,025
34,357 Verisk Analytics, Inc. 5,212,644
---------------
16,446,228
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.3%
73,561 CBRE Group, Inc.,
Class A (a) 3,899,469
---------------
ROAD & RAIL -- 1.5%
48,769 CSX Corp. 3,433,337
41,286 J.B. Hunt Transport Services,
Inc. 4,226,448
30,977 Kansas City Southern 3,833,094
25,239 Norfolk Southern Corp. 4,823,678
16,859 Old Dominion Freight Line, Inc. 2,815,116
14,879 Union Pacific Corp. 2,677,476
---------------
21,809,149
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.7%
165,668 Advanced Micro Devices,
Inc. (a) $ 5,044,591
22,291 Analog Devices, Inc. 2,618,301
112,036 Applied Materials, Inc. 5,531,217
4,374 Broadcom, Inc. 1,268,416
13,392 Lam Research Corp. 2,793,705
29,015 Microchip Technology, Inc. 2,739,596
162,975 Micron Technology, Inc. (a) 7,315,948
81,395 Skyworks Solutions, Inc. 6,941,366
10,959 Texas Instruments, Inc. 1,369,984
32,003 Xilinx, Inc. 3,655,063
---------------
39,278,187
---------------
SOFTWARE -- 3.4%
17,076 Adobe, Inc. (a) 5,103,333
24,566 ANSYS, Inc. (a) 4,989,846
23,166 Autodesk, Inc. (a) 3,617,834
71,054 Cadence Design Systems,
Inc. (a) 5,251,601
9,625 Intuit, Inc. 2,669,109
28,169 Microsoft Corp. 3,838,590
22,078 Oracle Corp. 1,242,991
22,902 ServiceNow, Inc. (a) 6,352,786
20,008 Splunk, Inc. (a) 2,707,282
43,664 SS&C Technologies Holdings,
Inc. 2,093,689
48,870 Synopsys, Inc. (a) 6,487,981
24,474 Workday, Inc., Class A (a) 4,894,311
---------------
49,249,353
---------------
SPECIALTY RETAIL -- 3.5%
8,158 Advance Auto Parts, Inc. 1,228,921
5,723 AutoZone, Inc. (a) 6,427,158
72,157 Best Buy Co., Inc. 5,522,175
14,785 Burlington Stores, Inc. (a) 2,672,389
14,489 CarMax, Inc. (a) 1,271,555
349,985 Gap (The), Inc. 6,824,708
18,147 Home Depot (The), Inc. 3,877,832
3,409 O'Reilly Automotive, Inc. (a) 1,298,011
25,381 Ross Stores, Inc. 2,691,147
40,301 Tiffany & Co. 3,785,070
47,574 TJX (The) Cos., Inc. 2,595,637
57,808 Tractor Supply Co. 6,290,089
14,508 Ulta Beauty, Inc. (a) 5,066,919
---------------
49,551,611
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.9%
12,706 Apple, Inc. 2,706,886
336,555 Hewlett Packard Enterprise Co. 4,836,295
121,005 HP, Inc. 2,545,945
53,386 Seagate Technology PLC 2,472,306
---------------
12,561,432
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.3%
118,931 Tapestry, Inc. 3,678,536
14,401 VF Corp. 1,258,503
---------------
4,937,039
---------------
See Notes to Financial Statements Page 35
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TOBACCO -- 0.2%
53,130 Altria Group, Inc. $ 2,500,829
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.7%
115,786 Fastenal Co. 3,566,209
47,416 United Rentals, Inc. (a) 6,000,495
---------------
9,566,704
---------------
WATER UTILITIES -- 0.2%
21,687 American Water Works Co., Inc. 2,489,234
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.3%
50,900 T-Mobile US, Inc. (a) 4,058,257
---------------
TOTAL COMMON STOCKS
-- 99.9% 1,432,628,560
(Cost $1,305,898,403) ---------------
MONEY MARKET FUNDS -- 0.0%
404,821 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 2.15% (b) 404,821
(Cost $404,821) ---------------
TOTAL INVESTMENTS -- 99.9% 1,433,033,381
(Cost $1,306,303,224) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 1,645,508
---------------
NET ASSETS -- 100.0% $ 1,434,678,889
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2019.
(c) Aggregate cost for federal income tax purposes is $1,314,025,592. As of
July 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$167,284,374 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$48,276,585. The net unrealized appreciation was $119,007,789.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $1,432,628,560 $ -- $ --
Money Market
Funds 404,821 -- --
--------------------------------------------
Total Investments $1,433,033,381 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
Page 36 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 2.1%
57,860 Aerojet Rocketdyne Holdings,
Inc. (a) $ 2,471,779
30,258 Axon Enterprise, Inc. (a) 2,124,717
12,430 BWX Technologies, Inc. 670,101
10,188 Curtiss-Wright Corp. 1,292,959
8,005 Hexcel Corp. 654,489
8,645 Huntington Ingalls Industries,
Inc. 1,973,653
46,029 Mercury Systems, Inc. (a) 3,752,284
13,839 Moog, Inc., Class A 1,127,325
23,876 Spirit AeroSystems Holdings,
Inc., Class A 1,834,632
9,460 Teledyne Technologies, Inc. (a) 2,755,509
---------------
18,657,448
---------------
AIR FREIGHT & LOGISTICS -- 0.3%
44,811 XPO Logistics, Inc. (a) 3,023,846
---------------
AIRLINES -- 1.0%
30,398 Alaska Air Group, Inc. 1,926,017
140,096 JetBlue Airways Corp. (a) 2,694,046
53,372 SkyWest, Inc. 3,240,214
27,136 Spirit Airlines, Inc. (a) 1,151,381
---------------
9,011,658
---------------
AUTO COMPONENTS -- 1.0%
77,130 BorgWarner, Inc. 2,915,514
7,433 Dorman Products, Inc. (a) 534,284
105,261 Gentex Corp. 2,886,257
211,636 Goodyear Tire & Rubber (The)
Co. 2,905,762
---------------
9,241,817
---------------
AUTOMOBILES -- 0.4%
54,225 Harley-Davidson, Inc. 1,940,170
33,238 Thor Industries, Inc. 1,980,985
---------------
3,921,155
---------------
BANKS -- 8.2%
122,538 Associated Banc-Corp. 2,655,399
44,599 BancorpSouth Bank 1,333,064
86,089 Bank OZK 2,632,602
57,580 BankUnited, Inc. 1,981,328
25,741 BOK Financial Corp. 2,154,007
54,102 Cathay General Bancorp 2,013,676
49,304 CIT Group, Inc. 2,492,317
35,799 Columbia Banking System, Inc. 1,349,980
9,835 Community Bank System, Inc. 649,012
13,831 Cullen/Frost Bankers, Inc. 1,313,115
41,538 East West Bancorp, Inc. 1,994,239
220,089 F.N.B. Corp. 2,652,073
4,314 First Citizens BancShares,
Inc., Class A 2,014,724
21,032 First Financial Bankshares,
Inc. 688,798
50,066 First Hawaiian, Inc. 1,339,766
173,505 First Horizon National Corp. 2,845,482
79,121 Fulton Financial Corp. 1,345,057
15,970 Glacier Bancorp, Inc. 669,303
48,497 Hancock Whitney Corp. 2,013,595
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
100,874 Home BancShares, Inc. $ 1,984,192
34,154 IBERIABANK Corp. 2,683,480
58,079 Investors Bancorp, Inc. 659,777
78,074 Old National Bancorp 1,374,883
66,710 PacWest Bancorp 2,577,007
77,188 People's United Financial, Inc. 1,267,427
33,800 Pinnacle Financial Partners,
Inc. 2,053,012
47,759 Popular, Inc. 2,749,008
19,611 Prosperity Bancshares, Inc. 1,360,807
10,719 Signature Bank 1,366,244
121,731 Sterling Bancorp 2,659,822
37,004 Synovus Financial Corp. 1,412,443
47,260 TCF Financial Corp. (a) 1,986,810
31,655 Texas Capital Bancshares,
Inc. (a) 1,992,049
9,838 UMB Financial Corp. 671,542
117,108 Umpqua Holdings Corp. 2,044,706
34,923 United Bankshares, Inc. 1,312,756
180,222 Valley National Bancorp 2,011,278
43,444 Western Alliance Bancorp (a) 2,147,871
26,554 Wintrust Financial Corp. 1,899,673
56,337 Zions Bancorp N.A. 2,539,109
---------------
72,891,433
---------------
BIOTECHNOLOGY -- 1.0%
96,908 ACADIA Pharmaceuticals,
Inc. (a) 2,381,999
34,327 Blueprint Medicines Corp. (a) 3,437,849
13,404 Emergent BioSolutions, Inc. (a) 591,652
20,154 Ionis Pharmaceuticals, Inc. (a) 1,327,342
7,671 Neurocrine Biosciences,
Inc. (a) 739,408
---------------
8,478,250
---------------
BUILDING PRODUCTS -- 1.7%
27,465 A.O. Smith Corp. 1,248,284
29,292 Allegion PLC 3,032,894
26,650 Armstrong World Industries,
Inc. 2,603,971
22,673 Fortune Brands Home &
Security, Inc. 1,245,655
55,637 Owens Corning 3,226,946
29,233 Simpson Manufacturing Co.,
Inc. 1,805,430
27,095 Trex Co., Inc. (a) 2,215,016
---------------
15,378,196
---------------
CAPITAL MARKETS -- 2.7%
45,047 Eaton Vance Corp. 2,004,592
14,622 Evercore, Inc., Class A 1,262,902
9,038 FactSet Research Systems, Inc. 2,506,238
59,781 Federated Investors, Inc.,
Class B 2,077,390
126,611 Invesco Ltd. 2,429,665
56,495 Lazard Ltd., Class A 2,186,922
39,697 LPL Financial Holdings, Inc. 3,329,387
8,058 MarketAxess Holdings, Inc. 2,715,868
13,432 Morningstar, Inc. 2,041,395
23,087 SEI Investments Co. 1,375,754
32,894 Stifel Financial Corp. 1,967,390
---------------
23,897,503
---------------
See Notes to Financial Statements Page 37
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CHEMICALS -- 2.6%
45,988 Albemarle Corp. $ 3,355,284
8,098 Ashland Global Holdings, Inc. 643,629
65,260 Axalta Coating Systems Ltd. (a) 1,933,654
6,478 Balchem Corp. 664,902
67,870 Cabot Corp. 3,035,146
158,415 Huntsman Corp. 3,255,428
18,472 Ingevity Corp. (a) 1,820,231
147,787 Olin Corp. 2,966,085
3,190 Quaker Chemical Corp. 597,774
21,197 RPM International, Inc. 1,437,793
17,629 Sensient Technologies Corp. 1,201,769
33,157 Valvoline, Inc. 669,440
17,018 WR Grace & Co. 1,153,991
---------------
22,735,126
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.2%
423,273 ADT, Inc. (b) 2,687,784
36,435 Clean Harbors, Inc. (a) 2,835,007
21,360 Healthcare Services Group, Inc. 510,718
129,520 KAR Auction Services, Inc. 3,463,365
6,146 MSA Safety, Inc. 647,481
8,247 Tetra Tech, Inc. 653,162
---------------
10,797,517
---------------
COMMUNICATIONS EQUIPMENT
-- 0.6%
62,981 Ciena Corp. (a) 2,848,001
123,512 CommScope Holding Co.,
Inc. (a) 1,763,751
4,927 Ubiquiti Networks, Inc. 634,253
---------------
5,246,005
---------------
CONSTRUCTION & ENGINEERING
-- 1.3%
51,329 AECOM (a) 1,845,278
22,052 EMCOR Group, Inc. 1,860,968
38,447 Fluor Corp. 1,249,912
50,270 MasTec, Inc. (a) 2,579,857
84,786 Quanta Services, Inc. 3,172,692
5,107 Valmont Industries, Inc. 702,723
---------------
11,411,430
---------------
CONSUMER FINANCE -- 1.9%
5,354 Credit Acceptance Corp. (a) 2,559,373
25,899 FirstCash, Inc. 2,606,475
189,775 Navient Corp. 2,685,316
95,772 OneMain Holdings, Inc. 3,969,749
108,113 Santander Consumer USA
Holdings, Inc. 2,909,321
266,505 SLM Corp. 2,427,861
---------------
17,158,095
---------------
CONTAINERS & PACKAGING -- 1.9%
20,834 AptarGroup, Inc. 2,521,331
36,945 Berry Global Group, Inc. (a) 1,664,372
10,597 Crown Holdings, Inc. (a) 678,314
185,294 Graphic Packaging Holding Co. 2,753,469
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONTAINERS & PACKAGING
(CONTINUED)
112,496 Owens-Illinois, Inc. $ 1,909,057
33,968 Packaging Corp. of America 3,429,749
15,136 Sealed Air Corp. 632,533
63,491 Silgan Holdings, Inc. 1,908,539
19,822 Sonoco Products Co. 1,189,915
---------------
16,687,279
---------------
DISTRIBUTORS -- 0.5%
73,013 LKQ Corp. (a) 1,966,240
13,564 Pool Corp. 2,568,615
---------------
4,534,855
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.6%
43,125 Adtalem Global Education,
Inc. (a) 2,042,831
17,168 Bright Horizons Family
Solutions, Inc. (a) 2,610,738
50,346 Chegg, Inc. (a) 2,261,542
4,695 Graham Holdings Co., Class B 3,487,117
66,308 H&R Block, Inc. 1,836,069
41,529 Service Corp. International 1,916,148
---------------
14,154,445
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.4%
101,029 Jefferies Financial Group, Inc. 2,154,949
23,423 Voya Financial, Inc. 1,315,670
---------------
3,470,619
---------------
ELECTRIC UTILITIES -- 0.7%
23,348 ALLETE, Inc. 2,030,109
14,868 Hawaiian Electric Industries,
Inc. 666,086
12,721 PNM Resources, Inc. 631,852
47,821 Portland General Electric Co. 2,622,982
---------------
5,951,029
---------------
ELECTRICAL EQUIPMENT -- 1.3%
14,090 Acuity Brands, Inc. 1,891,160
28,360 EnerSys 1,931,600
46,649 Generac Holdings, Inc. (a) 3,372,723
9,933 Hubbell, Inc. 1,290,098
39,628 Regal Beloit Corp. 3,155,181
---------------
11,640,762
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 2.5%
45,432 Arrow Electronics, Inc. (a) 3,298,818
71,525 Avnet, Inc. 3,248,665
195,062 AVX Corp. 2,970,794
18,994 Coherent, Inc. (a) 2,637,317
10,028 Dolby Laboratories, Inc.,
Class A 682,907
23,942 FLIR Systems, Inc. 1,188,960
8,397 IPG Photonics Corp. (a) 1,100,091
40,989 Jabil, Inc. 1,265,740
32,904 SYNNEX Corp. 3,242,360
24,765 Tech Data Corp. (a) 2,509,685
---------------
22,145,337
---------------
Page 38 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENERGY EQUIPMENT & SERVICES
-- 0.3%
38,381 Helmerich & Payne, Inc. $ 1,906,768
56,262 Patterson-UTI Energy, Inc. 654,327
---------------
2,561,095
---------------
ENTERTAINMENT -- 0.5%
53,817 Cinemark Holdings, Inc. 2,148,375
422,579 Zynga, Inc., Class A (a) 2,696,054
---------------
4,844,429
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.1%
53,277 American Homes 4 Rent,
Class A 1,289,836
39,953 Americold Realty Trust 1,339,624
204,162 Apple Hospitality REIT, Inc. 3,207,385
144,880 Brixmor Property Group, Inc. 2,749,822
31,225 Columbia Property Trust, Inc. 684,764
5,624 CoreSite Realty Corp. 589,451
5,584 EastGroup Properties, Inc. 672,760
8,683 EPR Properties 646,276
99,570 Equity Commonwealth 3,343,561
17,629 First Industrial Realty Trust,
Inc. 673,252
16,616 Gaming and Leisure Properties,
Inc. 626,589
92,471 GEO Group (The), Inc. 1,646,909
129,520 Hospitality Properties Trust 3,200,439
8,022 Lamar Advertising Co., Class A 649,140
19,338 Macerich (The) Co. 639,121
25,110 Outfront Media, Inc. 682,490
92,449 Paramount Group, Inc. 1,278,570
117,488 Park Hotels & Resorts, Inc. 3,102,858
7,687 PS Business Parks, Inc. 1,345,225
21,374 Rayonier, Inc. 620,701
32,085 Rexford Industrial Realty, Inc. 1,328,319
182,525 RLJ Lodging Trust 3,154,032
15,972 Ryman Hospitality Properties,
Inc. 1,197,900
32,892 Sabra Health Care REIT, Inc. 678,891
313,231 Senior Housing Properties Trust 2,568,494
8,057 SL Green Realty Corp. 653,262
19,511 STORE Capital Corp. 667,471
236,179 Sunstone Hotel Investors, Inc. 3,119,925
143,752 VEREIT, Inc. 1,311,018
58,768 VICI Properties, Inc. 1,254,109
---------------
44,922,194
---------------
FOOD & STAPLES RETAILING
-- 0.8%
49,062 BJ's Wholesale Club Holdings,
Inc. (a) 1,155,901
4,154 Casey's General Stores, Inc. 672,574
16,177 Performance Food Group Co. (a) 709,361
137,132 Sprouts Farmers Market,
Inc. (a) 2,321,645
54,329 US Foods Holding Corp. (a) 1,921,617
---------------
6,781,098
---------------
FOOD PRODUCTS -- 1.0%
34,875 Bunge Ltd. 2,037,746
65,121 Darling Ingredients, Inc. (a) 1,323,910
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
27,827 Flowers Foods, Inc. $ 659,500
31,401 Ingredion, Inc. 2,426,983
4,023 J&J Snack Foods Corp. 747,634
25,509 Pilgrim's Pride Corp. (a) 690,274
6,227 Post Holdings, Inc. (a) 667,659
---------------
8,553,706
---------------
GAS UTILITIES -- 0.6%
13,013 New Jersey Resources Corp. 648,958
7,173 ONE Gas, Inc. 654,034
21,680 Southwest Gas Holdings, Inc. 1,927,569
23,151 Spire, Inc. 1,907,874
---------------
5,138,435
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 2.3%
8,029 Cantel Medical Corp. 740,916
21,525 Haemonetics Corp. (a) 2,627,772
6,192 Hill-Rom Holdings, Inc. 660,315
27,122 Insulet Corp. (a) 3,334,379
15,432 Integer Holdings Corp. (a) 1,350,763
11,594 Integra LifeSciences Holdings
Corp. (a) 734,944
13,057 Masimo Corp. (a) 2,061,047
10,872 Merit Medical Systems, Inc. (a) 429,009
51,208 Novocure Ltd. (a) 4,261,530
12,142 Penumbra, Inc. (a) 2,034,999
15,524 West Pharmaceutical Services,
Inc. 2,130,979
---------------
20,366,653
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 1.1%
10,668 Amedisys, Inc. (a) 1,471,011
23,874 AMN Healthcare Services,
Inc. (a) 1,274,394
5,385 Chemed Corp. 2,183,025
10,222 Encompass Health Corp. 652,572
21,664 LHC Group, Inc. (a) 2,742,229
13,575 Molina Healthcare, Inc. (a) 1,802,489
---------------
10,125,720
---------------
HEALTH CARE TECHNOLOGY -- 0.3%
39,004 Teladoc Health, Inc. (a) (b) 2,661,633
---------------
HOTELS, RESTAURANTS & LEISURE
-- 3.2%
53,878 Aramark 1,949,845
48,079 Boyd Gaming Corp. 1,273,613
14,884 Choice Hotels International,
Inc. 1,277,196
16,886 Churchill Downs, Inc. 2,020,410
7,585 Cracker Barrel Old Country
Store, Inc. 1,317,590
32,518 Dunkin' Brands Group, Inc. 2,606,643
56,229 Eldorado Resorts, Inc. (a) 2,537,052
81,408 Hilton Grand Vacations,
Inc. (a) 2,662,042
25,522 Hyatt Hotels Corp., Class A 1,974,127
134,495 Penn National Gaming, Inc. (a) 2,625,342
35,758 Planet Fitness, Inc.,
Class A (a) 2,812,724
132,299 Wendy's (The) Co. 2,406,519
See Notes to Financial Statements Page 39
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
46,473 Wyndham Hotels & Resorts,
Inc. $ 2,628,048
---------------
28,091,151
---------------
HOUSEHOLD DURABLES -- 1.5%
9,919 Helen of Troy Ltd. (a) 1,470,789
33,755 Leggett & Platt, Inc. 1,349,187
102,405 PulteGroup, Inc. 3,226,782
35,747 Roku, Inc. (a) 3,693,738
88,423 Toll Brothers, Inc. 3,180,575
---------------
12,921,071
---------------
INDUSTRIAL CONGLOMERATES
-- 0.1%
9,226 Carlisle Cos., Inc. 1,330,481
---------------
INSURANCE -- 4.9%
95,377 American Equity Investment
Life Holding Co. 2,460,727
12,639 American Financial Group, Inc. 1,293,981
27,804 American National Insurance
Co. 3,364,840
6,087 Assurant, Inc. 690,022
61,562 Assured Guaranty Ltd. 2,689,644
75,199 Athene Holding Ltd.,
Class A (a) 3,072,631
10,855 Axis Capital Holdings Ltd. 691,138
17,653 Brighthouse Financial, Inc. (a) 691,468
57,996 Brown & Brown, Inc. 2,083,796
11,147 Enstar Group Ltd. (a) 1,974,691
12,734 Erie Indemnity Co., Class A 2,836,753
48,238 First American Financial Corp. 2,789,121
5,047 Hanover Insurance Group (The),
Inc. 654,646
37,524 Kemper Corp. 3,302,862
10,361 Mercury General Corp. 587,572
112,919 National General Holdings Corp. 2,792,487
144,682 Old Republic International Corp. 3,300,196
16,195 Primerica, Inc. 1,986,965
3,639 RenaissanceRe Holdings Ltd. 659,205
8,648 Selective Insurance Group, Inc. 650,330
57,908 Unum Group 1,850,161
2,536 White Mountains Insurance
Group Ltd. 2,728,736
---------------
43,151,972
---------------
INTERACTIVE MEDIA & SERVICES
-- 1.1%
48,134 Match Group, Inc. 3,624,009
226,437 Snap, Inc., Class A (a) 3,804,141
41,879 Zillow Group, Inc., Class C (a) 2,092,275
---------------
9,520,425
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.6%
31,655 Etsy, Inc. (a) 2,121,518
8,302 GrubHub, Inc. (a) 561,464
22,180 Wayfair, Inc., Class A (a) 2,909,129
---------------
5,592,111
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES -- 3.1%
21,532 Black Knight, Inc. (a) $ 1,363,406
48,903 Booz Allen Hamilton Holding
Corp. 3,362,081
6,330 CACI International, Inc.,
Class A (a) 1,361,900
15,481 CoreLogic, Inc. (a) 705,469
14,964 EPAM Systems, Inc. (a) 2,899,874
19,245 Euronet Worldwide, Inc. (a) 3,000,488
17,002 Genpact Ltd. 674,639
16,220 Leidos Holdings, Inc. 1,331,662
17,857 MAXIMUS, Inc. 1,312,668
17,033 MongoDB, Inc. (a) 2,439,466
26,218 Okta, Inc. (a) 3,430,101
55,326 Perspecta, Inc. 1,290,756
29,171 Sabre Corp. 685,810
65,121 Western Union (The) Co. 1,367,541
9,335 WEX, Inc. (a) 2,035,684
---------------
27,261,545
---------------
LEISURE PRODUCTS -- 0.3%
28,225 Brunswick Corp. 1,387,541
14,197 Polaris Industries, Inc. 1,344,030
---------------
2,731,571
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.3%
4,145 Bio-Rad Laboratories, Inc.,
Class A (a) 1,305,261
9,317 Bio-Techne Corp. 1,957,968
64,826 Bruker Corp. 3,101,924
13,691 Charles River Laboratories
International, Inc. (a) 1,841,987
6,530 PRA Health Sciences, Inc. (a) 652,412
50,701 Syneos Health, Inc. (a) 2,590,314
---------------
11,449,866
---------------
MACHINERY -- 4.3%
25,044 AGCO Corp. 1,928,388
41,916 Allison Transmission Holdings,
Inc. 1,926,040
45,979 Barnes Group, Inc. 2,392,747
46,207 Colfax Corp. (a) 1,279,010
31,046 Crane Co. 2,598,550
25,468 Donaldson Co., Inc. 1,272,127
18,716 Gardner Denver Holdings,
Inc. (a) 617,066
12,905 Graco, Inc. 620,472
49,099 Hillenbrand, Inc. 1,654,145
19,780 ITT, Inc. 1,234,668
87,536 Kennametal, Inc. 3,026,995
7,867 Lincoln Electric Holdings, Inc. 664,919
4,772 Middleby (The) Corp. (a) 641,261
75,194 Navistar International
Corp. (a) 2,349,061
4,583 Nordson Corp. 649,228
38,782 Oshkosh Corp. 3,241,012
5,582 Proto Labs, Inc. (a) 581,086
11,646 RBC Bearings, Inc. (a) 1,894,688
63,072 Timken (The) Co. 2,883,021
9,680 Toro (The) Co. 704,898
Page 40 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
124,842 Trinity Industries, Inc. $ 2,446,903
28,613 Woodward, Inc. 3,205,800
---------------
37,812,085
---------------
MARINE -- 0.1%
8,198 Kirby Corp. (a) 642,395
---------------
MEDIA -- 1.6%
11,884 AMC Networks, Inc.,
Class A (a) 634,368
2,210 Cable One, Inc. 2,689,128
67,438 DISH Network Corp.,
Class A (a) 2,283,451
57,334 Interpublic Group of Cos.
(The), Inc. 1,314,095
150,695 Liberty Latin America Ltd.,
Class C (a) 2,471,398
39,707 New York Times (The) Co.,
Class A 1,416,746
96,013 News Corp., Class A 1,263,531
19,234 Nexstar Media Group, Inc.,
Class A 1,957,444
---------------
14,030,161
---------------
METALS & MINING -- 2.1%
110,652 Alcoa Corp. (a) 2,488,563
102,793 Allegheny Technologies,
Inc. (a) 2,237,804
242,775 Cleveland-Cliffs, Inc. (b) 2,587,982
34,220 Reliance Steel & Aluminum Co. 3,420,289
12,636 Royal Gold, Inc. 1,446,190
107,220 Steel Dynamics, Inc. 3,378,502
211,496 United States Steel Corp. 3,178,785
---------------
18,738,115
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.9%
36,404 Blackstone Mortgage Trust,
Inc., Class A 1,293,070
68,640 Chimera Investment Corp. 1,323,379
360,785 MFA Financial, Inc. 2,590,437
126,239 New Residential Investment
Corp. 1,980,690
28,505 Starwood Property Trust, Inc. 662,171
---------------
7,849,747
---------------
MULTILINE RETAIL -- 0.8%
150,886 Macy's, Inc. 3,429,639
60,980 Nordstrom, Inc. 2,019,048
22,302 Ollie's Bargain Outlet Holdings,
Inc. (a) 1,888,756
---------------
7,337,443
---------------
MULTI-UTILITIES -- 0.7%
58,079 Avista Corp. 2,673,376
16,570 Black Hills Corp. 1,311,516
35,905 NorthWestern Corp. 2,510,478
---------------
6,495,370
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
-- 3.4%
585,539 Antero Resources Corp. (a) $ 2,699,335
1,660,525 Chesapeake Energy Corp. (a) (b) 3,005,550
54,575 Cimarex Energy Co. 2,765,315
64,774 CVR Energy, Inc. 3,437,556
79,909 Delek US Holdings, Inc. 3,442,480
163,847 EQT Corp. 2,475,728
131,361 Murphy Oil Corp. 3,157,918
34,067 Parsley Energy, Inc.,
Class A (a) 565,172
103,452 PBF Energy, Inc., Class A 2,889,414
134,358 Peabody Energy Corp. 2,829,580
173,344 Whiting Petroleum Corp. (a) (b) 3,064,722
---------------
30,332,770
---------------
PAPER & FOREST PRODUCTS -- 0.7%
72,717 Domtar Corp. 3,086,837
123,495 Louisiana-Pacific Corp. 3,228,159
---------------
6,314,996
---------------
PERSONAL PRODUCTS -- 0.2%
48,330 Coty, Inc., Class A 527,280
26,263 Nu Skin Enterprises, Inc.,
Class A 1,049,995
---------------
1,577,275
---------------
PHARMACEUTICALS -- 0.4%
53,832 Horizon Therapeutics PLC (a) 1,339,878
4,542 Jazz Pharmaceuticals PLC (a) 633,064
18,200 Nektar Therapeutics (a) 517,972
27,199 Perrigo Co., PLC 1,469,018
---------------
3,959,932
---------------
PROFESSIONAL SERVICES -- 1.8%
32,060 ASGN, Inc. (a) 2,021,383
11,061 Exponent, Inc. 760,997
38,622 FTI Consulting, Inc. (a) 4,034,068
21,209 Insperity, Inc. 2,255,577
26,813 ManpowerGroup, Inc. 2,449,367
22,721 Robert Half International, Inc. 1,372,576
47,759 TriNet Group, Inc. (a) 3,512,197
---------------
16,406,165
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.3%
18,414 Jones Lang LaSalle, Inc. 2,682,736
---------------
ROAD & RAIL -- 1.4%
6,843 AMERCO 2,648,241
12,952 Genesee & Wyoming, Inc.,
Class A (a) 1,422,259
98,601 Knight-Swift Transportation
Holdings, Inc. 3,533,860
17,990 Landstar System, Inc. 2,001,747
55,539 Ryder System, Inc. 2,958,007
---------------
12,564,114
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.0%
11,767 Cabot Microelectronics Corp. 1,431,456
23,053 Cree, Inc. (a) 1,433,436
52,058 Entegris, Inc. 2,265,044
See Notes to Financial Statements Page 41
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
33,257 MKS Instruments, Inc. $ 2,831,168
4,768 Monolithic Power Systems, Inc. 706,427
64,089 ON Semiconductor Corp. (a) 1,378,554
29,166 Qorvo, Inc. (a) 2,137,576
18,790 Silicon Laboratories, Inc. (a) 2,108,426
27,036 Teradyne, Inc. 1,506,716
10,330 Universal Display Corp. 2,180,456
---------------
17,979,259
---------------
SOFTWARE -- 6.4%
12,103 Alarm.com Holdings, Inc. (a) 604,061
29,673 Alteryx, Inc., Class A (a) 3,487,764
20,844 Aspen Technology, Inc. (a) 2,748,698
44,846 Avalara, Inc. (a) 3,654,052
7,753 Blackbaud, Inc. 705,523
48,408 Blackline, Inc. (a) 2,158,997
12,900 Ceridian HCM Holding, Inc. (a) 687,699
11,179 Cornerstone OnDemand, Inc. (a) 661,797
25,573 Coupa Software, Inc. (a) 3,470,512
13,029 DocuSign, Inc. (a) 673,860
51,703 Dropbox, Inc., Class A (a) 1,218,123
10,309 Fair Isaac Corp. (a) 3,581,553
25,254 Five9, Inc. (a) 1,246,790
19,166 Guidewire Software, Inc. (a) 1,956,465
11,393 HubSpot, Inc. (a) 2,036,157
14,572 j2 Global, Inc. 1,298,219
37,364 Manhattan Associates, Inc. (a) 3,175,566
14,283 Paycom Software, Inc. (a) 3,438,632
27,609 Paylocity Holding Corp. (a) 2,818,603
10,773 Proofpoint, Inc. (a) 1,359,553
7,438 Qualys, Inc. (a) 643,833
11,006 RealPage, Inc. (a) 687,655
22,540 RingCentral, Inc., Class A (a) 3,200,229
14,215 Trade Desk (The), Inc.,
Class A (a) 3,742,952
2,997 Tyler Technologies, Inc. (a) 699,350
12,044 Verint Systems, Inc. (a) 696,986
29,094 Zendesk, Inc. (a) 2,431,095
42,251 Zscaler, Inc. (a) 3,560,492
---------------
56,645,216
---------------
SPECIALTY RETAIL -- 3.5%
31,635 Aaron's, Inc. 1,994,587
191,601 American Eagle Outfitters, Inc. 3,389,422
77,206 AutoNation, Inc. (a) 3,758,388
93,504 Dick's Sporting Goods, Inc. 3,475,544
10,794 Five Below, Inc. (a) 1,267,863
46,365 Floor & Decor Holdings, Inc.,
Class A (a) 1,815,190
77,244 Foot Locker, Inc. 3,171,638
49,627 L Brands, Inc. 1,287,821
68,454 Penske Automotive Group, Inc. 3,146,830
11,205 RH (a) 1,561,977
142,332 Urban Outfitters, Inc. (a) 3,388,925
39,852 Williams-Sonoma, Inc. 2,657,331
---------------
30,915,516
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.4%
25,498 Dell Technologies, Inc.,
Class C (a) $ 1,472,255
73,155 Xerox Corp. 2,348,275
---------------
3,820,530
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.9%
19,920 Carter's, Inc. 1,852,959
12,931 Columbia Sportswear Co. 1,370,427
18,403 Deckers Outdoor Corp. (a) 2,876,021
75,216 Hanesbrands, Inc. 1,210,226
34,213 PVH Corp. 3,042,220
17,106 Ralph Lauren Corp. 1,782,958
82,261 Skechers U.S.A., Inc.,
Class A (a) 3,120,982
38,151 Steven Madden Ltd. 1,316,591
---------------
16,572,384
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.6%
68,910 Essent Group Ltd. (a) 3,180,886
7,711 LendingTree, Inc. (a) 2,487,106
246,426 MGIC Investment Corp. (a) 3,166,574
194,673 New York Community Bancorp,
Inc. 2,244,580
141,708 Radian Group, Inc. 3,230,942
---------------
14,310,088
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.4%
78,328 Air Lease Corp. 3,273,327
32,669 GATX Corp. 2,510,939
32,153 HD Supply Holdings, Inc. (a) 1,302,518
34,885 MSC Industrial Direct Co.,
Inc., Class A 2,478,579
59,306 Triton International Ltd. 1,961,843
3,958 Watsco, Inc. 643,650
---------------
12,170,856
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.3%
63,895 Macquarie Infrastructure Corp. 2,647,809
---------------
WATER UTILITIES -- 0.1%
31,310 Aqua America, Inc. 1,313,455
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.5%
106,515 Telephone & Data Systems, Inc. 3,444,695
14,498 United States Cellular
Corp. (a) 694,309
---------------
4,139,004
---------------
TOTAL COMMON STOCKS
-- 99.8% 885,696,382
(Cost $822,468,547) ---------------
MONEY MARKET FUNDS -- 0.4%
1,174,355 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) 1,174,355
Page 42 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS (CONTINUED)
1,797,731 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 2.15% (c) $ 1,797,731
---------------
TOTAL MONEY MARKET FUNDS
-- 0.4% 2,972,086
(Cost $2,972,086) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.1%
$ 9,613,645 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $9,614,321.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $9,809,304. (d) 9,613,645
(Cost $9,613,645) ---------------
TOTAL INVESTMENTS -- 101.3% 898,282,113
(Cost $835,054,278) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.3)% (11,105,736)
---------------
NET ASSETS -- 100.0% $ 887,176,377
===============
(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 $10,288,809 and the total value of the collateral held by
the Fund is $10,788,000.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $839,328,028. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $103,190,251 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $44,236,166. The net
unrealized appreciation was $58,954,085.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 885,696,382 $ -- $ --
Money Market
Funds 2,972,086 -- --
Repurchase
Agreements -- 9,613,645 --
--------------------------------------------
Total Investments $ 888,668,468 $ 9,613,645 $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 43
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
---------------------------------
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) $ 10,288,809
Non-cash Collateral(2) (10,288,809)
---------------
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, 2019, 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) $ 9,613,645
Non-cash Collateral(4) (9,613,645)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, 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 SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 0.5%
17,661 Cubic Corp. $ 1,169,158
66,337 Kratos Defense & Security
Solutions, Inc. (a) 1,635,207
---------------
2,804,365
---------------
AIR FREIGHT & LOGISTICS -- 0.8%
31,115 Air Transport Services Group,
Inc. (a) 725,291
42,519 Atlas Air Worldwide Holdings,
Inc. (a) 1,940,992
12,835 Forward Air Corp. 808,605
36,171 Hub Group, Inc., Class A (a) 1,640,355
---------------
5,115,243
---------------
AIRLINES -- 0.6%
10,582 Allegiant Travel Co. 1,585,713
69,196 Hawaiian Holdings, Inc. 1,798,404
---------------
3,384,117
---------------
AUTO COMPONENTS -- 2.2%
119,000 American Axle & Manufacturing
Holdings, Inc. (a) 1,436,330
48,128 Cooper Tire & Rubber Co. 1,295,606
41,424 Cooper-Standard Holdings,
Inc. (a) 2,049,660
95,188 Dana, Inc. 1,590,592
23,004 Fox Factory Holding Corp. (a) 1,842,160
9,075 Gentherm, Inc. (a) 371,258
12,654 LCI Industries 1,159,486
16,745 Standard Motor Products, Inc. 770,437
136,920 Tenneco, Inc., Class A 1,237,757
19,441 Visteon Corp. (a) 1,280,773
---------------
13,034,059
---------------
AUTOMOBILES -- 0.3%
49,108 Winnebago Industries, Inc. 1,979,052
---------------
BANKS -- 7.0%
24,544 1st Source Corp. 1,152,341
29,059 Ameris Bancorp 1,155,676
21,489 Atlantic Union Bankshares Corp. 817,227
20,460 BancFirst Corp. 1,193,636
24,187 Berkshire Hills Bancorp, Inc. 793,334
94,352 Boston Private Financial
Holdings, Inc. 1,088,822
49,364 Brookline Bancorp, Inc. 732,068
36,501 Cadence BanCorp 625,627
16,483 CenterState Bank Corp. 400,867
4,978 City Holding Co. 385,546
14,026 Eagle Bancorp, Inc. 565,388
20,744 FB Financial Corp. 788,480
20,846 First Bancorp 770,051
103,155 First BanCorp 1,109,948
28,748 First Busey Corp. 777,059
84,545 First Commonwealth Financial
Corp. 1,164,185
19,168 First Interstate BancSystem,
Inc., Class A 767,295
20,032 First Merchants Corp. 789,461
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
55,634 First Midwest Bancorp, Inc. $ 1,203,363
42,510 Great Western Bancorp, Inc. 1,437,688
25,460 Heartland Financial USA, Inc. 1,224,371
12,851 Heritage Financial Corp. 366,511
35,694 Hilltop Holdings, Inc. 809,540
110,192 Hope Bancorp, Inc. 1,625,332
4,985 Independent Bank Corp. 387,634
13,814 Independent Bank Group, Inc. 784,773
40,267 International Bancshares Corp. 1,515,247
16,212 Lakeland Financial Corp. 745,590
31,373 National Bank Holdings Corp.,
Class A 1,138,213
20,240 NBT Bancorp, Inc. 783,288
31,940 OFG Bancorp 722,802
36,879 Pacific Premier Bancorp, Inc. 1,166,483
3,819 Park National Corp. 361,239
31,687 Renasant Corp. 1,137,246
20,257 S&T Bancorp, Inc. 771,184
32,650 Sandy Spring Bancorp, Inc. 1,189,766
11,080 ServisFirst Bancshares, Inc. 377,385
65,281 Simmons First National Corp.,
Class A 1,680,986
15,459 South State Corp. 1,237,802
11,723 Southside Bancshares, Inc. 405,850
9,304 Tompkins Financial Corp. 762,649
41,746 TowneBank 1,174,732
20,085 TriCo Bancshares 758,209
22,834 Trustmark Corp. 811,520
26,583 United Community Banks, Inc. 762,932
14,628 Veritex Holdings, Inc. 374,331
29,542 WesBanco, Inc. 1,080,646
6,161 Westamerica Bancorporation 394,920
---------------
42,269,243
---------------
BEVERAGES -- 0.7%
5,024 Boston Beer (The) Co., Inc.,
Class A (a) 1,971,016
6,342 Coca-Cola Consolidated, Inc. 1,861,567
5,725 MGP Ingredients, Inc. 286,193
---------------
4,118,776
---------------
BIOTECHNOLOGY -- 3.9%
30,417 Amicus Therapeutics, Inc. (a) 377,171
32,373 Arena Pharmaceuticals, Inc. (a) 2,029,140
71,625 Arrowhead Pharmaceuticals,
Inc. (a) 2,081,422
52,739 CareDx, Inc. (a) 1,728,257
85,885 Coherus Biosciences, Inc. (a) 1,444,586
8,060 CRISPR Therapeutics AG (a) (b) 408,561
36,571 Denali Therapeutics, Inc. (a) 780,791
15,344 Editas Medicine, Inc. (a) 387,436
4,499 Enanta Pharmaceuticals,
Inc. (a) 337,515
93,500 Fate Therapeutics, Inc. (a) 2,061,675
22,096 Halozyme Therapeutics, Inc. (a) 375,411
64,615 Invitae Corp. (a) 1,737,497
20,818 Medicines (The) Co. (a) 746,117
11,056 Mirati Therapeutics, Inc. (a) 1,169,725
13,665 Myriad Genetics, Inc. (a) 398,198
13,992 Portola Pharmaceuticals,
Inc. (a) 373,307
See Notes to Financial Statements Page 45
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BIOTECHNOLOGY (CONTINUED)
25,307 PTC Therapeutics, Inc. (a) $ 1,219,038
22,083 Repligen Corp. (a) 2,084,414
35,247 Sangamo Therapeutics, Inc. (a) 423,316
11,957 Ultragenyx Pharmaceutical,
Inc. (a) 720,529
14,572 uniQure N.V. (a) 854,648
37,098 Xencor, Inc. (a) 1,633,054
---------------
23,371,808
---------------
BUILDING PRODUCTS -- 2.5%
30,260 AAON, Inc. 1,537,208
46,308 Advanced Drainage Systems,
Inc. 1,524,923
17,944 American Woodmark Corp. (a) 1,522,548
17,477 Apogee Enterprises, Inc. 708,867
90,062 Builders FirstSource, Inc. (a) 1,547,265
28,574 Continental Building Products,
Inc. (a) 702,349
260,452 Cornerstone Building Brands,
Inc. (a) 1,515,831
18,812 Gibraltar Industries, Inc. (a) 779,569
53,642 JELD-WEN Holding, Inc. (a) 1,175,296
30,869 Patrick Industries, Inc. (a) 1,415,961
68,112 PGT Innovations, Inc. (a) 1,097,965
39,895 Universal Forest Products, Inc. 1,612,955
---------------
15,140,737
---------------
CAPITAL MARKETS -- 1.7%
13,794 Artisan Partners Asset
Management, Inc., Class A 408,165
217,749 BGC Partners, Inc., Class A 1,199,797
12,499 Blucora, Inc. (a) 374,220
22,139 Cohen & Steers, Inc. 1,159,419
19,959 Hamilton Lane, Inc., Class A 1,171,593
17,050 Houlihan Lokey, Inc. 784,300
9,916 Legg Mason, Inc. 373,437
21,723 Moelis & Co., Class A 791,586
15,333 Piper Jaffray Cos. 1,185,241
74,726 TCG BDC, Inc. 1,129,857
113,860 Waddell & Reed Financial, Inc.,
Class A 1,992,550
---------------
10,570,165
---------------
CHEMICALS -- 2.2%
77,694 AdvanSix, Inc. (a) 1,992,074
10,580 Chase Corp. 1,095,876
24,026 Ferro Corp. (a) 353,903
16,767 GCP Applied Technologies,
Inc. (a) 369,377
24,544 H.B. Fuller Co. 1,173,449
8,321 Innospec, Inc. 777,015
99,115 Kronos Worldwide, Inc. 1,329,132
35,471 Minerals Technologies, Inc. 1,888,831
24,187 PolyOne Corp. 792,608
47,900 PQ Group Holdings, Inc. (a) 746,761
12,390 Stepan Co. 1,228,469
44,829 Trinseo S.A. 1,739,813
---------------
13,487,308
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.6%
18,981 ABM Industries, Inc. $ 798,910
241,175 ACCO Brands Corp. 2,358,691
23,091 Brady Corp., Class A 1,194,497
20,289 BrightView Holdings, Inc. (a) 400,911
38,316 Casella Waste Systems, Inc.,
Class A (a) 1,670,578
4,177 Cimpress N.V. (a) 402,872
63,586 Covanta Holding Corp. 1,094,951
37,344 Deluxe Corp. 1,666,289
25,477 Herman Miller, Inc. 1,155,127
32,188 HNI Corp. 1,102,117
49,525 Interface, Inc. 686,417
49,558 Knoll, Inc. 1,201,782
43,571 Matthews International Corp.,
Class A 1,487,950
18,324 McGrath RentCorp 1,248,048
177,387 Pitney Bowes, Inc. 718,417
88,798 Steelcase, Inc., Class A 1,501,574
8,053 UniFirst Corp. 1,585,394
12,752 US Ecology, Inc. 811,410
5,731 Viad Corp. 396,241
---------------
21,482,176
---------------
COMMUNICATIONS EQUIPMENT
-- 0.8%
34,260 EchoStar Corp., Class A (a) 1,559,515
5,895 InterDigital, Inc. 379,815
15,010 NETGEAR, Inc. (a) 508,089
14,951 NetScout Systems, Inc. (a) 389,324
142,818 Viavi Solutions, Inc. (a) 2,095,140
---------------
4,931,883
---------------
CONSTRUCTION & ENGINEERING
-- 1.0%
29,779 Comfort Systems USA, Inc. 1,250,718
19,345 Dycom Industries, Inc. (a) 1,067,070
7,879 Granite Construction, Inc. 279,705
72,549 Primoris Services Corp. 1,520,627
126,200 WillScot Corp. (a) 2,009,104
---------------
6,127,224
---------------
CONSTRUCTION MATERIALS -- 0.1%
39,440 Summit Materials, Inc.,
Class A (a) 727,274
---------------
CONSUMER FINANCE -- 0.7%
56,040 Encore Capital Group, Inc. (a) 2,016,319
19,230 Nelnet, Inc., Class A 1,203,029
26,981 PRA Group, Inc. (a) 839,919
2,313 World Acceptance Corp. (a) 293,126
---------------
4,352,393
---------------
CONTAINERS & PACKAGING -- 0.3%
46,650 Greif, Inc., Class A 1,630,884
---------------
DISTRIBUTORS -- 0.1%
9,557 Core-Mark Holding Co., Inc. 357,719
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.8%
49,932 K12, Inc. (a) 1,490,470
Page 46 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
(CONTINUED)
96,654 Laureate Education, Inc.,
Class A (a) $ 1,584,159
8,530 Strategic Education, Inc. 1,518,255
---------------
4,592,884
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.2%
13,099 Cannae Holdings, Inc. (a) 379,216
90,383 FGL Holdings 736,621
---------------
1,115,837
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.7%
6,575 ATN International, Inc. 369,975
19,185 Cogent Communications
Holdings, Inc. 1,208,847
48,961 Iridium Communications,
Inc. (a) 1,245,568
100,515 Vonage Holdings Corp. (a) 1,246,386
---------------
4,070,776
---------------
ELECTRIC UTILITIES -- 0.3%
10,389 MGE Energy, Inc. 770,344
14,376 Otter Tail Corp. 767,391
---------------
1,537,735
---------------
ELECTRICAL EQUIPMENT -- 1.1%
73,369 Atkore International Group,
Inc. (a) 2,002,240
24,746 AZZ, Inc. 1,152,669
25,921 Encore Wire Corp. 1,423,581
101,175 Sunrun, Inc. (a) 1,927,384
---------------
6,505,874
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 4.2%
25,431 Anixter International, Inc. (a) 1,636,739
19,079 Badger Meter, Inc. 1,020,536
25,490 Belden, Inc. 1,158,775
75,560 Benchmark Electronics, Inc. 2,044,654
13,763 CTS Corp. 433,810
22,025 ePlus, Inc. (a) 1,671,698
15,286 Fabrinet (a) 820,552
20,767 II-VI, Inc. (a) 824,450
26,090 Insight Enterprises, Inc. (a) 1,435,472
100,907 KEMET Corp. 2,030,249
62,197 Knowles Corp. (a) 1,265,709
66,435 Methode Electronics, Inc. 1,989,728
16,852 OSI Systems, Inc. (a) 1,896,861
26,014 Plexus Corp. (a) 1,553,296
2,200 Rogers Corp. (a) 349,052
50,147 Sanmina Corp. (a) 1,592,167
46,635 ScanSource, Inc. (a) 1,583,258
186,084 TTM Technologies, Inc. (a) 1,946,439
22,978 Vishay Intertechnology, Inc. 390,626
---------------
25,644,071
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES
-- 2.3%
143,249 Archrock, Inc. $ 1,572,874
11,461 Cactus, Inc., Class A (a) 336,610
42,798 Diamond Offshore Drilling,
Inc. (a) (b) 386,894
175,949 Helix Energy Solutions Group,
Inc. (a) 1,541,313
93,847 Liberty Oilfield Services, Inc.,
Class A 1,327,935
275,879 Mammoth Energy Services, Inc. 1,787,696
196,485 McDermott International,
Inc. (a) 1,261,434
523,600 Nabors Industries Ltd. 1,549,856
62,231 Oil States International,
Inc. (a) 928,486
91,693 ProPetro Holding Corp. (a) 1,662,394
263,252 RPC, Inc. 1,626,897
---------------
13,982,389
---------------
ENTERTAINMENT -- 0.1%
52,871 Glu Mobile, Inc. (a) 394,418
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.2%
13,870 Acadia Realty Trust 389,331
16,112 American Assets Trust, Inc. 747,597
31,927 CareTrust REIT, Inc. 741,664
80,468 Chatham Lodging Trust 1,437,158
73,142 CoreCivic, Inc. 1,241,220
146,851 DiamondRock Hospitality Co. 1,478,789
12,341 Getty Realty Corp. 369,983
58,044 Global Net Lease, Inc. 1,133,019
53,884 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. 1,479,116
131,239 Independence Realty Trust, Inc. 1,620,802
72,932 Industrial Logistics Properties
Trust 1,559,286
75,270 Kite Realty Group Trust 1,197,546
40,341 Lexington Realty Trust 398,166
81,496 Mack-Cali Realty Corp. 1,937,975
13,117 National Storage Affiliates
Trust 397,314
57,802 Office Properties Income Trust 1,628,282
19,047 Piedmont Office Realty Trust,
Inc., Class A 396,368
29,215 PotlatchDeltic Corp. 1,075,696
8,220 QTS Realty Trust, Inc., Class A 380,422
94,040 RPT Realty 1,151,990
13,526 Saul Centers, Inc. 741,089
8,836 Seritage Growth Properties,
Class A 369,080
28,672 SITE Centers Corp. 408,576
165,479 Summit Hotel Properties, Inc. 1,838,472
46,837 Tanger Factory Outlet Centers,
Inc. (b) 743,771
23,223 Terreno Realty Corp. 1,134,676
13,409 Universal Health Realty Income
Trust 1,235,773
496,871 Washington Prime Group,
Inc. (b) 1,803,642
See Notes to Financial Statements Page 47
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
14,201 Washington Real Estate
Investment Trust $ 382,717
91,033 Xenia Hotels & Resorts, Inc. 1,950,837
---------------
31,370,357
---------------
FOOD & STAPLES RETAILING
-- 1.0%
55,743 Andersons (The), Inc. 1,496,700
43,298 Chefs' Warehouse (The),
Inc. (a) 1,579,078
22,278 PriceSmart, Inc. 1,358,958
52,130 Weis Markets, Inc. 1,900,138
---------------
6,334,874
---------------
FOOD PRODUCTS -- 1.1%
91,252 B&G Foods, Inc. (b) 1,668,086
3,924 Calavo Growers, Inc. 347,039
9,099 Cal-Maine Foods, Inc. 361,867
28,172 Fresh Del Monte Produce, Inc. 854,457
33,365 Freshpet, Inc. (a) 1,506,430
26,289 Hostess Brands, Inc. (a) 371,201
47,293 Simply Good Foods (The)
Co. (a) 1,287,788
10,279 Tootsie Roll Industries, Inc. 384,023
---------------
6,780,891
---------------
GAS UTILITIES -- 0.3%
11,986 Chesapeake Utilities Corp. 1,120,212
10,924 Northwest Natural Holding Co. 780,192
---------------
1,900,404
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 2.0%
12,722 AtriCure, Inc. (a) 408,122
446 Atrion Corp. 343,197
35,371 Cardiovascular Systems,
Inc. (a) 1,621,053
13,309 CONMED Corp. 1,162,541
38,050 CryoLife, Inc. (a) 1,096,601
15,104 Glaukos Corp. (a) 1,233,695
14,401 iRhythm Technologies, Inc. (a) 1,197,299
11,711 Nevro Corp. (a) 782,997
6,485 NuVasive, Inc. (a) 431,901
12,799 Quidel Corp. (a) 755,525
26,676 Tactile Systems Technology,
Inc. (a) 1,540,272
23,534 Tandem Diabetes Care, Inc. (a) 1,492,762
---------------
12,065,965
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 2.1%
105,301 Brookdale Senior Living,
Inc. (a) 820,295
21,814 CorVel Corp. (a) 1,858,553
33,346 Ensign Group (The), Inc. 2,009,430
10,228 Magellan Health, Inc. (a) 719,438
18,711 National HealthCare Corp. 1,639,084
33,154 Patterson Cos., Inc. 656,449
9,706 Premier, Inc., Class A (a) 376,107
71,760 Select Medical Holdings
Corp. (a) 1,201,262
115,453 Tivity Health, Inc. (a) 2,014,655
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
12,388 US Physical Therapy, Inc. $ 1,599,043
---------------
12,894,316
---------------
HEALTH CARE TECHNOLOGY -- 1.1%
32,641 Allscripts Healthcare
Solutions, Inc. (a) 336,202
35,160 HMS Holdings Corp. (a) 1,227,084
104,647 Inovalon Holdings, Inc.,
Class A (a) 1,569,705
25,036 Inspire Medical Systems,
Inc. (a) 1,693,185
57,228 NextGen Healthcare, Inc. (a) 936,250
13,238 Omnicell, Inc. (a) 995,630
---------------
6,758,056
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.1%
20,075 Bloomin' Brands, Inc. 341,877
9,647 Brinker International, Inc. 384,433
26,048 Cheesecake Factory (The), Inc. 1,122,148
9,380 Dave & Buster's Entertainment,
Inc. 381,297
92,452 Denny's Corp. (a) 2,088,490
19,881 Dine Brands Global, Inc. 1,632,031
35,345 Red Rock Resorts, Inc., Class A 736,590
19,153 Scientific Games Corp. (a) 391,679
61,228 SeaWorld Entertainment,
Inc. (a) 1,871,740
26,289 Shake Shack, Inc., Class A (a) 1,962,737
20,032 Wingstop, Inc. 1,914,859
---------------
12,827,881
---------------
HOUSEHOLD DURABLES -- 2.8%
4,819 Cavco Industries, Inc. (a) 854,650
6,410 Installed Building Products,
Inc. (a) 341,525
8,285 iRobot Corp. (a) 605,633
73,768 KB Home 1,937,885
37,144 La-Z-Boy, Inc. 1,225,380
21,258 LGI Homes, Inc. (a) 1,494,225
57,903 M.D.C. Holdings, Inc. 2,092,614
36,970 Meritage Homes Corp. (a) 2,322,086
90,556 Taylor Morrison Home Corp. (a) 2,039,321
9,174 TopBuild Corp. (a) 744,287
158,567 TRI Pointe Group, Inc. (a) 2,170,782
59,844 Tupperware Brands Corp. 916,212
---------------
16,744,600
---------------
HOUSEHOLD PRODUCTS -- 0.3%
61,625 Central Garden & Pet Co.,
Class A (a) 1,697,769
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS
-- 0.6%
45,031 Clearway Energy, Inc., Class C 811,458
65,762 Pattern Energy Group, Inc.,
Class A 1,507,923
79,639 TerraForm Power, Inc., Class A 1,227,237
---------------
3,546,618
---------------
Page 48 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE -- 2.1%
5,952 AMERISAFE, Inc. $ 387,237
10,252 Argo Group International
Holdings Ltd. 701,647
22,045 eHealth, Inc. (a) 2,287,169
44,903 Employers Holdings, Inc. 1,971,242
11,900 FBL Financial Group, Inc.,
Class A 746,130
9,422 Horace Mann Educators Corp. 409,292
8,094 James River Group Holdings
Ltd. 387,136
20,749 Kinsale Capital Group, Inc. 1,864,505
5,909 National Western Life Group,
Inc., Class A 1,589,521
10,513 ProAssurance Corp. 410,953
11,972 Safety Insurance Group, Inc. 1,181,157
10,846 State Auto Financial Corp. 375,055
7,834 United Fire Group, Inc. 409,483
---------------
12,720,527
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.5%
77,000 Cars.com, Inc. (a) 1,463,000
95,801 QuinStreet, Inc. (a) 1,560,598
---------------
3,023,598
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.4%
70,690 Quotient Technology, Inc. (a) 743,659
59,333 Stitch Fix, Inc.,
Class A (a) (b) 1,547,404
---------------
2,291,063
---------------
IT SERVICES -- 1.2%
15,548 CSG Systems International, Inc. 796,679
46,435 EVERTEC, Inc. 1,486,849
5,741 ExlService Holdings, Inc. (a) 394,923
30,442 KBR, Inc. 803,060
11,530 ManTech International Corp.,
Class A 793,033
47,333 NIC, Inc. 858,621
55,539 Presidio, Inc. 777,546
55,296 Sykes Enterprises, Inc. (a) 1,564,324
---------------
7,475,035
---------------
LEISURE PRODUCTS -- 0.5%
28,912 Acushnet Holdings Corp. 738,991
66,366 Callaway Golf Co. 1,217,152
20,904 Sturm Ruger & Co., Inc. 1,181,076
---------------
3,137,219
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.0%
66,366 Accelerate Diagnostics,
Inc. (a) (b) 1,239,717
24,328 Cambrex Corp. (a) 1,065,566
29,013 Medpace Holdings, Inc. (a) 2,285,064
51,907 NeoGenomics, Inc. (a) 1,264,974
---------------
5,855,321
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY -- 4.1%
30,601 Actuant Corp., Class A $ 700,763
15,195 Alamo Group, Inc. 1,487,439
22,893 Albany International Corp.,
Class A 1,968,569
31,740 Altra Industrial Motion Corp. 911,890
9,875 Chart Industries, Inc. (a) 745,859
11,893 EnPro Industries, Inc. 844,879
22,973 ESCO Technologies, Inc. 1,919,624
56,764 Federal Signal Corp. 1,768,199
15,984 Franklin Electric Co., Inc. 749,010
62,436 Greenbrier (The) Cos., Inc. 1,805,025
69,171 Harsco Corp. (a) 1,622,752
32,718 Helios Technologies, Inc. 1,536,437
3,134 John Bean Technologies Corp. 371,880
12,541 Kadant, Inc. 1,172,082
62,616 Meritor, Inc. (a) 1,548,494
55,016 Milacron Holdings Corp. (a) 926,469
38,908 Mueller Industries, Inc. 1,174,633
38,657 Mueller Water Products, Inc.,
Class A 393,142
11,496 SPX Corp. (a) 401,210
9,068 SPX FLOW, Inc. (a) 367,798
5,190 Standex International Corp. 365,220
6,203 Tennant Co. 472,110
36,771 TriMas Corp. (a) 1,102,762
4,074 Watts Water Technologies, Inc.,
Class A 378,189
---------------
24,734,435
---------------
MARINE -- 0.3%
39,085 Matson, Inc. 1,598,967
---------------
MEDIA -- 2.1%
261,799 Entercom Communications
Corp., Class A 1,487,018
74,482 EW Scripps (The) Co., Class A 1,141,809
186,084 Gannett Co., Inc. 1,907,361
69,484 Gray Television, Inc. (a) 1,233,341
33,110 John Wiley & Sons, Inc.,
Class A 1,506,836
13,789 Meredith Corp. 756,465
45,681 Scholastic Corp. 1,560,920
21,235 Sinclair Broadcast Group, Inc.,
Class A 1,067,059
125,284 TEGNA, Inc. 1,903,064
---------------
12,563,873
---------------
METALS & MINING -- 2.1%
320,345 AK Steel Holding Corp. (a) 903,373
39,559 Carpenter Technology Corp. 1,780,550
174,935 Coeur Mining, Inc. (a) 804,701
106,334 Commercial Metals Co. 1,861,908
13,816 Compass Minerals International,
Inc. 771,624
632,682 Hecla Mining Co. 1,170,462
15,556 Kaiser Aluminum Corp. 1,497,576
5,598 Materion Corp. 347,804
72,666 Warrior Met Coal, Inc. 1,797,757
37,716 Worthington Industries, Inc. 1,516,937
---------------
12,452,692
---------------
See Notes to Financial Statements Page 49
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.0%
82,569 Apollo Commercial Real Estate
Finance, Inc. $ 1,553,949
31,320 Arbor Realty Trust, Inc. 381,791
38,114 KKR Real Estate Finance Trust,
Inc. 763,423
61,228 New York Mortgage Trust, Inc. 374,103
69,557 PennyMac Mortgage Investment
Trust 1,532,341
45,929 Redwood Trust, Inc. 777,119
19,679 TPG RE Finance Trust, Inc. 388,660
---------------
5,771,386
---------------
MULTILINE RETAIL -- 0.6%
66,342 Big Lots, Inc. 1,698,355
30,476 Dillard's, Inc., Class A (b) 2,218,043
---------------
3,916,398
---------------
OIL, GAS & CONSUMABLE FUELS
-- 4.4%
20,147 Arch Coal, Inc., Class A 1,796,306
35,812 Berry Petroleum Corp. 350,958
38,578 California Resources
Corp. (a) (b) 590,629
288,019 Callon Petroleum Co. (a) 1,417,053
189,427 Carrizo Oil & Gas, Inc. (a) 1,805,239
259,650 CNX Resources Corp. (a) 2,134,323
36,571 Contura Energy, Inc. (a) 1,310,339
1,530,684 Denbury Resources, Inc. (a) 1,729,673
386,568 Gulfport Energy Corp. (a) 1,461,227
181,632 Kosmos Energy Ltd. 1,091,608
57,285 Matador Resources Co. (a) 1,009,935
267,331 Oasis Petroleum, Inc. (a) 1,301,902
21,054 PDC Energy, Inc. (a) 604,881
105,009 QEP Resources, Inc. (a) 519,795
126,536 SemGroup Corp., Class A 1,603,211
151,602 SM Energy Co. 1,511,472
600,648 Southwestern Energy Co. (a) 1,321,426
382,671 SRC Energy, Inc. (a) 1,561,298
78,921 Talos Energy, Inc. (a) 1,624,194
42,225 World Fuel Services Corp. 1,648,464
---------------
26,393,933
---------------
PAPER & FOREST PRODUCTS -- 0.5%
27,008 Boise Cascade Co. 729,216
5,619 Neenah, Inc. 369,225
57,205 Schweitzer-Mauduit
International, Inc. 1,969,568
---------------
3,068,009
---------------
PERSONAL PRODUCTS -- 0.5%
56,343 Edgewell Personal Care Co. (a) 1,714,517
5,709 Inter Parfums, Inc. 395,520
5,918 Medifast, Inc. 660,745
---------------
2,770,782
---------------
PHARMACEUTICALS -- 0.6%
53,947 Amphastar Pharmaceuticals,
Inc. (a) 1,087,032
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PHARMACEUTICALS (CONTINUED)
26,072 Innoviva, Inc. (a) $ 309,735
26,186 Pacira BioSciences, Inc. (a) 1,149,304
12,070 Reata Pharmaceuticals, Inc.,
Class A (a) 1,094,145
---------------
3,640,216
---------------
PROFESSIONAL SERVICES -- 0.8%
58,133 CBIZ, Inc. (a) 1,358,568
7,535 Huron Consulting Group,
Inc. (a) 459,409
10,429 ICF International, Inc. 888,446
16,369 Navigant Consulting, Inc. 398,749
86,041 TrueBlue, Inc. (a) 1,701,031
---------------
4,806,203
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.4%
262,162 Realogy Holdings Corp. 1,365,864
21,113 Redfin Corp. (a) (b) 380,878
43,937 St Joe (The) Co. (a) 845,348
---------------
2,592,090
---------------
ROAD & RAIL -- 2.3%
67,522 ArcBest Corp. 2,020,933
10,797 Avis Budget Group, Inc. (a) 392,903
84,031 Heartland Express, Inc. 1,667,175
118,925 Hertz Global Holdings, Inc. (a) 1,845,716
104,576 Marten Transport Ltd. 2,098,840
23,480 Saia, Inc. (a) 1,791,524
104,059 Schneider National, Inc.,
Class B 2,008,339
61,070 Werner Enterprises, Inc. 2,024,471
---------------
13,849,901
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.3%
13,493 Advanced Energy Industries,
Inc. (a) 787,991
254,430 Amkor Technology, Inc. (a) 2,348,389
39,185 Brooks Automation, Inc. 1,520,378
17,373 Cirrus Logic, Inc. (a) 852,146
31,312 Diodes, Inc. (a) 1,333,891
24,225 FormFactor, Inc. (a) 406,495
22,731 Inphi Corp. (a) 1,368,633
104,074 Lattice Semiconductor Corp. (a) 2,012,791
9,468 Power Integrations, Inc. 862,251
52,109 Synaptics, Inc. (a) 1,676,868
36,873 Xperi Corp. 787,239
---------------
13,957,072
---------------
SOFTWARE -- 4.5%
63,006 8x8, Inc. (a) 1,522,855
37,594 Altair Engineering, Inc.,
Class A (a) 1,564,286
18,559 Appfolio, Inc., Class A (a) 1,791,871
159,366 Avaya Holdings Corp. (a) 1,918,767
68,112 Carbon Black, Inc. (a) 1,267,564
15,118 Ebix, Inc. 695,882
16,658 Envestnet, Inc. (a) 1,189,548
21,226 Everbridge, Inc. (a) 2,171,420
Page 50 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
22,422 ForeScout Technologies,
Inc. (a) $ 837,686
8,932 Instructure, Inc. (a) 354,511
27,076 LivePerson, Inc. (a) 898,652
24,381 Mimecast Ltd. (a) 1,160,536
17,405 Progress Software Corp. 753,462
24,003 PROS Holdings, Inc. (a) 1,736,857
19,885 Q2 Holdings, Inc. (a) 1,588,215
32,816 Rapid7, Inc. (a) 1,990,290
39,216 Smartsheet, Inc., Class A (a) 1,957,271
11,142 SPS Commerce, Inc. (a) 1,246,010
6,129 Varonis Systems, Inc. (a) 440,736
26,140 Workiva, Inc. (a) 1,502,789
37,791 Yext, Inc. (a) 786,431
---------------
27,375,639
---------------
SPECIALTY RETAIL -- 4.3%
118,332 Abercrombie & Fitch Co.,
Class A 2,240,025
13,503 Asbury Automotive Group,
Inc. (a) 1,243,356
284,993 At Home Group, Inc. (a) 1,707,108
130,675 Bed Bath & Beyond, Inc. (b) 1,268,854
19,057 Caleres, Inc. 357,891
24,260 Carvana Co. (a) 1,541,966
7,959 Children's Place (The), Inc. 777,356
44,882 Genesco, Inc. (a) 1,767,453
18,542 Group 1 Automotive, Inc. 1,556,786
23,505 Guess?, Inc. 396,059
12,783 Lithia Motors, Inc., Class A 1,685,822
130,900 Michaels Cos. (The), Inc. (a) 899,283
13,351 Monro, Inc. 1,124,288
13,553 Murphy USA, Inc. (a) 1,197,543
12,353 National Vision Holdings,
Inc. (a) 390,231
921,383 Office Depot, Inc. 1,879,621
258,942 Party City Holdco, Inc. (a) (b) 1,652,050
71,275 Rent-A-Center, Inc. (a) 1,926,563
21,231 Signet Jewelers Ltd. 385,131
37,594 Sleep Number Corp. (a) 1,848,497
---------------
25,845,883
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.5%
64,515 G-III Apparel Group Ltd. (a) 1,849,000
20,032 Oxford Industries, Inc. 1,466,142
---------------
3,315,142
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.3%
41,792 Axos Financial, Inc. (a) 1,224,924
27,568 Capitol Federal Financial, Inc. 376,579
25,140 Columbia Financial, Inc. (a) 384,391
34,364 Flagstar Bancorp, Inc. 1,184,871
28,564 Kearny Financial Corp. 381,329
40,600 Meta Financial Group, Inc. 1,253,322
47,392 Mr Cooper Group, Inc. (a) 360,653
66,856 NMI Holdings, Inc., Class A (a) 1,663,377
21,556 Northwest Bancshares, Inc. 369,685
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE
(CONTINUED)
30,552 OceanFirst Financial Corp. $ 745,469
51,345 PennyMac Financial Services,
Inc. 1,232,793
31,308 Provident Financial Services,
Inc. 757,027
35,671 Walker & Dunlop, Inc. 2,081,046
21,736 Washington Federal, Inc. 795,103
18,383 WSFS Financial Corp. 778,888
---------------
13,589,457
---------------
TOBACCO -- 0.2%
24,987 Universal Corp. 1,486,727
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 2.6%
89,278 Aircastle Ltd. 1,856,090
18,509 Applied Industrial Technologies,
Inc. 1,126,088
20,676 Beacon Roofing Supply, Inc. (a) 749,091
89,530 BMC Stock Holdings, Inc. (a) 1,893,559
39,148 H&E Equipment Services, Inc. 1,198,320
24,849 Herc Holdings, Inc. (a) 1,121,684
5,960 Kaman Corp. 377,864
66,520 MRC Global, Inc. (a) 1,040,373
77,156 NOW, Inc. (a) 945,161
51,972 Rush Enterprises, Inc., Class A 1,957,266
21,912 SiteOne Landscape Supply,
Inc. (a) 1,618,639
37,474 WESCO International, Inc. (a) 1,901,431
---------------
15,785,566
---------------
WATER UTILITIES -- 0.4%
10,090 American States Water Co. 781,672
7,498 California Water Service Group 400,318
12,814 Middlesex Water Co. 802,541
6,247 SJW Group 405,368
---------------
2,389,899
---------------
TOTAL COMMON STOCKS
-- 99.8% 602,057,174
(Cost $586,479,948) ---------------
MONEY MARKET FUNDS -- 0.4%
1,120,496 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) 1,120,496
1,054,586 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class 2.15% (c) 1,054,586
---------------
TOTAL MONEY MARKET FUNDS
-- 0.4% 2,175,082
(Cost $2,175,082) ---------------
See Notes to Financial Statements Page 51
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.5%
$ 9,172,739 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $9,173,383.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $9,359,424. (d) $ 9,172,739
(Cost $9,172,739) ---------------
TOTAL INVESTMENTS -- 101.7% 613,404,995
(Cost $597,827,769) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.7)% (10,486,832)
---------------
NET ASSETS -- 100.0% $ 602,918,163
===============
(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 $10,041,772 and the total value of the collateral held by
the Fund is $10,293,235.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $601,691,891. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $63,432,272 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $51,719,168. The net
unrealized appreciation was $11,713,104.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 602,057,174 $ -- $ --
Money Market
Funds 2,175,082 -- --
Repurchase
Agreements -- 9,172,739 --
--------------------------------------------
Total Investments $ 604,232,256 $ 9,172,739 $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 10,041,772
Non-cash Collateral(2) (10,041,772)
---------------
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, 2019, 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) $ 9,172,739
Non-cash Collateral(4) (9,172,739)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 52 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.9%
234,730 Arconic, Inc. $ 5,877,639
22,823 General Dynamics Corp. 4,243,709
5,556 Lockheed Martin Corp. 2,012,216
6,253 Northrop Grumman Corp. 2,160,849
156,473 Textron, Inc. 7,714,119
---------------
22,008,532
---------------
AIR FREIGHT & LOGISTICS -- 0.4%
23,951 C.H. Robinson Worldwide, Inc. 2,005,417
19,563 United Parcel Service, Inc.,
Class B 2,337,192
---------------
4,342,609
---------------
AIRLINES -- 2.4%
61,952 American Airlines Group, Inc. 1,890,155
146,244 Delta Air Lines, Inc. 8,926,734
163,437 Southwest Airlines Co. 8,421,909
94,797 United Airlines Holdings,
Inc. (a) 8,712,792
---------------
27,951,590
---------------
AUTO COMPONENTS -- 1.0%
24,993 Aptiv PLC 2,190,637
74,489 Lear Corp. 9,443,715
---------------
11,634,352
---------------
AUTOMOBILES -- 1.3%
405,638 Ford Motor Co. 3,865,730
269,251 General Motors Co. 10,861,585
---------------
14,727,315
---------------
BANKS -- 8.0%
208,990 Bank of America Corp. 6,411,813
123,361 BB&T Corp. 6,356,792
118,512 Citigroup, Inc. 8,433,314
234,711 Citizens Financial Group, Inc. 8,745,332
83,434 Comerica, Inc. 6,107,369
297,469 Fifth Third Bancorp 8,831,855
438,547 Huntington Bancshares, Inc. 6,249,295
54,210 JPMorgan Chase & Co. 6,288,360
341,448 KeyCorp 6,272,400
24,400 M&T Bank Corp. 4,007,700
44,149 PNC Financial Services Group
(The), Inc. 6,308,892
555,513 Regions Financial Corp. 8,849,322
38,555 U.S. Bancorp 2,203,418
175,388 Wells Fargo & Co. 8,490,533
---------------
93,556,395
---------------
BEVERAGES -- 0.9%
185,254 Molson Coors Brewing Co.,
Class B 10,001,863
---------------
BIOTECHNOLOGY -- 0.3%
61,422 Gilead Sciences, Inc. 4,024,369
---------------
BUILDING PRODUCTS -- 0.7%
146,713 Johnson Controls International
PLC 6,226,500
51,485 Masco Corp. 2,099,043
---------------
8,325,543
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS -- 4.9%
187,982 Bank of New York Mellon (The)
Corp. $ 8,820,116
93,041 E*TRADE Financial Corp. 4,539,470
238,487 Franklin Resources, Inc. 7,781,831
40,564 Goldman Sachs Group (The),
Inc. 8,929,353
189,440 Morgan Stanley 8,441,446
49,080 Raymond James Financial, Inc. 3,959,284
148,044 State Street Corp. 8,599,876
55,243 T. Rowe Price Group, Inc. 6,264,004
---------------
57,335,380
---------------
CHEMICALS -- 5.3%
8,925 Air Products & Chemicals, Inc. 2,037,310
76,989 Celanese Corp. 8,635,856
138,193 DuPont de Nemours, Inc. 9,972,007
133,292 Eastman Chemical Co. 10,043,552
120,448 LyondellBasell Industries N.V.,
Class A 10,080,293
414,470 Mosaic (The) Co. 10,440,499
149,355 Westlake Chemical Corp. 10,091,918
---------------
61,301,435
---------------
COMMUNICATIONS EQUIPMENT
-- 0.7%
36,912 Cisco Systems, Inc. 2,044,925
227,590 Juniper Networks, Inc. 6,149,482
---------------
8,194,407
---------------
CONSUMER FINANCE -- 3.0%
334,761 Ally Financial, Inc. 11,016,985
114,329 Capital One Financial Corp. 10,566,286
53,482 Discover Financial Services 4,799,475
239,381 Synchrony Financial 8,588,990
---------------
34,971,736
---------------
CONTAINERS & PACKAGING -- 1.6%
191,583 International Paper Co. 8,412,409
284,458 WestRock Co. 10,254,711
---------------
18,667,120
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.1%
397,099 AXA Equitable Holdings, Inc. 8,926,785
19,467 Berkshire Hathaway, Inc.,
Class B (a) 3,999,106
---------------
12,925,891
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.4%
309,586 AT&T, Inc. 10,541,403
106,087 Verizon Communications, Inc. 5,863,429
---------------
16,404,832
---------------
ELECTRIC UTILITIES -- 3.6%
68,685 Duke Energy Corp. 5,956,363
54,774 Eversource Energy 4,155,156
173,119 Exelon Corp. 7,800,742
47,191 FirstEnergy Corp. 2,074,988
64,413 Pinnacle West Capital Corp. 5,875,754
267,635 PPL Corp. 7,930,025
See Notes to Financial Statements Page 53
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
109,637 Southern (The) Co. $ 6,161,600
33,959 Xcel Energy, Inc. 2,024,296
---------------
41,978,924
---------------
ELECTRICAL EQUIPMENT -- 1.0%
72,774 Eaton Corp. PLC 5,981,295
62,195 Emerson Electric Co. 4,035,212
12,332 Rockwell Automation, Inc. 1,982,739
---------------
11,999,246
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.3%
249,756 Corning, Inc. 7,679,997
86,651 TE Connectivity Ltd. 8,006,552
---------------
15,686,549
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.8%
456,211 Halliburton Co. 10,492,853
186,671 National Oilwell Varco, Inc. 4,446,503
152,510 Schlumberger Ltd. 6,095,825
---------------
21,035,181
---------------
ENTERTAINMENT -- 1.6%
87,917 Activision Blizzard, Inc. 4,285,075
347,311 Viacom, Inc., Class B 10,540,889
29,717 Walt Disney (The) Co. 4,249,828
---------------
19,075,792
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 1.0%
569,386 Host Hotels & Resorts, Inc. 9,901,622
31,518 Vornado Realty Trust 2,027,238
---------------
11,928,860
---------------
FOOD & STAPLES RETAILING
-- 1.8%
477,854 Kroger (The) Co. 10,111,390
189,761 Walgreens Boots Alliance, Inc. 10,340,077
---------------
20,451,467
---------------
FOOD PRODUCTS -- 2.3%
203,416 Archer-Daniels-Midland Co. 8,356,329
156,473 Conagra Brands, Inc. 4,517,375
36,024 J.M. Smucker (The) Co. 4,005,509
37,712 Kellogg Co. 2,195,593
102,790 Tyson Foods, Inc., Class A 8,171,805
---------------
27,246,611
---------------
GAS UTILITIES -- 0.3%
19,139 Atmos Energy Corp. 2,086,917
37,825 UGI Corp. 1,932,479
---------------
4,019,396
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 3.1%
7,160 Anthem, Inc. 2,109,407
128,678 Cardinal Health, Inc. 5,884,445
79,133 Centene Corp. (a) 4,122,038
26,338 Cigna Corp. 4,475,353
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
28,903 Henry Schein, Inc. (a) $ 1,923,206
24,001 Laboratory Corp. of America
Holdings (a) 4,020,647
40,759 Quest Diagnostics, Inc. 4,160,679
63,650 Universal Health Services,
Inc., Class B 9,602,239
---------------
36,298,014
---------------
HEALTH CARE TECHNOLOGY -- 0.2%
27,562 Cerner Corp. 1,974,817
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.6%
222,862 Carnival Corp. 10,525,772
70,712 MGM Resorts International 2,122,774
154,753 Norwegian Cruise Line
Holdings Ltd. (a) 7,650,989
68,471 Royal Caribbean Cruises Ltd. 7,965,916
43,728 Yum China Holdings, Inc. 1,989,624
---------------
30,255,075
---------------
HOUSEHOLD DURABLES -- 3.3%
240,534 D.R. Horton, Inc. 11,047,727
52,000 Garmin Ltd. 4,086,680
214,078 Lennar Corp., Class A 10,183,691
70,348 Mohawk Industries, Inc. (a) 8,771,692
1,231 NVR, Inc. (a) 4,116,636
---------------
38,206,426
---------------
INDUSTRIAL CONGLOMERATES
-- 0.3%
11,655 3M Co. 2,036,362
11,572 Honeywell International, Inc. 1,995,707
---------------
4,032,069
---------------
INSURANCE -- 7.1%
75,711 Aflac, Inc. 3,985,427
2,966 Alleghany Corp. (a) 2,033,875
40,808 Allstate (The) Corp. 4,382,779
113,753 American International Group,
Inc. 6,369,030
111,913 Arch Capital Group Ltd. (a) 4,329,914
13,716 Chubb Ltd. 2,096,353
19,488 Cincinnati Financial Corp. 2,091,647
150,390 Fidelity National Financial,
Inc. 6,448,723
108,771 Hartford Financial Services
Group (The), Inc. 6,268,473
128,773 Lincoln National Corp. 8,414,028
36,952 Loews Corp. 1,978,410
122,021 MetLife, Inc. 6,030,278
104,639 Principal Financial Group, Inc. 6,073,248
60,006 Prudential Financial, Inc. 6,079,208
38,843 Reinsurance Group of America,
Inc. 6,056,401
46,386 Torchmark Corp. 4,235,969
27,753 Travelers (The) Cos., Inc. 4,069,145
30,643 W.R. Berkley Corp. 2,126,318
---------------
83,069,226
---------------
Page 54 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET & DIRECT MARKETING
RETAIL -- 1.4%
105,054 eBay, Inc. $ 4,327,174
837,306 Qurate Retail, Inc.,
Series A (a) 11,839,507
---------------
16,166,681
---------------
IT SERVICES -- 2.6%
10,933 Accenture PLC, Class A 2,105,477
43,250 Alliance Data Systems Corp. 6,786,790
95,611 Cognizant Technology Solutions
Corp., Class A 6,228,101
188,109 DXC Technology Co. 10,490,839
30,092 International Business Machines
Corp. 4,460,838
---------------
30,072,045
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.2%
27,056 Agilent Technologies, Inc. 1,877,957
---------------
MACHINERY -- 3.4%
44,468 Caterpillar, Inc. 5,855,102
48,437 Cummins, Inc. 7,943,668
13,396 Illinois Tool Works, Inc. 2,066,065
15,949 Ingersoll-Rand PLC 1,972,253
115,816 PACCAR, Inc. 8,123,334
35,649 Parker-Hannifin Corp. 6,241,427
50,105 Snap-on, Inc. 7,646,524
---------------
39,848,373
---------------
MEDIA -- 2.3%
207,901 CBS Corp., Class B 10,708,981
5,111 Charter Communications, Inc.,
Class A (a) 1,969,677
143,348 Comcast Corp., Class A 6,188,333
270,337 Discovery, Inc., Class A (a) 8,193,914
---------------
27,060,905
---------------
METALS & MINING -- 1.7%
893,558 Freeport-McMoRan, Inc. 9,882,752
188,280 Nucor Corp. 10,238,666
---------------
20,121,418
---------------
MULTILINE RETAIL -- 1.7%
14,947 Dollar General Corp. 2,003,197
218,174 Kohl's Corp. 11,750,851
69,977 Target Corp. 6,046,013
---------------
19,800,061
---------------
MULTI-UTILITIES -- 1.2%
144,942 CenterPoint Energy, Inc. 4,204,767
69,124 Consolidated Edison, Inc. 5,872,775
32,451 DTE Energy Co. 4,124,847
---------------
14,202,389
---------------
OIL, GAS & CONSUMABLE FUELS
-- 9.0%
209,207 Apache Corp. 5,108,835
83,366 Chevron Corp. 10,263,188
80,436 Concho Resources, Inc. 7,856,989
363,752 Devon Energy Corp. 9,821,304
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
108,304 Exxon Mobil Corp. $ 8,053,485
224,162 HollyFrontier Corp. 11,156,543
198,739 Kinder Morgan, Inc. 4,097,998
730,064 Marathon Oil Corp. 10,272,001
185,652 Marathon Petroleum Corp. 10,468,916
185,254 Noble Energy, Inc. 4,090,408
110,907 Phillips 66 11,374,622
51,458 Targa Resources Corp. 2,002,231
121,180 Valero Energy Corp. 10,330,595
---------------
104,897,115
---------------
PHARMACEUTICALS -- 1.5%
133,644 Bristol-Myers Squibb Co. 5,935,130
544,863 Mylan N.V. (a) 11,387,637
---------------
17,322,767
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.4%
80,891 CBRE Group, Inc., Class A (a) 4,288,032
---------------
ROAD & RAIL -- 0.9%
66,302 J.B. Hunt Transport Services,
Inc. 6,787,336
34,064 Kansas City Southern 4,215,079
---------------
11,002,415
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.4%
134,953 Applied Materials, Inc. 6,662,630
268,832 Micron Technology, Inc. (a) 12,067,868
107,407 Skyworks Solutions, Inc. 9,159,669
---------------
27,890,167
---------------
SOFTWARE -- 0.2%
35,462 Oracle Corp. 1,996,511
---------------
SPECIALTY RETAIL -- 1.9%
86,916 Best Buy Co., Inc. 6,651,681
577,308 Gap (The), Inc. 11,257,506
44,316 Tiffany & Co. 4,162,159
---------------
22,071,346
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.6%
555,141 Hewlett Packard Enterprise Co. 7,977,376
291,520 HP, Inc. 6,133,581
88,067 Seagate Technology PLC 4,078,383
---------------
18,189,340
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.3%
130,781 Tapestry, Inc. 4,045,056
---------------
TOBACCO -- 0.2%
42,665 Altria Group, Inc. 2,008,242
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.7%
62,575 United Rentals, Inc. (a) 7,918,866
---------------
TOTAL COMMON STOCKS
-- 99.8% 1,164,410,708
(Cost $1,142,588,017) ---------------
See Notes to Financial Statements Page 55
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.2%
1,799,220 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 2.15% (b) $ 1,799,220
(Cost $1,799,220) ---------------
TOTAL INVESTMENTS -- 100.0% 1,166,209,928
(Cost $1,144,387,237) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 358,900
---------------
NET ASSETS -- 100.0% $ 1,166,568,828
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2019.
(c) Aggregate cost for federal income tax purposes is $1,152,312,021. As of
July 31, 2019, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$76,652,750 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$62,754,843. The net unrealized appreciation was $13,897,907.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $1,164,410,708 $ -- $ --
Money Market
Funds 1,799,220 -- --
--------------------------------------------
Total Investments $1,166,209,928 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
Page 56 See Notes to Financial Statements
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.0%
4,948 Boeing (The) Co. $ 1,688,158
69,108 HEICO Corp. 9,450,519
19,113 TransDigm Group, Inc. (a) 9,278,215
---------------
20,416,892
---------------
AIR FREIGHT & LOGISTICS -- 0.4%
48,759 Expeditors International of
Washington, Inc. 3,722,750
---------------
AUTOMOBILES -- 0.2%
8,059 Tesla, Inc. (a) (b) 1,947,135
---------------
BANKS -- 0.5%
18,441 First Republic Bank 1,832,298
16,469 SVB Financial Group (a) 3,820,314
---------------
5,652,612
---------------
BEVERAGES -- 1.4%
18,781 Constellation Brands, Inc.,
Class A 3,696,477
115,900 Monster Beverage Corp. (a) 7,472,073
28,209 PepsiCo, Inc. 3,605,392
---------------
14,773,942
---------------
BIOTECHNOLOGY -- 2.3%
78,340 Exact Sciences Corp. (a) 9,017,717
63,588 Incyte Corp. (a) 5,399,893
48,686 Sarepta Therapeutics, Inc. (a) 7,246,911
26,019 Seattle Genetics, Inc. (a) 1,969,899
---------------
23,634,420
---------------
BUILDING PRODUCTS -- 0.5%
19,645 Lennox International, Inc. 5,038,550
---------------
CAPITAL MARKETS -- 3.3%
9,277 CME Group, Inc. 1,803,634
43,040 Intercontinental Exchange, Inc. 3,781,495
146,375 KKR & Co., Inc., Class A 3,915,531
18,939 Moody's Corp. 4,059,385
38,727 MSCI, Inc. 8,800,324
38,463 Nasdaq, Inc. 3,706,679
20,010 Northern Trust Corp. 1,960,980
16,239 S&P Global, Inc. 3,977,743
36,074 TD Ameritrade Holding Corp. 1,843,381
---------------
33,849,152
---------------
CHEMICALS -- 3.3%
115,657 CF Industries Holdings, Inc. 5,731,961
46,835 Ecolab, Inc. 9,448,025
111,481 FMC Corp. 9,634,188
31,695 PPG Industries, Inc. 3,720,676
11,787 Sherwin-Williams (The) Co. 6,047,202
---------------
34,582,052
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.1%
38,969 Cintas Corp. 10,149,086
123,727 Copart, Inc. (a) 9,592,554
62,355 Republic Services, Inc. 5,527,771
64,123 Waste Management, Inc. 7,502,391
---------------
32,771,802
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMUNICATIONS EQUIPMENT
-- 1.1%
6,937 Arista Networks, Inc. (a) $ 1,896,923
55,463 Motorola Solutions, Inc. 9,204,639
---------------
11,101,562
---------------
CONSUMER FINANCE -- 0.9%
74,914 American Express Co. 9,317,054
---------------
CONTAINERS & PACKAGING -- 0.9%
132,122 Ball Corp. 9,444,081
---------------
ELECTRIC UTILITIES -- 1.6%
36,691 Alliant Energy Corp. 1,817,672
61,383 American Electric Power Co.,
Inc. 5,390,041
52,486 Entergy Corp. 5,543,572
29,939 Evergy, Inc. 1,811,010
8,790 NextEra Energy, Inc. 1,821,024
---------------
16,383,319
---------------
ELECTRICAL EQUIPMENT -- 0.9%
101,798 AMETEK, Inc. 9,122,119
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 3.7%
38,554 Amphenol Corp., Class A 3,597,859
83,308 CDW Corp. 9,843,673
102,966 Keysight Technologies, Inc. (a) 9,217,516
204,994 Trimble, Inc. (a) 8,663,047
35,314 Zebra Technologies Corp.,
Class A (a) 7,447,370
---------------
38,769,465
---------------
ENTERTAINMENT -- 1.8%
139,582 Live Nation Entertainment,
Inc. (a) 10,058,279
10,070 Netflix, Inc. (a) 3,252,509
47,585 Take-Two Interactive Software,
Inc. (a) 5,830,114
---------------
19,140,902
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 4.9%
26,423 American Tower Corp. 5,591,635
28,377 Crown Castle International
Corp. 3,781,519
56,969 Duke Realty Corp. 1,898,777
10,714 Equinix, Inc. 5,379,499
30,483 Equity LifeStyle Properties,
Inc. 3,787,513
276,762 Invitation Homes, Inc. 7,602,652
15,291 Mid-America Apartment
Communities, Inc. 1,801,892
46,179 Prologis, Inc. 3,722,489
32,903 SBA Communications Corp. (a) 8,074,725
28,855 Sun Communities, Inc. 3,832,233
26,346 Ventas, Inc. 1,772,822
45,368 Welltower, Inc. 3,770,988
---------------
51,016,744
---------------
See Notes to Financial Statements Page 57
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS -- 1.2%
55,195 Hershey (The) Co. $ 8,375,289
23,863 McCormick & Co., Inc. 3,783,240
---------------
12,158,529
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 6.2%
64,237 Abbott Laboratories 5,595,043
6,580 Align Technology, Inc. (a) 1,375,746
125,694 Boston Scientific Corp. (a) 5,336,967
27,449 Cooper (The) Cos., Inc. 9,261,293
51,761 Danaher Corp. 7,272,420
61,713 DexCom, Inc. (a) 9,680,918
9,747 Edwards Lifesciences Corp. (a) 2,074,649
37,499 Hologic, Inc. (a) 1,921,824
26,869 IDEXX Laboratories, Inc. (a) 7,578,401
30,311 ResMed, Inc. 3,901,026
26,279 Stryker Corp. 5,512,809
16,315 Teleflex, Inc. 5,542,858
---------------
65,053,954
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 0.9%
39,967 HCA Healthcare, Inc. 5,335,994
6,787 Humana, Inc. 2,014,042
7,380 UnitedHealth Group, Inc. 1,837,694
---------------
9,187,730
---------------
HEALTH CARE TECHNOLOGY -- 0.9%
57,042 Veeva Systems, Inc.,
Class A (a) 9,463,268
---------------
HOTELS, RESTAURANTS & LEISURE
-- 5.4%
12,618 Chipotle Mexican Grill,
Inc. (a) 10,037,997
44,380 Darden Restaurants, Inc. 5,394,833
19,412 Domino's Pizza, Inc. 4,746,816
94,611 Hilton Worldwide Holdings, Inc. 9,134,692
38,508 Marriott International, Inc.,
Class A 5,354,922
17,812 McDonald's Corp. 3,753,345
110,311 Starbucks Corp. 10,445,349
14,524 Wynn Resorts Ltd. 1,889,137
48,814 Yum! Brands, Inc. 5,492,551
---------------
56,249,642
---------------
HOUSEHOLD PRODUCTS -- 0.9%
50,628 Church & Dwight Co., Inc. 3,819,376
25,126 Colgate-Palmolive Co. 1,802,539
33,735 Procter & Gamble (The) Co. 3,982,080
---------------
9,603,995
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS
-- 0.5%
107,446 AES Corp. 1,804,019
163,381 Vistra Energy Corp. 3,506,156
---------------
5,310,175
---------------
INDUSTRIAL CONGLOMERATES
-- 0.7%
20,198 Roper Technologies, Inc. 7,345,003
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INSURANCE -- 1.6%
84,459 Arthur J. Gallagher & Co. $ 7,637,628
115,692 Progressive (The) Corp. 9,368,738
---------------
17,006,366
---------------
INTERACTIVE MEDIA & SERVICES
-- 1.9%
38,330 Facebook, Inc., Class A (a) 7,444,836
34,007 IAC/InterActiveCorp (a) 8,129,373
105,986 Twitter, Inc. (a) 4,484,268
---------------
20,058,477
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.6%
3,906 Amazon.com, Inc. (a) 7,291,643
960 Booking Holdings, Inc. (a) 1,811,145
55,609 Expedia Group, Inc. 7,381,539
---------------
16,484,327
---------------
IT SERVICES -- 9.0%
32,676 Automatic Data Processing, Inc. 5,441,208
72,425 Broadridge Financial Solutions,
Inc. 9,206,666
30,150 Fidelity National Information
Services, Inc. 4,017,487
40,577 Fiserv, Inc. (a) 4,278,033
26,340 FleetCor Technologies, Inc. (a) 7,485,038
45,966 Gartner, Inc. (a) 6,404,443
46,198 Global Payments, Inc. 7,757,568
27,966 Mastercard, Inc., Class A 7,614,303
44,950 Paychex, Inc. 3,733,098
80,791 PayPal Holdings, Inc. (a) 8,919,326
74,484 Square, Inc., Class A (a) 5,989,258
67,820 Twilio, Inc., Class A (a) 9,434,440
25,828 VeriSign, Inc. (a) 5,452,033
42,626 Visa, Inc., Class A 7,587,428
---------------
93,320,329
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 3.6%
20,095 Illumina, Inc. (a) 6,016,041
57,472 IQVIA Holdings, Inc. (a) 9,147,818
11,009 Mettler-Toledo International,
Inc. (a) 8,331,061
76,789 PerkinElmer, Inc. 6,613,069
25,190 Thermo Fisher Scientific, Inc. 6,994,759
---------------
37,102,748
---------------
MACHINERY -- 2.2%
44,644 Deere & Co. 7,395,279
22,091 Fortive Corp. 1,680,021
42,975 IDEX Corp. 7,229,254
88,448 Xylem, Inc. 7,101,490
---------------
23,406,044
---------------
MEDIA -- 0.9%
379,766 Altice USA, Inc., Class A (a) 9,801,760
---------------
MULTI-UTILITIES -- 1.6%
49,248 Ameren Corp. 3,727,581
63,874 CMS Energy Corp. 3,718,744
62,527 NiSource, Inc. 1,856,427
Page 58 See Notes to Financial Statements
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTI-UTILITIES (CONTINUED)
30,615 Public Service Enterprise
Group, Inc. $ 1,749,647
64,800 WEC Energy Group, Inc. 5,537,808
---------------
16,590,207
---------------
OIL, GAS & CONSUMABLE FUELS
-- 2.0%
54,038 Cheniere Energy, Inc. (a) 3,520,576
29,520 ConocoPhillips 1,744,042
42,785 Continental Resources, Inc. (a) 1,590,318
19,330 EOG Resources, Inc. 1,659,480
116,373 Hess Corp. 7,545,625
26,171 ONEOK, Inc. 1,834,064
24,040 Pioneer Natural Resources Co. 3,318,482
---------------
21,212,587
---------------
PERSONAL PRODUCTS -- 0.9%
40,400 Estee Lauder (The) Cos., Inc.,
Class A 7,441,276
42,114 Herbalife Nutrition Ltd. (a) 1,727,516
---------------
9,168,792
---------------
PHARMACEUTICALS -- 1.4%
16,254 Eli Lilly and Co. 1,770,873
44,114 Merck & Co., Inc. 3,661,021
41,568 Pfizer, Inc. 1,614,501
65,184 Zoetis, Inc. 7,488,990
---------------
14,535,385
---------------
PROFESSIONAL SERVICES -- 2.3%
16,690 CoStar Group, Inc. (a) 10,271,026
73,492 TransUnion 6,084,403
50,511 Verisk Analytics, Inc. 7,663,529
---------------
24,018,958
---------------
ROAD & RAIL -- 2.1%
69,825 CSX Corp. 4,915,680
37,113 Norfolk Southern Corp. 7,093,037
36,195 Old Dominion Freight Line, Inc. 6,043,841
21,873 Union Pacific Corp. 3,936,046
---------------
21,988,604
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.8%
304,488 Advanced Micro Devices,
Inc. (a) 9,271,660
32,771 Analog Devices, Inc. 3,849,282
12,850 Broadcom, Inc. 3,726,371
15,235 KLA Corp. 2,076,835
28,759 Lam Research Corp. 5,999,415
62,310 Microchip Technology, Inc. 5,883,310
15,692 Texas Instruments, Inc. 1,961,657
62,736 Xilinx, Inc. 7,165,079
---------------
39,933,609
---------------
SOFTWARE -- 7.8%
25,107 Adobe, Inc. (a) 7,503,478
36,119 ANSYS, Inc. (a) 7,336,491
33,164 Autodesk, Inc. (a) 5,179,222
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
130,592 Cadence Design Systems,
Inc. (a) $ 9,652,055
23,438 Fortinet, Inc. (a) 1,882,306
20,673 Intuit, Inc. 5,732,830
40,328 Microsoft Corp. 5,495,497
33,678 ServiceNow, Inc. (a) 9,341,940
42,961 Splunk, Inc. (a) 5,813,053
93,774 SS&C Technologies Holdings,
Inc. 4,496,463
71,857 Synopsys, Inc. (a) 9,539,735
10,770 VMware, Inc., Class A 1,879,257
35,985 Workday, Inc., Class A (a) 7,196,280
---------------
81,048,607
---------------
SPECIALTY RETAIL -- 5.4%
8,411 AutoZone, Inc. (a) 9,445,890
31,751 Burlington Stores, Inc. (a) 5,738,993
35,572 Home Depot (The), Inc. 7,601,381
17,846 Lowe's Cos., Inc. 1,809,584
10,014 O'Reilly Automotive, Inc. (a) 3,812,931
54,504 Ross Stores, Inc. 5,779,059
69,950 TJX (The) Cos., Inc. 3,816,472
84,993 Tractor Supply Co. 9,248,088
26,657 Ulta Beauty, Inc. (a) 9,309,957
---------------
56,562,355
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.6%
27,294 Apple, Inc. 5,814,714
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.7%
226,996 Fastenal Co. 6,991,477
---------------
WATER UTILITIES -- 0.5%
46,571 American Water Works Co., Inc. 5,345,419
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.6%
72,867 T-Mobile US, Inc. (a) 5,809,686
---------------
TOTAL COMMON STOCKS
-- 100.0% 1,041,257,300
(Cost $898,104,613) ---------------
MONEY MARKET FUNDS -- 0.1%
162,421 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) 162,421
948,555 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio Institutional
Class - 2.15% (c) 948,555
---------------
TOTAL MONEY MARKET FUNDS
-- 0.1% 1,110,976
(Cost $1,110,976) ---------------
See Notes to Financial Statements Page 59
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.1%
$ 1,329,624 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $1,329,718.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $1,356,685. (d) $ 1,329,624
(Cost $1,329,624) ---------------
TOTAL INVESTMENTS -- 100.2% 1,043,697,900
(Cost $900,545,213) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.2)% (1,972,164)
---------------
NET ASSETS -- 100.0% $ 1,041,725,736
===============
(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 $1,458,600 and the total value of the collateral held by the
Fund is $1,492,045.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $903,248,890. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $150,830,745 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $10,381,735. The net
unrealized appreciation was $140,449,010.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $1,041,257,300 $ -- $ --
Money Market
Funds 1,110,976 -- --
Repurchase
Agreements -- 1,329,624 --
--------------------------------------------
Total Investments $1,042,368,276 $ 1,329,624 $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 1,458,600
Non-cash Collateral(2) (1,458,600)
---------------
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, 2019, 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) $ 1,329,624
Non-cash Collateral(4) (1,329,624)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 60 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.3%
8,519 Arconic, Inc. $ 213,316
292 Curtiss-Wright Corp. 37,058
828 General Dynamics Corp. 153,958
496 Huntington Ingalls Industries,
Inc. 113,237
202 Lockheed Martin Corp. 73,158
397 Moog, Inc., Class A 32,340
227 Northrop Grumman Corp. 78,444
913 Spirit AeroSystems Holdings,
Inc., Class A 70,155
5,679 Textron, Inc. 279,975
---------------
1,051,641
---------------
AIR FREIGHT & LOGISTICS -- 0.6%
2,401 Atlas Air Worldwide Holdings,
Inc. (a) 109,605
869 C.H. Robinson Worldwide, Inc. 72,761
2,042 Hub Group, Inc., Class A (a) 92,605
710 United Parcel Service, Inc.,
Class B 84,824
2,571 XPO Logistics, Inc. (a) 173,491
---------------
533,286
---------------
AIRLINES -- 1.9%
1,744 Alaska Air Group, Inc. 110,500
440 Allegiant Travel Co. 65,934
2,249 American Airlines Group, Inc. 68,617
5,308 Delta Air Lines, Inc. 324,000
3,907 Hawaiian Holdings, Inc. 101,543
6,028 JetBlue Airways Corp. (a) 115,919
3,062 SkyWest, Inc. 185,894
5,932 Southwest Airlines Co. 305,676
3,441 United Airlines Holdings,
Inc. (a) 316,262
---------------
1,594,345
---------------
AUTO COMPONENTS -- 1.7%
6,719 American Axle & Manufacturing
Holdings, Inc. (a) 81,098
907 Aptiv PLC 79,498
4,425 BorgWarner, Inc. 167,265
2,717 Cooper Tire & Rubber Co. 73,142
2,339 Cooper-Standard Holdings,
Inc. (a) 115,734
4,299 Dana, Inc. 71,836
4,529 Gentex Corp. 124,185
12,141 Goodyear Tire & Rubber (The)
Co. 166,696
701 LCI Industries 64,233
2,704 Lear Corp. 342,813
464 Standard Motor Products, Inc. 21,349
7,730 Tenneco, Inc., Class A 69,879
1,077 Visteon Corp. (a) 70,953
---------------
1,448,681
---------------
AUTOMOBILES -- 1.0%
14,722 Ford Motor Co. 140,301
9,772 General Motors Co. 394,202
3,111 Harley-Davidson, Inc. 111,312
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
AUTOMOBILES (CONTINUED)
1,271 Thor Industries, Inc. $ 75,752
2,218 Winnebago Industries, Inc. 89,385
---------------
810,952
---------------
BANKS -- 9.4%
924 1st Source Corp. 43,382
1,094 Ameris Bancorp 43,508
7,029 Associated Banc-Corp. 152,318
595 Atlantic Union Bankshares Corp. 22,628
1,279 BancorpSouth Bank 38,229
7,585 Bank of America Corp. 232,708
4,939 Bank OZK 151,035
2,202 BankUnited, Inc. 75,771
4,477 BB&T Corp. 230,700
1,366 Berkshire Hills Bancorp, Inc. 44,805
984 BOK Financial Corp. 82,341
3,551 Boston Private Financial
Holdings, Inc. 40,979
1,367 Brookline Bancorp, Inc. 20,273
2,061 Cadence BanCorp 35,326
2,069 Cathay General Bancorp 77,008
2,828 CIT Group, Inc. 142,955
4,301 Citigroup, Inc. 306,059
8,519 Citizens Financial Group, Inc. 317,418
1,027 Columbia Banking System, Inc. 38,728
3,028 Comerica, Inc. 221,650
397 Cullen/Frost Bankers, Inc. 37,691
389 Eagle Bancorp, Inc. 15,681
2,383 East West Bancorp, Inc. 114,408
12,625 F.N.B. Corp. 152,131
575 FB Financial Corp. 21,856
10,796 Fifth Third Bancorp 320,533
1,623 First Busey Corp. 43,870
165 First Citizens BancShares, Inc.,
Class A 77,058
3,182 First Commonwealth Financial
Corp. 43,816
2,872 First Hawaiian, Inc. 76,855
9,953 First Horizon National Corp. 163,229
531 First Interstate BancSystem,
Inc., Class A 21,256
2,094 First Midwest Bancorp, Inc. 45,293
2,269 Fulton Financial Corp. 38,573
1,766 Great Western Bancorp, Inc. 59,726
2,782 Hancock Whitney Corp. 115,509
958 Heartland Financial USA, Inc. 46,070
2,015 Hilltop Holdings, Inc. 45,700
3,858 Home BancShares, Inc. 75,887
4,578 Hope Bancorp, Inc. 67,525
15,917 Huntington Bancshares, Inc. 226,817
1,469 IBERIABANK Corp. 115,419
383 Independent Bank Group, Inc. 21,758
1,673 International Bancshares Corp. 62,955
3,332 Investors Bancorp, Inc. 37,852
1,967 JPMorgan Chase & Co. 228,172
12,393 KeyCorp 227,659
886 M&T Bank Corp. 145,525
561 NBT Bancorp, Inc. 21,711
See Notes to Financial Statements Page 61
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
1,803 OFG Bancorp $ 40,802
4,479 Old National Bancorp 78,875
2,043 Pacific Premier Bancorp, Inc. 64,620
3,827 PacWest Bancorp 147,837
2,214 People's United Financial, Inc. 36,354
1,293 Pinnacle Financial Partners,
Inc. 78,537
1,602 PNC Financial Services Group
(The), Inc. 228,926
2,740 Popular, Inc. 157,714
1,125 Prosperity Bancshares, Inc. 78,064
20,162 Regions Financial Corp. 321,181
1,193 Renasant Corp. 42,817
1,144 S&T Bancorp, Inc. 43,552
615 Signature Bank 78,388
2,712 Simmons First National Corp.,
Class A 69,834
582 South State Corp. 46,601
2,123 Synovus Financial Corp. 81,035
2,711 TCF Financial Corp. (a) 113,970
1,211 Texas Capital Bancshares,
Inc. (a) 76,208
1,571 TowneBank 44,208
556 TriCo Bancshares 20,989
632 Trustmark Corp. 22,461
1,399 U.S. Bancorp 79,953
6,718 Umpqua Holdings Corp. 117,296
1,002 United Bankshares, Inc. 37,665
1,501 United Community Banks, Inc. 43,079
10,339 Valley National Bancorp 115,383
6,366 Wells Fargo & Co. 308,178
1,112 WesBanco, Inc. 40,677
1,661 Western Alliance Bancorp (a) 82,120
1,016 Wintrust Financial Corp. 72,685
3,232 Zions Bancorp N.A. 145,666
---------------
7,904,031
---------------
BEVERAGES -- 0.5%
317 MGP Ingredients, Inc. 15,847
6,724 Molson Coors Brewing Co.,
Class B 363,029
---------------
378,876
---------------
BIOTECHNOLOGY -- 0.2%
2,229 Gilead Sciences, Inc. 146,044
---------------
BUILDING PRODUCTS -- 1.2%
788 A.O. Smith Corp. 35,815
746 American Woodmark Corp. (a) 63,298
484 Apogee Enterprises, Inc. 19,631
5,085 Builders FirstSource, Inc. (a) 87,360
10,821 Cornerstone Building Brands,
Inc. (a) 62,978
521 Gibraltar Industries, Inc. (a) 21,590
2,019 JELD-WEN Holding, Inc. (a) 44,236
5,325 Johnson Controls International
PLC 225,993
1,869 Masco Corp. 76,199
3,192 Owens Corning 185,136
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BUILDING PRODUCTS (CONTINUED)
1,743 Patrick Industries, Inc. (a) $ 79,952
1,658 Universal Forest Products, Inc. 67,033
---------------
969,221
---------------
CAPITAL MARKETS -- 3.4%
764 Artisan Partners Asset
Management, Inc., Class A 22,607
6,823 Bank of New York Mellon (The)
Corp. 320,135
12,062 BGC Partners, Inc., Class A 66,462
3,377 E*TRADE Financial Corp. 164,764
1,723 Eaton Vance Corp. 76,673
1,143 Federated Investors, Inc.,
Class B 39,719
8,656 Franklin Resources, Inc. 282,445
1,472 Goldman Sachs Group (The),
Inc. 324,031
5,447 Invesco Ltd. 104,528
3,241 Lazard Ltd., Class A 125,459
602 Moelis & Co., Class A 21,937
6,876 Morgan Stanley 306,395
577 Piper Jaffray Cos. 44,602
1,781 Raymond James Financial, Inc. 143,673
662 SEI Investments Co. 39,449
5,373 State Street Corp. 312,118
1,887 Stifel Financial Corp. 112,861
2,005 T. Rowe Price Group, Inc. 227,347
6,429 Waddell & Reed Financial, Inc.,
Class A 112,508
---------------
2,847,713
---------------
CHEMICALS -- 4.1%
4,387 AdvanSix, Inc. (a) 112,483
324 Air Products & Chemicals, Inc. 73,959
2,111 Albemarle Corp. 154,019
3,115 Cabot Corp. 139,303
2,794 Celanese Corp. 313,403
5,016 DuPont de Nemours, Inc. 361,955
4,838 Eastman Chemical Co. 364,543
1,360 H.B. Fuller Co. 65,022
9,088 Huntsman Corp. 186,758
230 Innospec, Inc. 21,477
5,596 Kronos Worldwide, Inc. 75,042
4,372 LyondellBasell Industries N.V.,
Class A 365,893
2,003 Minerals Technologies, Inc. 106,660
15,043 Mosaic (The) Co. 378,933
8,478 Olin Corp. 170,153
1,366 PolyOne Corp. 44,764
506 Sensient Technologies Corp. 34,494
686 Stepan Co. 68,017
2,025 Trinseo S.A. 78,590
5,421 Westlake Chemical Corp. 366,297
---------------
3,481,765
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.0%
526 ABM Industries, Inc. 22,139
13,617 ACCO Brands Corp. 133,174
Page 62 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES
(CONTINUED)
24,281 ADT, Inc. (b) $ 154,184
2,109 Deluxe Corp. 94,104
959 Herman Miller, Inc. 43,481
1,783 HNI Corp. 61,050
1,372 Interface, Inc. 19,016
1,865 Knoll, Inc. 45,226
2,460 Matthews International Corp.,
Class A 84,009
10,015 Pitney Bowes, Inc. 40,561
3,689 Steelcase, Inc., Class A 62,381
335 UniFirst Corp. 65,952
---------------
825,277
---------------
COMMUNICATIONS EQUIPMENT
-- 0.6%
1,340 Cisco Systems, Inc. 74,236
7,085 CommScope Holding Co.,
Inc. (a) 101,174
1,423 EchoStar Corp., Class A (a) 64,775
8,260 Juniper Networks, Inc. 223,185
---------------
463,370
---------------
CONSTRUCTION & ENGINEERING
-- 0.7%
1,963 AECOM (a) 70,570
728 Dycom Industries, Inc. (a) 40,156
843 EMCOR Group, Inc. 71,141
1,103 Fluor Corp. 35,859
2,884 MasTec, Inc. (a) 148,007
4,096 Primoris Services Corp. 85,852
3,891 Quanta Services, Inc. 145,601
---------------
597,186
---------------
CONSTRUCTION MATERIALS -- 0.0%
1,092 Summit Materials, Inc.,
Class A (a) 20,136
---------------
CONSUMER FINANCE -- 2.5%
12,150 Ally Financial, Inc. 399,857
4,149 Capital One Financial Corp. 383,451
1,941 Discover Financial Services 174,185
2,531 Encore Capital Group, Inc. (a) 91,065
10,887 Navient Corp. 154,051
1,065 Nelnet, Inc., Class A 66,626
5,494 OneMain Holdings, Inc. 227,726
1,523 PRA Group, Inc. (a) 47,411
6,202 Santander Consumer USA
Holdings, Inc. 166,896
11,466 SLM Corp. 104,455
8,688 Synchrony Financial 311,726
---------------
2,127,449
---------------
CONTAINERS & PACKAGING -- 1.6%
1,413 Berry Global Group, Inc. (a) 63,656
7,972 Graphic Packaging Holding Co. 118,464
2,634 Greif, Inc., Class A 92,085
6,953 International Paper Co. 305,306
6,453 Owens-Illinois, Inc. 109,507
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONTAINERS & PACKAGING
(CONTINUED)
1,559 Packaging Corp. of America $ 157,412
868 Sealed Air Corp. 36,274
2,428 Silgan Holdings, Inc. 72,986
569 Sonoco Products Co. 34,157
10,324 WestRock Co. 372,180
---------------
1,362,027
---------------
DISTRIBUTORS -- 0.1%
2,792 LKQ Corp. (a) 75,189
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.4%
1,649 Adtalem Global Education,
Inc. (a) 78,113
269 Graham Holdings Co., Class B 199,795
4,016 Laureate Education, Inc.,
Class A (a) 65,822
---------------
343,730
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.8%
14,412 AXA Equitable Holdings, Inc. 323,982
706 Berkshire Hathaway, Inc.,
Class B (a) 145,034
2,503 FGL Holdings 20,399
5,796 Jefferies Financial Group, Inc. 123,629
672 Voya Financial, Inc. 37,746
---------------
650,790
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.7%
11,236 AT&T, Inc. 382,586
3,850 Verizon Communications, Inc. 212,789
---------------
595,375
---------------
ELECTRIC UTILITIES -- 2.1%
893 ALLETE, Inc. 77,646
2,493 Duke Energy Corp. 216,193
1,988 Eversource Energy 150,810
6,283 Exelon Corp. 283,112
1,713 FirstEnergy Corp. 75,321
853 Hawaiian Electric Industries,
Inc. 38,214
2,338 Pinnacle West Capital Corp. 213,272
2,057 Portland General Electric Co. 112,827
9,714 PPL Corp. 287,826
3,979 Southern (The) Co. 223,620
1,233 Xcel Energy, Inc. 73,499
---------------
1,752,340
---------------
ELECTRICAL EQUIPMENT -- 1.0%
539 Acuity Brands, Inc. 72,344
931 AZZ, Inc. 43,366
2,641 Eaton Corp. PLC 217,064
2,257 Emerson Electric Co. 146,434
1,463 Encore Wire Corp. 80,348
542 EnerSys 36,916
285 Hubbell, Inc. 37,016
1,819 Regal Beloit Corp. 144,829
448 Rockwell Automation, Inc. 72,029
---------------
850,346
---------------
See Notes to Financial Statements Page 63
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 3.1%
1,436 Anixter International,
Inc. (a) $ 92,421
2,606 Arrow Electronics, Inc. (a) 189,222
3,283 Avnet, Inc. 149,114
11,190 AVX Corp. 170,424
1,439 Belden, Inc. 65,417
3,413 Benchmark Electronics, Inc. 92,356
817 Coherent, Inc. (a) 113,440
9,065 Corning, Inc. 278,749
915 ePlus, Inc. (a) 69,448
1,084 Insight Enterprises, Inc. (a) 59,642
241 IPG Photonics Corp. (a) 31,573
2,351 Jabil, Inc. 72,599
5,697 KEMET Corp. 114,624
3,445 Knowles Corp. (a) 70,106
3,751 Methode Electronics, Inc. 112,342
1,469 Plexus Corp. (a) 87,714
122 Rogers Corp. (a) 19,357
2,083 Sanmina Corp. (a) 66,135
2,633 ScanSource, Inc. (a) 89,390
1,510 SYNNEX Corp. 148,795
3,145 TE Connectivity Ltd. 290,598
1,421 Tech Data Corp. (a) 144,004
10,506 TTM Technologies, Inc. (a) 109,893
---------------
2,637,363
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.6%
5,951 Archrock, Inc. 65,342
2,371 Diamond Offshore Drilling,
Inc. (a) (b) 21,434
16,558 Halliburton Co. 380,834
9,934 Helix Energy Solutions Group,
Inc. (a) 87,022
2,202 Helmerich & Payne, Inc. 109,395
15,576 Mammoth Energy Services, Inc. 100,933
29,563 Nabors Industries Ltd. 87,506
6,775 National Oilwell Varco, Inc. 161,381
3,447 Oil States International,
Inc. (a) 51,429
14,863 RPC, Inc. 91,853
5,535 Schlumberger Ltd. 221,234
---------------
1,378,363
---------------
ENTERTAINMENT -- 0.9%
3,191 Activision Blizzard, Inc. 155,529
2,058 Cinemark Holdings, Inc. 82,155
12,605 Viacom, Inc., Class B 382,562
1,079 Walt Disney (The) Co. 154,308
---------------
774,554
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 3.4%
11,712 Apple Hospitality REIT, Inc. 183,996
8,311 Brixmor Property Group, Inc. 157,743
3,343 Chatham Lodging Trust 59,706
3,039 CoreCivic, Inc. 51,572
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
6,101 DiamondRock Hospitality Co. $ 61,437
4,570 Equity Commonwealth 153,461
3,536 GEO Group (The), Inc. 62,976
2,185 Global Net Lease, Inc. 42,651
7,430 Hospitality Properties Trust 183,595
20,665 Host Hotels & Resorts, Inc. 359,364
3,030 Industrial Logistics Properties
Trust 64,781
2,833 Kite Realty Group Trust 45,073
4,601 Mack-Cali Realty Corp. 109,412
3,263 Office Properties Income Trust 91,919
2,652 Paramount Group, Inc. 36,677
6,740 Park Hotels & Resorts, Inc. 178,003
10,471 RLJ Lodging Trust 180,939
3,540 RPT Realty 43,365
17,969 Senior Housing Properties Trust 147,346
1,588 SITE Centers Corp. 22,629
462 SL Green Realty Corp. 37,459
9,343 Summit Hotel Properties, Inc. 103,801
13,549 Sunstone Hotel Investors, Inc. 178,982
2,644 Tanger Factory Outlet Centers,
Inc. (b) 41,987
1,144 Vornado Realty Trust 73,582
28,054 Washington Prime Group,
Inc. (b) 101,836
4,112 Xenia Hotels & Resorts, Inc. 88,120
---------------
2,862,412
---------------
FOOD & STAPLES RETAILING
-- 1.4%
3,147 Andersons (The), Inc. 84,497
17,343 Kroger (The) Co. 366,978
839 PriceSmart, Inc. 51,179
5,900 Sprouts Farmers Market,
Inc. (a) 99,887
2,078 US Foods Holding Corp. (a) 73,499
6,887 Walgreens Boots Alliance, Inc. 375,273
2,943 Weis Markets, Inc. 107,272
---------------
1,158,585
---------------
FOOD PRODUCTS -- 1.6%
7,383 Archer-Daniels-Midland Co. 303,294
4,122 B&G Foods, Inc. (b) 75,350
2,001 Bunge Ltd. 116,918
5,679 Conagra Brands, Inc. 163,953
1,868 Darling Ingredients, Inc. (a) 37,977
780 Fresh Del Monte Produce, Inc. 23,657
1,801 Ingredion, Inc. 139,199
1,307 J.M. Smucker (The) Co. 145,325
1,369 Kellogg Co. 79,703
3,731 Tyson Foods, Inc., Class A 296,615
---------------
1,381,991
---------------
GAS UTILITIES -- 0.3%
695 Atmos Energy Corp. 75,783
829 Southwest Gas Holdings, Inc. 73,706
885 Spire, Inc. 72,933
1,373 UGI Corp. 70,147
---------------
292,569
---------------
Page 64 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS &
SERVICES -- 1.9%
685 AMN Healthcare Services,
Inc. (a) $ 36,565
260 Anthem, Inc. 76,599
4,670 Cardinal Health, Inc. 213,559
2,872 Centene Corp. (a) 149,602
956 Cigna Corp. 162,444
1,049 Henry Schein, Inc. (a) 69,800
871 Laboratory Corp. of America
Holdings (a) 145,910
283 Magellan Health, Inc. (a) 19,906
1,056 National HealthCare Corp. 92,506
918 Patterson Cos., Inc. 18,176
1,479 Quest Diagnostics, Inc. 150,976
2,701 Select Medical Holdings
Corp. (a) 45,215
5,215 Tivity Health, Inc. (a) 91,002
2,310 Universal Health Services,
Inc., Class B 348,487
---------------
1,620,747
---------------
HEALTH CARE TECHNOLOGY -- 0.1%
1,000 Cerner Corp. 71,650
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.0%
3,091 Aramark 111,863
2,758 Boyd Gaming Corp. 73,059
8,089 Carnival Corp. 382,044
980 Cheesecake Factory (The), Inc. 42,218
218 Cracker Barrel Old Country
Store, Inc. 37,869
3,503 Hilton Grand Vacations,
Inc. (a) 114,548
976 Hyatt Hotels Corp., Class A 75,494
2,566 MGM Resorts International 77,031
5,617 Norwegian Cruise Line
Holdings Ltd. (a) 277,705
7,716 Penn National Gaming, Inc. (a) 150,616
979 Red Rock Resorts, Inc., Class A 20,402
2,485 Royal Caribbean Cruises Ltd. 289,105
1,587 Yum China Holdings, Inc. 72,209
---------------
1,724,163
---------------
HOUSEHOLD DURABLES -- 3.1%
133 Cavco Industries, Inc. (a) 23,587
8,730 D.R. Horton, Inc. 400,969
1,887 Garmin Ltd. 148,299
355 Installed Building Products,
Inc. (a) 18,914
4,165 KB Home 109,414
1,398 La-Z-Boy, Inc. 46,120
968 Leggett & Platt, Inc. 38,691
7,770 Lennar Corp., Class A 369,619
883 LGI Homes, Inc. (a) 62,066
3,269 M.D.C. Holdings, Inc. 118,142
2,087 Meritage Homes Corp. (a) 131,084
2,553 Mohawk Industries, Inc. (a) 318,334
45 NVR, Inc. (a) 150,486
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOUSEHOLD DURABLES (CONTINUED)
5,874 PulteGroup, Inc. $ 185,090
4,090 Taylor Morrison Home Corp. (a) 92,107
5,072 Toll Brothers, Inc. 182,440
254 TopBuild Corp. (a) 20,607
8,953 TRI Pointe Group, Inc. (a) 122,567
4,505 Tupperware Brands Corp. 68,972
---------------
2,607,508
---------------
HOUSEHOLD PRODUCTS -- 0.1%
3,479 Central Garden & Pet Co.,
Class A (a) 95,846
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS
-- 0.0%
1,247 Clearway Energy, Inc., Class C 22,471
---------------
INDUSTRIAL CONGLOMERATES
-- 0.2%
423 3M Co. 73,906
265 Carlisle Cos., Inc. 38,216
420 Honeywell International, Inc. 72,433
---------------
184,555
---------------
INSURANCE -- 5.7%
2,748 Aflac, Inc. 144,655
108 Alleghany Corp. (a) 74,059
1,481 Allstate (The) Corp. 159,060
4,104 American Equity Investment
Life Holding Co. 105,883
363 American Financial Group, Inc. 37,164
4,129 American International Group,
Inc. 231,183
1,595 American National Insurance
Co. 193,027
330 AMERISAFE, Inc. 21,470
4,062 Arch Capital Group Ltd. (a) 157,159
284 Argo Group International
Holdings Ltd. 19,437
3,531 Assured Guaranty Ltd. 154,269
4,314 Athene Holding Ltd.,
Class A (a) 176,270
1,013 Brighthouse Financial, Inc. (a) 39,679
498 Chubb Ltd. 76,114
707 Cincinnati Financial Corp. 75,882
2,028 Employers Holdings, Inc. 89,029
640 Enstar Group Ltd. (a) 113,376
330 FBL Financial Group, Inc.,
Class A 20,691
5,458 Fidelity National Financial,
Inc. 234,039
2,767 First American Financial Corp. 159,988
3,948 Hartford Financial Services
Group (The), Inc. 227,523
4,674 Lincoln National Corp. 305,399
1,341 Loews Corp. 71,797
4,429 MetLife, Inc. 218,881
6,478 National General Holdings Corp. 160,201
334 National Western Life Group,
Inc., Class A 89,846
6,640 Old Republic International
Corp. 151,459
3,798 Principal Financial Group, Inc. 220,436
582 ProAssurance Corp. 22,750
See Notes to Financial Statements Page 65
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
2,178 Prudential Financial, Inc. $ 220,653
1,410 Reinsurance Group of America,
Inc. 219,847
451 Safety Insurance Group, Inc. 44,496
1,684 Torchmark Corp. 153,783
1,007 Travelers (The) Cos., Inc. 147,646
2,215 Unum Group 70,769
1,112 W.R. Berkley Corp. 77,162
145 White Mountains Insurance
Group Ltd. 156,020
---------------
4,841,102
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.1%
3,199 Cars.com, Inc. (a) 60,781
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.7%
3,813 eBay, Inc. 157,058
30,389 Qurate Retail, Inc.,
Series A (a) 429,700
---------------
586,758
---------------
IT SERVICES -- 1.7%
397 Accenture PLC, Class A 76,454
1,570 Alliance Data Systems Corp. 246,364
182 CACI International, Inc.,
Class A (a) 39,157
3,470 Cognizant Technology Solutions
Corp., Class A 226,036
431 CSG Systems International, Inc. 22,084
6,827 DXC Technology Co. 380,742
1,092 International Business Machines
Corp. 161,878
843 KBR, Inc. 22,238
465 Leidos Holdings, Inc. 38,177
319 ManTech International Corp.,
Class A 21,941
512 MAXIMUS, Inc. 37,637
1,311 NIC, Inc. 23,782
1,587 Perspecta, Inc. 37,025
1,538 Presidio, Inc. 21,532
2,297 Sykes Enterprises, Inc. (a) 64,982
---------------
1,420,029
---------------
LEISURE PRODUCTS -- 0.3%
801 Acushnet Holdings Corp. 20,474
810 Brunswick Corp. 39,820
2,498 Callaway Golf Co. 45,813
814 Polaris Industries, Inc. 77,061
1,158 Sturm Ruger & Co., Inc. 65,427
---------------
248,595
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.1%
982 Agilent Technologies, Inc. 68,160
916 Cambrex Corp. (a) 40,121
---------------
108,281
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY -- 3.5%
1,437 AGCO Corp. $ 110,649
631 Alamo Group, Inc. 61,769
1,195 Altra Industrial Motion Corp. 34,332
1,978 Barnes Group, Inc. 102,935
1,614 Caterpillar, Inc. 212,515
1,325 Colfax Corp. (a) 36,676
1,336 Crane Co. 111,823
1,758 Cummins, Inc. 288,312
329 EnPro Industries, Inc. 23,372
3,525 Greenbrier (The) Cos., Inc. 101,908
1,878 Hillenbrand, Inc. 63,270
486 Illinois Tool Works, Inc. 74,956
579 Ingersoll-Rand PLC 71,599
567 ITT, Inc. 35,392
174 John Bean Technologies Corp. 20,647
5,022 Kennametal, Inc. 173,661
3,535 Meritor, Inc. (a) 87,420
3,106 Milacron Holdings Corp. (a) 52,305
1,464 Mueller Industries, Inc. 44,198
1,780 Oshkosh Corp. 148,755
4,203 PACCAR, Inc. 294,798
1,294 Parker-Hannifin Corp. 226,553
1,819 Snap-on, Inc. 277,598
344 Tennant Co. 26,182
2,894 Timken (The) Co. 132,285
7,162 Trinity Industries, Inc. 140,375
226 Watts Water Technologies, Inc.,
Class A 20,980
---------------
2,975,265
---------------
MARINE -- 0.1%
1,624 Matson, Inc. 66,438
---------------
MEDIA -- 2.1%
7,546 CBS Corp., Class B 388,695
186 Charter Communications, Inc.,
Class A (a) 71,681
5,203 Comcast Corp., Class A 224,614
9,812 Discovery, Inc., Class A (a) 297,402
3,869 DISH Network Corp.,
Class A (a) 131,004
2,804 E.W. Scripps (The) Co., Class A 42,985
10,506 Gannett Co., Inc. 107,687
1,645 Interpublic Group of Cos.
(The), Inc. 37,703
1,376 John Wiley & Sons, Inc.,
Class A 62,622
6,483 Liberty Latin America Ltd.,
Class C (a) 106,321
5,508 News Corp., Class A 72,485
2,579 Scholastic Corp. 88,124
1,176 Sinclair Broadcast Group, Inc.,
Class A 59,094
5,659 TEGNA, Inc. 85,960
---------------
1,776,377
---------------
METALS & MINING -- 2.7%
26,618 AK Steel Holding Corp. (a) 75,063
6,348 Alcoa Corp. (a) 142,766
Page 66 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
METALS & MINING (CONTINUED)
4,423 Allegheny Technologies,
Inc. (a) $ 96,289
1,787 Carpenter Technology Corp. 80,433
13,927 Cleveland-Cliffs, Inc. (b) 148,462
4,845 Coeur Mining, Inc. (a) 22,287
4,803 Commercial Metals Co. 84,100
383 Compass Minerals International,
Inc. 21,391
32,431 Freeport-McMoRan, Inc. 358,687
35,047 Hecla Mining Co. 64,837
646 Kaiser Aluminum Corp. 62,190
6,833 Nucor Corp. 371,578
1,963 Reliance Steel & Aluminum Co. 196,202
6,151 Steel Dynamics, Inc. 193,818
12,133 United States Steel Corp. 182,359
4,103 Warrior Met Coal, Inc. 101,508
1,567 Worthington Industries, Inc. 63,025
---------------
2,264,995
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.5%
4,662 Apollo Commercial Real Estate
Finance, Inc. 87,739
3,938 Chimera Investment Corp. 75,925
20,697 MFA Financial, Inc. 148,604
4,828 New Residential Investment
Corp. 75,751
---------------
388,019
---------------
MULTILINE RETAIL -- 1.5%
3,746 Big Lots, Inc. 95,898
1,721 Dillard's, Inc., Class A (b) 125,254
542 Dollar General Corp. 72,639
7,918 Kohl's Corp. 426,463
8,656 Macy's, Inc. 196,751
3,498 Nordstrom, Inc. 115,819
2,540 Target Corp. 219,456
---------------
1,252,280
---------------
MULTI-UTILITIES -- 0.9%
3,332 Avista Corp. 153,372
5,261 CenterPoint Energy, Inc. 152,622
2,509 Consolidated Edison, Inc. 213,165
1,178 DTE Energy Co. 149,735
1,545 NorthWestern Corp. 108,026
---------------
776,920
---------------
OIL, GAS & CONSUMABLE FUELS
-- 7.8%
33,590 Antero Resources Corp. (a) 154,850
7,593 Apache Corp. 185,421
1,137 Arch Coal, Inc., Class A 101,375
16,262 Callon Petroleum Co. (a) 80,009
10,695 Carrizo Oil & Gas, Inc. (a) 101,923
95,257 Chesapeake Energy Corp. (a) (b) 172,415
3,026 Chevron Corp. 372,531
3,131 Cimarex Energy Co. 158,648
14,660 CNX Resources Corp. (a) 120,505
2,919 Concho Resources, Inc. 285,128
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
2,065 Contura Energy, Inc. (a) $ 73,989
4,584 Delek US Holdings, Inc. 197,479
86,423 Denbury Resources, Inc. (a) 97,658
13,202 Devon Energy Corp. 356,454
9,399 EQT Corp. 142,019
3,931 Exxon Mobil Corp. 292,309
21,826 Gulfport Energy Corp. (a) 82,502
8,136 HollyFrontier Corp. 404,929
7,213 Kinder Morgan, Inc. 148,732
26,497 Marathon Oil Corp. 372,813
6,738 Marathon Petroleum Corp. 379,956
7,536 Murphy Oil Corp. 181,165
6,724 Noble Energy, Inc. 148,466
15,094 Oasis Petroleum, Inc. (a) 73,508
5,935 PBF Energy, Inc., Class A 165,765
7,708 Peabody Energy Corp. 162,330
4,025 Phillips 66 412,804
7,144 SemGroup Corp., Class A 90,514
8,559 SM Energy Co. 85,333
33,913 Southwestern Energy Co. (a) 74,609
21,606 SRC Energy, Inc. (a) 88,152
4,456 Talos Energy, Inc. (a) 91,704
1,868 Targa Resources Corp. 72,684
4,398 Valero Energy Corp. 374,930
9,944 Whiting Petroleum Corp. (a) 175,810
1,754 World Fuel Services Corp. 68,476
---------------
6,547,895
---------------
PAPER & FOREST PRODUCTS -- 0.6%
1,525 Boise Cascade Co. 41,175
4,171 Domtar Corp. 177,059
7,084 Louisiana-Pacific Corp. 185,176
2,584 Schweitzer-Mauduit
International, Inc. 88,967
---------------
492,377
---------------
PERSONAL PRODUCTS -- 0.2%
3,181 Edgewell Personal Care Co. (a) 96,798
753 Nu Skin Enterprises, Inc.,
Class A 30,105
---------------
126,903
---------------
PHARMACEUTICALS -- 0.8%
4,850 Bristol-Myers Squibb Co. 215,388
19,775 Mylan N.V. (a) 413,298
780 Perrigo Co. PLC 42,128
---------------
670,814
---------------
PROFESSIONAL SERVICES -- 0.5%
1,226 ASGN, Inc. (a) 77,299
2,188 CBIZ, Inc. (a) 51,134
289 ICF International, Inc. 24,620
1,154 ManpowerGroup, Inc. 105,418
907 Navigant Consulting, Inc. 22,095
652 Robert Half International, Inc. 39,387
3,886 TrueBlue, Inc. (a) 76,826
---------------
396,779
---------------
See Notes to Financial Statements Page 67
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.4%
2,936 CBRE Group, Inc., Class A (a) $ 155,637
792 Jones Lang LaSalle, Inc. 115,387
14,802 Realogy Holdings Corp. 77,118
---------------
348,142
---------------
ROAD & RAIL -- 1.9%
294 AMERCO 113,778
3,812 ArcBest Corp. 114,093
598 Avis Budget Group, Inc. (a) 21,761
371 Genesee & Wyoming, Inc.,
Class A (a) 40,740
4,744 Heartland Express, Inc. 94,121
2,406 J.B. Hunt Transport Services,
Inc. 246,302
1,236 Kansas City Southern 152,943
5,656 Knight-Swift Transportation
Holdings, Inc. 202,711
5,904 Marten Transport Ltd. 118,493
3,186 Ryder System, Inc. 169,686
1,326 Saia, Inc. (a) 101,174
5,875 Schneider National, Inc.,
Class B 113,388
3,448 Werner Enterprises, Inc. 114,301
---------------
1,603,491
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.8%
374 Advanced Energy Industries,
Inc. (a) 21,842
14,365 Amkor Technology, Inc. (a) 132,589
4,898 Applied Materials, Inc. 241,814
981 Cirrus Logic, Inc. (a) 48,118
9,757 Micron Technology, Inc. (a) 437,992
1,431 MKS Instruments, Inc. 121,821
1,115 Qorvo, Inc. (a) 81,718
3,898 Skyworks Solutions, Inc. 332,421
2,165 Synaptics, Inc. (a) 69,670
775 Teradyne, Inc. 43,191
---------------
1,531,176
---------------
SOFTWARE -- 0.2%
8,998 Avaya Holdings Corp. (a) 108,336
419 Ebix, Inc. 19,287
1,287 Oracle Corp. 72,458
---------------
200,081
---------------
SPECIALTY RETAIL -- 3.8%
1,210 Aaron's, Inc. 76,290
6,681 Abercrombie & Fitch Co.,
Class A 126,471
10,991 American Eagle Outfitters, Inc. 194,431
748 Asbury Automotive Group,
Inc. (a) 68,876
16,091 At Home Group, Inc. (a) 96,385
3,543 AutoNation, Inc. (a) 172,473
5,429 Bed Bath & Beyond, Inc. (b) 52,716
3,155 Best Buy Co., Inc. 241,452
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
449 Children's Place (The), Inc. $ 43,854
5,364 Dick's Sporting Goods, Inc. 199,380
4,431 Foot Locker, Inc. 181,937
20,953 Gap (The), Inc. 408,583
2,534 Genesco, Inc. (a) 99,789
1,047 Group 1 Automotive, Inc. 87,906
4,270 L Brands, Inc. 110,807
531 Lithia Motors, Inc., Class A 70,028
9,854 Michaels Cos. (The), Inc. (a) 67,697
751 Murphy USA, Inc. (a) 66,358
52,022 Office Depot, Inc. 106,125
14,620 Party City Holdco, Inc. (a) (b) 93,276
3,142 Penske Automotive Group, Inc. 144,438
1,608 Tiffany & Co. 151,023
8,165 Urban Outfitters, Inc. (a) 194,409
1,715 Williams-Sonoma, Inc. 114,356
---------------
3,169,060
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.9%
20,148 Hewlett Packard Enterprise Co. 289,527
10,581 HP, Inc. 222,624
3,196 Seagate Technology PLC 148,007
3,147 Xerox Corp. 101,018
---------------
761,176
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.0%
762 Carter's, Inc. 70,881
3,643 G-III Apparel Group Ltd. (a) 104,408
4,315 Hanesbrands, Inc. 69,428
832 Oxford Industries, Inc. 60,894
1,963 PVH Corp. 174,550
654 Ralph Lauren Corp. 68,167
3,539 Skechers U.S.A., Inc.,
Class A (a) 134,270
1,094 Steven Madden Ltd. 37,754
4,747 Tapestry, Inc. 146,825
---------------
867,177
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.2%
1,573 Axos Financial, Inc. (a) 46,105
3,162 Essent Group Ltd. (a) 145,958
1,904 Flagstar Bancorp, Inc. 65,650
1,528 Meta Financial Group, Inc. 47,169
14,136 MGIC Investment Corp. (a) 181,648
11,167 New York Community Bancorp,
Inc. 128,755
1,933 PennyMac Financial Services,
Inc. 46,411
1,768 Provident Financial Services,
Inc. 42,750
8,129 Radian Group, Inc. 185,341
1,611 Walker & Dunlop, Inc. 93,986
1,227 Washington Federal, Inc. 44,884
509 WSFS Financial Corp. 21,566
---------------
1,050,223
---------------
Page 68 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TOBACCO -- 0.2%
1,549 Altria Group, Inc. $ 72,911
1,411 Universal Corp. 83,955
---------------
156,866
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.7%
4,493 Air Lease Corp. 187,763
5,041 Aircastle Ltd. 104,802
1,167 Beacon Roofing Supply, Inc. (a) 42,280
5,055 BMC Stock Holdings, Inc. (a) 106,913
1,874 GATX Corp. 144,036
2,169 H&E Equipment Services, Inc. 66,393
922 HD Supply Holdings, Inc. (a) 37,350
1,377 Herc Holdings, Inc. (a) 62,158
2,504 MRC Global, Inc. (a) 39,163
1,501 MSC Industrial Direct Co.,
Inc., Class A 106,646
4,274 NOW, Inc. (a) 52,357
2,934 Rush Enterprises, Inc., Class A 110,494
2,271 United Rentals, Inc. (a) 287,395
2,116 WESCO International, Inc. (a) 107,366
---------------
1,455,116
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.2%
3,666 Macquarie Infrastructure Corp. 151,919
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
6,110 Telephone & Data Systems, Inc. 197,597
---------------
TOTAL COMMON STOCKS
-- 99.8% 84,135,179
(Cost $84,375,815) ---------------
MONEY MARKET FUNDS -- 0.3%
81,790 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) 81,790
198,975 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class 2.15% (c) 198,975
---------------
TOTAL MONEY MARKET FUNDS
-- 0.3% 280,765
(Cost $280,765) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.8%
$ 669,564 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $669,611.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $683,191. (d) $ 669,564
(Cost $669,564) ---------------
TOTAL INVESTMENTS -- 100.9% 85,085,508
(Cost $85,326,144) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.9)% (784,819)
---------------
NET ASSETS -- 100.0% $ 84,300,689
===============
(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 $727,209 and the total value of the collateral held by the
Fund is $751,354.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $85,795,578. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $6,090,347 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $6,800,417. The net unrealized
depreciation was $710,070.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 84,135,179 $ -- $ --
Money Market
Funds 280,765 -- --
Repurchase
Agreements -- 669,564 --
--------------------------------------------
Total Investments $ 84,415,944 $ 669,564 $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 69
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
---------------------------------
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) $ 727,209
Non-cash Collateral(2) (727,209)
---------------
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, 2019, 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) $ 669,564
Non-cash Collateral(4) (669,564)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 70 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 2.0%
7,249 Aerojet Rocketdyne Holdings,
Inc. (a) $ 309,677
3,790 Axon Enterprise, Inc. (a) 266,134
440 Boeing (The) Co. 150,119
2,137 Cubic Corp. 141,469
6,145 HEICO Corp. 840,329
10,224 Kratos Defense & Security
Solutions, Inc. (a) 252,022
5,766 Mercury Systems, Inc. (a) 470,044
1,481 Teledyne Technologies, Inc. (a) 431,386
1,700 TransDigm Group, Inc. (a) 825,248
---------------
3,686,428
---------------
AIR FREIGHT & LOGISTICS -- 0.3%
5,646 Air Transport Services Group,
Inc. (a) 131,608
4,336 Expeditors International of
Washington, Inc. 331,054
2,329 Forward Air Corp. 146,727
---------------
609,389
---------------
AIRLINES -- 0.1%
5,099 Spirit Airlines, Inc. (a) 216,351
---------------
AUTO COMPONENTS -- 0.2%
1,862 Dorman Products, Inc. (a) 133,840
2,836 Fox Factory Holding Corp. (a) 227,107
---------------
360,947
---------------
AUTOMOBILES -- 0.1%
717 Tesla, Inc. (a) (b) 173,234
---------------
BANKS -- 1.8%
2,475 BancFirst Corp. 144,391
848 Banner Corp. 50,252
4,065 CenterState Bank Corp. 98,861
1,228 City Holding Co. 95,109
1,360 Commerce Bancshares, Inc. 82,729
2,465 Community Bank System, Inc. 162,665
1,104 Enterprise Financial Services
Corp. 46,015
3,783 First Bancorp 139,744
16,959 First BanCorp 182,479
1,896 First Financial Bancorp. 48,329
5,270 First Financial Bankshares,
Inc. 172,592
2,470 First Merchants Corp. 97,343
1,640 First Republic Bank 162,950
4,002 Glacier Bancorp, Inc. 167,724
1,555 Heritage Financial Corp. 44,349
603 Independent Bank Corp. 46,889
2,942 Lakeland Financial Corp. 135,303
5,158 National Bank Holdings Corp.,
Class A 187,132
5,368 Sandy Spring Bancorp, Inc. 195,610
2,732 ServisFirst Bancshares, Inc. 93,052
2,891 Southside Bancshares, Inc. 100,086
15,250 Sterling Bancorp 333,213
1,465 SVB Financial Group (a) 339,836
1,688 Tompkins Financial Corp. 138,365
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
1,770 Veritex Holdings, Inc. $ 45,294
745 Westamerica Bancorporation 47,755
---------------
3,358,067
---------------
BEVERAGES -- 1.0%
620 Boston Beer (The) Co., Inc.,
Class A (a) 243,238
782 Coca-Cola Consolidated, Inc. 229,541
1,670 Constellation Brands, Inc.,
Class A 328,689
10,306 Monster Beverage Corp. (a) 664,428
2,508 PepsiCo, Inc. 320,548
---------------
1,786,444
---------------
BIOTECHNOLOGY -- 3.5%
12,141 ACADIA Pharmaceuticals,
Inc. (a) 298,426
7,501 Amicus Therapeutics, Inc. (a) 93,012
3,992 Arena Pharmaceuticals, Inc. (a) 250,219
8,831 Arrowhead Pharmaceuticals,
Inc. (a) 256,629
4,300 Blueprint Medicines Corp. (a) 430,645
6,503 CareDx, Inc. (a) 213,103
10,589 Coherus Biosciences, Inc. (a) 178,107
1,988 CRISPR Therapeutics AG (a) (b) 100,772
4,509 Denali Therapeutics, Inc. (a) 96,267
1,856 Editas Medicine, Inc. (a) 46,864
1,679 Emergent BioSolutions, Inc. (a) 74,111
544 Enanta Pharmaceuticals,
Inc. (a) 40,811
6,966 Exact Sciences Corp. (a) 801,856
3,797 Exelixis, Inc. (a) 80,762
11,528 Fate Therapeutics, Inc. (a) 254,192
1,395 Genomic Health, Inc. (a) 101,793
2,673 Halozyme Therapeutics, Inc. (a) 45,414
5,654 Incyte Corp. (a) 480,138
5,995 Intrexon Corp. (a) (b) 47,900
7,967 Invitae Corp. (a) 214,233
2,525 Ionis Pharmaceuticals, Inc. (a) 166,297
4,198 Ironwood Pharmaceuticals,
Inc. (a) 44,625
2,567 Medicines (The) Co. (a) 92,001
1,818 Mirati Therapeutics, Inc. (a) 192,344
961 Neurocrine Biosciences,
Inc. (a) 92,631
1,693 Portola Pharmaceuticals,
Inc. (a) 45,169
3,061 PTC Therapeutics, Inc. (a) 147,448
2,723 Repligen Corp. (a) 257,024
8,692 Sangamo Therapeutics, Inc. (a) 104,391
4,329 Sarepta Therapeutics, Inc. (a) 644,372
2,314 Seattle Genetics, Inc. (a) 175,193
1,474 Ultragenyx Pharmaceutical,
Inc. (a) 88,823
2,396 uniQure N.V. (a) 140,525
4,574 Xencor, Inc. (a) 201,348
---------------
6,497,445
---------------
BUILDING PRODUCTS -- 1.4%
3,731 AAON, Inc. 189,535
7,137 Advanced Drainage Systems,
Inc. 235,021
3,669 Allegion PLC 379,888
See Notes to Financial Statements Page 71
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BUILDING PRODUCTS (CONTINUED)
3,339 Armstrong World Industries,
Inc. $ 326,254
5,185 Continental Building Products,
Inc. (a) 127,447
1,747 Lennox International, Inc. 448,071
11,198 PGT Innovations, Inc. (a) 180,512
4,883 Simpson Manufacturing Co., Inc. 301,574
4,526 Trex Co., Inc. (a) 370,000
---------------
2,558,302
---------------
CAPITAL MARKETS -- 2.9%
3,082 Blucora, Inc. (a) 92,275
825 CME Group, Inc. 160,396
3,640 Cohen & Steers, Inc. 190,627
2,748 Evercore, Inc., Class A 237,345
1,132 FactSet Research Systems, Inc. 313,904
2,414 Hamilton Lane, Inc., Class A 141,702
3,094 Houlihan Lokey, Inc. 142,324
3,827 Intercontinental Exchange, Inc. 336,240
13,016 KKR & Co., Inc., Class A 348,178
4,973 LPL Financial Holdings, Inc. 417,086
1,010 MarketAxess Holdings, Inc. 340,410
1,684 Moody's Corp. 360,949
2,244 Morningstar, Inc. 341,043
3,443 MSCI, Inc. 782,387
3,420 Nasdaq, Inc. 329,585
1,779 Northern Trust Corp. 174,342
1,133 PJT Partners, Inc., Class A 47,767
1,444 S&P Global, Inc. 353,708
12,285 TCG BDC, Inc. 185,749
3,208 TD Ameritrade Holding Corp. 163,929
---------------
5,459,946
---------------
CHEMICALS -- 2.8%
10,901 Axalta Coating Systems Ltd. (a) 322,997
1,623 Balchem Corp. 166,585
10,284 CF Industries Holdings, Inc. 509,675
1,280 Chase Corp. 132,582
4,165 Ecolab, Inc. 840,206
2,906 Ferro Corp. (a) 42,805
9,913 FMC Corp. 856,682
3,086 Ingevity Corp. (a) 304,094
202 NewMarket Corp. 85,165
2,818 PPG Industries, Inc. 330,805
8,692 PQ Group Holdings, Inc. (a) 135,508
1,200 Quaker Chemical Corp. 224,868
3,983 RPM International, Inc. 270,167
1,048 Sherwin-Williams (The) Co. 537,666
8,308 Valvoline, Inc. 167,739
3,198 WR Grace & Co. 216,856
---------------
5,144,400
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.7%
2,793 Brady Corp., Class A 144,482
5,905 Casella Waste Systems, Inc.,
Class A (a) 257,458
1,030 Cimpress N.V. (a) 99,344
3,465 Cintas Corp. 902,425
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES
(CONTINUED)
5,705 Clean Harbors, Inc. (a) $ 443,906
11,002 Copart, Inc. (a) 852,985
10,453 Covanta Holding Corp. 180,001
16,226 KAR Auction Services, Inc. 433,883
3,013 McGrath RentCorp 205,215
1,540 MSA Safety, Inc. 162,239
5,545 Republic Services, Inc. 491,564
2,314 US Ecology, Inc. 147,240
5,702 Waste Management, Inc. 667,134
---------------
4,987,876
---------------
COMMUNICATIONS EQUIPMENT
-- 1.0%
617 Arista Networks, Inc. (a) 168,719
9,863 Ciena Corp. (a) 446,005
1,519 Lumentum Holdings, Inc. (a) 86,021
4,932 Motorola Solutions, Inc. 818,515
617 Ubiquiti Networks, Inc. 79,426
17,609 Viavi Solutions, Inc. (a) 258,324
---------------
1,857,010
---------------
CONSTRUCTION & ENGINEERING
-- 0.2%
3,672 Comfort Systems USA, Inc. 154,224
15,560 WillScot Corp. (a) 247,715
---------------
401,939
---------------
CONSUMER FINANCE -- 0.8%
6,661 American Express Co. 828,429
671 Credit Acceptance Corp. (a) 320,758
3,245 FirstCash, Inc. 326,577
---------------
1,475,764
---------------
CONTAINERS & PACKAGING -- 0.7%
3,262 AptarGroup, Inc. 394,767
11,748 Ball Corp. 839,747
---------------
1,234,514
---------------
DISTRIBUTORS -- 0.2%
2,124 Pool Corp. 402,222
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.9%
2,689 Bright Horizons Family
Solutions, Inc. (a) 408,916
6,307 Chegg, Inc. (a) 283,310
693 Grand Canyon Education,
Inc. (a) 75,378
11,076 H&R Block, Inc. 306,694
6,157 K12, Inc. (a) 183,787
6,937 Service Corp. International 320,073
1,052 Strategic Education, Inc. 187,246
---------------
1,765,404
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.3%
1,622 ATN International, Inc. 91,270
3,154 Cogent Communications
Holdings, Inc. 198,734
Page 72 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED TELECOMMUNICATION
SERVICES (CONTINUED)
5,923 Iridium Communications,
Inc. (a) $ 150,681
12,160 Vonage Holdings Corp. (a) 150,784
---------------
591,469
---------------
ELECTRIC UTILITIES -- 1.0%
3,263 Alliant Energy Corp. 161,649
5,458 American Electric Power Co.,
Inc. 479,267
4,667 Entergy Corp. 492,929
2,662 Evergy, Inc. 161,024
808 IDACORP, Inc. 82,464
1,885 MGE Energy, Inc. 139,773
782 NextEra Energy, Inc. 162,007
1,906 OGE Energy Corp. 81,863
2,609 Otter Tail Corp. 139,268
---------------
1,900,244
---------------
ELECTRICAL EQUIPMENT -- 1.0%
9,052 AMETEK, Inc. 811,150
9,046 Atkore International Group,
Inc. (a) 246,865
5,844 Generac Holdings, Inc. (a) 422,521
7,055 GrafTech International Ltd. 80,780
12,475 Sunrun, Inc. (a) 237,649
1,479 Vicor Corp. (a) 43,719
---------------
1,842,684
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 2.5%
3,428 Amphenol Corp., Class A 319,901
3,137 Badger Meter, Inc. 167,798
7,408 CDW Corp. 875,329
1,691 Cognex Corp. 74,421
3,394 CTS Corp. 106,979
1,256 Dolby Laboratories, Inc.,
Class A 85,533
2,774 Fabrinet (a) 148,908
2,999 FLIR Systems, Inc. 148,930
3,768 II-VI, Inc. (a) 149,590
9,156 Keysight Technologies, Inc. (a) 819,645
459 Littelfuse, Inc. 77,553
2,078 OSI Systems, Inc. (a) 233,900
18,228 Trimble, Inc. (a) 770,315
2,780 Vishay Intertechnology, Inc. 47,260
3,140 Zebra Technologies Corp.,
Class A (a) 662,195
---------------
4,688,257
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.4%
1,387 Cactus, Inc., Class A (a) 40,736
8,411 Frank's International N.V. (a) 47,943
14,464 Liberty Oilfield Services,
Inc., Class A 204,665
24,227 McDermott International,
Inc. (a) 155,537
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES
(CONTINUED)
7,049 Patterson-UTI Energy, Inc. $ 81,980
11,306 ProPetro Holding Corp. (a) 204,978
---------------
735,839
---------------
ENTERTAINMENT -- 1.1%
6,396 Glu Mobile, Inc. (a) 47,714
12,412 Live Nation Entertainment,
Inc. (a) 894,409
895 Netflix, Inc. (a) 289,076
4,231 Take-Two Interactive Software,
Inc. (a) 518,382
52,940 Zynga, Inc., Class A (a) 337,757
---------------
2,087,338
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.2%
3,420 Acadia Realty Trust 95,999
717 Agree Realty Corp. 47,931
124 Alexander's, Inc. 46,438
1,987 American Assets Trust, Inc. 92,197
1,758 American Campus Communities,
Inc. 82,186
6,675 American Homes 4 Rent,
Class A 161,602
2,350 American Tower Corp. 497,307
7,507 Americold Realty Trust 251,710
1,619 Apartment Investment &
Management Co., Class A 80,205
3,937 CareTrust REIT, Inc. 91,456
1,409 CoreSite Realty Corp. 147,677
2,523 Crown Castle International
Corp. 336,215
2,426 CubeSmart 82,363
2,036 Douglas Emmett, Inc. 83,109
5,066 Duke Realty Corp. 168,850
1,399 EastGroup Properties, Inc. 168,552
2,175 EPR Properties 161,885
953 Equinix, Inc. 478,501
2,711 Equity LifeStyle Properties,
Inc. 336,842
2,208 First Industrial Realty Trust,
Inc. 84,324
4,163 Gaming and Leisure Properties,
Inc. 156,987
1,493 Getty Realty Corp. 44,760
6,644 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. 182,378
16,182 Independence Realty Trust, Inc. 199,848
24,609 Invitation Homes, Inc. 676,009
4,390 Kimco Realty Corp. 84,332
2,010 Lamar Advertising Co., Class A 162,649
9,948 Lexington Realty Trust 98,187
1,621 Liberty Property Trust 84,778
1,006 LTC Properties, Inc. 46,367
1,360 Mid-America Apartment
Communities, Inc. 160,262
1,587 National Storage Affiliates
Trust 48,070
4,652 Physicians Realty Trust 80,061
2,304 Piedmont Office Realty Trust,
Inc., Class A 47,946
3,534 PotlatchDeltic Corp. 130,122
See Notes to Financial Statements Page 73
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
4,106 Prologis, Inc. $ 330,985
1,444 PS Business Parks, Inc. 252,700
2,027 QTS Realty Trust, Inc., Class A 93,810
2,681 Retail Opportunity Investments
Corp. 48,633
6,029 Rexford Industrial Realty, Inc. 249,601
2,001 Ryman Hospitality Properties,
Inc. 150,075
8,241 Sabra Health Care REIT, Inc. 170,094
1,668 Saul Centers, Inc. 91,390
2,926 SBA Communications Corp. (a) 718,070
1,069 Seritage Growth Properties,
Class A 44,652
1,902 Spirit Realty Capital, Inc. 83,916
2,683 STAG Industrial, Inc. 79,739
2,444 STORE Capital Corp. 83,609
2,566 Sun Communities, Inc. 340,790
2,809 Terreno Realty Corp. 137,248
2,204 Universal Health Realty Income
Trust 203,121
2,343 Ventas, Inc. 157,660
27,013 VEREIT, Inc. 246,359
11,043 VICI Properties, Inc. 235,658
4,034 Welltower, Inc. 335,306
---------------
9,751,521
---------------
FOOD & STAPLES RETAILING
-- 0.2%
6,146 BJ's Wholesale Club Holdings,
Inc. (a) 144,800
6,673 Chefs' Warehouse (The),
Inc. (a) 243,364
---------------
388,164
---------------
FOOD PRODUCTS -- 1.1%
2,244 Cal-Maine Foods, Inc. 89,244
5,142 Freshpet, Inc. (a) 232,161
4,908 Hershey (The) Co. 744,740
504 J&J Snack Foods Corp. 93,663
2,122 McCormick & Co., Inc. 336,422
1,561 Post Holdings, Inc. (a) 167,371
7,775 Simply Good Foods (The)
Co. (a) 211,713
2,535 Tootsie Roll Industries, Inc. 94,708
---------------
1,970,022
---------------
GAS UTILITIES -- 0.4%
1,970 Chesapeake Utilities Corp. 184,116
1,538 National Fuel Gas Co. 73,424
3,260 New Jersey Resources Corp. 162,576
1,982 Northwest Natural Holding Co. 141,554
1,797 ONE Gas, Inc. 163,851
---------------
725,521
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 5.8%
5,712 Abbott Laboratories 497,515
585 Align Technology, Inc. (a) 122,312
3,137 AtriCure, Inc. (a) 100,635
110 Atrion Corp. 84,645
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT
& SUPPLIES (CONTINUED)
11,177 Boston Scientific Corp. (a) $ 474,575
2,012 Cantel Medical Corp. 185,667
4,361 Cardiovascular Systems,
Inc. (a) 199,865
2,188 CONMED Corp. 191,122
2,441 Cooper (The) Cos., Inc. 823,593
4,603 CryoLife, Inc. (a) 132,658
4,603 Danaher Corp. 646,721
5,488 DexCom, Inc. (a) 860,903
867 Edwards Lifesciences Corp. (a) 184,541
1,827 Glaukos Corp. (a) 149,229
2,697 Haemonetics Corp. (a) 329,250
1,551 Hill-Rom Holdings, Inc. 165,399
3,335 Hologic, Inc. (a) 170,919
322 ICU Medical, Inc. (a) 81,930
2,389 IDEXX Laboratories, Inc. (a) 673,817
3,398 Insulet Corp. (a) 417,750
2,900 Integer Holdings Corp. (a) 253,837
2,905 Integra LifeSciences Holdings
Corp. (a) 184,148
1,742 iRhythm Technologies, Inc. (a) 144,830
1,635 Masimo Corp. (a) 258,085
2,724 Merit Medical Systems, Inc. (a) 107,489
1,788 Natus Medical, Inc. (a) 55,553
2,125 Nevro Corp. (a) 142,077
6,415 Novocure Ltd. (a) 533,856
868 Orthofix Medical, Inc. (a) 46,395
2,028 Penumbra, Inc. (a) 339,893
1,578 Quidel Corp. (a) 93,149
2,695 ResMed, Inc. 346,847
2,337 Stryker Corp. 490,256
3,289 Tactile Systems Technology,
Inc. (a) 189,907
3,627 Tandem Diabetes Care, Inc. (a) 230,061
1,451 Teleflex, Inc. 492,963
2,593 West Pharmaceutical Services,
Inc. 355,941
---------------
10,758,333
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 1.8%
2,005 Amedisys, Inc. (a) 276,470
954 BioTelemetry, Inc. (a) 44,790
12,984 Brookdale Senior Living,
Inc. (a) 101,145
899 Chemed Corp. 364,446
2,690 CorVel Corp. (a) 229,188
3,841 Encompass Health Corp. 245,209
4,112 Ensign Group (The), Inc. 247,789
3,554 HCA Healthcare, Inc. 474,495
603 Humana, Inc. 178,940
2,714 LHC Group, Inc. (a) 343,538
2,267 Molina Healthcare, Inc. (a) 301,012
2,394 Premier, Inc., Class A (a) 92,768
2,223 Tenet Healthcare Corp. (a) 52,396
656 UnitedHealth Group, Inc. 163,351
1,528 US Physical Therapy, Inc. 197,234
---------------
3,312,771
---------------
Page 74 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE TECHNOLOGY -- 1.2%
5,776 Evolent Health, Inc.,
Class A (a) $ 39,392
5,780 HMS Holdings Corp. (a) 201,722
12,903 Inovalon Holdings, Inc.,
Class A (a) 193,545
3,859 Inspire Medical Systems,
Inc. (a) 260,984
9,408 NextGen Healthcare, Inc. (a) 153,915
2,176 Omnicell, Inc. (a) 163,657
4,887 Teladoc Health, Inc. (a) 333,489
5,072 Veeva Systems, Inc.,
Class A (a) 841,445
---------------
2,188,149
---------------
HOTELS, RESTAURANTS & LEISURE
-- 4.9%
1,045 BJ's Restaurants, Inc. 41,487
4,950 Bloomin' Brands, Inc. 84,299
2,379 Brinker International, Inc. 94,803
1,122 Chipotle Mexican Grill,
Inc. (a) 892,585
2,797 Choice Hotels International,
Inc. 240,011
2,820 Churchill Downs, Inc. 337,413
3,946 Darden Restaurants, Inc. 479,676
2,313 Dave & Buster's Entertainment,
Inc. 94,023
11,399 Denny's Corp. (a) 257,503
2,451 Dine Brands Global, Inc. 201,203
1,726 Domino's Pizza, Inc. 422,059
4,074 Dunkin' Brands Group, Inc. 326,572
8,805 Eldorado Resorts, Inc. (a) 397,282
8,413 Hilton Worldwide Holdings, Inc. 812,275
564 Jack in the Box, Inc. 40,512
3,424 Marriott International, Inc.,
Class A 476,141
1,584 McDonald's Corp. 333,781
5,600 Planet Fitness, Inc.,
Class A (a) 440,496
4,723 Scientific Games Corp. (a) 96,585
7,549 SeaWorld Entertainment,
Inc. (a) 230,773
3,241 Shake Shack, Inc., Class A (a) 241,973
9,809 Starbucks Corp. 928,814
363 Vail Resorts, Inc. 89,487
20,718 Wendy's (The) Co. 376,860
2,470 Wingstop, Inc. 236,107
5,822 Wyndham Hotels & Resorts, Inc. 329,234
1,291 Wynn Resorts Ltd. 167,920
4,341 Yum! Brands, Inc. 488,449
---------------
9,158,323
---------------
HOUSEHOLD DURABLES -- 0.4%
1,864 Helen of Troy Ltd. (a) 276,394
1,503 iRobot Corp. (a) 109,869
4,478 Roku, Inc. (a) 462,712
---------------
848,975
---------------
HOUSEHOLD PRODUCTS -- 0.5%
4,502 Church & Dwight Co., Inc. 339,631
2,234 Colgate-Palmolive Co. 160,267
3,000 Procter & Gamble (The) Co. 354,120
289 WD-40 Co. 52,471
---------------
906,489
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS
-- 0.5%
9,554 AES Corp. $ 160,412
8,108 Pattern Energy Group, Inc.,
Class A 185,916
13,093 TerraForm Power, Inc., Class A 201,763
14,528 Vistra Energy Corp. 311,771
---------------
859,862
---------------
INDUSTRIAL CONGLOMERATES
-- 0.3%
1,796 Roper Technologies, Inc. 653,115
---------------
INSURANCE -- 1.9%
7,510 Arthur J. Gallagher & Co. 679,129
9,687 Brown & Brown, Inc. 348,054
2,718 eHealth, Inc. (a) 281,993
1,595 Erie Indemnity Co., Class A 355,318
4,701 Kemper Corp. 413,782
2,558 Kinsale Capital Group, Inc. 229,862
2,705 Primerica, Inc. 331,877
10,287 Progressive (The) Corp. 833,041
1,646 Universal Insurance Holdings,
Inc. 40,837
---------------
3,513,893
---------------
INTERACTIVE MEDIA & SERVICES
-- 1.8%
3,530 ANGI Homeservices, Inc.,
Class A (a) 48,891
2,247 Cargurus, Inc. (a) 83,746
3,408 Facebook, Inc., Class A (a) 661,936
3,024 IAC/InterActiveCorp (a) 722,887
6,030 Match Group, Inc. 453,999
11,812 QuinStreet, Inc. (a) 192,417
22,694 Snap, Inc., Class A (a) 381,259
9,424 Twitter, Inc. (a) 398,729
2,374 Yelp, Inc. (a) 83,209
6,995 Zillow Group, Inc., Class C (a) 349,470
---------------
3,376,543
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.4%
347 Amazon.com, Inc. (a) 647,773
85 Booking Holdings, Inc. (a) 160,362
3,966 Etsy, Inc. (a) 265,801
4,945 Expedia Group, Inc. 656,399
2,080 GrubHub, Inc. (a) 140,670
12,828 Quotient Technology, Inc. (a) 134,951
1,172 Shutterstock, Inc. 44,970
7,316 Stitch Fix, Inc.,
Class A (a) (b) 190,801
2,778 Wayfair, Inc., Class A (a) 364,363
---------------
2,606,090
---------------
IT SERVICES -- 6.3%
2,906 Automatic Data Processing, Inc. 483,907
4,046 Black Knight, Inc. (a) 256,193
6,127 Booz Allen Hamilton Holding
Corp. 421,231
6,440 Broadridge Financial Solutions,
Inc. 818,653
3,595 Carbonite, Inc. (a) 64,458
See Notes to Financial Statements Page 75
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
2,343 EPAM Systems, Inc. (a) $ 454,050
2,411 Euronet Worldwide, Inc. (a) 375,899
5,725 EVERTEC, Inc. 183,315
2,681 Fidelity National Information
Services, Inc. 357,243
3,608 Fiserv, Inc. (a) 380,391
2,342 FleetCor Technologies, Inc. (a) 665,526
4,087 Gartner, Inc. (a) 569,442
4,108 Global Payments, Inc. 689,815
2,609 GTT Communications, Inc. (a) 31,569
1,674 LiveRamp Holdings, Inc. (a) 88,203
2,487 Mastercard, Inc., Class A 677,135
2,667 MongoDB, Inc. (a) 381,968
3,284 Okta, Inc. (a) 429,646
3,997 Paychex, Inc. 331,951
7,184 PayPal Holdings, Inc. (a) 793,114
7,309 Sabre Corp. 171,835
6,623 Square, Inc., Class A (a) 532,555
6,030 Twilio, Inc., Class A (a) 838,833
2,297 VeriSign, Inc. (a) 484,874
3,790 Visa, Inc., Class A 674,620
12,237 Western Union (The) Co. 256,977
1,559 WEX, Inc. (a) 339,971
---------------
11,753,374
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 3.1%
8,183 Accelerate Diagnostics,
Inc. (a) (b) 152,858
779 Bio-Rad Laboratories, Inc.,
Class A (a) 245,307
1,167 Bio-Techne Corp. 245,245
8,121 Bruker Corp. 388,590
2,287 Charles River Laboratories
International, Inc. (a) 307,693
1,787 Illumina, Inc. (a) 534,992
5,110 IQVIA Holdings, Inc. (a) 813,359
3,577 Medpace Holdings, Inc. (a) 281,724
979 Mettler-Toledo International,
Inc. (a) 740,858
8,534 NeoGenomics, Inc. (a) 207,974
6,828 PerkinElmer, Inc. 588,027
1,636 PRA Health Sciences, Inc. (a) 163,453
7,940 Syneos Health, Inc. (a) 405,655
2,240 Thermo Fisher Scientific, Inc. 622,003
---------------
5,697,738
---------------
MACHINERY -- 3.5%
5,553 Actuant Corp., Class A 127,164
2,823 Albany International Corp.,
Class A 242,750
7,002 Allison Transmission Holdings,
Inc. 321,742
1,792 Chart Industries, Inc. (a) 135,350
3,970 Deere & Co. 657,630
4,786 Donaldson Co., Inc. 239,061
2,833 ESCO Technologies, Inc. 236,725
8,749 Federal Signal Corp. 272,531
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY (CONTINUED)
1,964 Fortive Corp. $ 149,362
2,900 Franklin Electric Co., Inc. 135,894
3,234 Graco, Inc. 155,491
8,529 Harsco Corp. (a) 200,090
4,034 Helios Technologies, Inc. 189,437
3,821 IDEX Corp. 642,769
2,062 Kadant, Inc. 192,714
1,971 Lincoln Electric Holdings, Inc. 166,589
11,775 Navistar International
Corp. (a) 367,851
1,148 Nordson Corp. 162,626
1,399 Proto Labs, Inc. (a) 145,636
1,946 RBC Bearings, Inc. (a) 316,595
3,638 Toro (The) Co. 264,919
4,448 TriMas Corp. (a) 133,395
3,585 Woodward, Inc. 401,663
7,865 Xylem, Inc. 631,481
---------------
6,489,465
---------------
MEDIA -- 1.3%
33,769 Altice USA, Inc., Class A (a) 871,578
1,489 AMC Networks, Inc.,
Class A (a) 79,483
346 Cable One, Inc. 421,013
32,280 Entercom Communications
Corp., Class A 183,350
8,406 Gray Television, Inc. (a) 149,207
1,700 Meredith Corp. 93,262
2,214 MSG Networks, Inc., Class A (a) 42,044
7,461 New York Times (The) Co.,
Class A 266,208
3,213 Nexstar Media Group, Inc.,
Class A 326,987
---------------
2,433,132
---------------
METALS & MINING -- 0.1%
1,583 Royal Gold, Inc. 181,174
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.7%
7,724 Arbor Realty Trust, Inc. 94,156
6,841 Blackstone Mortgage Trust,
Inc., Class A 242,992
6,916 KKR Real Estate Finance Trust,
Inc. 138,527
2,765 Ladder Capital Corp. 46,535
15,099 New York Mortgage Trust, Inc. 92,255
10,721 PennyMac Mortgage Investment
Trust 236,184
8,334 Redwood Trust, Inc. 141,011
7,142 Starwood Property Trust, Inc. 165,909
4,853 TPG RE Finance Trust, Inc. 95,847
---------------
1,253,416
---------------
MULTILINE RETAIL -- 0.2%
3,725 Ollie's Bargain Outlet
Holdings, Inc. (a) 315,470
---------------
MULTI-UTILITIES -- 1.0%
4,379 Ameren Corp. 331,447
3,114 Black Hills Corp. 246,473
5,680 CMS Energy Corp. 330,690
Page 76 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTI-UTILITIES (CONTINUED)
3,145 MDU Resources Group, Inc. $ 84,097
5,560 NiSource, Inc. 165,076
2,722 Public Service Enterprise
Group, Inc. 155,562
5,762 WEC Energy Group, Inc. 492,421
---------------
1,805,766
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.8%
8,831 Berry Petroleum Corp. 86,544
4,757 California Resources Corp. (a) 72,830
10,689 Centennial Resource
Development, Inc.,
Class A (a) 63,599
4,805 Cheniere Energy, Inc. (a) 313,046
2,625 ConocoPhillips 155,085
3,804 Continental Resources, Inc. (a) 141,395
8,115 CVR Energy, Inc. 430,663
1,719 EOG Resources, Inc. 147,576
10,348 Hess Corp. 670,964
5,553 Jagged Peak Energy, Inc. (a) 40,759
29,860 Kosmos Energy Ltd. 179,459
6,930 Matador Resources Co. (a) 122,176
2,327 ONEOK, Inc. 163,076
12,803 Parsley Energy, Inc.,
Class A (a) 212,402
3,820 PDC Energy, Inc. (a) 109,749
2,138 Pioneer Natural Resources Co. 295,129
19,055 QEP Resources, Inc. (a) 94,322
11,623 Range Resources Corp. 66,135
7,049 WPX Energy, Inc. (a) 73,591
---------------
3,438,500
---------------
PERSONAL PRODUCTS -- 0.6%
3,592 Estee Lauder (The) Cos., Inc.,
Class A 661,611
3,745 Herbalife Nutrition Ltd. (a) 153,620
1,408 Inter Parfums, Inc. 97,546
1,074 Medifast, Inc. 119,912
1,021 USANA Health Sciences,
Inc. (a) 69,479
---------------
1,102,168
---------------
PHARMACEUTICALS -- 1.4%
6,405 Amneal Pharmaceuticals,
Inc. (a) 23,442
8,869 Amphastar Pharmaceuticals,
Inc. (a) 178,710
4,119 Corcept Therapeutics, Inc. (a) 46,380
1,445 Eli Lilly and Co. 157,433
10,116 Horizon Therapeutics PLC (a) 251,787
6,429 Innoviva, Inc. (a) 76,377
1,138 Jazz Pharmaceuticals PLC (a) 158,614
3,922 Merck & Co., Inc. 325,487
4,560 Nektar Therapeutics (a) 129,778
4,305 Pacira BioSciences, Inc. (a) 188,946
3,696 Pfizer, Inc. 143,553
1,460 Reata Pharmaceuticals, Inc.,
Class A (a) 132,349
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PHARMACEUTICALS (CONTINUED)
1,388 Supernus Pharmaceuticals,
Inc. (a) $ 46,318
5,796 Zoetis, Inc. 665,902
---------------
2,525,076
---------------
PROFESSIONAL SERVICES -- 2.0%
1,484 CoStar Group, Inc. (a) 913,254
2,772 Exponent, Inc. 190,714
4,838 FTI Consulting, Inc. (a) 505,329
3,321 Insperity, Inc. 353,188
1,146 Korn Ferry 45,015
6,535 TransUnion 541,033
5,983 TriNet Group, Inc. (a) 439,990
4,491 Verisk Analytics, Inc. 681,374
---------------
3,669,897
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.2%
5,206 Redfin Corp. (a) (b) 93,916
978 RMR Group (The), Inc., Class A 48,157
7,973 St Joe (The) Co. (a) 153,400
---------------
295,473
---------------
ROAD & RAIL -- 1.3%
6,209 CSX Corp. 437,113
14,663 Hertz Global Holdings, Inc. (a) 227,570
2,254 Landstar System, Inc. 250,802
3,300 Norfolk Southern Corp. 630,696
3,218 Old Dominion Freight Line, Inc. 537,342
1,945 Union Pacific Corp. 350,003
---------------
2,433,526
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.6%
27,075 Advanced Micro Devices,
Inc. (a) 824,434
2,914 Analog Devices, Inc. 342,278
1,143 Broadcom, Inc. 331,458
4,832 Brooks Automation, Inc. 187,482
2,211 Cabot Microelectronics Corp. 268,968
4,332 Cree, Inc. (a) 269,364
5,148 Diodes, Inc. (a) 219,305
8,696 Entegris, Inc. 378,363
5,974 FormFactor, Inc. (a) 100,244
3,737 Inphi Corp. (a) 225,005
1,355 KLA Corp. 184,714
2,557 Lam Research Corp. 533,416
16,040 Lattice Semiconductor Corp. (a) 310,214
5,541 Microchip Technology, Inc. 523,181
597 Monolithic Power Systems, Inc. 88,451
12,043 ON Semiconductor Corp. (a) 259,045
1,718 Power Integrations, Inc. 156,458
2,354 Silicon Laboratories, Inc. (a) 264,142
1,395 Texas Instruments, Inc. 174,389
1,294 Universal Display Corp. 273,137
5,579 Xilinx, Inc. 637,178
6,691 Xperi Corp. 142,853
---------------
6,694,079
---------------
See Notes to Financial Statements Page 77
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE -- 10.0%
7,769 8x8, Inc. (a) $ 187,777
2,232 Adobe, Inc. (a) 667,056
1,516 Alarm.com Holdings, Inc. (a) 75,664
4,635 Altair Engineering, Inc.,
Class A (a) 192,862
3,717 Alteryx, Inc., Class A (a) 436,896
3,212 ANSYS, Inc. (a) 652,421
2,288 Appfolio, Inc., Class A (a) 220,906
2,611 Aspen Technology, Inc. (a) 344,313
2,949 Autodesk, Inc. (a) 460,545
5,618 Avalara, Inc. (a) 457,755
1,943 Blackbaud, Inc. 176,813
6,065 Blackline, Inc. (a) 270,499
11,612 Cadence Design Systems,
Inc. (a) 858,243
8,240 Carbon Black, Inc. (a) 153,346
3,232 Ceridian HCM Holding, Inc. (a) 172,298
2,801 Cornerstone OnDemand, Inc. (a) 165,819
3,204 Coupa Software, Inc. (a) 434,815
1,632 DocuSign, Inc. (a) 84,407
9,716 Dropbox, Inc., Class A (a) 228,909
2,738 Envestnet, Inc. (a) 195,521
2,617 Everbridge, Inc. (a) 267,719
1,292 Fair Isaac Corp. (a) 448,867
4,745 Five9, Inc. (a) 234,261
2,765 ForeScout Technologies,
Inc. (a) 103,300
2,084 Fortinet, Inc. (a) 167,366
2,401 Guidewire Software, Inc. (a) 245,094
1,903 HubSpot, Inc. (a) 340,104
2,203 Instructure, Inc. (a) 87,437
1,838 Intuit, Inc. 509,696
2,738 j2 Global, Inc. 243,928
4,913 LivePerson, Inc. (a) 163,063
4,681 Manhattan Associates, Inc. (a) 397,838
3,586 Microsoft Corp. 488,664
2,950 Mimecast Ltd. (a) 140,420
1,789 Paycom Software, Inc. (a) 430,702
3,459 Paylocity Holding Corp. (a) 353,129
2,146 Progress Software Corp. 92,900
2,024 Proofpoint, Inc. (a) 255,429
3,699 PROS Holdings, Inc. (a) 267,660
3,065 Q2 Holdings, Inc. (a) 244,802
1,863 Qualys, Inc. (a) 161,261
4,046 Rapid7, Inc. (a) 245,390
2,757 RealPage, Inc. (a) 172,257
2,824 RingCentral, Inc., Class A (a) 400,952
2,995 ServiceNow, Inc. (a) 830,783
4,835 Smartsheet, Inc., Class A (a) 241,315
3,820 Splunk, Inc. (a) 516,884
1,348 SPS Commerce, Inc. (a) 150,747
8,338 SS&C Technologies Holdings,
Inc. 399,807
6,390 Synopsys, Inc. (a) 848,336
1,781 Trade Desk (The), Inc.,
Class A (a) 468,955
375 Tyler Technologies, Inc. (a) 87,506
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
1,511 Varonis Systems, Inc. (a) $ 108,656
3,017 Verint Systems, Inc. (a) 174,594
958 VMware, Inc., Class A 167,161
3,200 Workday, Inc., Class A (a) 639,936
4,029 Workiva, Inc. (a) 231,627
4,660 Yext, Inc. (a) 96,975
3,645 Zendesk, Inc. (a) 304,576
5,293 Zscaler, Inc. (a) 446,041
---------------
18,613,003
---------------
SPECIALTY RETAIL -- 3.7%
748 AutoZone, Inc. (a) 840,034
2,823 Burlington Stores, Inc. (a) 510,257
2,991 Carvana Co. (a) 190,108
2,028 Five Below, Inc. (a) 238,209
7,745 Floor & Decor Holdings, Inc.,
Class A (a) 303,217
3,163 Home Depot (The), Inc. 675,901
1,587 Lowe's Cos., Inc. 160,922
2,195 Monro, Inc. 184,841
3,046 National Vision Holdings,
Inc. (a) 96,223
891 O'Reilly Automotive, Inc. (a) 339,257
8,788 Rent-A-Center, Inc. (a) 237,540
2,105 RH (a) 293,437
4,846 Ross Stores, Inc. 513,821
5,794 Sleep Number Corp. (a) 284,891
6,220 TJX (The) Cos., Inc. 339,363
7,558 Tractor Supply Co. 822,386
2,370 Ulta Beauty, Inc. (a) 827,723
---------------
6,858,130
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.4%
2,427 Apple, Inc. 517,048
3,194 Dell Technologies, Inc.,
Class C (a) 184,422
---------------
701,470
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.4%
2,430 Columbia Sportswear Co. 257,532
2,325 Crocs, Inc. (a) 53,126
2,305 Deckers Outdoor Corp. (a) 360,225
---------------
670,883
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.5%
3,335 Capitol Federal Financial, Inc. 45,556
3,041 Columbia Financial, Inc. (a) 46,497
3,455 Kearny Financial Corp. 46,124
966 LendingTree, Inc. (a) 311,574
11,687 Mr Cooper Group, Inc. (a) 88,938
8,243 NMI Holdings, Inc., Class A (a) 205,086
5,316 Northwest Bancshares, Inc. 91,169
5,544 OceanFirst Financial Corp. 135,274
---------------
970,218
---------------
Page 78 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES &
DISTRIBUTORS -- 0.6%
2,239 Applied Industrial Technologies,
Inc. $ 136,221
20,184 Fastenal Co. 621,667
2,702 SiteOne Landscape Supply,
Inc. (a) 199,597
7,429 Triton International Ltd. 245,751
---------------
1,203,236
---------------
WATER UTILITIES -- 0.5%
1,831 American States Water Co. 141,847
4,141 American Water Works Co., Inc. 475,304
3,922 Aqua America, Inc. 164,528
1,849 California Water Service Group 98,718
2,325 Middlesex Water Co. 145,615
---------------
1,026,012
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.3%
1,192 Shenandoah
Telecommunications Co. 46,917
6,479 T-Mobile US, Inc. (a) 516,571
1,816 United States Cellular
Corp. (a) 86,968
---------------
650,456
---------------
TOTAL COMMON STOCKS
-- 99.8% 185,620,946
(Cost $156,313,052) ---------------
MONEY MARKET FUNDS -- 0.3%
58,563 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) 58,563
481,235 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 2.15% (c) 481,235
---------------
TOTAL MONEY MARKET FUNDS
-- 0.3% 539,798
(Cost $539,798) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.3%
$ 479,418 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $479,452.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $489,175. (d) 479,418
(Cost $479,418) ---------------
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 100.4% $ 186,640,162
(Cost $157,332,268) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.4)% (684,682)
---------------
NET ASSETS -- 100.0% $ 185,955,480
===============
(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 $519,408 and the total value of the collateral held by the
Fund is $537,981.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $157,528,313. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $32,128,199 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $3,016,350. The net
unrealized appreciation was $29,111,849.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 185,620,946 $ -- $ --
Money Market
Funds 539,798 -- --
Repurchase
Agreements -- 479,418 --
--------------------------------------------
Total Investments $ 186,160,744 $ 479,418 $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 79
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
---------------------------------
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) $ 519,408
Non-cash Collateral(2) (519,408)
---------------
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, 2019, 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) $ 479,418
Non-cash Collateral(4) (479,418)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 80 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 1.0%
644 Curtiss-Wright Corp. $ 81,730
1,092 Huntington Ingalls Industries,
Inc. 249,304
874 Moog, Inc., Class A 71,196
2,011 Spirit AeroSystems Holdings,
Inc., Class A 154,525
---------------
556,755
---------------
AIR FREIGHT & LOGISTICS -- 0.7%
5,662 XPO Logistics, Inc. (a) 382,072
---------------
AIRLINES -- 1.6%
3,841 Alaska Air Group, Inc. 243,366
13,276 JetBlue Airways Corp. (a) 255,297
6,744 SkyWest, Inc. 409,428
---------------
908,091
---------------
AUTO COMPONENTS -- 1.8%
9,746 BorgWarner, Inc. 368,399
9,975 Gentex Corp. 273,514
26,741 Goodyear Tire & Rubber (The)
Co. 367,154
---------------
1,009,067
---------------
AUTOMOBILES -- 0.7%
6,851 Harley-Davidson, Inc. 245,129
2,800 Thor Industries, Inc. 166,880
---------------
412,009
---------------
BANKS -- 12.9%
15,483 Associated Banc-Corp. 335,517
2,818 BancorpSouth Bank 84,230
10,878 Bank OZK 332,649
4,850 BankUnited, Inc. 166,888
2,168 BOK Financial Corp. 181,418
4,557 Cathay General Bancorp 169,612
6,230 CIT Group, Inc. 314,926
2,262 Columbia Banking System, Inc. 85,300
874 Cullen/Frost Bankers, Inc. 82,978
5,249 East West Bancorp, Inc. 252,004
27,809 F.N.B. Corp. 335,098
363 First Citizens BancShares, Inc.,
Class A 169,528
6,326 First Hawaiian, Inc. 169,284
21,923 First Horizon National Corp. 359,537
4,999 Fulton Financial Corp. 84,983
6,128 Hancock Whitney Corp. 254,435
8,497 Home BancShares, Inc. 167,136
3,236 IBERIABANK Corp. 254,253
7,339 Investors Bancorp, Inc. 83,371
9,865 Old National Bancorp 173,723
8,429 PacWest Bancorp 325,612
4,876 People's United Financial, Inc. 80,064
2,847 Pinnacle Financial Partners,
Inc. 172,927
6,034 Popular, Inc. 347,317
2,478 Prosperity Bancshares, Inc. 171,948
1,354 Signature Bank 172,581
4,676 Synovus Financial Corp. 178,483
5,971 TCF Financial Corp. 251,021
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
2,667 Texas Capital Bancshares,
Inc. (a) $ 167,834
14,797 Umpqua Holdings Corp. 258,356
2,206 United Bankshares, Inc. 82,924
22,772 Valley National Bancorp 254,136
3,660 Western Alliance Bancorp (a) 180,950
2,237 Wintrust Financial Corp. 160,035
7,118 Zions Bancorp N.A. 320,808
---------------
7,181,866
---------------
BUILDING PRODUCTS -- 0.9%
1,735 A.O. Smith Corp. 78,856
7,030 Owens Corning 407,740
---------------
486,596
---------------
CAPITAL MARKETS -- 2.0%
3,794 Eaton Vance Corp. 168,833
2,518 Federated Investors, Inc.,
Class B 87,500
11,998 Invesco Ltd. 230,242
7,138 Lazard Ltd., Class A 276,312
1,459 SEI Investments Co. 86,942
4,156 Stifel Financial Corp. 248,570
---------------
1,098,399
---------------
CHEMICALS -- 2.7%
4,649 Albemarle Corp. 339,191
6,860 Cabot Corp. 306,779
20,016 Huntsman Corp. 411,329
18,673 Olin Corp. 374,767
1,114 Sensient Technologies Corp. 75,942
---------------
1,508,008
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.6%
53,482 ADT, Inc. (b) 339,611
---------------
COMMUNICATIONS EQUIPMENT
-- 0.4%
15,606 CommScope Holding Co.,
Inc. (a) 222,854
---------------
CONSTRUCTION & ENGINEERING
-- 1.9%
4,324 AECOM (a) 155,448
1,858 EMCOR Group, Inc. 156,796
2,429 Fluor Corp. 78,967
6,352 MasTec, Inc. (a) 325,985
8,571 Quanta Services, Inc. 320,727
---------------
1,037,923
---------------
CONSUMER FINANCE -- 2.6%
23,979 Navient Corp. 339,303
12,101 OneMain Holdings, Inc. 501,586
13,661 Santander Consumer USA
Holdings, Inc. 367,618
25,255 SLM Corp. 230,073
---------------
1,438,580
---------------
CONTAINERS & PACKAGING -- 2.4%
3,112 Berry Global Group, Inc. (a) 140,196
17,559 Graphic Packaging Holding Co. 260,927
See Notes to Financial Statements Page 81
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONTAINERS & PACKAGING
(CONTINUED)
14,214 Owens-Illinois, Inc. $ 241,212
3,434 Packaging Corp. of America 346,731
1,913 Sealed Air Corp. 79,944
5,348 Silgan Holdings, Inc. 160,761
1,252 Sonoco Products Co. 75,157
---------------
1,304,928
---------------
DISTRIBUTORS -- 0.3%
6,150 LKQ Corp. (a) 165,620
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.1%
3,633 Adtalem Global Education,
Inc. (a) 172,095
593 Graham Holdings Co., Class B 440,439
---------------
612,534
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.6%
12,765 Jefferies Financial Group, Inc. 272,277
1,480 Voya Financial, Inc. 83,132
---------------
355,409
---------------
ELECTRIC UTILITIES -- 0.9%
1,967 ALLETE, Inc. 171,031
1,879 Hawaiian Electric Industries,
Inc. 84,179
4,532 Portland General Electric Co. 248,580
---------------
503,790
---------------
ELECTRICAL EQUIPMENT -- 1.2%
1,187 Acuity Brands, Inc. 159,319
1,195 EnerSys 81,391
628 Hubbell, Inc. 81,565
4,006 Regal Beloit Corp. 318,958
---------------
641,233
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 4.0%
5,741 Arrow Electronics, Inc. (a) 416,854
7,230 Avnet, Inc. 328,387
24,647 AVX Corp. 375,374
1,800 Coherent, Inc. (a) 249,930
530 IPG Photonics Corp. (a) 69,435
5,179 Jabil, Inc. 159,927
3,326 SYNNEX Corp. 327,744
3,129 Tech Data Corp. (a) 317,093
---------------
2,244,744
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.4%
4,849 Helmerich & Payne, Inc. 240,898
---------------
ENTERTAINMENT -- 0.3%
4,533 Cinemark Holdings, Inc. 180,957
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 6.0%
25,797 Apple Hospitality REIT, Inc. 405,271
18,306 Brixmor Property Group, Inc. 347,448
10,065 Equity Commonwealth 337,983
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
7,789 GEO Group (The), Inc. $ 138,722
16,365 Hospitality Properties Trust 404,379
5,841 Paramount Group, Inc. 80,781
14,845 Park Hotels & Resorts, Inc. 392,056
23,063 RLJ Lodging Trust 398,529
39,578 Senior Housing Properties Trust 324,540
1,018 SL Green Realty Corp. 82,539
29,842 Sunstone Hotel Investors, Inc. 394,213
---------------
3,306,461
---------------
FOOD & STAPLES RETAILING
-- 0.7%
12,995 Sprouts Farmers Market,
Inc. (a) 220,005
4,576 US Foods Holding Corp. (a) 161,853
---------------
381,858
---------------
FOOD PRODUCTS -- 1.2%
4,406 Bunge Ltd. 257,442
4,114 Darling Ingredients, Inc. (a) 83,638
3,968 Ingredion, Inc. 306,687
---------------
647,767
---------------
GAS UTILITIES -- 0.6%
1,826 Southwest Gas Holdings, Inc. 162,350
1,950 Spire, Inc. 160,699
---------------
323,049
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 0.1%
1,508 AMN Healthcare Services,
Inc. (a) 80,497
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.2%
6,808 Aramark 246,382
6,075 Boyd Gaming Corp. 160,927
479 Cracker Barrel Old Country
Store, Inc. 83,207
7,715 Hilton Grand Vacations,
Inc. (a) 252,280
2,150 Hyatt Hotels Corp., Class A 166,302
16,994 Penn National Gaming, Inc. (a) 331,723
---------------
1,240,821
---------------
HOUSEHOLD DURABLES -- 1.6%
2,133 Leggett & Platt, Inc. 85,256
12,939 PulteGroup, Inc. 407,708
11,172 Toll Brothers, Inc. 401,857
---------------
894,821
---------------
INDUSTRIAL CONGLOMERATES
-- 0.2%
583 Carlisle Cos., Inc. 84,074
---------------
INSURANCE -- 6.0%
9,038 American Equity Investment
Life Holding Co. 233,180
799 American Financial Group, Inc. 81,802
3,513 American National Insurance Co. 425,143
7,778 Assured Guaranty Ltd. 339,821
9,501 Athene Holding Ltd.,
Class A (a) 388,211
2,230 Brighthouse Financial, Inc. (a) 87,349
1,409 Enstar Group Ltd. (a) 249,604
6,095 First American Financial Corp. 352,413
Page 82 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
14,268 National General Holdings
Corp. $ 352,848
14,625 Old Republic International
Corp. 333,596
4,878 Unum Group 155,852
320 White Mountains Insurance
Group Ltd. 344,320
---------------
3,344,139
---------------
IT SERVICES -- 0.6%
400 CACI International, Inc.,
Class A (a) 86,060
1,025 Leidos Holdings, Inc. 84,153
1,128 MAXIMUS, Inc. 82,919
3,495 Perspecta, Inc. 81,538
---------------
334,670
---------------
LEISURE PRODUCTS -- 0.5%
1,783 Brunswick Corp. 87,652
1,794 Polaris Industries, Inc. 169,838
---------------
257,490
---------------
MACHINERY -- 4.2%
3,165 AGCO Corp. 243,705
4,357 Barnes Group, Inc. 226,738
2,919 Colfax Corp. (a) 80,798
2,942 Crane Co. 246,246
4,136 Hillenbrand, Inc. 139,342
1,250 ITT, Inc. 78,025
11,061 Kennametal, Inc. 382,489
3,920 Oshkosh Corp. 327,595
6,375 Timken (The) Co. 291,401
15,774 Trinity Industries, Inc. 309,170
---------------
2,325,509
---------------
MEDIA -- 1.4%
8,521 DISH Network Corp.,
Class A (a) 288,521
3,622 Interpublic Group of Cos.
(The), Inc. 83,016
14,280 Liberty Latin America Ltd.,
Class C (a) 234,192
12,131 News Corp., Class A 159,644
---------------
765,373
---------------
METALS & MINING -- 3.8%
13,982 Alcoa Corp. (a) 314,455
9,741 Allegheny Technologies,
Inc. (a) 212,062
30,675 Cleveland-Cliffs, Inc. (b) 326,995
4,324 Reliance Steel & Aluminum Co. 432,184
13,547 Steel Dynamics, Inc. 426,866
26,723 United States Steel Corp. 401,647
---------------
2,114,209
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.2%
8,673 Chimera Investment Corp. 167,215
45,586 MFA Financial, Inc. 327,308
10,634 New Residential Investment
Corp. 166,847
---------------
661,370
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MULTILINE RETAIL -- 1.2%
19,065 Macy's, Inc. $ 433,347
7,705 Nordstrom, Inc. 255,113
---------------
688,460
---------------
MULTI-UTILITIES -- 1.0%
7,339 Avista Corp. 337,814
3,402 NorthWestern Corp. 237,868
---------------
575,682
---------------
OIL, GAS & CONSUMABLE FUELS
-- 6.0%
73,984 Antero Resources Corp. (a) 341,066
209,812 Chesapeake Energy Corp. (a) (b) 379,760
6,896 Cimarex Energy Co. 349,420
10,097 Delek US Holdings, Inc. 434,979
20,703 EQT Corp. 312,822
16,598 Murphy Oil Corp. 399,016
13,071 PBF Energy, Inc., Class A 365,073
16,976 Peabody Energy Corp. 357,515
21,902 Whiting Petroleum Corp. (a) 387,227
---------------
3,326,878
---------------
PAPER & FOREST PRODUCTS -- 1.4%
9,188 Domtar Corp. 390,031
15,604 Louisiana-Pacific Corp. 407,888
---------------
797,919
---------------
PERSONAL PRODUCTS -- 0.1%
1,659 Nu Skin Enterprises, Inc.,
Class A 66,327
---------------
PHARMACEUTICALS -- 0.2%
1,718 Perrigo Co. PLC 92,789
---------------
PROFESSIONAL SERVICES -- 0.9%
2,701 ASGN, Inc. (a) 170,298
2,541 ManpowerGroup, Inc. 232,121
1,435 Robert Half International, Inc. 86,688
---------------
489,107
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.5%
1,745 Jones Lang LaSalle, Inc. 254,229
---------------
ROAD & RAIL -- 2.1%
648 AMERCO 250,776
818 Genesee & Wyoming, Inc.,
Class A (a) 89,824
12,458 Knight-Swift Transportation
Holdings, Inc. 446,495
7,018 Ryder System, Inc. 373,779
---------------
1,160,874
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.0%
3,152 MKS Instruments, Inc. 268,330
2,457 Qorvo, Inc. (a) 180,073
1,708 Teradyne, Inc. 95,187
---------------
543,590
---------------
SPECIALTY RETAIL -- 5.5%
2,665 Aaron's, Inc. 168,028
See Notes to Financial Statements Page 83
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SPECIALTY RETAIL (CONTINUED)
24,209 American Eagle Outfitters,
Inc. $ 428,257
7,804 AutoNation, Inc. (a) 379,899
11,814 Dick's Sporting Goods, Inc. 439,126
9,760 Foot Locker, Inc. 400,746
9,405 L Brands, Inc. 244,060
6,920 Penske Automotive Group, Inc. 318,113
17,984 Urban Outfitters, Inc. (a) 428,199
3,777 Williams-Sonoma, Inc. 251,850
---------------
3,058,278
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.4%
6,933 Xerox Corp. 222,549
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 2.2%
1,678 Carter's, Inc. 156,088
9,504 Hanesbrands, Inc. 152,919
4,323 PVH Corp. 384,401
1,441 Ralph Lauren Corp. 150,196
7,795 Skechers U.S.A., Inc.,
Class A (a) 295,742
2,410 Steven Madden Ltd. 83,169
---------------
1,222,515
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.6%
6,965 Essent Group Ltd. (a) 321,504
31,137 MGIC Investment Corp. (a) 400,111
24,597 New York Community Bancorp,
Inc. 283,603
17,905 Radian Group, Inc. 408,234
---------------
1,413,452
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.9%
9,897 Air Lease Corp. 413,596
4,128 GATX Corp. 317,278
2,031 HD Supply Holdings, Inc. (a) 82,276
3,306 MSC Industrial Direct Co.,
Inc., Class A 234,891
---------------
1,048,041
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.6%
8,074 Macquarie Infrastructure Corp. 334,587
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.8%
13,458 Telephone & Data Systems, Inc. 435,232
---------------
TOTAL COMMON STOCKS
-- 99.7% 55,324,561
(Cost $56,577,925) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.2%
92,395 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) $ 92,395
(Cost $92,395) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.4%
$ 756,376 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $756,429.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $771,770. (d) 756,376
(Cost $756,376) ---------------
TOTAL INVESTMENTS -- 101.3% 56,173,332
(Cost $57,426,696) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.3)% (700,261)
---------------
NET ASSETS -- 100.0% $ 55,473,071
===============
(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 $784,769 and the total value of the collateral held by the
Fund is $848,771.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $57,741,855. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $2,982,833 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $4,551,356. The net unrealized
depreciation was $1,568,523.
Page 84 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 55,324,561 $ -- $ --
Money Market
Funds 92,395 -- --
Repurchase
Agreements -- 756,376 --
--------------------------------------------
Total Investments $ 55,416,956 $ 756,376 $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 784,769
Non-cash Collateral(2) (784,769)
---------------
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, 2019, 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) $ 756,376
Non-cash Collateral(4) (756,376)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 85
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 2.6%
39,997 Aerojet Rocketdyne Holdings,
Inc. (a) $ 1,708,672
20,914 Axon Enterprise, Inc. (a) 1,468,581
31,816 Mercury Systems, Inc. (a) 2,593,640
8,170 Teledyne Technologies, Inc. (a) 2,379,758
---------------
8,150,651
---------------
AIRLINES -- 0.4%
28,139 Spirit Airlines, Inc. (a) 1,193,938
---------------
AUTO COMPONENTS -- 0.2%
10,273 Dorman Products, Inc. (a) 738,423
---------------
BANKS -- 1.6%
7,501 Commerce Bancshares, Inc. 456,286
13,597 Community Bank System, Inc. 897,266
29,079 First Financial Bankshares,
Inc. 952,337
22,079 Glacier Bancorp., Inc. 925,331
84,147 Sterling Bancorp 1,838,612
---------------
5,069,832
---------------
BIOTECHNOLOGY -- 2.2%
66,991 ACADIA Pharmaceuticals,
Inc. (a) 1,646,639
23,726 Blueprint Medicines Corp. (a) 2,376,159
9,268 Emergent BioSolutions, Inc. (a) 409,089
20,945 Exelixis, Inc. (a) 445,500
7,697 Genomic Health, Inc. (a) 561,650
13,932 Ionis Pharmaceuticals, Inc. (a) 917,562
5,303 Neurocrine Biosciences,
Inc. (a) 511,156
---------------
6,867,755
---------------
BUILDING PRODUCTS -- 2.5%
20,246 Allegion PLC 2,096,271
18,424 Armstrong World Industries,
Inc. 1,800,209
26,945 Simpson Manufacturing Co., Inc. 1,664,123
24,975 Trex Co., Inc. (a) 2,041,706
---------------
7,602,309
---------------
CAPITAL MARKETS -- 2.9%
15,163 Evercore, Inc., Class A 1,309,628
6,249 FactSet Research Systems, Inc. 1,732,848
27,438 LPL Financial Holdings, Inc. 2,301,225
5,572 MarketAxess Holdings, Inc. 1,877,987
12,379 Morningstar, Inc. 1,881,360
---------------
9,103,048
---------------
CHEMICALS -- 3.1%
60,147 Axalta Coating Systems Ltd. (a) 1,782,156
8,954 Balchem Corp. 919,039
17,026 Ingevity Corp. (a) 1,677,742
1,114 NewMarket Corp. 469,674
6,621 Quaker Chemical Corp. 1,240,709
21,975 RPM International, Inc. 1,490,564
45,844 Valvoline, Inc. 925,590
17,646 WR Grace & Co. 1,196,575
---------------
9,702,049
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.9%
31,482 Clean Harbors, Inc. (a) $ 2,449,614
89,530 KAR Auction Services, Inc. 2,394,032
8,496 MSA Safety, Inc. 895,054
---------------
5,738,700
---------------
COMMUNICATIONS EQUIPMENT
-- 1.1%
54,418 Ciena Corp. (a) 2,460,782
8,382 Lumentum Holdings, Inc. (a) 474,673
3,407 Ubiquiti Networks, Inc. 438,583
---------------
3,374,038
---------------
CONSUMER FINANCE -- 1.2%
3,702 Credit Acceptance Corp. (a) 1,769,667
17,904 FirstCash, Inc. 1,801,859
---------------
3,571,526
---------------
CONTAINERS & PACKAGING -- 0.7%
17,999 AptarGroup, Inc. 2,178,239
---------------
DISTRIBUTORS -- 0.7%
11,718 Pool Corp. 2,219,038
---------------
DIVERSIFIED CONSUMER SERVICES
-- 2.5%
14,838 Bright Horizons Family
Solutions, Inc. (a) 2,256,414
34,802 Chegg, Inc. (a) 1,563,306
3,827 Grand Canyon Education,
Inc. (a) 416,263
61,110 H&R Block, Inc. 1,692,136
38,278 Service Corp. International 1,766,147
---------------
7,694,266
---------------
ELECTRIC UTILITIES -- 0.3%
4,459 IDACORP, Inc. 455,086
10,518 OGE Energy Corp. 451,748
---------------
906,834
---------------
ELECTRICAL EQUIPMENT -- 0.9%
32,245 Generac Holdings, Inc. (a) 2,331,313
38,928 GrafTech International Ltd. 445,726
---------------
2,777,039
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.7%
9,329 Cognex Corp. 410,569
6,929 Dolby Laboratories, Inc.,
Class A 471,865
16,547 FLIR Systems, Inc. 821,724
2,530 Littelfuse, Inc. 427,469
---------------
2,131,627
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.1%
38,891 Patterson-UTI Energy, Inc. 452,302
---------------
ENTERTAINMENT -- 0.6%
292,106 Zynga, Inc., Class A (a) 1,863,636
---------------
Page 86 See Notes to Financial Statements
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 6.1%
9,698 American Campus
Communities, Inc. $ 453,382
36,829 American Homes 4 Rent,
Class A 891,630
41,422 Americold Realty Trust 1,388,880
8,931 Apartment Investment &
Management Co., Class A 442,442
7,771 CoreSite Realty Corp. 814,479
13,388 CubeSmart 454,523
11,234 Douglas Emmett, Inc. 458,572
7,719 EastGroup Properties, Inc. 929,985
12,002 EPR Properties 893,309
12,186 First Industrial Realty Trust,
Inc. 465,383
22,969 Gaming and Leisure Properties,
Inc. 866,161
24,223 Kimco Realty Corp. 465,324
11,091 Lamar Advertising Co., Class A 897,484
8,945 Liberty Property Trust 467,824
25,669 Physicians Realty Trust 441,763
7,969 PS Business Parks, Inc. 1,394,575
33,266 Rexford Industrial Realty, Inc. 1,377,212
11,041 Ryman Hospitality Properties,
Inc. 828,075
45,471 Sabra Health Care REIT, Inc. 938,521
10,494 Spirit Realty Capital, Inc. 462,995
14,802 STAG Industrial, Inc. 439,915
13,485 STORE Capital Corp. 461,322
149,054 VEREIT, Inc. 1,359,372
60,932 VICI Properties, Inc. 1,300,289
---------------
18,893,417
---------------
FOOD & STAPLES RETAILING
-- 0.3%
33,913 BJ's Wholesale Club Holdings,
Inc. (a) 798,990
---------------
FOOD PRODUCTS -- 0.5%
2,782 J&J Snack Foods Corp. 517,007
8,613 Post Holdings, Inc. (a) 923,486
---------------
1,440,493
---------------
GAS UTILITIES -- 0.7%
8,488 National Fuel Gas Co. 405,217
17,988 New Jersey Resources Corp. 897,062
9,917 ONE Gas, Inc. 904,232
---------------
2,206,511
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 5.7%
11,100 Cantel Medical Corp. 1,024,308
14,881 Haemonetics Corp. (a) 1,816,672
8,556 Hill-Rom Holdings, Inc. 912,412
1,775 ICU Medical, Inc. (a) 451,631
18,750 Insulet Corp. (a) 2,305,125
16,001 Integer Holdings Corp. (a) 1,400,567
16,033 Integra LifeSciences Holdings
Corp. (a) 1,016,332
9,025 Masimo Corp. (a) 1,424,596
15,032 Merit Medical Systems, Inc. (a) 593,163
35,398 Novocure Ltd. (a) 2,945,822
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT
& SUPPLIES (CONTINUED)
11,191 Penumbra, Inc. (a) $ 1,875,612
14,310 West Pharmaceutical Services,
Inc. 1,964,334
---------------
17,730,574
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 2.7%
11,061 Amedisys, Inc. (a) 1,525,201
4,961 Chemed Corp. 2,011,140
21,194 Encompass Health Corp. 1,353,025
14,976 LHC Group, Inc. (a) 1,895,662
12,510 Molina Healthcare, Inc. (a) 1,661,078
---------------
8,446,106
---------------
HEALTH CARE TECHNOLOGY -- 0.6%
26,964 Teladoc Health, Inc. (a) (b) 1,840,023
---------------
HOTELS, RESTAURANTS & LEISURE
-- 4.5%
15,435 Choice Hotels International,
Inc. 1,324,477
15,561 Churchill Downs, Inc. 1,861,874
22,478 Dunkin' Brands Group, Inc. 1,801,836
48,582 Eldorado Resorts, Inc. (a) 2,192,020
30,897 Planet Fitness, Inc.,
Class A (a) 2,430,358
2,005 Vail Resorts, Inc. 494,273
114,317 Wendy's (The) Co. 2,079,426
32,127 Wyndham Hotels & Resorts, Inc. 1,816,782
---------------
14,001,046
---------------
HOUSEHOLD DURABLES -- 1.3%
10,282 Helen of Troy Ltd. (a) 1,524,615
24,711 Roku, Inc. (a) 2,553,388
---------------
4,078,003
---------------
INSURANCE -- 2.6%
53,452 Brown & Brown, Inc. 1,920,530
8,801 Erie Indemnity Co., Class A 1,960,599
25,939 Kemper Corp. 2,283,151
14,927 Primerica, Inc. 1,831,394
---------------
7,995,674
---------------
INTERACTIVE MEDIA & SERVICES
-- 2.4%
12,396 Cargurus, Inc. (a) 461,999
33,273 Match Group, Inc. 2,505,124
125,215 Snap, Inc., Class A (a) 2,103,612
13,094 Yelp, Inc. (a) 458,945
38,598 Zillow Group, Inc., Class C (a) 1,928,356
---------------
7,458,036
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.4%
21,885 Etsy, Inc. (a) 1,466,733
11,478 GrubHub, Inc. (a) 776,257
15,329 Wayfair, Inc., Class A (a) 2,010,551
---------------
4,253,541
---------------
IT SERVICES -- 5.7%
22,328 Black Knight, Inc. (a) 1,413,809
33,805 Booz Allen Hamilton Holding
Corp. 2,324,094
See Notes to Financial Statements Page 87
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
12,929 EPAM Systems, Inc. (a) $ 2,505,511
13,304 Euronet Worldwide, Inc. (a) 2,074,227
9,231 LiveRamp Holdings, Inc. (a) 486,381
14,718 MongoDB, Inc. (a) 2,107,912
18,121 Okta, Inc. (a) 2,370,770
40,329 Sabre Corp. 948,135
67,521 Western Union (The) Co. 1,417,941
8,606 WEX, Inc. (a) 1,876,710
---------------
17,525,490
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 3.1%
4,294 Bio-Rad Laboratories, Inc.,
Class A (a) 1,352,181
6,439 Bio-Techne Corp. 1,353,156
44,810 Bruker Corp. 2,144,158
12,620 Charles River Laboratories
International, Inc. (a) 1,697,895
9,031 PRA Health Sciences, Inc. (a) 902,287
43,809 Syneos Health, Inc. (a) 2,238,202
---------------
9,687,879
---------------
MACHINERY -- 4.5%
38,630 Allison Transmission Holdings,
Inc. 1,775,048
26,407 Donaldson Co., Inc. 1,319,030
17,841 Graco, Inc. 857,795
10,877 Lincoln Electric Holdings, Inc. 919,324
64,974 Navistar International
Corp. (a) 2,029,788
6,338 Nordson Corp. 897,841
7,717 Proto Labs, Inc. (a) 803,340
10,736 RBC Bearings, Inc. (a) 1,746,640
20,075 Toro (The) Co. 1,461,862
19,781 Woodward, Inc. 2,216,263
---------------
14,026,931
---------------
MEDIA -- 1.9%
8,217 AMC Networks, Inc., Class A (a) 438,623
1,909 Cable One, Inc. 2,322,871
41,172 New York Times (The) Co.,
Class A 1,469,017
17,727 Nexstar Media Group, Inc.,
Class A 1,804,077
---------------
6,034,588
---------------
METALS & MINING -- 0.3%
8,738 Royal Gold, Inc. 1,000,064
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.7%
37,746 Blackstone Mortgage Trust,
Inc., Class A 1,340,738
39,405 Starwood Property Trust, Inc. 915,378
---------------
2,256,116
---------------
MULTILINE RETAIL -- 0.6%
20,558 Ollie's Bargain Outlet
Holdings, Inc. (a) 1,741,057
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MULTI-UTILITIES -- 0.6%
17,179 Black Hills Corp. $ 1,359,718
17,349 MDU Resources Group, Inc. 463,912
---------------
1,823,630
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.5%
58,977 Centennial Resource
Development, Inc.,
Class A (a) 350,913
44,776 CVR Energy, Inc. 2,376,262
70,644 Parsley Energy, Inc.,
Class A (a) 1,171,984
64,133 Range Resources Corp. 364,917
38,891 WPX Energy, Inc. (a) 406,022
---------------
4,670,098
---------------
PERSONAL PRODUCTS -- 0.1%
5,634 USANA Health Sciences,
Inc. (a) 383,394
---------------
PHARMACEUTICALS -- 1.0%
55,819 Horizon Therapeutics PLC (a) 1,389,335
6,279 Jazz Pharmaceuticals PLC (a) 875,167
25,162 Nektar Therapeutics (a) 716,110
---------------
2,980,612
---------------
PROFESSIONAL SERVICES -- 2.7%
15,294 Exponent, Inc. 1,052,227
26,698 FTI Consulting, Inc. (a) 2,788,606
18,326 Insperity, Inc. 1,948,970
33,012 TriNet Group, Inc. (a) 2,427,703
---------------
8,217,506
---------------
ROAD & RAIL -- 0.4%
12,433 Landstar System, Inc. 1,383,420
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.2%
12,202 Cabot Microelectronics Corp. 1,484,373
23,906 Cree, Inc. (a) 1,486,475
47,981 Entegris, Inc. 2,087,653
3,298 Monolithic Power Systems, Inc. 488,632
66,453 ON Semiconductor Corp. (a) 1,429,404
12,989 Silicon Laboratories, Inc. (a) 1,457,496
7,143 Universal Display Corp. 1,507,744
---------------
9,941,777
---------------
SOFTWARE -- 14.3%
8,368 Alarm.com Holdings, Inc. (a) 417,647
20,511 Alteryx, Inc., Class A (a) 2,410,863
14,406 Aspen Technology, Inc. (a) 1,899,719
31,001 Avalara, Inc. (a) 2,525,962
10,724 Blackbaud, Inc. 975,884
33,465 Blackline, Inc. (a) 1,492,539
17,834 Ceridian HCM Holding, Inc. (a) 950,731
15,454 Cornerstone OnDemand, Inc. (a) 914,877
17,679 Coupa Software, Inc. (a) 2,399,217
9,007 DocuSign, Inc. (a) 465,842
53,611 Dropbox, Inc., Class A (a) 1,263,075
7,129 Fair Isaac Corp. (a) 2,476,757
26,184 Five9, Inc. (a) 1,292,704
13,248 Guidewire Software, Inc. (a) 1,352,356
10,501 HubSpot, Inc. (a) 1,876,739
Page 88 See Notes to Financial Statements
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
15,110 j2 Global, Inc. $ 1,346,150
25,827 Manhattan Associates, Inc. (a) 2,195,037
9,871 Paycom Software, Inc. (a) 2,376,443
19,083 Paylocity Holding Corp. (a) 1,948,183
11,168 Proofpoint, Inc. (a) 1,409,402
10,280 Qualys, Inc. (a) 889,837
15,211 RealPage, Inc. (a) 950,383
15,581 RingCentral, Inc., Class A (a) 2,212,190
9,827 Trade Desk (The), Inc.,
Class A (a) 2,587,547
2,075 Tyler Technologies, Inc. (a) 484,201
16,647 Verint Systems, Inc. (a) 963,362
20,111 Zendesk, Inc. (a) 1,680,475
29,207 Zscaler, Inc. (a) 2,461,274
---------------
44,219,396
---------------
SPECIALTY RETAIL -- 1.5%
11,189 Five Below, Inc. (a) 1,314,260
42,734 Floor & Decor Holdings, Inc.,
Class A (a) 1,673,036
11,615 RH (a) 1,619,131
---------------
4,606,427
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.3%
17,626 Dell Technologies, Inc.,
Class C (a) 1,017,725
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.1%
13,409 Columbia Sportswear Co. 1,421,086
12,721 Deckers Outdoor Corp. (a) 1,988,038
---------------
3,409,124
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.6%
5,328 LendingTree, Inc. (a) 1,718,493
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.4%
40,993 Triton International Ltd. 1,356,048
---------------
WATER UTILITIES -- 0.3%
21,643 Aqua America, Inc. 907,924
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
10,019 United States Cellular
Corp. (a) 479,810
---------------
TOTAL COMMON STOCKS
-- 100.0% 309,865,173
(Cost $272,691,597) ---------------
MONEY MARKET FUNDS -- 0.1%
157,512 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) 157,512
(Cost $157,512) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.4%
$ 1,289,444 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $1,289,534.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $1,315,687. (d) $ 1,289,444
(Cost $1,289,444) ---------------
TOTAL INVESTMENTS -- 100.5% 311,312,129
(Cost $274,138,553) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.5)% (1,486,452)
---------------
NET ASSETS -- 100.0% $ 309,825,677
===============
(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 $1,380,018 and the total value of the collateral held by the
Fund is $1,446,956.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $275,837,115. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $40,543,463 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $5,068,449. The net
unrealized appreciation was $35,475,014.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 309,865,173 $ -- $ --
Money Market
Funds 157,512 -- --
Repurchase
Agreements -- 1,289,444 --
--------------------------------------------
Total Investments $ 310,022,685 $ 1,289,444 $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 89
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
---------------------------------
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) $ 1,380,018
Non-cash Collateral(2) (1,380,018)
---------------
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, 2019, 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) $ 1,289,444
Non-cash Collateral(4) (1,289,444)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 90 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AIR FREIGHT & LOGISTICS -- 1.2%
8,676 Atlas Air Worldwide Holdings,
Inc. (a) $ 396,059
7,380 Hub Group, Inc., Class A (a) 334,683
---------------
730,742
---------------
AIRLINES -- 1.0%
1,589 Allegiant Travel Co. 238,111
14,119 Hawaiian Holdings, Inc. 366,953
---------------
605,064
---------------
AUTO COMPONENTS -- 3.4%
24,282 American Axle & Manufacturing
Holdings, Inc. (a) 293,084
9,820 Cooper Tire & Rubber Co. 264,354
8,452 Cooper-Standard Holdings,
Inc. (a) 418,205
15,538 Dana, Inc. 259,640
2,533 LCI Industries 232,099
1,676 Standard Motor Products, Inc. 77,113
27,938 Tenneco, Inc., Class A 252,559
3,892 Visteon Corp. (a) 256,405
---------------
2,053,459
---------------
AUTOMOBILES -- 0.5%
8,016 Winnebago Industries, Inc. 323,045
---------------
BANKS -- 7.4%
3,339 1st Source Corp. 156,766
3,953 Ameris Bancorp 157,211
2,151 Atlantic Union Bankshares Corp. 81,803
4,935 Berkshire Hills Bancorp, Inc. 161,868
12,835 Boston Private Financial
Holdings, Inc. 148,116
4,941 Brookline Bancorp, Inc. 73,275
7,448 Cadence BanCorp 127,659
1,404 Eagle Bancorp, Inc. 56,595
2,076 FB Financial Corp. 78,909
5,866 First Busey Corp. 158,558
11,501 First Commonwealth Financial
Corp. 158,369
1,919 First Interstate BancSystem,
Inc., Class A 76,818
7,568 First Midwest Bancorp, Inc. 163,696
6,383 Great Western Bancorp, Inc. 215,873
3,463 Heartland Financial USA, Inc. 166,536
7,283 Hilltop Holdings, Inc. 165,178
16,545 Hope Bancorp, Inc. 244,039
1,383 Independent Bank Group, Inc. 78,568
6,046 International Bancshares Corp. 227,511
2,026 NBT Bancorp, Inc. 78,406
6,517 OFG Bancorp 147,480
7,383 Pacific Premier Bancorp, Inc. 233,524
4,310 Renasant Corp. 154,686
4,133 S&T Bancorp, Inc. 157,343
9,802 Simmons First National Corp.,
Class A 252,401
2,103 South State Corp. 168,387
5,679 TowneBank 159,807
2,011 TriCo Bancshares 75,915
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
2,286 Trustmark Corp. $ 81,244
5,424 United Community Banks, Inc. 155,669
4,019 WesBanco, Inc. 147,015
---------------
4,509,225
---------------
BEVERAGES -- 0.1%
1,146 MGP Ingredients, Inc. 57,288
---------------
BUILDING PRODUCTS -- 2.7%
2,694 American Woodmark Corp. (a) 228,586
1,749 Apogee Enterprises, Inc. 70,939
18,377 Builders FirstSource, Inc. (a) 315,717
39,106 Cornerstone Building Brands,
Inc. (a) 227,597
1,883 Gibraltar Industries, Inc. (a) 78,032
7,297 JELD-WEN Holding, Inc. (a) 159,877
6,299 Patrick Industries, Inc. (a) 288,935
5,990 Universal Forest Products, Inc. 242,176
---------------
1,611,859
---------------
CAPITAL MARKETS -- 1.6%
2,762 Artisan Partners Asset
Management, Inc., Class A 81,728
43,593 BGC Partners, Inc., Class A 240,197
2,174 Moelis & Co., Class A 79,221
2,086 Piper Jaffray Cos. 161,248
23,233 Waddell & Reed Financial, Inc.,
Class A 406,577
---------------
968,971
---------------
CHEMICALS -- 3.4%
15,853 AdvanSix, Inc. (a) 406,471
4,914 H.B. Fuller Co. 234,938
833 Innospec, Inc. 77,786
20,224 Kronos Worldwide, Inc. 271,204
7,238 Minerals Technologies, Inc. 385,423
4,935 PolyOne Corp. 161,720
2,481 Stepan Co. 245,991
7,318 Trinseo S.A. 284,012
---------------
2,067,545
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 4.0%
1,900 ABM Industries, Inc. 79,971
49,211 ACCO Brands Corp. 481,284
7,620 Deluxe Corp. 340,004
3,466 Herman Miller, Inc. 157,148
6,444 HNI Corp. 220,643
4,957 Interface, Inc. 68,704
6,741 Knoll, Inc. 163,469
8,890 Matthews International Corp.,
Class A 303,593
36,195 Pitney Bowes, Inc. 146,590
13,333 Steelcase, Inc., Class A 225,461
1,209 UniFirst Corp. 238,016
---------------
2,424,883
---------------
COMMUNICATIONS EQUIPMENT
-- 0.4%
5,144 EchoStar Corp., Class A (a) 234,155
---------------
See Notes to Financial Statements Page 91
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION & ENGINEERING
-- 0.8%
2,631 Dycom Industries, Inc. (a) $ 145,126
14,803 Primoris Services Corp. 310,271
---------------
455,397
---------------
CONSTRUCTION MATERIALS -- 0.1%
3,948 Summit Materials, Inc.,
Class A (a) 72,801
---------------
CONSUMER FINANCE -- 1.2%
9,148 Encore Capital Group, Inc. (a) 329,145
3,850 Nelnet, Inc., Class A 240,856
5,505 PRA Group, Inc. (a) 171,371
---------------
741,372
---------------
CONTAINERS & PACKAGING -- 0.6%
9,519 Greif, Inc., Class A 332,784
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.4%
14,512 Laureate Education, Inc.,
Class A (a) 237,852
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.1%
9,047 FGL Holdings 73,733
---------------
ELECTRICAL EQUIPMENT -- 0.7%
3,366 AZZ, Inc. 156,788
5,289 Encore Wire Corp. 290,472
---------------
447,260
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 6.3%
5,189 Anixter International, Inc. (a) 333,964
5,201 Belden, Inc. 236,438
12,334 Benchmark Electronics, Inc. 333,758
3,307 ePlus, Inc. (a) 251,001
3,917 Insight Enterprises, Inc. (a) 215,513
20,590 KEMET Corp. 414,271
12,452 Knowles Corp. (a) 253,398
13,556 Methode Electronics, Inc. 406,002
5,308 Plexus Corp. (a) 316,941
440 Rogers Corp. (a) 69,811
7,529 Sanmina Corp. (a) 239,046
9,516 ScanSource, Inc. (a) 323,068
37,970 TTM Technologies, Inc. (a) 397,166
---------------
3,790,377
---------------
ENERGY EQUIPMENT & SERVICES
-- 3.0%
21,509 Archrock, Inc. 236,169
8,568 Diamond Offshore Drilling,
Inc. (a) (b) 77,455
35,902 Helix Energy Solutions Group,
Inc. (a) 314,502
56,292 Mammoth Energy Services, Inc. 364,772
106,839 Nabors Industries Ltd. 316,243
12,459 Oil States International,
Inc. (a) 185,888
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES
(CONTINUED)
53,716 RPC, Inc. $ 331,965
---------------
1,826,994
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.5%
12,082 Chatham Lodging Trust 215,785
10,982 CoreCivic, Inc. 186,365
22,049 DiamondRock Hospitality Co. 222,033
7,896 Global Net Lease, Inc. 154,130
10,951 Industrial Logistics Properties
Trust 234,132
10,239 Kite Realty Group Trust 162,902
16,629 Mack-Cali Realty Corp. 395,438
11,794 Office Properties Income Trust 332,237
12,792 RPT Realty 156,702
5,740 SITE Centers Corp. 81,795
33,766 Summit Hotel Properties, Inc. 375,140
9,557 Tanger Factory Outlet Centers,
Inc. (b) 151,765
101,385 Washington Prime Group,
Inc. (b) 368,028
14,860 Xenia Hotels & Resorts, Inc. 318,450
---------------
3,354,902
---------------
FOOD & STAPLES RETAILING
-- 1.4%
11,374 Andersons (The), Inc. 305,392
3,030 PriceSmart, Inc. 184,830
10,637 Weis Markets, Inc. 387,718
---------------
877,940
---------------
FOOD PRODUCTS -- 0.6%
14,896 B&G Foods, Inc. (b) 272,299
2,820 Fresh Del Monte Produce, Inc. 85,530
---------------
357,829
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 1.6%
1,024 Magellan Health, Inc. (a) 72,028
3,818 National HealthCare Corp. 334,457
3,319 Patterson Cos., Inc. 65,716
9,762 Select Medical Holdings
Corp. (a) 163,416
18,846 Tivity Health, Inc. (a) 328,863
---------------
964,480
---------------
HOTELS, RESTAURANTS & LEISURE
-- 0.4%
3,543 Cheesecake Factory (The), Inc. 152,632
3,538 Red Rock Resorts, Inc., Class A 73,732
---------------
226,364
---------------
HOUSEHOLD DURABLES -- 4.9%
482 Cavco Industries, Inc. (a) 85,483
1,283 Installed Building Products,
Inc. (a) 68,358
15,052 KB Home 395,416
5,053 La-Z-Boy, Inc. 166,698
3,192 LGI Homes, Inc. (a) 224,366
11,815 M.D.C. Holdings, Inc. 426,994
7,544 Meritage Homes Corp. (a) 473,839
Page 92 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD DURABLES (CONTINUED)
14,782 Taylor Morrison Home Corp. (a) $ 332,891
918 TopBuild Corp. (a) 74,477
32,355 TRI Pointe Group, Inc. (a) 442,940
16,281 Tupperware Brands Corp. 249,262
---------------
2,940,724
---------------
HOUSEHOLD PRODUCTS -- 0.6%
12,574 Central Garden & Pet Co.,
Class A (a) 346,414
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS
-- 0.1%
4,508 Clearway Energy, Inc., Class C 81,234
---------------
INSURANCE -- 1.8%
1,192 AMERISAFE, Inc. 77,552
1,026 Argo Group International
Holdings Ltd. 70,219
7,330 Employers Holdings, Inc. 321,787
1,191 FBL Financial Group, Inc.,
Class A 74,676
1,206 National Western Life Group,
Inc., Class A 324,414
2,105 ProAssurance Corp. 82,284
1,628 Safety Insurance Group, Inc. 160,619
---------------
1,111,551
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.4%
11,561 Cars.com, Inc. (a) 219,659
---------------
IT SERVICES -- 1.1%
1,556 CSG Systems International, Inc. 79,730
3,047 KBR, Inc. 80,380
1,154 ManTech International Corp.,
Class A 79,372
4,738 NIC, Inc. 85,947
5,559 Presidio, Inc. 77,826
8,303 Sykes Enterprises, Inc. (a) 234,892
---------------
638,147
---------------
LEISURE PRODUCTS -- 0.8%
2,894 Acushnet Holdings Corp. 73,971
9,028 Callaway Golf Co. 165,574
4,185 Sturm Ruger & Co., Inc. 236,452
---------------
475,997
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.2%
3,309 Cambrex Corp. (a) 144,934
---------------
MACHINERY -- 2.8%
2,281 Alamo Group, Inc. 223,287
4,318 Altra Industrial Motion Corp. 124,056
1,190 EnPro Industries, Inc. 84,538
12,740 Greenbrier (The) Cos., Inc. 368,313
627 John Bean Technologies Corp. 74,400
12,777 Meritor, Inc. (a) 315,975
11,226 Milacron Holdings Corp. (a) 189,046
5,293 Mueller Industries, Inc. 159,796
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY (CONTINUED)
1,242 Tennant Co. $ 94,529
816 Watts Water Technologies, Inc.,
Class A 75,749
---------------
1,709,689
---------------
MARINE -- 0.4%
5,868 Matson, Inc. 240,060
---------------
MEDIA -- 2.7%
10,132 EW Scripps (The) Co., Class A 155,323
37,970 Gannett Co., Inc. 389,192
4,971 John Wiley & Sons, Inc.,
Class A 226,230
9,321 Scholastic Corp. 318,499
4,251 Sinclair Broadcast Group, Inc.,
Class A 213,613
20,451 TEGNA, Inc. 310,651
---------------
1,613,508
---------------
METALS & MINING -- 3.4%
96,199 AK Steel Holding Corp. (a) 271,281
6,458 Carpenter Technology Corp. 290,674
17,511 Coeur Mining, Inc. (a) 80,551
17,358 Commercial Metals Co. 303,939
1,383 Compass Minerals International,
Inc. 77,240
126,661 Hecla Mining Co. 234,323
2,336 Kaiser Aluminum Corp. 224,887
14,827 Warrior Met Coal, Inc. 366,820
5,663 Worthington Industries, Inc. 227,766
---------------
2,077,481
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.5%
16,848 Apollo Commercial Real Estate
Finance, Inc. 317,079
---------------
MULTILINE RETAIL -- 1.3%
13,537 Big Lots, Inc. 346,547
6,219 Dillard's, Inc., Class A (b) 452,619
---------------
799,166
---------------
OIL, GAS & CONSUMABLE FUELS
-- 7.3%
4,111 Arch Coal, Inc., Class A 366,537
58,770 Callon Petroleum Co. (a) 289,148
38,652 Carrizo Oil & Gas, Inc. (a) 368,353
52,981 CNX Resources Corp. (a) 435,504
7,462 Contura Energy, Inc. (a) 267,363
312,332 Denbury Resources, Inc. (a) 352,935
78,878 Gulfport Energy Corp. (a) 298,159
54,548 Oasis Petroleum, Inc. (a) 265,649
25,819 SemGroup Corp., Class A 327,127
30,934 SM Energy Co. 308,412
122,561 Southwestern Energy Co. (a) 269,634
78,083 SRC Energy, Inc. (a) 318,579
16,104 Talos Energy, Inc. (a) 331,420
6,340 World Fuel Services Corp. 247,514
---------------
4,446,334
---------------
See Notes to Financial Statements Page 93
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PAPER & FOREST PRODUCTS -- 0.8%
5,511 Boise Cascade Co. $ 148,797
9,338 Schweitzer-Mauduit
International, Inc. 321,507
---------------
470,304
---------------
PERSONAL PRODUCTS -- 0.6%
11,497 Edgewell Personal Care Co. (a) 349,854
---------------
PROFESSIONAL SERVICES -- 1.0%
7,908 CBIZ, Inc. (a) 184,810
1,044 ICF International, Inc. 88,938
3,277 Navigant Consulting, Inc. 79,828
14,045 TrueBlue, Inc. (a) 277,670
---------------
631,246
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.5%
53,493 Realogy Holdings Corp. 278,698
---------------
ROAD & RAIL -- 4.0%
13,778 ArcBest Corp. 412,375
2,161 Avis Budget Group, Inc. (a) 78,639
17,146 Heartland Express, Inc. 340,177
21,338 Marten Transport Ltd. 428,254
4,791 Saia, Inc. (a) 365,553
21,233 Schneider National, Inc.,
Class B 409,797
12,461 Werner Enterprises, Inc. 413,082
---------------
2,447,877
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.6%
1,351 Advanced Energy Industries,
Inc. (a) 78,899
51,916 Amkor Technology, Inc. (a) 479,185
3,545 Cirrus Logic, Inc. (a) 173,882
7,824 Synaptics, Inc. (a) 251,776
---------------
983,742
---------------
SOFTWARE -- 0.8%
32,518 Avaya Holdings Corp. (a) 391,517
1,513 Ebix, Inc. 69,643
---------------
461,160
---------------
SPECIALTY RETAIL -- 5.8%
24,145 Abercrombie & Fitch Co.,
Class A 457,065
2,703 Asbury Automotive Group,
Inc. (a) 248,892
58,152 At Home Group, Inc. (a) 348,330
19,621 Bed Bath & Beyond, Inc. (b) 190,520
1,624 Children's Place (The), Inc. 158,616
9,158 Genesco, Inc. (a) 360,642
3,784 Group 1 Automotive, Inc. 317,705
1,919 Lithia Motors, Inc., Class A 253,078
35,613 Michaels Cos. (The), Inc. (a) 244,661
2,713 Murphy USA, Inc. (a) 239,721
188,006 Office Depot, Inc. 383,532
52,837 Party City Holdco, Inc. (a) (b) 337,100
---------------
3,539,862
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.0%
13,164 G-III Apparel Group Ltd. (a) $ 377,280
3,008 Oxford Industries, Inc. 220,156
---------------
597,436
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.4%
5,685 Axos Financial, Inc. (a) 166,627
6,880 Flagstar Bancorp, Inc. 237,222
5,523 Meta Financial Group, Inc. 170,495
6,985 PennyMac Financial Services,
Inc. 167,710
6,388 Provident Financial Services,
Inc. 154,462
5,823 Walker & Dunlop, Inc. 339,714
4,435 Washington Federal, Inc. 162,232
1,840 WSFS Financial Corp. 77,961
---------------
1,476,423
---------------
TOBACCO -- 0.5%
5,098 Universal Corp. 303,331
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 4.1%
18,217 Aircastle Ltd. 378,732
4,219 Beacon Roofing Supply, Inc. (a) 152,854
18,269 BMC Stock Holdings, Inc. (a) 386,389
7,837 H&E Equipment Services, Inc. 239,891
4,975 Herc Holdings, Inc. (a) 224,572
9,049 MRC Global, Inc. (a) 141,526
15,447 NOW, Inc. (a) 189,226
10,605 Rush Enterprises, Inc., Class A 399,384
7,646 WESCO International, Inc. (a) 387,958
---------------
2,500,532
---------------
TOTAL COMMON STOCKS
-- 99.8% 60,548,763
(Cost $64,993,452) ---------------
MONEY MARKET FUNDS -- 0.2%
153,325 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) 153,325
(Cost $153,325) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 2.1%
$ 1,255,172 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $1,255,260.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $1,280,717. (d) 1,255,172
(Cost $1,255,172) ---------------
Page 94 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 102.1% $ 61,957,260
(Cost $66,401,949) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.1)% (1,298,190)
---------------
NET ASSETS -- 100.0% $ 60,659,070
===============
(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 $1,385,905 and the total value of the collateral held by the
Fund is $1,408,497.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $66,704,478. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $3,511,821 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $8,259,039. The net unrealized
depreciation was $4,747,218.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 60,548,763 $ -- $ --
Money Market
Funds 153,325 -- --
Repurchase
Agreements -- 1,255,172 --
--------------------------------------------
Total Investments $ 60,702,088 $ 1,255,172 $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 1,385,905
Non-cash Collateral(2) (1,385,905)
---------------
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, 2019, 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) $ 1,255,172
Non-cash Collateral(4) (1,255,172)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 95
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.1%
16,135 Cubic Corp. $ 1,068,137
77,217 Kratos Defense & Security
Solutions, Inc. (a) 1,903,399
---------------
2,971,536
---------------
AIR FREIGHT & LOGISTICS -- 0.8%
42,645 Air Transport Services Group,
Inc. (a) 994,055
17,590 Forward Air Corp. 1,108,170
---------------
2,102,225
---------------
AUTO COMPONENTS -- 0.6%
21,422 Fox Factory Holding Corp. (a) 1,715,474
---------------
BANKS -- 5.2%
18,694 BancFirst Corp. 1,090,608
6,404 Banner Corp. 379,501
30,699 CenterState Bank Corp. 746,600
9,270 City Holding Co. 717,961
8,338 Enterprise Financial Services
Corp. 347,528
28,570 First Bancorp 1,055,376
128,082 First BanCorp 1,378,162
14,322 First Financial Bancorp. 365,068
18,653 First Merchants Corp. 735,115
11,740 Heritage Financial Corp. 334,825
4,556 Independent Bank Corp. 354,275
22,217 Lakeland Financial Corp. 1,021,760
38,955 National Bank Holdings Corp.,
Class A 1,413,287
40,537 Sandy Spring Bancorp, Inc. 1,477,168
20,638 ServisFirst Bancshares, Inc. 702,930
21,837 Southside Bancshares, Inc. 755,997
12,752 Tompkins Financial Corp. 1,045,281
13,367 Veritex Holdings, Inc. 342,062
5,631 Westamerica Bancorporation 360,947
---------------
14,624,451
---------------
BEVERAGES -- 1.3%
4,680 Boston Beer (The) Co., Inc.,
Class A (a) 1,836,057
5,905 Coca-Cola Consolidated, Inc. 1,733,295
---------------
3,569,352
---------------
BIOTECHNOLOGY -- 8.5%
56,651 Amicus Therapeutics, Inc. (a) 702,472
30,148 Arena Pharmaceuticals, Inc. (a) 1,889,677
66,700 Arrowhead Pharmaceuticals,
Inc. (a) 1,938,302
49,109 CareDx, Inc. (a) 1,609,302
79,978 Coherus Biosciences, Inc. (a) 1,345,230
15,012 CRISPR Therapeutics AG (a) (b) 760,958
34,057 Denali Therapeutics, Inc. (a) 727,117
14,018 Editas Medicine, Inc. (a) 353,955
4,108 Enanta Pharmaceuticals,
Inc. (a) 308,182
87,068 Fate Therapeutics, Inc. (a) 1,919,849
20,186 Halozyme Therapeutics, Inc. (a) 342,960
45,280 Intrexon Corp. (a) (b) 361,787
60,168 Invitae Corp. (a) 1,617,918
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BIOTECHNOLOGY (CONTINUED)
31,705 Ironwood Pharmaceuticals,
Inc. (a) $ 337,024
19,385 Medicines (The) Co. (a) 694,758
13,730 Mirati Therapeutics, Inc. (a) 1,452,634
12,786 Portola Pharmaceuticals,
Inc. (a) 341,131
23,123 PTC Therapeutics, Inc. (a) 1,113,835
20,563 Repligen Corp. (a) 1,940,942
65,644 Sangamo Therapeutics, Inc. (a) 788,384
11,132 Ultragenyx Pharmaceutical,
Inc. (a) 670,814
18,094 uniQure N.V. (a) 1,061,213
34,548 Xencor, Inc. (a) 1,520,803
---------------
23,799,247
---------------
BUILDING PRODUCTS -- 2.0%
28,178 AAON, Inc. 1,431,443
53,904 Advanced Drainage Systems,
Inc. 1,775,059
39,161 Continental Building Products,
Inc. (a) 962,577
84,568 PGT Innovations, Inc. (a) 1,363,236
---------------
5,532,315
---------------
CAPITAL MARKETS -- 2.2%
23,278 Blucora, Inc. (a) 696,943
27,488 Cohen & Steers, Inc. 1,439,547
18,236 Hamilton Lane, Inc., Class A 1,070,453
23,368 Houlihan Lokey, Inc. 1,074,928
8,559 PJT Partners, Inc., Class A 360,847
92,781 TCG BDC, Inc. 1,402,849
---------------
6,045,567
---------------
CHEMICALS -- 0.8%
9,667 Chase Corp. 1,001,308
21,954 Ferro Corp. (a) 323,382
65,645 PQ Group Holdings, Inc. (a) 1,023,406
---------------
2,348,096
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.8%
21,098 Brady Corp., Class A 1,091,400
44,599 Casella Waste Systems, Inc.,
Class A (a) 1,944,516
7,780 Cimpress N.V. (a) 750,381
78,953 Covanta Holding Corp. 1,359,571
22,752 McGrath RentCorp 1,549,639
17,475 US Ecology, Inc. 1,111,934
---------------
7,807,441
---------------
COMMUNICATIONS EQUIPMENT
-- 0.7%
132,993 Viavi Solutions, Inc. (a) 1,951,007
---------------
CONSTRUCTION & ENGINEERING
-- 1.1%
27,731 Comfort Systems USA, Inc. 1,164,702
117,518 WillScot Corp. (a) 1,870,886
---------------
3,035,588
---------------
Page 96 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
-- 1.0%
46,497 K12, Inc. (a) $ 1,387,935
7,943 Strategic Education, Inc. 1,413,775
---------------
2,801,710
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.6%
12,246 ATN International, Inc. 689,082
23,822 Cogent Communications
Holdings, Inc. 1,501,024
44,733 Iridium Communications,
Inc. (a) 1,138,008
91,834 Vonage Holdings Corp. (a) 1,138,742
---------------
4,466,856
---------------
ELECTRIC UTILITIES -- 0.8%
14,236 MGE Energy, Inc. 1,055,599
19,700 Otter Tail Corp. 1,051,586
---------------
2,107,185
---------------
ELECTRICAL EQUIPMENT -- 1.4%
68,323 Atkore International Group,
Inc. (a) 1,864,535
94,215 Sunrun, Inc. (a) 1,794,796
11,169 Vicor Corp. (a) 330,155
---------------
3,989,486
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 2.3%
23,690 Badger Meter, Inc. 1,267,178
25,637 CTS Corp. 808,078
20,948 Fabrinet (a) 1,124,489
28,461 II-VI, Inc. (a) 1,129,902
15,692 OSI Systems, Inc. (a) 1,766,291
20,997 Vishay Intertechnology, Inc. 356,949
---------------
6,452,887
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.8%
10,472 Cactus, Inc., Class A (a) 307,563
63,521 Frank's International N.V. (a) 362,070
109,240 Liberty Oilfield Services, Inc.,
Class A 1,545,746
182,970 McDermott International,
Inc. (a) 1,174,667
85,384 ProPetro Holding Corp. (a) 1,548,012
---------------
4,938,058
---------------
ENTERTAINMENT -- 0.1%
48,305 Glu Mobile, Inc. (a) 360,355
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 4.8%
25,832 Acadia Realty Trust 725,104
5,415 Agree Realty Corp. 361,993
936 Alexander's, Inc. 350,532
15,005 American Assets Trust, Inc. 696,232
29,730 CareTrust REIT, Inc. 690,628
11,274 Getty Realty Corp. 337,995
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
50,176 Hannon Armstrong Sustainable
Infrastructure Capital,
Inc. $ 1,377,331
122,213 Independence Realty Trust, Inc. 1,509,331
75,135 Lexington Realty Trust 741,582
7,595 LTC Properties, Inc. 350,054
11,983 National Storage Affiliates
Trust 362,965
17,404 Piedmont Office Realty Trust,
Inc., Class A 362,177
26,695 PotlatchDeltic Corp. 982,910
15,308 QTS Realty Trust, Inc., Class A 708,454
20,248 Retail Opportunity Investments
Corp. 367,299
12,595 Saul Centers, Inc. 690,080
8,073 Seritage Growth Properties,
Class A 337,209
21,219 Terreno Realty Corp. 1,036,760
16,649 Universal Health Realty Income
Trust 1,534,372
---------------
13,523,008
---------------
FOOD & STAPLES RETAILING
-- 0.7%
50,397 Chefs' Warehouse (The),
Inc. (a) 1,837,979
---------------
FOOD PRODUCTS -- 1.7%
16,948 Cal-Maine Foods, Inc. 674,022
38,840 Freshpet, Inc. (a) 1,753,626
58,723 Simply Good Foods (The)
Co. (a) 1,599,027
19,144 Tootsie Roll Industries, Inc. 715,220
---------------
4,741,895
---------------
GAS UTILITIES -- 0.9%
14,881 Chesapeake Utilities Corp. 1,390,778
14,970 Northwest Natural Holding Co. 1,069,158
---------------
2,459,936
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 4.8%
23,694 AtriCure, Inc. (a) 760,104
829 Atrion Corp. 637,915
32,936 Cardiovascular Systems,
Inc. (a) 1,509,457
16,524 CONMED Corp. 1,443,371
34,765 CryoLife, Inc. (a) 1,001,927
13,800 Glaukos Corp. (a) 1,127,184
13,155 iRhythm Technologies, Inc. (a) 1,093,707
13,503 Natus Medical, Inc. (a) 419,538
16,049 Nevro Corp. (a) 1,073,036
6,559 Orthofix Medical, Inc. (a) 350,579
11,919 Quidel Corp. (a) 703,579
24,841 Tactile Systems Technology,
Inc. (a) 1,434,319
27,396 Tandem Diabetes Care, Inc. (a) 1,737,728
---------------
13,292,444
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 2.6%
7,201 BioTelemetry, Inc. (a) 338,087
98,059 Brookdale Senior Living,
Inc. (a) 763,880
20,312 CorVel Corp. (a) 1,730,582
See Notes to Financial Statements Page 97
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
31,052 Ensign Group (The), Inc. $ 1,871,193
18,077 Premier, Inc., Class A (a) 700,484
16,788 Tenet Healthcare Corp. (a) 395,693
11,536 US Physical Therapy, Inc. 1,489,067
---------------
7,288,986
---------------
HEALTH CARE TECHNOLOGY -- 2.7%
43,625 Evolent Health, Inc.,
Class A (a) 297,522
43,655 HMS Holdings Corp. (a) 1,523,560
97,450 Inovalon Holdings, Inc.,
Class A (a) 1,461,750
29,142 Inspire Medical Systems,
Inc. (a) 1,970,873
71,056 NextGen Healthcare, Inc. (a) 1,162,476
16,437 Omnicell, Inc. (a) 1,236,227
---------------
7,652,408
---------------
HOTELS, RESTAURANTS & LEISURE
-- 4.4%
7,895 BJ's Restaurants, Inc. 313,431
37,389 Bloomin' Brands, Inc. 636,735
17,967 Brinker International, Inc. 715,985
17,469 Dave & Buster's Entertainment,
Inc. 710,115
86,096 Denny's Corp. (a) 1,944,909
18,512 Dine Brands Global, Inc. 1,519,650
4,260 Jack in the Box, Inc. 305,996
35,670 Scientific Games Corp. (a) 729,451
57,017 SeaWorld Entertainment,
Inc. (a) 1,743,010
24,479 Shake Shack, Inc., Class A (a) 1,827,602
18,653 Wingstop, Inc. 1,783,040
---------------
12,229,924
---------------
HOUSEHOLD DURABLES -- 0.3%
11,356 iRobot Corp. (a) 830,124
---------------
HOUSEHOLD PRODUCTS -- 0.1%
2,182 WD-40 Co. 396,164
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS
-- 1.1%
61,237 Pattern Energy Group, Inc.,
Class A 1,404,165
98,881 TerraForm Power, Inc., Class A 1,523,756
---------------
2,927,921
---------------
INSURANCE -- 1.5%
20,528 eHealth, Inc. (a) 2,129,780
19,323 Kinsale Capital Group, Inc. 1,736,365
12,434 Universal Insurance Holdings,
Inc. 308,487
---------------
4,174,632
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.7%
26,659 ANGI Homeservices, Inc.,
Class A (a) 369,227
89,210 QuinStreet, Inc. (a) 1,453,231
---------------
1,822,458
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.0%
96,881 Quotient Technology, Inc. (a) $ 1,019,188
8,852 Shutterstock, Inc. 339,652
55,253 Stitch Fix, Inc.,
Class A (a) (b) 1,440,998
---------------
2,799,838
---------------
IT SERVICES -- 0.8%
27,151 Carbonite, Inc. (a) 486,818
43,244 EVERTEC, Inc. 1,384,673
19,704 GTT Communications,
Inc. (a) (b) 238,418
---------------
2,109,909
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.7%
61,803 Accelerate Diagnostics,
Inc. (a) (b) 1,154,480
27,018 Medpace Holdings, Inc. (a) 2,127,938
64,447 NeoGenomics, Inc. (a) 1,570,573
---------------
4,852,991
---------------
MACHINERY -- 5.1%
41,941 Actuant Corp., Class A 960,449
21,319 Albany International Corp.,
Class A 1,833,221
13,533 Chart Industries, Inc. (a) 1,022,148
21,392 ESCO Technologies, Inc. 1,787,516
66,076 Federal Signal Corp. 2,058,267
21,906 Franklin Electric Co., Inc. 1,026,515
64,415 Harsco Corp. (a) 1,511,176
30,468 Helios Technologies, Inc. 1,430,777
15,570 Kadant, Inc. 1,455,172
33,598 TriMas Corp. (a) 1,007,604
---------------
14,092,845
---------------
MEDIA -- 1.3%
243,792 Entercom Communications
Corp., Class A 1,384,739
63,486 Gray Television, Inc. (a) 1,126,876
12,840 Meredith Corp. 704,402
16,720 MSG Networks, Inc., Class A (a) 317,513
---------------
3,533,530
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 2.3%
58,335 Arbor Realty Trust, Inc. 711,104
52,233 KKR Real Estate Finance Trust,
Inc. 1,046,227
20,883 Ladder Capital Corp. 351,461
114,034 New York Mortgage Trust, Inc. 696,748
80,969 PennyMac Mortgage Investment
Trust 1,783,747
62,946 Redwood Trust, Inc. 1,065,046
36,651 TPG RE Finance Trust, Inc. 723,857
---------------
6,378,190
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.9%
66,700 Berry Petroleum Corp. 653,660
35,924 California Resources Corp. (a) 549,996
41,941 Jagged Peak Energy, Inc. (a) 307,847
Page 98 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
225,520 Kosmos Energy Ltd. $ 1,355,375
52,338 Matador Resources Co. (a) 922,719
28,857 PDC Energy, Inc. (a) 829,062
143,915 QEP Resources, Inc. (a) 712,379
---------------
5,331,038
---------------
PERSONAL PRODUCTS -- 0.6%
10,635 Inter Parfums, Inc. 736,793
8,111 Medifast, Inc. 905,593
---------------
1,642,386
---------------
PHARMACEUTICALS -- 1.9%
48,374 Amneal Pharmaceuticals,
Inc. (a) 177,049
66,982 Amphastar Pharmaceuticals,
Inc. (a) 1,349,687
31,108 Corcept Therapeutics, Inc. (a) 350,276
48,558 Innoviva, Inc. (a) 576,869
32,514 Pacira BioSciences, Inc. (a) 1,427,040
11,027 Reata Pharmaceuticals, Inc.,
Class A (a) 999,598
10,482 Supernus Pharmaceuticals,
Inc. (a) 349,784
---------------
5,230,303
---------------
PROFESSIONAL SERVICES -- 0.1%
8,654 Korn Ferry 339,929
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.8%
39,324 Redfin Corp. (a) (b) 709,405
7,383 RMR Group (The), Inc., Class A 363,539
60,214 St Joe (The) Co. (a) 1,158,517
---------------
2,231,461
---------------
ROAD & RAIL -- 0.6%
110,744 Hertz Global Holdings, Inc. (a) 1,718,747
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.6%
36,489 Brooks Automation, Inc. 1,415,773
38,877 Diodes, Inc. (a) 1,656,160
45,119 FormFactor, Inc. (a) 757,097
28,224 Inphi Corp. (a) 1,699,367
121,145 Lattice Semiconductor Corp. (a) 2,342,944
12,977 Power Integrations, Inc. 1,181,816
50,532 Xperi Corp. 1,078,858
---------------
10,132,015
---------------
SOFTWARE -- 9.2%
58,673 8x8, Inc. (a) 1,418,127
35,010 Altair Engineering, Inc.,
Class A (a) 1,456,766
17,284 Appfolio, Inc., Class A (a) 1,668,770
62,230 Carbon Black, Inc. (a) 1,158,100
20,681 Envestnet, Inc. (a) 1,476,830
19,767 Everbridge, Inc. (a) 2,022,164
20,883 ForeScout Technologies,
Inc. (a) 780,189
16,634 Instructure, Inc. (a) 660,204
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
37,107 LivePerson, Inc. (a) $ 1,231,581
22,277 Mimecast Ltd. (a) 1,060,385
16,209 Progress Software Corp. 701,688
27,939 PROS Holdings, Inc. (a) 2,021,666
23,146 Q2 Holdings, Inc. (a) 1,848,671
30,557 Rapid7, Inc. (a) 1,853,282
36,518 Smartsheet, Inc., Class A (a) 1,822,613
10,178 SPS Commerce, Inc. (a) 1,138,206
11,414 Varonis Systems, Inc. (a) 820,781
30,425 Workiva, Inc. (a) 1,749,133
35,190 Yext, Inc. (a) 732,304
---------------
25,621,460
---------------
SPECIALTY RETAIL -- 2.7%
22,591 Carvana Co. (a) 1,435,884
16,578 Monro, Inc. 1,396,034
23,009 National Vision Holdings,
Inc. (a) 726,854
66,372 Rent-A-Center, Inc. (a) 1,794,035
43,760 Sleep Number Corp. (a) 2,151,679
---------------
7,504,486
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.1%
17,559 Crocs, Inc. (a) 401,223
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.8%
25,186 Capitol Federal Financial, Inc. 344,041
22,969 Columbia Financial, Inc. (a) 351,196
26,099 Kearny Financial Corp. 348,422
88,264 Mr Cooper Group, Inc. (a) 671,689
62,259 NMI Holdings, Inc., Class A (a) 1,549,004
40,150 Northwest Bancshares, Inc. 688,572
41,870 OceanFirst Financial Corp. 1,021,628
---------------
4,974,552
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.9%
16,911 Applied Industrial
Technologies, Inc. 1,028,865
20,406 SiteOne Landscape Supply,
Inc. (a) 1,507,391
---------------
2,536,256
---------------
WATER UTILITIES -- 1.0%
13,830 American States Water Co. 1,071,410
13,966 California Water Service Group 745,645
17,559 Middlesex Water Co. 1,099,720
---------------
2,916,775
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.1%
9,002 Shenandoah
Telecommunications Co. 354,319
---------------
TOTAL COMMON STOCKS
-- 99.9% 278,498,968
(Cost $256,568,946) ---------------
See Notes to Financial Statements Page 99
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.1%
333,221 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.25% (c) (d) $ 333,221
(Cost $333,221) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.0%
$ 2,727,852 BNP Paribas S.A., 2.53% (c),
dated 07/31/19, due
08/01/19, with a maturity
value of $2,728,044.
Collateralized by U.S.
Treasury Note, interest rate
of 1.50%, due 08/15/26. The
value of the collateral
including accrued interest
is $2,783,370. (d) 2,727,852
(Cost $2,727,852) ---------------
TOTAL INVESTMENTS -- 101.0% 281,560,041
(Cost $259,630,019) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.0)% (2,708,711)
---------------
NET ASSETS -- 100.0% $ 278,851,330
===============
(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 $2,938,490 and the total value of the collateral held by the
Fund is $3,061,073.
(c) Rate shown reflects yield as of July 31, 2019.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $260,253,437. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $33,566,086 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $12,259,482. The net
unrealized appreciation was $21,306,604.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 278,498,968 $ -- $ --
Money Market
Funds 333,221 -- --
Repurchase
Agreements -- 2,727,852 --
--------------------------------------------
Total Investments $ 278,832,189 $ 2,727,852 $ --
============================================
* See Portfolio of Investments for industry breakout.
Page 100 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
---------------------------------
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) $ 2,938,490
Non-cash Collateral(2) (2,938,490)
---------------
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, 2019, 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) $ 2,727,852
Non-cash Collateral(4) (2,727,852)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2019, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 101
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
PORTFOLIO OF INVESTMENTS
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 3.3%
2,133 Lockheed Martin Corp. $ 772,509
---------------
BANKS -- 7.5%
10,696 Bank of America Corp. 328,153
8,859 Citigroup, Inc. 630,406
1,387 JPMorgan Chase & Co. 160,892
1,130 PNC Financial Services Group
(The), Inc. 161,477
9,833 Wells Fargo & Co. 476,016
---------------
1,756,944
---------------
BEVERAGES -- 0.6%
1,183 PepsiCo, Inc. 151,199
---------------
BIOTECHNOLOGY -- 2.6%
9,183 Gilead Sciences, Inc. 601,670
---------------
CAPITAL MARKETS -- 4.9%
3,032 Goldman Sachs Group (The),
Inc. 667,434
10,621 Morgan Stanley 473,272
---------------
1,140,706
---------------
CHEMICALS -- 5.2%
10,330 DuPont de Nemours, Inc. 745,413
2,357 Ecolab, Inc. 475,477
---------------
1,220,890
---------------
COMMUNICATIONS EQUIPMENT
-- 0.7%
2,834 Cisco Systems, Inc. 157,004
---------------
CONSUMER FINANCE -- 3.3%
6,282 American Express Co. 781,292
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 5.3%
23,142 AT&T, Inc. 787,985
8,145 Verizon Communications, Inc. 450,174
---------------
1,238,159
---------------
ELECTRIC UTILITIES -- 2.0%
1,758 Duke Energy Corp. 152,454
5,611 Southern (The) Co. 315,338
---------------
467,792
---------------
ENTERTAINMENT -- 2.0%
3,332 Walt Disney (The) Co. 476,509
---------------
FOOD & STAPLES RETAILING
-- 5.4%
2,348 Costco Wholesale Corp. 647,179
5,615 Walmart, Inc. 619,784
---------------
1,266,963
---------------
FOOD PRODUCTS -- 2.0%
8,633 Mondelez International, Inc.,
Class A 461,779
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 1.3%
2,170 Danaher Corp. 304,885
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS &
SERVICES -- 0.7%
984 Cigna Corp. $ 167,201
---------------
HOTELS, RESTAURANTS & LEISURE
-- 3.7%
9,251 Starbucks Corp. 875,977
---------------
INDUSTRIAL CONGLOMERATES
-- 0.6%
888 Honeywell International, Inc. 153,144
---------------
INTERACTIVE MEDIA & SERVICES
-- 2.0%
2,411 Facebook, Inc., Class A (a) 468,289
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.3%
164 Amazon.com, Inc. (a) 306,152
---------------
IT SERVICES -- 5.9%
1,759 Mastercard, Inc., Class A 478,923
5,420 PayPal Holdings, Inc. (a) 598,368
1,787 Visa, Inc., Class A 318,086
---------------
1,395,377
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.9%
1,584 Thermo Fisher Scientific, Inc. 439,845
---------------
MACHINERY -- 1.3%
2,276 Caterpillar, Inc. 299,681
---------------
MEDIA -- 5.9%
1,962 Charter Communications, Inc.,
Class A (a) 756,116
14,673 Comcast Corp., Class A 633,433
---------------
1,389,549
---------------
OIL, GAS & CONSUMABLE FUELS
-- 9.0%
6,232 Chevron Corp. 767,221
12,713 ConocoPhillips 751,084
8,096 Exxon Mobil Corp. 602,019
---------------
2,120,324
---------------
PERSONAL PRODUCTS -- 0.7%
847 Estee Lauder (The) Cos., Inc.,
Class A 156,009
---------------
PHARMACEUTICALS -- 3.2%
13,680 Bristol-Myers Squibb Co. 607,529
3,580 Pfizer, Inc. 139,047
---------------
746,576
---------------
ROAD & RAIL -- 1.2%
4,009 CSX Corp. 282,234
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 6.7%
16,200 Intel Corp. 818,910
10,194 QUALCOMM, Inc. 745,793
---------------
1,564,703
---------------
SOFTWARE -- 3.3%
1,579 Adobe, Inc. (a) 471,900
5,445 Oracle Corp. 306,553
---------------
778,453
---------------
Page 102 See Notes to Financial Statements
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2019
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SPECIALTY RETAIL -- 0.7%
746 Home Depot (The), Inc. $ 159,413
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.4%
1,567 Apple, Inc. 333,834
---------------
TOBACCO -- 1.3%
6,551 Altria Group, Inc. 308,356
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 2.8%
8,368 T-Mobile US, Inc. (a) 667,181
---------------
TOTAL INVESTMENTS -- 99.7% 23,410,599
(Cost $22,298,589) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.3% 70,524
---------------
NET ASSETS -- 100.0% $ 23,481,123
===============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $22,439,133. As of July
31, 2019, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $1,318,192 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $346,726. The net unrealized
appreciation was $971,466.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2019
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 23,410,599 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 103
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2019
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............................................... $ 1,433,033,381 $ 898,282,113 $ 613,404,995
Cash................................................................ 1,701,148 -- --
Receivables:
Dividends..................................................... 1,039,617 395,226 272,748
Securities lending income..................................... 256 5,669 41,500
Prepaid expenses.................................................... 8,817 7,458 7,090
---------------- ---------------- ----------------
Total Assets.................................................. 1,435,783,219 898,690,466 613,726,333
---------------- ---------------- ----------------
LIABILITIES:
Due to custodian.................................................... -- -- 8,742
Payables:
Collateral for securities on loan............................. -- 10,788,000 10,293,235
Investment advisory fees...................................... 614,843 379,110 254,174
Licensing fees................................................ 72,495 46,289 31,220
Shareholder reporting fees.................................... 62,780 49,370 36,544
Audit and tax fees............................................ 22,925 22,925 22,925
Trustees' fees................................................ 941 824 755
Other liabilities................................................... 330,346 227,571 160,575
---------------- ---------------- ----------------
Total Liabilities............................................. 1,104,330 11,514,089 10,808,170
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 1,434,678,889 $ 887,176,377 $ 602,918,163
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 1,551,717,691 $ 1,019,739,802 $ 790,443,469
Par value........................................................... 231,000 127,000 97,500
Accumulated distributable earnings (loss)........................... (117,269,802) (132,690,425) (187,622,806)
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 1,434,678,889 $ 887,176,377 $ 602,918,163
================ ================ ================
NET ASSET VALUE, per share.......................................... $ 62.11 $ 69.86 $ 61.84
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 23,100,002 12,700,002 9,750,002
================ ================ ================
Investments, at cost................................................ $ 1,306,303,224 $ 835,054,278 $ 597,827,769
================ ================ ================
Securities on loan, at value........................................ $ -- $ 10,288,809 $ 10,041,772
================ ================ ================
Page 104 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)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 1,166,209,928 $ 1,043,697,900 $ 85,085,508 $ 186,640,162 $ 56,173,332 $ 311,312,129
-- -- -- -- 140,212 111,401
1,263,813 324,121 76,637 39,566 40,640 23,579
112 724 1,164 3,470 476 782
8,063 7,589 5,698 5,909 -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
1,167,481,916 1,044,030,334 85,169,007 186,689,107 56,354,660 311,447,891
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
-- -- 9 -- -- --
-- 1,492,045 751,354 537,981 848,771 1,446,956
495,260 442,823 37,860 79,075 32,818 175,258
60,040 51,582 4,380 9,649 -- --
54,459 44,864 8,338 12,942 -- --
22,925 22,925 22,925 22,925 -- --
887 839 632 654 -- --
279,517 249,520 42,820 70,401 -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
913,088 2,304,598 868,318 733,627 881,589 1,622,214
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 1,166,568,828 $ 1,041,725,736 $ 84,300,689 $ 185,955,480 $ 55,473,071 $ 309,825,677
================ ================ ================ ================ ================ ================
$ 1,354,893,298 $ 1,057,036,515 $ 116,575,642 $ 182,005,180 $ 73,579,513 $ 321,789,376
221,000 146,000 15,500 24,500 16,000 66,500
(188,545,470) (15,456,779) (32,290,453) 3,925,800 (18,122,442) (12,030,199)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 1,166,568,828 $ 1,041,725,736 $ 84,300,689 $ 185,955,480 $ 55,473,071 $ 309,825,677
================ ================ ================ ================ ================ ================
$ 52.79 $ 71.35 $ 54.39 $ 75.90 $ 34.67 $ 46.59
================ ================ ================ ================ ================ ================
22,100,002 14,600,002 1,550,002 2,450,002 1,600,002 6,650,002
================ ================ ================ ================ ================ ================
$ 1,144,387,237 $ 900,545,213 $ 85,326,144 $ 157,332,268 $ 57,426,696 $ 274,138,553
================ ================ ================ ================ ================ ================
$ -- $ 1,458,600 $ 727,209 $ 519,408 $ 784,769 $ 1,380,018
================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 105
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 2019
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............................................... $ 61,957,260 $ 281,560,041 $ 23,410,599
Cash................................................................ 98,850 452,657 46,691
Receivables:
Dividends..................................................... 43,832 42,814 38,141
Securities lending income..................................... 3,099 26,605 --
Prepaid expenses.................................................... -- -- --
---------------- ---------------- ----------------
Total Assets.................................................. 62,103,041 282,082,117 23,495,431
---------------- ---------------- ----------------
LIABILITIES:
Due to custodian.................................................... -- -- --
Payables:
Collateral for securities on loan............................. 1,408,497 3,061,073 --
Investment advisory fees...................................... 35,474 169,714 14,308
Licensing fees................................................ -- -- --
Shareholder reporting fees.................................... -- -- --
Audit and tax fees............................................ -- -- --
Trustees' fees................................................ -- -- --
Other liabilities................................................... -- -- --
---------------- ---------------- ----------------
Total Liabilities............................................. 1,443,971 3,230,787 14,308
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 60,659,070 $ 278,851,330 $ 23,481,123
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 92,853,923 $ 344,962,173 $ 26,936,457
Par value........................................................... 17,500 59,500 6,500
Accumulated distributable earnings (loss)........................... (32,212,353) (66,170,343) (3,461,834)
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 60,659,070 $ 278,851,330 $ 23,481,123
================ ================ ================
NET ASSET VALUE, per share.......................................... $ 34.66 $ 46.87 $ 36.12
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 1,750,002 5,950,002 650,002
================ ================ ================
Investments, at cost................................................ $ 66,401,949 $ 259,630,019 $ 22,298,589
================ ================ ================
Securities on loan, at value........................................ $ 1,385,905 $ 2,938,490 $ --
================ ================ ================
Page 106 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2019
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........................................................... $ 26,052,779 $ 13,531,663 $ 9,718,353
Securities lending income (net of fees)............................. 807,846 78,743 340,693
Foreign withholding tax............................................. -- (3,637) (1,281)
---------------- ---------------- ----------------
Total investment income....................................... 26,860,625 13,606,769 10,057,765
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................ 7,091,255 4,386,861 3,186,204
Accounting and administration fees.................................. 669,452 441,617 322,641
Licensing fees...................................................... 269,054 169,143 125,865
Custodian fees...................................................... 185,021 145,658 137,600
Shareholder reporting fees.......................................... 130,716 109,138 86,492
Transfer agent fees................................................. 60,455 43,868 31,862
Legal fees.......................................................... 52,426 32,565 24,974
Audit and tax fees.................................................. 15,331 15,331 15,331
Trustees' fees and expenses......................................... 8,917 8,255 7,921
Listing fees........................................................ 4,997 4,761 3,710
Registration and filing fees........................................ -- (10,028) (13,070)
Other expenses...................................................... 32,238 19,009 15,355
---------------- ---------------- ----------------
Total expenses................................................ 8,519,862 5,366,178 3,944,885
Less fees waived and expenses reimbursed by the
investment advisor......................................... -- -- --
---------------- ---------------- ----------------
Net expenses.................................................. 8,519,862 5,366,178 3,944,885
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)........................................ 18,340,763 8,240,591 6,112,880
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (28,793,101) (32,061,733) (57,804,322)
In-kind redemptions........................................... 98,224,567 57,499,829 60,663,551
---------------- ---------------- ----------------
Net realized gain (loss)............................................ 69,431,466 25,438,096 2,859,229
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments. (51,939,570) (28,927,358) (66,349,033)
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 17,491,896 (3,489,262) (63,489,804)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 35,832,659 $ 4,751,329 $ (57,376,924)
================ ================ ================
See Notes to Financial Statements Page 107
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED JULY 31, 2019
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........................................................... $ 29,510,301 $ 9,889,047 $ 2,065,913
Securities lending income (net of fees)............................. 9,866 1,129,773 7,817
Foreign withholding tax............................................. -- -- (237)
---------------- ---------------- ----------------
Total investment income....................................... 29,520,167 11,018,820 2,073,493
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................ 5,696,421 4,718,974 433,777
Accounting and administration fees.................................. 557,384 473,175 47,316
Licensing fees...................................................... 217,869 180,794 23,498
Custodian fees...................................................... 158,518 146,600 65,858
Shareholder reporting fees.......................................... 117,030 102,339 19,937
Transfer agent fees................................................. 53,481 47,089 4,338
Legal fees.......................................................... 41,816 34,612 3,131
Audit and tax fees.................................................. 15,331 15,331 15,331
Trustees' fees and expenses......................................... 8,595 8,323 7,187
Listing fees........................................................ 4,936 4,780 6,560
Registration and filing fees........................................ (7,764) (9,148) --
Other expenses...................................................... 24,399 19,000 3,647
---------------- ---------------- ----------------
Total expenses................................................ 6,888,016 5,741,869 630,580
Less fees waived and expenses reimbursed by the
investment advisor......................................... -- -- (23,214)
---------------- ---------------- ----------------
Net expenses.................................................. 6,888,016 5,741,869 607,366
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)........................................ 22,632,151 5,276,951 1,466,127
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... 8,659,919 (76,603,628) 571,584
In-kind redemptions........................................... 5,594,642 116,289,917 722,508
---------------- ---------------- ----------------
Net realized gain (loss)............................................ 14,254,561 39,686,289 1,294,092
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments. (47,887,065) 12,785,024 (5,847,344)
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (33,632,504) 52,471,313 (4,553,252)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ (11,000,353) $ 57,748,264 $ (3,087,125)
================ ================ ================
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial
Statements).
Page 108 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)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 1,641,988 $ 1,145,470 $ 1,855,444 $ 1,394,236 $ 2,244,871 $ 441,945
151,258 2,842 24,263 25,510 269,870 --
(60) (397) -- (155) (976) --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
1,793,186 1,147,915 1,879,707 1,419,591 2,513,765 441,945
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
930,522 367,545 (a) 1,673,916 (a) 435,255 (a) 2,392,448 (a) 152,639 (a)
97,355 -- -- -- -- --
42,026 -- -- -- -- --
71,580 -- -- -- -- --
32,776 -- -- -- -- --
9,305 -- -- -- -- --
7,397 -- -- -- -- --
15,331 -- -- -- -- --
7,330 -- -- -- -- --
6,522 -- -- -- -- --
(3,854) -- -- -- -- --
5,113 -- -- -- -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
1,221,403 367,545 1,673,916 435,255 2,392,448 152,639
-- -- -- -- -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
1,221,403 367,545 1,673,916 435,255 2,392,448 152,639
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
571,783 780,370 205,791 984,336 121,317 289,306
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
(6,682,738) (713,424) (22,621,083) (1,390,436) (58,258,052) (720,252)
8,853,798 80,844 17,162,588 803,133 27,480,297 1,518,709
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
2,171,060 (632,580) (5,458,495) (587,303) (30,777,755) 798,457
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
622,734 (2,569,766) 16,316,990 (7,220,590) (8,010,419) 296,932
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
2,793,794 (3,202,346) 10,858,495 (7,807,893) (38,788,174) 1,095,389
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 3,365,577 $ (2,421,976) $ 11,064,286 $ (6,823,557) $ (38,666,857) $ 1,384,695
================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 109
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)
------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2019 7/31/2018 7/31/2019 7/31/2018
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss)............................ $ 18,340,763 $ 17,463,068 $ 8,240,591 $ 7,266,460
Net realized gain (loss)................................ 69,431,466 170,169,065 25,438,096 92,051,574
Net change in unrealized appreciation (depreciation).... (51,939,570) 2,749,559 (28,927,358) 17,631,177
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... 35,832,659 190,381,692 4,751,329 116,949,211
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (17,636,192) (7,372,456)
--------------- ---------------
Net investment income................................... (16,891,666) (7,074,436)
--------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 389,384,895 678,795,675 287,753,879 480,574,743
Cost of shares redeemed................................. (513,826,091) (865,809,200) (299,688,790) (386,711,821)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (124,441,196) (187,013,525) (11,934,911) 93,862,922
--------------- --------------- --------------- ---------------
Payment from the Advisor................................ -- -- -- --
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (106,244,729) (13,523,499) (14,556,038) 203,737,697
NET ASSETS:
Beginning of period..................................... 1,540,923,618 1,554,447,117 901,732,415 697,994,718
--------------- --------------- --------------- ---------------
End of period........................................... $ 1,434,678,889 $ 1,540,923,618 $ 887,176,377 $ 901,732,415
=============== =============== =============== ===============
Accumulated net investment income (loss)
at end of period..................................... $ 960,658 $ 499,939
=============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 25,350,002 28,750,002 12,950,002 11,650,002
Shares sold............................................. 6,400,000 11,700,000 4,150,000 7,300,000
Shares redeemed......................................... (8,650,000) (15,100,000) (4,400,000) (6,000,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 23,100,002 25,350,002 12,700,002 12,950,002
=============== =============== =============== ===============
Page 110 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)
------------------------------- ------------------------------- ------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
7/31/2019 7/31/2018 7/31/2019 7/31/2018 7/31/2019 7/31/2018 7/31/2019 7/31/2018
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 6,112,880 $ 4,832,166 $ 22,632,151 $ 20,527,581 $ 5,276,951 $ 2,737,003 $ 1,466,127 $ 1,666,170
2,859,229 58,086,878 14,254,561 80,006,931 39,686,289 85,736,876 1,294,092 10,569,329
(66,349,033) 32,068,741 (47,887,065) (15,921,913) 12,785,024 45,613,827 (5,847,344) (2,388,322)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(57,376,924) 94,987,785 (11,000,353) 84,612,599 57,748,264 134,087,706 (3,087,125) 9,847,177
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(5,893,001) (19,337,442) (4,584,530) (1,340,962)
-------------- -------------- -------------- --------------
(4,463,156) (19,621,362) (2,780,516) (1,582,542)
-------------- -------------- -------------- --------------
262,073,225 342,228,917 127,487,293 495,692,611 726,158,507 516,532,534 2,412,023 13,593,728
(323,986,860) (200,105,675) (76,934,193) (471,327,725) (637,594,289) (398,790,450) (5,449,388) (41,051,232)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(61,913,635) 142,123,242 50,553,100 24,364,886 88,564,218 117,742,084 (3,037,365) (27,457,504)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
-- 3,456,678 -- -- -- -- -- --
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(125,183,560) 236,104,549 20,215,305 89,356,123 141,727,952 249,049,274 (7,465,452) (19,192,869)
728,101,723 491,997,174 1,146,353,523 1,056,997,400 899,997,784 650,948,510 91,766,141 110,959,010
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 602,918,163 $ 728,101,723 $1,166,568,828 $1,146,353,523 $1,041,725,736 $ 899,997,784 $ 84,300,689 $ 91,766,141
============== ============== ============== ============== ============== ============== ============== ==============
$ 440,801 $ 1,084,196 $ 224,389 $ 92,955
============== ============== ============== ==============
10,900,002 8,750,002 21,200,002 20,750,002 13,450,002 11,650,002 1,600,002 2,100,002
3,950,000 5,500,000 2,450,000 9,300,000 10,750,000 8,350,000 50,000 250,000
(5,100,000) (3,350,000) (1,550,000) (8,850,000) (9,600,000) (6,550,000) (100,000) (750,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
9,750,002 10,900,002 22,100,002 21,200,002 14,600,002 13,450,002 1,550,002 1,600,002
============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 111
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)
------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2019 7/31/2018 7/31/2019 7/31/2018
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss)............................ $ 571,783 $ 237,431 $ 780,370 $ 813,339
Net realized gain (loss)................................ 2,171,060 11,522,148 (632,580) 3,643,568
Net change in unrealized appreciation (depreciation).... 622,734 13,754,135 (2,569,766) 528,908
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... 3,365,577 25,513,714 (2,421,976) 4,985,815
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (458,046) (675,721)
--------------- ---------------
Net investment income................................... (285,705) (792,136)
--------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 45,995,046 105,028,519 15,447,959 30,054,698
Cost of shares redeemed................................. (55,632,416) (41,400,652) (6,442,277) (41,884,419)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (9,637,370) 63,627,867 9,005,682 (11,829,721)
--------------- --------------- --------------- ---------------
Payment from the Advisor................................ -- -- -- --
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (6,729,839) 88,855,876 5,907,985 (7,636,042)
NET ASSETS:
Beginning of period..................................... 192,685,319 103,829,443 49,565,086 57,201,128
--------------- --------------- --------------- ---------------
End of period........................................... $ 185,955,480 $ 192,685,319 $ 55,473,071 $ 49,565,086
=============== =============== =============== ===============
Accumulated net investment income (loss)
at end of period..................................... $ -- $ 62,366
=============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 2,650,002 1,750,002 1,350,002 1,700,002
Shares sold............................................. 650,000 1,550,000 450,000 850,000
Shares redeemed......................................... (850,000) (650,000) (200,000) (1,200,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 2,450,002 2,650,002 1,600,002 1,350,002
=============== =============== =============== ===============
Page 112 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)
------------------------------- ------------------------------- ------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
7/31/2019 7/31/2018 7/31/2019 7/31/2018 7/31/2019 7/31/2018 7/31/2019 7/31/2018
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 205,791 $ 32,769 $ 984,336 $ 896,363 $ 121,317 $ 192,452 $ 289,306 $ 204,767
(5,458,495) 18,724,432 (587,303) 3,146,060 (30,777,755) 19,411,766 798,457 2,470,720
16,316,990 8,584,431 (7,220,590) 3,566,680 (8,010,419) 17,177,486 296,932 (254,556)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
11,064,286 27,341,632 (6,823,557) 7,609,103 (38,666,857) 36,781,704 1,384,695 2,420,931
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(115,920) (917,901) (105,410) (250,051)
-------------- -------------- -------------- --------------
(158,280) (796,501) (266,415) (199,431)
-------------- -------------- -------------- --------------
202,282,798 201,971,586 10,488,596 66,084,125 259,177,575 364,025,842 23,625,038 16,863,212
(118,044,854) (109,215,958) (18,091,538) (59,215,518) (302,564,084) (157,067,136) (17,209,998) (18,649,362)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
84,237,944 92,755,628 (7,602,942) 6,868,607 (43,386,509) 206,958,706 6,415,040 (1,786,150)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
-- -- -- 519,907 -- 1,053,251 -- --
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
95,186,310 119,938,980 (15,344,400) 14,201,116 (82,158,776) 244,527,246 7,549,684 435,350
214,639,367 94,700,387 76,003,470 61,802,354 361,010,106 116,482,860 15,931,439 15,496,089
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 309,825,677 $ 214,639,367 $ 60,659,070 $ 76,003,470 $ 278,851,330 $ 361,010,106 $ 23,481,123 $ 15,931,439
============== ============== ============== ============== ============== ============== ============== ==============
$ (29,735) $ 118,189 $ -- $ 18,444
============== ============== ============== ==============
4,900,002 2,700,002 1,950,002 1,800,002 7,400,002 3,000,002 450,002 500,002
4,550,000 5,000,000 300,000 1,800,000 5,200,000 8,100,000 700,000 500,000
(2,800,000) (2,800,000) (500,000) (1,650,000) (6,650,000) (3,700,000) (500,000) (550,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
6,650,002 4,900,002 1,750,002 1,950,002 5,950,002 7,400,002 650,002 450,002
============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 113
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,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 60.79 $ 54.07 $ 46.93 $ 45.96 $ 43.21
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.77 0.69 0.61 0.64 0.57
Net realized and unrealized gain (loss) 1.28 6.69 7.16 0.95 2.75
---------- ---------- ---------- ---------- ----------
Total from investment operations 2.05 7.38 7.77 1.59 3.32
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.73) (0.66) (0.63) (0.62) (0.57)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 62.11 $ 60.79 $ 54.07 $ 46.93 $ 45.96
========== ========== ========== ========== ==========
TOTAL RETURN (a) 3.48% 13.72% 16.68% 3.59% 7.67%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,434,679 $1,540,924 $1,554,447 $1,506,341 $1,932,424
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.60% 0.61% 0.61% 0.61% 0.61%
Ratio of net expenses to average net assets 0.60% 0.61% 0.61% 0.61% 0.61%
Ratio of net investment income (loss) to
average net assets 1.29% 1.17% 1.21% 1.43% 1.25%
Portfolio turnover rate (b) 102% 87% 90% 109% 91%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 69.63 $ 59.91 $ 52.80 $ 52.97 $ 50.65
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.63 0.61 0.56 0.56 0.51
Net realized and unrealized gain (loss) 0.16 9.71 7.12 (0.21) 2.31
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.79 10.32 7.68 0.35 2.82
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.56) (0.60) (0.57) (0.52) (0.50)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 69.86 $ 69.63 $ 59.91 $ 52.80 $ 52.97
========== ========== ========== ========== ==========
TOTAL RETURN (a) 1.22% 17.30% 14.61% 0.76% 5.55%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 887,176 $ 901,732 $ 697,995 $ 644,144 $1,016,952
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.62% 0.63% 0.63% 0.62%
Ratio of net expenses to average net assets 0.61% 0.62% 0.63% 0.63% 0.62%
Ratio of net investment income (loss) to
average net assets 0.94% 0.94% 1.00% 1.10% 0.97%
Portfolio turnover rate (b) 114% 101% 103% 126% 102%
(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 114 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 CORE ALPHADEX(R) FUND (FYX)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 66.80 $ 56.23 $ 48.91 $ 48.24 $ 46.07
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.60 0.52 0.41 0.39 0.35
Net realized and unrealized gain (loss) (4.98) 10.53 7.40 0.64 2.17
---------- ---------- ---------- ---------- ----------
Total from investment operations (4.38) 11.05 7.81 1.03 2.52
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.58) (0.48) (0.49) (0.36) (0.35)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 61.84 $ 66.80 $ 56.23 $ 48.91 $ 48.24
========== ========== ========== ========== ==========
TOTAL RETURN (a) (6.52)% 19.72%(c) 16.03% 2.20% 5.45%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 602,918 $ 728,102 $ 491,997 $ 442,627 $ 701,882
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.62% 0.63% 0.63% 0.64% 0.63%
Ratio of net expenses to average net assets 0.62% 0.63% 0.63% 0.64% 0.63%
Ratio of net investment income (loss) to
average net assets 0.96% 0.87% 0.78% 0.86% 0.73%
Portfolio turnover rate (b) 117% 116% 111% 126% 97%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 54.07 $ 50.94 $ 41.98 $ 41.61 $ 42.48
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.02 1.02 0.77 0.78 (d) 0.77
Net realized and unrealized gain (loss) (1.43) 3.08 8.96 0.38 (0.87)
---------- ---------- ---------- ---------- ----------
Total from investment operations (0.41) 4.10 9.73 1.16 (0.10)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.87) (0.97) (0.77) (0.79) (0.77)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 52.79 $ 54.07 $ 50.94 $ 41.98 $ 41.61
========== ========== ========== ========== ==========
TOTAL RETURN (a) (0.65)% 8.12% 23.35% 2.94% (0.29)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,166,569 $1,146,354 $1,056,997 $ 831,256 $1,181,747
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.60% 0.61% 0.62% 0.62% 0.62%
Ratio of net expenses to average net assets 0.60% 0.61% 0.62% 0.62% 0.62%
Ratio of net investment income (loss) to
average net assets 1.99% 1.92% 1.63% 2.00% 1.77%
Portfolio turnover rate (b) 96% 82% 72% 94% 78%
(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) The Fund received a payment from the Advisor in the amount of $3,456,678
in connection with a broker error, which represents $0.38 per share. Since
the Advisor reimbursed the Fund, there was no effect on the total return.
(d) Based on average shares outstanding.
See Notes to Financial Statements Page 115
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,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 66.91 $ 55.88 $ 51.56 $ 49.95 $ 42.86
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.37 0.23 0.33 0.35 0.32
Net realized and unrealized gain (loss) 4.39 11.03 4.33 1.60 7.09
---------- ---------- ---------- ---------- ----------
Total from investment operations 4.76 11.26 4.66 1.95 7.41
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.32) (0.23) (0.34) (0.34) (0.32)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 71.35 $ 66.91 $ 55.88 $ 51.56 $ 49.95
========== ========== ========== ========== ==========
TOTAL RETURN (a) 7.16% 20.19% 9.10% 3.96% 17.32%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,041,726 $ 899,998 $ 650,949 $ 618,698 $ 681,765
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.62% 0.62% 0.63%
Ratio of net expenses to average net assets 0.61% 0.61% 0.62% 0.62% 0.63%
Ratio of net investment income (loss) to
average net assets 0.56% 0.36% 0.63% 0.73% 0.68%
Portfolio turnover rate (b) 132% 119% 148% 149% 143%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 57.35 $ 52.84 $ 44.91 $ 44.75 $ 45.71
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.92 0.96 0.73 0.70 0.64
Net realized and unrealized gain (loss) (3.04) 4.45 7.96 0.13 (0.96)
---------- ---------- ---------- ---------- ----------
Total from investment operations (2.12) 5.41 8.69 0.83 (0.32)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.84) (0.90) (0.76) (0.67) (0.64)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 54.39 $ 57.35 $ 52.84 $ 44.91 $ 44.75
========== ========== ========== ========== ==========
TOTAL RETURN (a) (3.62)% 10.30% 19.46% 1.98% (0.74)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 84,301 $ 91,766 $ 110,959 $ 103,296 $ 196,887
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.73% 0.70% 0.66% 0.68% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.66% 0.68% 0.70%
Ratio of net investment income (loss) to
average net assets 1.69% 1.67% 1.45% 1.61% 1.36%
Portfolio turnover rate (b) 96% 89% 81% 96% 82%
(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 116 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,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 72.71 $ 59.33 $ 53.31 $ 52.16 $ 45.23
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.22 0.12 0.25 0.24 0.23
Net realized and unrealized gain (loss) 3.14 13.40 6.04 1.13 6.94
---------- ---------- ---------- ---------- ----------
Total from investment operations 3.36 13.52 6.29 1.37 7.17
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.17) (0.14) (0.27) (0.22) (0.24)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 75.90 $ 72.71 $ 59.33 $ 53.31 $ 52.16
========== ========== ========== ========== ==========
TOTAL RETURN (a) 4.65% 22.82% 11.85% 2.66% 15.89%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 185,955 $ 192,685 $ 103,829 $ 85,293 $ 91,279
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.66% 0.69% 0.70% 0.70% 0.72%
Ratio of net expenses to average net assets 0.66% 0.69% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.31% 0.18% 0.44% 0.50% 0.48%
Portfolio turnover rate (b) 130% 118% 142% 160% 135%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
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 117
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,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 36.71 $ 33.65 $ 29.47 $ 29.56 $ 30.20
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.51 0.58 0.44 0.43 0.39
Net realized and unrealized gain (loss) (2.10) 3.04 4.17 (0.10) (0.64)
---------- ---------- ---------- ---------- ----------
Total from investment operations (1.59) 3.62 4.61 0.33 (0.25)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.45) (0.56) (0.43) (0.42) (0.39)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 34.67 $ 36.71 $ 33.65 $ 29.47 $ 29.56
========== ========== ========== ========== ==========
TOTAL RETURN (a) (4.26)% 10.80% 15.72% 1.22% (0.87)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 55,473 $ 49,565 $ 57,201 $ 47,156 $ 75,389
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% 1.61% 1.31% 1.49% 1.27%
Portfolio turnover rate (b) 113% 94% 95% 114% 88%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 43.80 $ 35.07 $ 31.22 $ 31.31 $ 27.61
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.04 0.03 0.15 0.11 0.13
Net realized and unrealized gain (loss) 2.77 8.75 3.87 (0.11) 3.71
---------- ---------- ---------- ---------- ----------
Total from investment operations 2.81 8.78 4.02 0.00 3.84
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.02) (0.05) (0.17) (0.09) (0.14)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 46.59 $ 43.80 $ 35.07 $ 31.22 $ 31.31
========== ========== ========== ========== ==========
TOTAL RETURN (a) 6.43% 25.06% 12.94% 0.03% 13.91%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 309,826 $ 214,639 $ 94,700 $ 82,725 $ 114,273
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 0.09% 0.02% 0.48% 0.35% 0.42%
Portfolio turnover rate (b) 144% 124% 153% 193% 159%
(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 118 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,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 38.98 $ 34.33 $ 30.19 $ 30.20 $ 31.06
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.57 0.48 0.41 0.26 0.28
Net realized and unrealized gain (loss) (4.36) 4.60 4.23 (0.04) (0.85)
---------- ---------- ---------- ---------- ----------
Total from investment operations (3.79) 5.08 4.64 0.22 (0.57)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.53) (0.43) (0.50) (0.23) (0.29)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 34.66 $ 38.98 $ 34.33 $ 30.19 $ 30.20
========== ========== ========== ========== ==========
TOTAL RETURN (a) (9.69)% 14.86%(c) 15.41% 0.79% (1.89)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 60,659 $ 76,003 $ 61,802 $ 54,341 $ 72,491
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 1.58% 1.28% 1.22% 0.89% 0.86%
Portfolio turnover rate (b) 120% 123% 110% 125% 96%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 48.79 $ 38.83 $ 33.24 $ 32.18 $ 27.96
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02 0.06 0.05 0.09 0.04
Net realized and unrealized gain (loss) (1.93) 9.97 5.63 1.04 4.20
---------- ---------- ---------- ---------- ----------
Total from investment operations (1.91) 10.03 5.68 1.13 4.24
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.01) (0.07) (0.09) (0.07) (0.02)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 46.87 $ 48.79 $ 38.83 $ 33.24 $ 32.18
========== ========== ========== ========== ==========
TOTAL RETURN (a) (3.90)% 25.85%(d) 17.12% 3.54% 15.17%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 278,851 $ 361,010 $ 116,483 $ 56,502 $ 88,492
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 0.04% 0.11% 0.12% 0.32% 0.09%
Portfolio turnover rate (b) 152% 141% 162% 161% 153%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
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) The Fund received a payment from the Advisor in the amount of $519,907 in
connection with a broker error, which represents $0.27 per share. Since
the Advisor reimbursed the Fund, there was no effect on the total return.
(d) The Fund received a payment from the Advisor in the amount of $1,053,251
in connection with a broker error, which represents $0.25 per share. Since
the Advisor reimbursed the Fund, there was no effect on the total return.
See Notes to Financial Statements Page 119
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,
------------------------------------------------------------------
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 35.40 $ 30.99 $ 27.09 $ 27.48 $ 26.23
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.45 0.40 0.40 0.45 0.37
Net realized and unrealized gain (loss) 0.68 4.40 3.92 (0.42) 1.27
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.13 4.80 4.32 0.03 1.64
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.41) (0.39) (0.42) (0.42) (0.39)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 36.12 $ 35.40 $ 30.99 $ 27.09 $ 27.48
========== ========== ========== ========== ==========
TOTAL RETURN (a) 3.24% 15.57% 16.10% 0.19% 6.29%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 23,481 $ 15,931 $ 15,496 $ 14,897 $ 17,864
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 1.33% 1.21% 1.38% 1.69% 1.40%
Portfolio turnover rate (b) 156% 136% 128% 145% 134%
(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
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019
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")
First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX")
First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX")
First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA")
First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC")
First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB")
First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD")
First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK")
First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY")
First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT")
First Trust Small Cap Growth AlphaDEX(R) Fund - (ticker "FYC")
First Trust Mega Cap AlphaDEX(R) Fund - (ticker "FMK")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Creation Units are generally issued and redeemed in-kind for
securities in which a Fund invests and, in certain circumstances, for cash, and
only to and from broker-dealer and large institutional investors that have
entered into participation agreements. 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 Large Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Core Index
First Trust Mid Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Core Index
First Trust Small Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Core Index
First Trust Large Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Value Index
First Trust Large Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Growth Index
First Trust Multi Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Value Index
First Trust Multi Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Growth Index
First Trust Mid Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Value Index
First Trust Mid Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Growth Index
First Trust Small Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Value Index
First Trust Small Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Growth Index
First Trust Mega Cap AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mega Cap Index
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board ("FASB")
Accounting Standards Codification ("ASC") 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.
Page 121
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019
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 third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the 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 third-party 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.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019
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, 2019, 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.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
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
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 fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019
the same manner as other dividend and interest income. At July 31, 2019, all the
Funds except FEX, FTA, and FMK had securities in the securities lending program.
During the fiscal year ended July 31, 2019, all the Funds except FMK
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 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 securities. The U.S. Treasury securities 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 securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund are less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended July 31, 2019, 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 net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on 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, 2019, 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 $ 17,636,192 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 7,372,456 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 5,893,001 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 19,337,442 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 4,584,530 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 1,340,962 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 458,046 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 675,721 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund 115,920 -- --
First Trust Small Cap Value AlphaDEX(R) Fund 917,901 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 105,410 -- --
First Trust Mega Cap AlphaDEX(R) Fund 250,051 -- --
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2018, 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 $ 16,891,666 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 7,074,436 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 4,463,156 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 19,621,362 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 2,780,516 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 1,582,542 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 285,705 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 792,136 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund 158,280 -- --
First Trust Small Cap Value AlphaDEX(R) Fund 796,501 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 266,415 -- --
First Trust Mega Cap AlphaDEX(R) Fund 199,431 -- --
As of July 31, 2019, 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 $ 2,038,765 $ (238,316,356) $119,007,789
First Trust Mid Cap Core AlphaDEX(R) Fund 1,685,411 (193,329,921) 58,954,085
First Trust Small Cap Core AlphaDEX(R) Fund 633,695 (199,969,605) 11,713,104
First Trust Large Cap Value AlphaDEX(R) Fund 5,107,472 (207,550,849) 13,897,907
First Trust Large Cap Growth AlphaDEX(R) Fund 739,645 (156,645,434) 140,449,010
First Trust Multi Cap Value AlphaDEX(R) Fund 280,604 (31,860,987) (710,070)
First Trust Multi Cap Growth AlphaDEX(R) Fund 124,079 (25,310,128) 29,111,849
First Trust Mid Cap Value AlphaDEX(R) Fund 209,390 (16,763,309) (1,568,523)
First Trust Mid Cap Growth AlphaDEX(R) Fund 63,690 (47,568,903) 35,475,014
First Trust Small Cap Value AlphaDEX(R) Fund 170,969 (27,636,104) (4,747,218)
First Trust Small Cap Growth AlphaDEX(R) Fund 74,492 (87,551,439) 21,306,604
First Trust Mega Cap AlphaDEX(R) Fund 57,699 (4,490,999) 971,466
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2016, 2017,
2018, and 2019 remain open to federal and state audit. As of July 31, 2019,
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, 2019, the Funds had 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, 2019
Post
Enactment -
No Expiration
-------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 238,316,356
First Trust Mid Cap Core AlphaDEX(R) Fund 193,329,921
First Trust Small Cap Core AlphaDEX(R) Fund 199,969,605
First Trust Large Cap Value AlphaDEX(R) Fund 207,550,849
First Trust Large Cap Growth AlphaDEX(R) Fund 156,645,434
First Trust Multi Cap Value AlphaDEX(R) Fund 31,860,987
First Trust Multi Cap Growth AlphaDEX(R) Fund 25,310,128
First Trust Mid Cap Value AlphaDEX(R) Fund 16,763,309
First Trust Mid Cap Growth AlphaDEX(R) Fund 47,568,903
First Trust Small Cap Value AlphaDEX(R) Fund 27,636,104
First Trust Small Cap Growth AlphaDEX(R) Fund 87,551,439
First Trust Mega Cap AlphaDEX(R) Fund 4,490,999
At the taxable year ended July 31, 2019, the following Funds' capital loss
carryforwards expired in the following amounts:
Capital Loss
Carryforward
Expired
-------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 1,020,863
First Trust Mid Cap Core AlphaDEX(R) Fund 1,502,304
First Trust Small Cap Core AlphaDEX(R) Fund 1,258,833
First Trust Large Cap Value AlphaDEX(R) Fund 298,768
First Trust Large Cap Growth AlphaDEX(R) Fund 1,803,151
First Trust Multi Cap Value AlphaDEX(R) Fund 322,362
First Trust Multi Cap Growth AlphaDEX(R) Fund 345,171
During the taxable year ended July 31, 2019, the following Funds utilized
post-enactment capital loss carryforwards in the following amounts:
Capital Loss
Carryforward
Utilized
-------------
First Trust Large Cap Value AlphaDEX(R) Fund $ 3,542,373
First Trust Multi Cap Value AlphaDEX(R) Fund 347,191
Certain losses realized during the current fiscal year may be deferred and
treated as occurring the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended July 31, 2019, the Funds had no
net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended July 31, 2019, the adjustments for each Fund were as follows:
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
---------------- ---------------- ----------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 373,536 $ (92,478,619) $ 92,105,083
First Trust Mid Cap Core AlphaDEX(R) Fund 317,337 (53,585,658) 53,268,321
First Trust Small Cap Core AlphaDEX(R) Fund (47,787) (54,726,688) 54,774,475
First Trust Large Cap Value AlphaDEX(R) Fund 728,567 (4,661,847) 3,933,280
First Trust Large Cap Growth AlphaDEX(R) Fund (177,165) (112,159,261) 112,336,426
First Trust Multi Cap Value AlphaDEX(R) Fund 60,465 (245,068) 184,603
First Trust Multi Cap Growth AlphaDEX(R) Fund 10,342 (8,300,634) 8,290,292
First Trust Mid Cap Value AlphaDEX(R) Fund 42,375 31,439 (73,814)
First Trust Mid Cap Growth AlphaDEX(R) Fund 3,554 (16,280,715) 16,277,161
First Trust Small Cap Value AlphaDEX(R) Fund (14,579) (517,852) 532,431
First Trust Small Cap Growth AlphaDEX(R) Fund 58,585 (23,200,346) 23,141,761
First Trust Mega Cap AlphaDEX(R) Fund -- (1,390,051) 1,390,051
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.
First Trust Portfolios L.P. ("FTP") has entered into licensing agreements with
Nasdaq, Inc. for each of the Style Funds. 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.
I. NEW ACCOUNTING PRONOUNCEMENT
On August 28, 2018, the FASB issued Accounting Standards Update ("ASU") 2018-13,
"Disclosure Framework - Changes to the Disclosure Requirements for Fair Value
Measurement," which amends the fair value measurement disclosure requirements of
ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified
disclosure requirements of ASC 820. In addition, the amendments clarify that
materiality is an appropriate consideration of entities when evaluating
disclosure requirements. The ASU is effective for fiscal years beginning after
December 15, 2019, including interim periods therein. Early adoption is
permitted for any eliminated or modified disclosures upon issuance of this ASU.
The Funds have early adopted ASU 2018-13 for these financial statements, which
did not result in a material impact.
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, license and other services, and excluding fee
payments under the Investment Management Agreement, 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, 2020.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019
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 its Expense Cap. 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, 2019 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 Ended Year Ended Year Ended
Fee Waivers Reimbursements 7/31/2017 7/31/2018 7/31/2019 Total
----------- -------------- ----------- ----------- ----------- -----------
First Trust Multi Cap Value
AlphaDEX(R) Fund $ 23,214 $ -- $ -- $ -- $ 23,214 $ 23,214
During the fiscal year ended July 31, 2018, FYX, FYT, and FYC received a payment
from the Advisor of $3,456,678, $519,907, and $1,053,251, respectively, in
connection with a broker error.
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.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
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, 2019, 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 $ 1,445,196,089 $ 1,444,435,526
First Trust Mid Cap Core AlphaDEX(R) Fund 1,002,621,872 999,394,138
First Trust Small Cap Core AlphaDEX(R) Fund 746,070,772 744,932,707
First Trust Large Cap Value AlphaDEX(R) Fund 1,098,767,552 1,094,272,329
First Trust Large Cap Growth AlphaDEX(R) Fund 1,246,120,569 1,245,558,610
First Trust Multi Cap Value AlphaDEX(R) Fund 83,355,334 83,077,991
First Trust Multi Cap Growth AlphaDEX(R) Fund 242,912,522 242,687,388
First Trust Mid Cap Value AlphaDEX(R) Fund 59,101,775 58,848,760
First Trust Mid Cap Growth AlphaDEX(R) Fund 347,710,991 346,606,352
First Trust Small Cap Value AlphaDEX(R) Fund 75,134,494 75,007,486
First Trust Small Cap Growth AlphaDEX(R) Fund 519,799,543 519,050,900
First Trust Mega Cap AlphaDEX(R) Fund 34,817,826 34,800,001
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019
For the fiscal year ended July 31, 2019, 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 $ 389,157,806 $ 513,745,210
First Trust Mid Cap Core AlphaDEX(R) Fund 286,681,032 299,696,036
First Trust Small Cap Core AlphaDEX(R) Fund 261,832,594 323,358,778
First Trust Large Cap Value AlphaDEX(R) Fund 127,030,476 76,761,019
First Trust Large Cap Growth AlphaDEX(R) Fund 725,668,130 637,659,808
First Trust Multi Cap Value AlphaDEX(R) Fund 2,405,554 5,444,627
First Trust Multi Cap Growth AlphaDEX(R) Fund 45,809,298 55,554,671
First Trust Mid Cap Value AlphaDEX(R) Fund 15,400,223 6,428,784
First Trust Mid Cap Growth AlphaDEX(R) Fund 201,785,449 117,992,598
First Trust Small Cap Value AlphaDEX(R) Fund 10,470,035 18,060,137
First Trust Small Cap Growth AlphaDEX(R) Fund 258,550,187 302,213,022
First Trust Mega Cap AlphaDEX(R) Fund 23,298,813 16,899,186
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.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019
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 November 30, 2020.
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 SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(R) FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
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
(the "Funds"), each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund
(the "Trust"), including the portfolios of investments, as of July 31, 2019, 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,
and the related notes. In our opinion, the financial statements and financial
highlights present fairly, in all material respects, the financial position of
each of the twelve portfolios included within the First Trust Exchange-Traded
AlphaDEX(R) Fund as of July 31, 2019, and the results of their operations for
the year then ended, the changes in their net assets for each of the two years
in the period then ended, and the financial highlights for each of the five
years in the period then ended in conformity with accounting principles
generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of July 31, 2019, by correspondence with the
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 24, 2019
We have served as the auditor of one or more First Trust investment companies
since 2001.
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended July 31, 2019, the following percentages of income
dividend paid by the Funds qualify 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 93.59%
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 91.28%
First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Small Cap Value AlphaDEX(R) Fund 82.21%
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, 2019, 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 94.48%
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 92.35%
First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Small Cap Value AlphaDEX(R) Fund 83.04%
First Trust Small Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mega Cap AlphaDEX(R) Fund 100.00%
A portion of each of the First Trust Exchange-Traded AlphaDEX Style Funds' 2019
ordinary dividends (including short-term capital gains) paid to its shareholders
during the fiscal year ended July 31, 2019, may be eligible for the Qualified
Business Income Deduction (QBI) under Code Section 199A for the aggregate
dividends each Fund received from the underlying Real Estate Investment Trust
(REIT) these Funds invest in.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019 (UNAUDITED)
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019 (UNAUDITED)
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
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, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of the
First Trust Exchange-Traded AlphaDEX(R) Fund funds it manages (the "Funds") in
certain member states in the European Economic Area in accordance with the
cooperation arrangements in Article 42 of the Alternative Investment Fund
Managers Directive (the "Directive"). First Trust is required under the
Directive to make disclosures in respect of remuneration. The following
disclosures are made in line with First Trust's interpretation of currently
available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2018, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $2,633,004.
This figure is comprised of $115,378 paid (or to be paid) in fixed compensation
and $2,517,626 paid (or to be paid) in variable compensation. There were a total
of 14 beneficiaries of the remuneration described above. Those amounts include
$1,672,097 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $960,907 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").
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019 (UNAUDITED)
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 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") 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 Growth AlphaDEX(R) Fund (FNY)
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)
First Trust Small Cap Value AlphaDEX(R) Fund (FYT)
First Trust Mega Cap AlphaDEX(R) Fund (FMK)
The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2020 at a meeting held on June 2, 2019. The
Board determined for each Fund that the continuation of the Agreement is in the
best interests of the Fund in light of the nature, 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 18, 2019 and June 2, 2019, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees, submitted on behalf of 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
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019 (UNAUDITED)
advisory or unitary fee rate payable by each Fund as compared to fees charged to
a peer group of funds (the "Expense Group") and a broad peer universe of funds
(the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc.
("Broadridge"), an independent source, and as compared to fees charged to other
clients of the Advisor, including other exchange-traded funds ("ETFs") managed
by the Advisor; the expense ratio of each Fund as compared to expense ratios of
the funds in the Fund's Expense Group and Expense Universe; performance
information for each Fund, including comparisons of each Fund's performance to
that of one or more relevant benchmark indexes and to that of a performance
group of funds and a broad performance universe of funds (the "Performance
Universe"), each assembled by Broadridge; 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 the
meeting held on April 18, 2019, 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 2, 2019 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. 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 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, policies and restrictions. The Board
also considered a report from the Advisor with respect to its risk management
functions related to the operation of the Funds. Finally, as part of the Board's
consideration of the Advisor's services, the Advisor, in its written materials
and at the April 18, 2019 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 its investment objective, policies
and restrictions.
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, 2020. 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 FNY, FNK, FYC, FYT 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 and other services and license fees, if any, but excluding the fee payment
under the applicable Agreement and 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 Expense Groups, as well as
advisory and unitary fee rates charged by the Advisor to other fund (including
ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group
included peer funds that pay a unitary fee and because each Unitary Fee Fund
pays 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 FTC was below the median total (net)
expense ratio of the peer funds in its Expense Group and that the total (net)
expense ratio of each other Non-Unitary Fee Fund and the unitary fee for each
Unitary Fee Fund were above the median total (net) expense ratio of the peer
funds in each Fund's respective Expense Group. With respect to the Expense
Groups, the Board, at the April 18, 2019 meeting, discussed with Broadridge its
methodology for assembling peer groups and discussed with 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
Page 136
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2019 (UNAUDITED)
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 non-ETF clients, the Board
considered differences between the Funds and other non-ETF 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, 2018 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
noted that, effective April 8, 2016, each Fund changed its underlying index to
an index developed and maintained by Nasdaq, Inc. using the AlphaDEX(R) stock
selection methodology and that the performance information included a blend of
the old and new indexes. 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
within a reasonable range. In addition, the Board reviewed data prepared by
Broadridge comparing each Fund's performance to that of its respective
Performance Universe and to that of a broad-based benchmark index, 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 or 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 believes its expenses will
likely increase over the next twelve months as the Advisor continues to hire
personnel and build infrastructure, including technology, to improve the
services to the Funds. 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, 2018 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. In addition, the Board considered fall-out benefits described
by the Advisor that may be realized from its relationship with the Funds. 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 the
Funds. The Board concluded that the character and amount of potential fall-out
benefits to the Advisor were not unreasonable.
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 each Fund. No single factor was
determinative in the Board's analysis.
Page 137
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2019 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 E. Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR 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, Officer, Wheaton 162 None
(1951) Orthopedics; Limited Partner,
o Since Inception Gundersen Real Estate Limited
Partnership (June 1992 to December 2016);
Member, Sportsmed LLC (April 2007 to
November 2015)
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 162 Director of ADM
(1957) (Futures Commission Merchant) Investor Services,
o Since Inception Inc., ADM Investor
Services
International,
Futures Industry
Association, and
National Futures
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial and 162 Director of Trust
(1956) Management Consulting) Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 162 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (January 2015 to August 2018),
Pelita Harapan Educational Foundation
(Educational Product and Services);
President and Chief Executive Officer
(June 2012 to September 2014), Servant
Interactive LLC (Educational Products
and Services); President and Chief
Executive Officer (June 2012 to September
2014), Dew Learning LLC (Educational
Products and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 162 None
Chairman of the Board Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P.; Chairman of the
Board of Directors, BondWave LLC
(Software Development Company)
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 138
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2019 (UNAUDITED)
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
James M. Dykas President and Chief Executive o Indefinite Term Managing Director and Chief Financial Officer
(1966) Officer (January 2016 to Present), Controller (January 2011
o Since January 2016 to January 2016), Senior Vice President (April 2007
to January 2016), First Trust Advisors L.P. and First
Trust Portfolios L.P.; Chief Financial Officer
(January 2016 to Present), BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice
(1972) Officer and Chief President (April 2012 to July 2016), First Trust
Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and
(1960) Legal Officer First Trust Portfolios L.P.; Secretary and General
o Since Inception Counsel, BondWave LLC; Secretary, Stonebridge
Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
(1966) and Assistant Secretary and First Trust Portfolios L.P.
o Chief Compliance
Officer Since
January 2011
o Assistant Secretary
Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1966) and First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1970) and First Trust Portfolios L.P.
o Since Inception
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
Page 139
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PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2019 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
advisor or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2019
Page 140
--------------------------------------------------------------------------------
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
240 Greenwich 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 2018 and
$420,000 for 2019.
(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 2018 and $0 for 2019.
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 2018 and $0 for 2019.
(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 $45,675
for 2018 and $61,425 for 2019. 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 2018 and $0 for 2019.
(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 2018 and $0 for 2019.
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 2018 and $0 for 2019 for the Adviser and $0 for 2018 and
$0 for 2019 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 2018 were $45,675
for the registrant, $43,390 for the registrant's investment adviser and $68,710
for the registrant's distributor, and for 2019 were $61,425 for the registrant,
$33,300 for the registrant's investment adviser and $46,000 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 period covered by this report that
have materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES.
Not applicable.
ITEM 13. 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: October 4, 2019
-----------------
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: October 4, 2019
-----------------
By (Signature and Title)* /s/ Donald P. Swade
----------------------------------------
Donald P. Swade, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: October 4, 2019
-----------------
* Print the name and title of each signing officer under his or her signature.