N-CSRS 1 adex_ncsrs.txt SEMI-ANNUAL CERTIFIED SHAREHOLDER REPORT 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 First Trust Exchange-Traded AlphaDEX(R) Fund (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 --------------------------------------------------------------- (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 --------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 630-765-8000 -------------- Date of fiscal year end: July 31 ------- Date of reporting period: January 31, 2020 ---------------- 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, 100 F Street, NE, Washington, DC 20549. 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 semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: -------------------------------------------------------------------------------- FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund Semi-Annual Report January 31, 2020 -------------------------------------------------------------------------------- AlphaDEX(R) Sector 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) 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 SECTOR FUNDS SEMI-ANNUAL REPORT JANUARY 31, 2020 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).......................... 30 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)........................... 44 Statements of Assets and Liabilities......................................... 46 Statements of Operations..................................................... 48 Statements of Changes in Net Assets.......................................... 50 Financial Highlights......................................................... 54 Notes to Financial Statements................................................ 59 Additional Information....................................................... 66 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2020 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the Sector Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which contains detailed information about the Funds for the six months ended January 31, 2020. We are now two decades into this millennium and while it has clearly not been smooth sailing for the securities markets or the economy, it has been relatively prosperous for those investors willing to stay the course. We have always been a proponent of buy-and-hold investing and believe in the merits of investing for the long haul, including the implementation of such basic strategies as diversification and asset allocation. From December 31, 1999 through December 31, 2019, the S&P 500(R) Index posted an average annual total return of 6.05%, according to Bloomberg. Over that same period, the ICE BofA 7-10 Year U.S. Treasury Index generated an average annual total return of 5.56%. These two asset classes are positioned at opposite ends of the risk spectrum. Historically speaking, stocks have tended to outperform government bonds in the U.S. by close to a 2 to 1 annual margin. For comparative purposes, from 1926 through 2019, the S&P 500(R) Index posted an average annual total return of 10.20%, compared to 5.56% for long-term government bonds, according to Morningstar/Ibbotson Associates. The returns from this millennium show that the S&P 500(R) Index lagged its historical average by more than four percentage points per year, while government bonds performed in line with their average. Remember, investors endured two severe bear markets in stocks between 2000 and 2009. This is one of the reasons we believe that, despite the S&P 500(R) Index setting new highs, equities are currently undervalued. Over the six-month period ended January 31, 2020, the S&P 500(R) Index was up 9.31% on a total return basis, which is a strong showing for just half a year. The two top-performing sectors by far were Information Technology and Utilities, according to Bloomberg. These two sectors make for an interesting pair in that one is growth-oriented, while the other is more defensive in nature, with a better than average dividend yield. The combination of the strength of the U.S. labor market, short-term interest rates and U.S. Treasury yields hovering around 1.50% to 2.00%, as of January 31, 2020, relatively modest inflation with the Consumer Price Index at 2.50% on a trailing 12-month basis and a favorable U.S. corporate tax structure helps foster a climate of opportunity for investors, in our opinion. We continue to urge investors to stay the course. One caveat moving forward is the outbreak of the respiratory disease designated as COVID-19 that has caused significant volatility and declines in global financial markets which have caused losses for investors. The impact of this COVID-19 pandemic may be short term or may last for an extended period of time and in either case could result in a substantial downturn or recession. We are continuing to monitor these events. Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. 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 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL REPORT JANUARY 31, 2020 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 27 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 Trump Administration's efforts to persuade some of the U.S.'s most important economic partners to renegotiate standing trade agreements began in earnest in March 2018, when President Donald J. Trump initiated the first round of tariffs on imported steel and aluminum. This somewhat heavy-handed approach has been operational for 22 months and counting. Some progress, however, has been made. The U.S. and China signed "Phase One" of a broader trade pact on January 15, 2020. President Trump signed the United States-Mexico-Canada Agreement into law on January 29, 2020, which updated the North American Free Trade Agreement. Progress notwithstanding, we believe that the ongoing trade conflict, particularly with China, has negatively impacted economic growth rates in the U.S. to such an extent that the Federal Reserve (the "Fed") felt compelled to intercede in the matter. Six months ago, the Fed chose to reverse course with respect to its monetary policy. President Trump had been urging the Fed to cut rates for some time. For those who may not follow the Fed closely, after holding its federal funds target rate (upper bound) at an artificially low 0.25% for seven years (December 2008-December 2015) to help stimulate U.S. economic activity, the Fed spent the better part of the next four years (December 2015-July 2019) increasing its benchmark lending rate in an effort to normalize it. Over that period, the Fed increased the rate from 0.25% to 2.50%. To lend some perspective, the average federal funds target rate (upper bound) was 2.93% for the 30-year period ended January 31, 2020, so the Fed came close to achieving its goal of normalizing it, according to data from Bloomberg. From the end of July 2019 through the end of November 2019, however, the Fed initiated three rate cuts that dropped it from 2.50% to 1.75%, where it still stands. As previously noted, one of the by-products of the escalation in the use of tariffs by all parties involved has been a slowdown in economic growth, particularly in the U.S. The annualized U.S. real gross domestic product ("GDP") growth rate in the second quarter of 2018 (when new tariffs were introduced) was 3.5%. In 2019, the first, second, third and fourth quarters generated annualized GDP growth rates of 3.1%, 2.0%, 2.1% and 2.1%, respectively, according to data from the Bureau of Economic Analysis. The past three quarters fell below the 2.3% average for the current U.S. economic recovery, which has run from July 2009 to the present, according to the National Bureau of Economic Research. The silver lining in this story, in our opinion, is that the stock and bond markets have continued to perform well despite the slowdown in economic activity. 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 $6.37 trillion in January 2020, up from $5.16 trillion a year ago, according to its own release. Total assets of U.S. listed ETFs/ETPs stood at an all-time high of $4.44 trillion, 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 January 31, 2020, U.S. Equity funds/ETFs reported estimated net outflows totaling $58.71 billion, according to data from Morningstar. As has been the case in recent years, investors favored passive funds over actively managed funds. Passive U.S. Equity funds/ETFs reported estimated net inflows totaling $175.19 billion, compared to estimated net outflows totaling $233.90 billion for actively managed U.S. Equity funds/ETFs. In our view, investors have shied away from Sector funds and ETFs over the past year. For the 12-month period ended January 31, 2020, Sector Equity funds/ETFs reported estimated net outflows totaling $19.85 billion. Passive Sector Equity funds/ETFs, however, reported estimated net inflows totaling $9.06 billion, compared to estimated net outflows totaling $28.91 billion for actively managed Sector Equity funds/ETFs. For the six-month period ended January 31, 2020, 10 of the 11 major sectors that comprise the S&P 500(R) Index (the "Index") generated positive total returns, according to Bloomberg. The Index posted a total return of 9.31% over the period. Three of the 11 sectors outperformed the broader index during the same period. Those three sectors were Information Technology (+18.95%), Utilities (+17.82%) and Health Care (+10.52%), according to Bloomberg. The sector that posted the lone negative total return for the same period was Energy, which was down 10.51%. One caveat moving forward is the outbreak of the respiratory disease designated as COVID-19 that has caused significant volatility and declines in global financial markets which have caused losses for investors. The impact of this COVID-19 pandemic may be short term or may last for an extended period of time and in either case could result in a substantial downturn or recession. We are continuing to monitor these events. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 0.99% 7.84% 5.70% 12.48% 7.14% 31.97% 224.04% 140.69% Market Price 0.97% 7.78% 5.70% 12.47% 7.14% 31.94% 223.96% 140.63% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index 1.36% 8.61% 6.39% 13.25% 7.91% 36.31% 247.09% 163.50% Russell 1000(R) Index 9.01% 21.39% 12.13% 13.97% 8.47% 77.25% 269.78% 181.46% S&P 500(R) Consumer Discretionary Index 4.67% 16.73% 13.97% 17.59% 11.26% 92.26% 405.67% 289.17% Russell 1000(R) Consumer Discretionary Index(1) 5.69% 18.85% 13.49% 17.15% N/A 88.27% 387.08% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 76.66% Communication Services 16.79 Industrials 3.28 Consumer Staples 1.77 Information Technology 1.20 Health Care 0.30 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesla, Inc. 2.35% Lennar Corp., Class A 1.80 Toll Brothers, Inc. 1.69 Tempur Sealy International, Inc. 1.59 Lululemon Athletica, Inc. 1.56 Gap (The), Inc. 1.49 Foot Locker, Inc. 1.47 Mohawk Industries, Inc. 1.46 Best Buy Co., Inc. 1.46 Macy's, Inc. 1.42 ------- Total 16.29% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Consumer Discretionary Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JANUARY 31, 2020 First Trust Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Russell 1000(R) 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 1/31/20 37,128 39,922 40,774 58,380 55,870
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 JANUARY 31, 2020 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 January 31, 2020. 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 - 7/31/16 146 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 8/1/19 - 1/31/20 63 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 64 0 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 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.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 5.26% 7.99% 4.15% 12.10% 8.61% 22.57% 213.27% 186.11% Market Price 5.17% 7.92% 4.14% 12.09% 8.60% 22.47% 213.08% 185.91% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index 5.64% 8.78% 4.85% 12.93% 9.40% 26.70% 237.27% 214.02% Russell 1000(R) Index 9.01% 21.39% 12.13% 13.97% 8.47% 77.25% 269.78% 181.46% S&P 500(R) Consumer Staples Index 7.55% 21.75% 8.63% 12.29% 9.89% 51.25% 218.71% 232.33% Russell 1000(R) Consumer Staples Index(1) 7.90% 18.03% 7.28% 11.91% N/A 42.13% 208.09% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Staples 94.38% Health Care 3.66 Materials 1.96 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Campbell Soup Co. 4.90% Sysco Corp. 4.81 Ingredion, Inc. 4.74 Kroger (The) Co. 4.64 Tyson Foods, Inc., Class A 4.54 Walgreens Boots Alliance, Inc. 4.32 Lamb Weston Holdings, Inc. 4.25 Molson Coors Beverage Co., Class B 4.13 Pilgrim's Pride Corp. 3.99 J.M. Smucker (The) Co. 3.99 ------- Total 44.31% ======= ----------------------------- (1) On or about September 18, 2 008, 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. StrataQuant(R) and StrataQuant(R) Consumer Staples Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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 - JANUARY 31, 2020 First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Russell 1000(R) Consumer AlphaDEX(R) Fund Staples Index Index Staples Index Staples 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 1/31/20 33,898 36,610 40,774 34,669 33,427
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 55 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 72 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its net assets (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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV -17.61% -32.01% -13.87% -4.59% -5.29% -52.60% -37.47% -49.94% Market Price -17.53% -31.96% -13.88% -4.59% -5.29% -52.63% -37.47% -49.95% INDEX PERFORMANCE StrataQuant(R) Energy Index -17.24% -31.47% -13.41% -4.01% -4.70% -51.32% -33.57% -45.85% Russell 1000(R) Index 9.01% 21.39% 12.13% 13.97% 8.47% 77.25% 269.78% 181.46% S&P 500(R) Energy Index -10.51% -10.51% -3.18% 2.59% 0.87% -14.91% 29.08% 11.73% Russell 1000(R) Energy Index(1) -10.64% -11.76% -4.06% 1.95% N/A -18.70% 21.27% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Energy 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- ConocoPhillips 5.21% HollyFrontier Corp. 5.05 WPX Energy, Inc. 4.96 Concho Resources, Inc. 4.93 Marathon Oil Corp. 4.77 Devon Energy Corp. 4.77 Cimarex Energy Co. 4.77 Chevron Corp. 4.05 EOG Resources, Inc. 3.97 Phillips 66 3.74 ------- Total 46.22% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Energy Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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 - JANUARY 31, 2020 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 1/31/20 7,289 7,777 40,774 13,731 12,962
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 40 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 87 0 0 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its net assets (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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 3.23% 12.44% 10.00% 12.31% 5.81% 61.02% 219.33% 105.31% Market Price 3.23% 12.40% 9.99% 12.31% 5.81% 60.94% 219.33% 105.29% INDEX PERFORMANCE StrataQuant(R) Financials Index 3.60% 13.26% 10.74% 13.14% 6.66% 66.55% 243.63% 127.42% Russell 1000(R) Index 9.01% 21.39% 12.13% 13.97% 8.47% 77.25% 269.78% 181.46% S&P 500(R) Financials Index 7.16% 18.26% 12.18% 12.12% 1.97% 77.66% 213.96% 28.13% Russell 1000(R) Financial Services Index(1) 7.66% 22.07% 13.07% 13.02% N/A 84.79% 240.04% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 78.35% Real Estate 14.66 Information Technology 6.23 Industrials 0.59 Consumer Discretionary 0.17 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- SLM Corp. 1.12% Santander Consumer USA Holdings, Inc. 1.04 Fair Isaac Corp. 0.98 First American Financial Corp. 0.97 Ally Financial, Inc. 0.96 Janus Henderson Group PLC 0.95 Fiserv, Inc. 0.94 Evercore, Inc., Class A 0.94 Jefferies Financial Group, Inc. 0.93 Old Republic International Corp. 0.92 ------- Total 9.75% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Financials Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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 - JANUARY 31, 2020 First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) Financial AlphaDEX(R) Fund Financials Index Index Financials Index 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 34,994 1/31/20 37,939 40,974 40,774 34,512 37,675
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 85 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 42 0 0 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its net assets (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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 6.53% 10.70% 6.21% 14.50% 11.85% 35.14% 287.18% 316.21% Market Price 6.51% 10.67% 6.20% 14.49% 11.85% 35.06% 287.08% 316.11% INDEX PERFORMANCE StrataQuant(R) Health Care Index 6.89% 11.50% 6.91% 15.29% 12.66% 39.67% 314.85% 356.07% Russell 1000(R) Index 9.01% 21.39% 12.13% 13.97% 8.47% 77.25% 269.78% 181.46% S&P 500(R) Health Care Index 10.52% 12.11% 9.44% 14.38% 10.25% 56.97% 283.39% 246.65% Russell 1000(R) Health Care Index(1) 9.69% 12.37% 9.56% 14.86% N/A 57.86% 299.55% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Centene Corp. 3.74% DexCom, Inc. 2.51 Envista Holdings Corp. 2.28 Alnylam Pharmaceuticals, Inc. 2.27 Exelixis, Inc. 2.23 Jazz Pharmaceuticals PLC 2.19 Horizon Therapeutics PLC 2.17 Seattle Genetics, Inc. 2.16 Cigna Corp. 2.14 Neurocrine Biosciences, Inc. 2.12 ------- Total 23.81% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Health Care Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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 - JANUARY 31, 2020 First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) Health Russell 1000(R) AlphaDEX(R) Fund Health Care Index Index 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 41,358 1/31/20 47,135 50,667 40,774 43,469 45,366
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 76 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 51 0 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its net assets (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 sectors 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 4.22% 15.89% 9.33% 12.88% 7.22% 56.21% 235.75% 142.89% Market Price 4.24% 15.96% 9.32% 12.87% 7.22% 56.12% 235.68% 142.85% INDEX PERFORMANCE StrataQuant(R) Industrials Index 4.57% 16.69% 10.06% 13.68% 7.99% 61.47% 260.49% 166.19% Russell 1000(R) Index 9.01% 21.39% 12.13% 13.97% 8.47% 77.25% 269.78% 181.46% S&P 500(R) Industrials Index 5.40% 15.59% 10.19% 13.53% 7.97% 62.48% 255.68% 165.48% Russell 1000(R) Producer Durables Index(1) 5.17% 16.40% 10.92% 14.05% N/A 67.94% 272.37% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 87.27% Information Technology 11.58 Materials 1.15 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Paylocity Holding Corp. 2.24% JetBlue Airways Corp. 2.02 Knight-Swift Transportation Holdings, Inc. 1.98 Textron, Inc. 1.97 Southwest Airlines Co. 1.94 Raytheon Co. 1.92 Carlisle Cos., Inc. 1.84 Xerox Holdings Corp. 1.84 Delta Air Lines, Inc. 1.82 PACCAR, Inc. 1.79 ------- Total 19.36% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Industrials Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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 - JANUARY 31, 2020 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 1/31/20 39,937 43,060 40,774 41,344 43,098
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 69 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 58 0 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its net assets (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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV -2.82% 0.89% 5.69% 9.02% 6.38% 31.86% 137.15% 119.71% Market Price -2.79% 0.87% 5.67% 9.01% 6.37% 31.74% 136.89% 119.59% INDEX PERFORMANCE StrataQuant(R) Materials Index -2.43% 1.70% 6.44% 9.81% 7.17% 36.60% 154.99% 141.44% Russell 1000(R) Index 9.01% 21.39% 12.13% 13.97% 8.47% 77.25% 269.78% 181.46% S&P 500(R) Materials Index 0.06% 10.80% 6.11% 9.42% 5.34% 34.55% 145.93% 94.02% Russell 1000(R) Materials and Processing Index(1) 0.44% 10.96% 7.06% 10.29% N/A 40.66% 166.30% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Materials 81.61% Industrials 16.22 Utilities 2.17 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Newmont Corp. 3.76% Crown Holdings, Inc. 3.70 Reliance Steel & Aluminum Co. 3.48 Owens Corning 3.37 Scotts Miracle-Gro (The) Co. 3.35 Domtar Corp. 3.30 WestRock Co. 3.30 Albemarle Corp. 3.19 Steel Dynamics, Inc. 3.18 Nucor Corp. 3.06 ------- Total 33.69% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Materials Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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 - JANUARY 31, 2020 Russell 1000(R) First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) Materials and AlphaDEX(R) Fund Materials Index Index Materials Index 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 1/31/19 27,871 29,857 33,589 23,346 25,600 7/31/19 28,933 31,125 37,404 25,859 28,471 1/31/20 28,117 30,369 40,774 25,875 28,596
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 45 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 82 0 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its net assets (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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 6.03% 24.77% 17.68% 16.57% 11.09% 125.73% 363.11% 281.84% Market Price 5.98% 24.70% 17.68% 16.56% 11.09% 125.73% 362.98% 281.73% INDEX PERFORMANCE StrataQuant(R) Technology Index 6.45% 25.67% 18.31% 17.33% 11.89% 131.80% 394.55% 318.28% Russell 1000(R) Index 9.01% 21.39% 12.13% 13.97% 8.47% 77.25% 269.78% 181.46% S&P 500(R) Information Technology Index 18.95% 46.07% 22.09% 19.00% 13.83% 171.28% 469.38% 420.51% Russell 1000(R) Technology Index(1) 17.96% 40.60% 20.91% 18.12% N/A 158.40% 428.59% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 89.08% Communication Services 8.44 Industrials 2.48 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- RingCentral, Inc., Class A 2.00% Paycom Software, Inc. 1.97 Fortinet, Inc. 1.77 Ceridian HCM Holding, Inc. 1.77 Tyler Technologies, Inc. 1.77 EPAM Systems, Inc. 1.76 Intel Corp. 1.75 ANSYS, Inc. 1.75 DocuSign, Inc. 1.74 Splunk, Inc. 1.70 ------- Total 17.98% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Technology Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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 - JANUARY 31, 2020 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 1/31/20 52,777 56,546 40,774 61,858 57,513
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 83 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 44 0 0 0 Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its net assets (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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 4.52% 9.83% 6.58% 10.54% 6.34% 37.50% 172.27% 118.71% Market Price 4.56% 9.83% 6.58% 10.54% 6.34% 37.50% 172.45% 118.68% INDEX PERFORMANCE StrataQuant(R) Utilities Index 4.84% 10.37% 7.29% 11.40% 7.19% 42.17% 194.27% 142.15% Russell 1000(R) Index 9.01% 21.39% 12.13% 13.97% 8.47% 77.25% 269.78% 181.46% S&P 500(R) Utilities Index 17.82% 30.29% 11.20% 13.10% 7.99% 69.99% 242.40% 166.24% Russell 1000(R) Utilities Index(1) 14.40% 25.47% 10.10% 12.17% N/A 61.78% 215.39% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Utilities 74.86% Communication Services 25.14 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Exelon Corp. 5.77% GCI Liberty, Inc., Class A 5.71 Vistra Energy Corp. 5.41 Telephone & Data Systems, Inc. 4.93 National Fuel Gas Co. 4.80 AT&T, Inc. 4.74 Southern (The) Co. 4.19 Pinnacle West Capital Corp. 4.12 Duke Energy Corp. 4.06 Avangrid, Inc. 3.94 ------- Total 47.67% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Utilities Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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 - JANUARY 31, 2020 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 1/31/20 29,394 31,892 40,774 35,678 32,151
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 73 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 54 0 0 0 Page 21 -------------------------------------------------------------------------------- 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. 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 JANUARY 31, 2020 (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 January 31, 2020. 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 AUGUST 1, 2019 JANUARY 31, 2020 PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) Actual $1,000.00 $1,009.90 0.64% $3.23 Hypothetical (5% return before expenses) $1,000.00 $1,021.92 0.64% $3.25 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) Actual $1,000.00 $1,052.60 0.63% $3.25 Hypothetical (5% return before expenses) $1,000.00 $1,021.97 0.63% $3.20 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) Actual $1,000.00 $ 823.90 0.67% $3.07 Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.67% $3.40 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) Actual $1,000.00 $1,032.30 0.61% $3.12 Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.61% $3.10 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) Actual $1,000.00 $1,065.30 0.61% $3.17 Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.61% $3.10
Page 23 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2020 (UNAUDITED)
------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2019 JANUARY 31, 2020 PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) Actual $1,000.00 $1,042.20 0.63% $3.23 Hypothetical (5% return before expenses) $1,000.00 $1,021.97 0.63% $3.20 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) Actual $1,000.00 $ 971.80 0.66% $3.27 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.66% $3.35 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) Actual $1,000.00 $1,060.30 0.61% $3.16 Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.61% $3.10 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) Actual $1,000.00 $1,045.20 0.62% $3.19 Hypothetical (5% return before expenses) $1,000.00 $1,022.02 0.62% $3.15
(a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2019 through January 31, 2020), multiplied by 184/366 (to reflect the six-month period). Page 24 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AUTO COMPONENTS -- 5.3% 28,421 Aptiv PLC $ 2,409,817 103,681 BorgWarner, Inc. 3,555,221 93,118 Gentex Corp. 2,772,123 221,683 Goodyear Tire & Rubber (The) Co. 2,910,698 32,786 Lear Corp. 4,038,579 --------------- 15,686,438 --------------- AUTOMOBILES -- 5.7% 290,177 Ford Motor Co. 2,559,361 122,890 General Motors Co. 4,103,297 46,363 Harley-Davidson, Inc. 1,548,524 10,755 Tesla, Inc. (a) 6,996,881 23,213 Thor Industries, Inc. 1,869,111 --------------- 17,077,174 --------------- BUILDING PRODUCTS -- 1.2% 52,777 Fortune Brands Home & Security, Inc. 3,626,308 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 123,848 KAR Auction Services, Inc. 2,603,285 --------------- DISTRIBUTORS -- 2.2% 8,118 Genuine Parts Co. 759,601 125,983 LKQ Corp. (a) 4,117,755 8,121 Pool Corp. 1,780,935 --------------- 6,658,291 --------------- DIVERSIFIED CONSUMER SERVICES -- 2.3% 5,401 Graham Holdings Co., Class B 2,966,337 28,168 Grand Canyon Education, Inc. (a) 2,204,991 73,430 H&R Block, Inc. 1,703,576 --------------- 6,874,904 --------------- ENTERTAINMENT -- 3.9% 50,932 Cinemark Holdings, Inc. 1,604,867 37,755 Live Nation Entertainment, Inc. (a) 2,573,381 2,670 Netflix, Inc. (a) 921,390 33,593 Roku, Inc. (a) 4,063,074 11,531 Spotify Technology S.A. (a) 1,629,330 5,961 Walt Disney (The) Co. 824,466 --------------- 11,616,508 --------------- FOOD & STAPLES RETAILING -- 1.2% 9,182 Costco Wholesale Corp. 2,805,285 7,253 Walmart, Inc. 830,396 --------------- 3,635,681 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.3% 12,925 Henry Schein, Inc. (a) 891,049 --------------- HOTELS, RESTAURANTS & LEISURE -- 15.5% 19,863 Aramark 876,753 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 88,485 Carnival Corp. $ 3,851,752 2,060 Chipotle Mexican Grill, Inc. (a) 1,785,526 26,095 Choice Hotels International, Inc. 2,614,719 2,939 Domino's Pizza, Inc. 828,063 232,049 Extended Stay America, Inc. 2,998,073 50,134 Hilton Grand Vacations, Inc. (a) 1,599,776 31,090 Hilton Worldwide Holdings, Inc. 3,351,502 30,077 Hyatt Hotels Corp., Class A 2,542,709 115,169 International Game Technology PLC 1,553,630 24,977 Las Vegas Sands Corp. 1,631,248 11,387 Marriott International, Inc., Class A 1,594,863 135,187 MGM Resorts International 4,198,908 59,035 Norwegian Cruise Line Holdings Ltd. (a) 3,179,035 23,086 Planet Fitness, Inc., Class A (a) 1,865,118 25,826 Royal Caribbean Cruises Ltd. 3,023,708 19,113 Six Flags Entertainment Corp. 728,779 121,505 Wendy's (The) Co. 2,633,013 54,897 Wyndham Hotels & Resorts, Inc. 3,138,461 12,411 Wynn Resorts Ltd. 1,565,772 17,957 Yum China Holdings, Inc. 773,408 --------------- 46,334,816 --------------- HOUSEHOLD DURABLES -- 11.5% 65,372 D.R. Horton, Inc. 3,870,022 8,838 Garmin Ltd. 856,844 16,957 Leggett & Platt, Inc. 806,984 80,623 Lennar Corp., Class A 5,350,142 32,976 Mohawk Industries, Inc. (a) 4,342,280 456 NVR, Inc. (a) 1,740,538 88,870 PulteGroup, Inc. 3,968,045 51,664 Tempur Sealy International, Inc. (a) 4,733,456 113,838 Toll Brothers, Inc. 5,049,854 23,369 Whirlpool Corp. 3,415,847 --------------- 34,134,012 --------------- INTERACTIVE MEDIA & SERVICES -- 0.3% 28,378 TripAdvisor, Inc. 775,287 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.6% 471 Amazon.com, Inc. (a) 946,107 102,266 Qurate Retail, Inc., Series A (a) 872,329 --------------- 1,818,436 --------------- LEISURE PRODUCTS -- 2.0% 199,160 Mattel, Inc. (a) (b) 2,913,711 33,909 Polaris, Inc. 3,114,202 --------------- 6,027,913 --------------- MACHINERY -- 0.3% 6,367 WABCO Holdings, Inc. (a) 863,684 --------------- See Notes to Financial Statements Page 25 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 12.6% 31,533 Altice USA, Inc., Class A (a) $ 862,743 1,816 Cable One, Inc. 3,094,518 7,107 Charter Communications, Inc., Class A (a) 3,677,588 60,011 Comcast Corp., Class A 2,591,875 105,321 Discovery, Inc., Class A (a) 3,081,692 97,212 DISH Network Corp., Class A (a) 3,573,513 72,802 Fox Corp., Class A 2,699,498 37,324 Interpublic Group of Cos. (The), Inc. 847,255 55,619 John Wiley & Sons, Inc., Class A 2,426,101 26,793 New York Times (The) Co., Class A 857,644 60,967 News Corp., Class A 830,371 29,406 Nexstar Media Group, Inc., Class A 3,562,537 10,636 Omnicom Group, Inc. 800,997 80,942 Sinclair Broadcast Group, Inc., Class A 2,421,785 377,433 Sirius XM Holdings, Inc. 2,668,451 107,167 ViacomCBS, Inc., Class B 3,657,610 --------------- 37,654,178 --------------- MULTILINE RETAIL -- 5.1% 11,050 Dollar General Corp. 1,695,180 88,280 Kohl's Corp. 3,773,970 264,575 Macy's, Inc. 4,219,971 42,128 Nordstrom, Inc. 1,552,838 35,082 Target Corp. 3,884,981 --------------- 15,126,940 --------------- PERSONAL PRODUCTS -- 0.5% 8,347 Estee Lauder (The) Cos., Inc., Class A 1,629,001 --------------- ROAD & RAIL -- 0.9% 7,186 AMERCO 2,667,946 --------------- SOFTWARE -- 1.2% 13,273 Trade Desk (The), Inc., Class A (a) 3,572,826 --------------- SPECIALTY RETAIL -- 17.2% 5,386 Advance Auto Parts, Inc. 709,605 70,904 AutoNation, Inc. (a) 3,009,166 1,442 AutoZone, Inc. (a) 1,525,578 51,226 Best Buy Co., Inc. 4,338,330 15,127 Burlington Stores, Inc. (a) 3,289,669 9,830 CarMax, Inc. (a) 953,903 48,858 Carvana Co. (a) (b) 3,871,997 54,530 Dick's Sporting Goods, Inc. 2,411,862 6,745 Five Below, Inc. (a) 763,669 67,869 Floor & Decor Holdings, Inc., Class A (a) 3,346,620 115,357 Foot Locker, Inc. 4,380,105 254,396 Gap (The), Inc. 4,429,034 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 14,398 Lowe's Cos., Inc. $ 1,673,624 3,931 O'Reilly Automotive, Inc. (a) 1,596,379 68,666 Penske Automotive Group, Inc. 3,225,242 14,811 Ross Stores, Inc. 1,661,646 44,192 TJX (The) Cos., Inc. 2,609,096 161,966 Urban Outfitters, Inc. (a) 4,146,330 46,951 Williams-Sonoma, Inc. 3,290,326 --------------- 51,232,181 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 9.2% 70,740 Capri Holdings Ltd. (a) 2,119,370 24,683 Carter's, Inc. 2,618,126 8,602 Columbia Sportswear Co. 807,900 181,732 Hanesbrands, Inc. 2,500,632 19,411 Lululemon Athletica, Inc. (a) 4,646,799 17,021 NIKE, Inc., Class B 1,639,122 32,798 PVH Corp. 2,859,002 14,713 Ralph Lauren Corp. 1,669,926 104,141 Skechers U.S.A., Inc., Class A (a) 3,893,832 127,858 Tapestry, Inc. 3,294,901 17,304 VF Corp. 1,435,713 --------------- 27,485,323 --------------- TOTAL COMMON STOCKS -- 99.9% 297,992,181 (Cost $291,032,201) --------------- MONEY MARKET FUNDS -- 0.1% 30,377 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class 1.46% (c) (d) 30,377 346,247 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 346,247 --------------- TOTAL MONEY MARKET FUNDS -- 0.1% 376,624 (Cost $376,624) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 140,055 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $140,073. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $143,009. (d) 140,055 (Cost $140,055) --------------- Page 26 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) DESCRIPTION VALUE --------------------------------------------------------------- TOTAL INVESTMENTS -- 100.1% $ 298,508,860 (Cost $291,548,880) (e) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (351,960) --------------- NET ASSETS -- 100.0% $ 298,156,900 =============== (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 $166,688 and the total value of the collateral held by the Fund is $170,432. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax es. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $31,666,638 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $24,706,658. The net unrealized appreciation was $6,959,980. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 297,992,181 $ -- $ -- Money Market Funds 376,624 -- -- Repurchase Agreements -- 140,055 -- --------------------------------------------- Total Investments $ 298,368,805 $ 140,055 $ -- ============================================= * 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) $ 166,688 Non-cash Collateral(2) (166,688) --------------- 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 January 31, 2020, 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) $ 140,055 Non-cash Collateral(4) (140,055) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 27 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% BEVERAGES -- 12.0% 141,982 Brown-Forman Corp., Class B $ 9,603,662 96,698 Keurig Dr Pepper, Inc. 2,758,794 237,429 Molson Coors Beverage Co., Class B 13,196,304 44,050 Monster Beverage Corp. (a) 2,933,730 70,228 PepsiCo, Inc. 9,973,781 --------------- 38,466,271 --------------- CHEMICALS -- 2.0% 216,467 Corteva, Inc. 6,260,226 --------------- FOOD & STAPLES RETAILING -- 22.9% 60,368 Casey's General Stores, Inc. 9,710,797 551,804 Kroger (The) Co. 14,821,455 661,366 Sprouts Farmers Market, Inc. (a) 10,337,151 187,008 Sysco Corp. 15,360,837 229,126 US Foods Holding Corp. (a) 9,203,991 271,316 Walgreens Boots Alliance, Inc. 13,796,419 --------------- 73,230,650 --------------- FOOD PRODUCTS -- 47.8% 276,106 Archer-Daniels-Midland Co. 12,358,504 323,690 Campbell Soup Co. 15,663,359 186,877 Conagra Brands, Inc. 6,151,991 294,331 Flowers Foods, Inc. 6,336,946 179,204 General Mills, Inc. 9,358,033 19,047 Hershey (The) Co. 2,955,523 141,846 Hormel Foods Corp. 6,703,642 172,102 Ingredion, Inc. 15,144,976 122,900 J.M. Smucker (The) Co. 12,733,669 138,780 Kellogg Co. 9,466,184 148,756 Lamb Weston Holdings, Inc. 13,582,910 16,494 McCormick & Co., Inc. 2,694,625 174,258 Mondelez International, Inc., Class A 9,998,924 488,975 Pilgrim's Pride Corp. (a) 12,737,799 25,661 Post Holdings, Inc. (a) 2,683,371 175,713 Tyson Foods, Inc., Class A 14,519,165 --------------- 153,089,621 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.7% 172,262 CVS Health Corp. 11,682,809 --------------- HOUSEHOLD PRODUCTS -- 4.7% 18,233 Clorox (The) Co. 2,868,233 40,668 Colgate-Palmolive Co. 3,000,485 20,352 Kimberly-Clark Corp. 2,915,221 51,231 Procter & Gamble (The) Co. 6,384,407 --------------- 15,168,346 --------------- PERSONAL PRODUCTS -- 4.8% 134,229 Herbalife Nutrition Ltd. (a) 5,214,796 312,286 Nu Skin Enterprises, Inc., Class A 10,177,401 --------------- 15,392,197 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- TOBACCO -- 2.0% 75,200 Philip Morris International, Inc. $ 6,219,040 --------------- TOTAL COMMON STOCKS -- 99.9% 319,509,160 (Cost $317,018,306) --------------- MONEY MARKET FUNDS -- 0.1% 403,404 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (b) 403,404 (Cost $403,404) --------------- TOTAL INVESTMENTS -- 100.0% 319,912,564 (Cost $317,421,710) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 82,274 --------------- NET ASSETS -- 100.0% $ 319,994,838 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2020. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $18,377,743 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $15,886,889. The net unrealized appreciation was $2,490,854. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 319,509,160 $ -- $ -- Money Market Funds 403,404 -- -- --------------------------------------------- Total Investments $ 319,912,564 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 28 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% ENERGY EQUIPMENT & SERVICES -- 6.6% 25,771 Apergy Corp. (a) $ 666,438 33,970 Baker Hughes Co. 735,790 71,156 Halliburton Co. 1,551,912 19,160 Helmerich & Payne, Inc. 776,938 165,824 Patterson-UTI Energy, Inc. 1,316,643 --------------- 5,047,721 --------------- OIL, GAS & CONSUMABLE FUELS -- 93.3% 916,376 Antero Resources Corp. (a) 1,695,295 34,015 Apache Corp. 933,371 200,015 Cabot Oil & Gas Corp. 2,818,211 565,292 Centennial Resource Development, Inc., Class A (a) 1,842,852 4,217,821 Chesapeake Energy Corp. (a) 2,158,681 28,896 Chevron Corp. 3,095,917 82,930 Cimarex Energy Co. 3,639,798 49,710 Concho Resources, Inc. 3,767,024 66,934 ConocoPhillips 3,977,888 76,143 Continental Resources, Inc. 2,072,612 167,606 Devon Energy Corp. 3,640,402 37,497 Diamondback Energy, Inc. 2,789,777 41,578 EOG Resources, Inc. 3,031,452 159,739 EQT Corp. 966,421 37,431 Exxon Mobil Corp. 2,325,214 13,034 Hess Corp. 737,333 85,839 HollyFrontier Corp. 3,855,888 82,249 Kinder Morgan, Inc. 1,716,537 305,455 Kosmos Energy Ltd. 1,560,875 320,526 Marathon Oil Corp. 3,644,381 43,342 Marathon Petroleum Corp. 2,362,139 129,935 Murphy Oil Corp. 2,723,438 35,042 Noble Energy, Inc. 692,780 42,252 Occidental Petroleum Corp. 1,678,249 138,115 Parsley Energy, Inc., Class A 2,298,234 27,756 PBF Energy, Inc., Class A 757,739 31,252 Phillips 66 2,855,495 11,506 Pioneer Natural Resources Co. 1,553,310 27,890 Valero Energy Corp. 2,351,406 316,799 WPX Energy, Inc. (a) 3,785,748 --------------- 71,328,467 --------------- TOTAL COMMON STOCKS -- 99.9% 76,376,188 (Cost $114,328,265) --------------- MONEY MARKET FUNDS -- 0.2% 160,753 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (b) 160,753 (Cost $160,753) --------------- DESCRIPTION VALUE --------------------------------------------------------------- TOTAL INVESTMENTS -- 100.1% $ 76,536,941 (Cost $114,489,018) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (47,301) --------------- NET ASSETS -- 100.0% $ 76,489,640 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2020. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $62,985 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $38,015,062. The net unrealized depreciation was $37,952,077. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 76,376,188 $ -- $ -- Money Market Funds 160,753 -- -- --------------------------------------------- Total Investments $ 76,536,941 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 29 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% BANKS -- 24.9% 648,101 Associated Banc-Corp. $ 12,916,653 304,179 Bank of America Corp. 9,986,197 585,319 Bank OZK 15,908,970 293,027 BankUnited, Inc. 9,669,891 122,574 BOK Financial Corp. 9,671,089 391,304 CIT Group, Inc. 17,886,506 178,799 Citigroup, Inc. 13,304,434 351,743 Citizens Financial Group, Inc. 13,112,979 199,084 Comerica, Inc. 12,175,977 52,565 Commerce Bancshares, Inc. 3,556,548 73,041 Cullen/Frost Bankers, Inc. 6,512,336 293,309 East West Bancorp, Inc. 13,445,285 1,124,736 F.N.B. Corp. 13,125,669 464,676 Fifth Third Bancorp 13,220,032 20,130 First Citizens BancShares, Inc., Class A 10,604,887 247,561 First Hawaiian, Inc. 7,194,123 646,927 First Horizon National Corp. 10,350,832 152,021 First Republic Bank 16,856,088 947,225 Huntington Bancshares, Inc. 12,853,843 51,236 JPMorgan Chase & Co. 6,781,597 352,872 KeyCorp 6,602,235 63,114 M&T Bank Corp. 10,635,971 466,562 PacWest Bancorp 16,352,998 633,912 People's United Financial, Inc. 9,774,923 167,395 Pinnacle Financial Partners, Inc. 9,886,349 67,111 PNC Financial Services Group (The), Inc. 9,969,339 243,132 Popular, Inc. 13,605,667 99,348 Prosperity Bancshares, Inc. 6,974,230 832,409 Regions Financial Corp. 12,960,608 104,564 Signature Bank 14,836,586 677,616 Sterling Bancorp 13,552,320 71,126 SVB Financial Group (a) 17,093,712 364,392 Synovus Financial Corp. 12,761,008 251,613 Texas Capital Bancshares, Inc. (a) 13,828,650 190,218 Truist Financial Corp. 9,809,542 120,459 U.S. Bancorp 6,410,828 807,017 Umpqua Holdings Corp. 13,638,587 133,848 Webster Financial Corp. 6,004,421 265,508 Wells Fargo & Co. 12,462,945 313,248 Western Alliance Bancorp 17,300,687 151,100 Wintrust Financial Corp. 9,561,608 275,117 Zions Bancorp N.A. 12,515,072 --------------- 485,672,222 --------------- CAPITAL MARKETS -- 16.3% 85,752 Ameriprise Financial, Inc. 14,184,238 283,810 Bank of New York Mellon (The) Corp. 12,709,012 7,103 BlackRock, Inc. 3,745,767 29,759 Cboe Global Markets, Inc. 3,666,904 225,257 Charles Schwab (The) Corp. 10,260,456 236,126 E*TRADE Financial Corp. 10,063,690 229,452 Eaton Vance Corp. 10,497,429 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 238,833 Evercore, Inc., Class A $ 18,299,384 13,312 FactSet Research Systems, Inc. 3,808,696 687,267 Franklin Resources, Inc. 17,387,855 62,121 Goldman Sachs Group (The), Inc. 14,769,268 794,446 Invesco Ltd. 13,743,916 730,277 Janus Henderson Group PLC 18,454,100 178,731 Lazard Ltd., Class A 7,499,553 193,550 LPL Financial Holdings, Inc. 17,831,762 47,096 MarketAxess Holdings, Inc. 16,680,461 45,126 Moody's Corp. 11,587,906 279,425 Morgan Stanley 14,602,751 23,601 Morningstar, Inc. 3,702,761 41,496 MSCI, Inc. 11,859,557 67,225 Northern Trust Corp. 6,575,277 119,754 Raymond James Financial, Inc. 10,949,108 39,236 S&P Global, Inc. 11,524,790 163,611 SEI Investments Co. 10,677,254 135,441 State Street Corp. 10,243,403 117,237 T. Rowe Price Group, Inc. 15,654,657 215,557 TD Ameritrade Holding Corp. 10,234,646 446,657 Virtu Financial, Inc., Class A 7,454,705 --------------- 318,669,306 --------------- CONSUMER FINANCE -- 8.1% 584,267 Ally Financial, Inc. 18,714,072 57,374 American Express Co. 7,451,161 173,502 Capital One Financial Corp. 17,315,500 32,295 Credit Acceptance Corp. (a) 13,853,909 126,303 Discover Financial Services 9,489,144 1,044,163 Navient Corp. 15,015,064 423,612 OneMain Holdings, Inc. 17,948,440 764,022 Santander Consumer USA Holdings, Inc. (b) 20,338,266 2,003,953 SLM Corp. 21,883,167 495,841 Synchrony Financial 16,070,207 --------------- 158,078,930 --------------- DIVERSIFIED FINANCIAL SERVICES -- 2.9% 47,299 Berkshire Hathaway, Inc., Class B (a) 10,615,315 432,332 Equitable Holdings, Inc. 10,384,615 835,529 Jefferies Financial Group, Inc. 18,080,847 292,802 Voya Financial, Inc. 17,489,063 --------------- 56,569,840 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 12.7% 136,248 American Homes 4 Rent, Class A 3,723,658 15,539 American Tower Corp. 3,601,008 101,856 Americold Realty Trust 3,510,976 439,510 Apple Hospitality REIT, Inc. 6,601,440 17,032 AvalonBay Communities, Inc. 3,690,664 453,468 Brandywine Realty Trust 7,083,170 165,248 Brixmor Property Group, Inc. 3,298,350 243,097 Corporate Office Properties Trust 7,236,998 Page 30 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 25,123 Crown Castle International Corp. $ 3,764,430 103,001 Duke Realty Corp. 3,739,966 50,551 EPR Properties 3,607,825 12,238 Equinix, Inc. 7,217,116 543,868 Equity Commonwealth 17,833,432 101,464 Equity LifeStyle Properties, Inc. 7,381,506 207,198 Healthpeak Properties, Inc. 7,457,056 962,543 Host Hotels & Resorts, Inc. 15,727,953 112,048 Iron Mountain, Inc. 3,541,837 172,430 Kimco Realty Corp. 3,284,792 80,012 Lamar Advertising Co., Class A 7,425,914 98,937 Life Storage, Inc. 11,197,690 169,163 Medical Properties Trust, Inc. 3,746,960 84,324 Omega Healthcare Investors, Inc. 3,537,392 266,298 Outfront Media, Inc. 7,919,703 276,079 Park Hotels & Resorts, Inc. 6,057,173 16,770 Public Storage 3,752,455 14,816 SBA Communications Corp. 3,697,481 146,775 Service Properties Trust 3,167,405 1,273,551 SITE Centers Corp. 16,186,833 145,222 Spirit Realty Capital, Inc. 7,664,817 95,893 STORE Capital Corp. 3,763,800 47,583 Sun Communities, Inc. 7,716,535 114,862 Taubman Centers, Inc. 3,034,654 419,303 VICI Properties, Inc. 11,237,320 268,499 Vornado Realty Trust 17,659,179 457,237 Weingarten Realty Investors 13,305,597 43,666 Welltower, Inc. 3,707,680 --------------- 247,080,765 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.2% 69,088 Wyndham Destinations, Inc. 3,352,841 --------------- INSURANCE -- 23.3% 202,518 Aflac, Inc. 10,443,853 13,401 Alleghany Corp. (a) 10,689,442 95,267 Allstate (The) Corp. 11,292,950 65,135 American Financial Group, Inc. 7,086,037 347,852 American International Group, Inc. 17,483,042 17,147 Aon PLC 3,776,627 333,039 Arch Capital Group Ltd. (a) 14,707,002 75,000 Arthur J. Gallagher & Co. 7,692,750 291,397 Assured Guaranty Ltd. 13,357,638 379,655 Athene Holding Ltd., Class A (a) 16,537,772 60,076 Axis Capital Holdings Ltd. 3,859,883 455,141 Brighthouse Financial, Inc. (a) 17,704,985 361,807 Brown & Brown, Inc. 16,245,134 45,881 Chubb Ltd. 6,973,453 67,926 Cincinnati Financial Corp. 7,128,834 21,514 Erie Indemnity Co., Class A 3,582,081 25,798 Everest Re Group Ltd. 7,134,953 314,978 Fidelity National Financial, Inc. 15,355,177 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE (CONTINUED) 306,158 First American Financial Corp. $ 18,975,673 67,860 Globe Life, Inc. 7,075,084 52,259 Hanover Insurance Group (The), Inc. 7,242,052 235,051 Hartford Financial Services Group (The), Inc. 13,933,823 230,388 Kemper Corp. 17,145,475 121,034 Lincoln National Corp. 6,593,932 68,030 Loews Corp. 3,500,144 3,121 Markel Corp. (a) 3,660,839 96,161 Marsh & McLennan Cos., Inc. 10,756,569 293,128 Mercury General Corp. 14,389,654 350,309 MetLife, Inc. 17,413,860 798,175 Old Republic International Corp. 17,998,846 54,705 Primerica, Inc. 6,485,825 194,782 Principal Financial Group, Inc. 10,313,707 147,993 Progressive (The) Corp. 11,941,555 152,380 Prudential Financial, Inc. 13,875,723 65,697 Reinsurance Group of America, Inc. 9,463,653 72,868 RenaissanceRe Holdings Ltd. 13,804,114 104,303 Travelers (The) Cos., Inc. 13,728,361 612,317 Unum Group 16,342,741 103,361 W.R. Berkley Corp. 7,600,134 16,003 White Mountains Insurance Group Ltd. 17,878,872 17,683 Willis Towers Watson PLC 3,736,241 --------------- 454,908,490 --------------- IT SERVICES -- 5.2% 95,481 Alliance Data Systems Corp. 9,814,492 45,331 Euronet Worldwide, Inc. (a) 7,145,979 51,352 Fidelity National Information Services, Inc. 7,377,228 154,414 Fiserv, Inc. (a) 18,315,045 12,414 FleetCor Technologies, Inc. (a) 3,913,265 58,680 Global Payments, Inc. 11,469,006 24,513 Jack Henry & Associates, Inc. 3,665,674 35,881 Mastercard, Inc., Class A 11,336,243 38,011 Visa, Inc., Class A 7,563,049 533,389 Western Union (The) Co. 14,348,164 34,097 WEX, Inc. (a) 7,396,321 --------------- 102,344,466 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.3% 173,688 Chimera Investment Corp. 3,682,186 1,867,215 MFA Financial, Inc. 14,564,277 221,668 New Residential Investment Corp. 3,710,722 143,649 Starwood Property Trust, Inc. 3,686,033 --------------- 25,643,218 --------------- PROFESSIONAL SERVICES -- 0.6% 125,137 TransUnion 11,475,063 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.0% 291,325 CBRE Group, Inc., Class A (a) 17,785,391 See Notes to Financial Statements Page 31 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT (CONTINUED) 28,161 Howard Hughes (The) Corp. (a) $ 3,426,631 102,561 Jones Lang LaSalle, Inc. 17,416,909 --------------- 38,628,931 --------------- SOFTWARE -- 1.0% 47,656 Fair Isaac Corp. (a) 19,175,821 --------------- THRIFTS & MORTGAGE FINANCE -- 1.4% 11,768 LendingTree, Inc. (a) 3,662,201 1,260,073 MGIC Investment Corp. 17,376,407 594,185 New York Community Bancorp, Inc. 6,571,686 --------------- 27,610,294 --------------- TOTAL COMMON STOCKS -- 99.9% 1,949,210,187 (Cost $1,855,935,925) --------------- MONEY MARKET FUNDS -- 0.2% 2,919,473 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) 2,919,473 1,142,721 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 1,142,721 --------------- TOTAL MONEY MARKET FUNDS -- 0.2% 4,062,194 (Cost $4,062,194) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.7% $ 13,460,527 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $13,462,277. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $13,744,387. (d) 13,460,527 (Cost $13,460,527) --------------- TOTAL INVESTMENTS -- 100.8% 1,966,732,908 (Cost $1,873,458,646) (e) NET OTHER ASSETS AND LIABILITIES -- (0.8)% (16,245,263) --------------- NET ASSETS -- 100.0% $ 1,950,487,645 =============== (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 $15,972,000 and the total value of the collateral held by the Fund is $16,380,000. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $141,711,133 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $48,436,871. The net unrealized appreciation was $93,274,262. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $1,949,210,187 $ -- $ -- Money Market Funds 4,062,194 -- -- Repurchase Agreements -- 13,460,527 -- --------------------------------------------- Total Investments $1,953,272,381 $ 13,460,527 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 32 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) --------------------------------- 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) $ 15,972,000 Non-cash Collateral(2) (15,972,000) --------------- 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 January 31, 2020, 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) $ 13,460,527 Non-cash Collateral(4) (13,460,527) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 33 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% BIOTECHNOLOGY -- 21.1% 113,932 AbbVie, Inc. $ 9,230,771 99,026 Agios Pharmaceuticals, Inc. (a) 4,825,537 233,184 Alexion Pharmaceuticals, Inc. (a) 23,176,158 218,971 Alnylam Pharmaceuticals, Inc. (a) 25,135,681 58,843 Amgen, Inc. 12,713,030 84,989 Biogen, Inc. (a) 22,849,293 51,130 Exact Sciences Corp. (a) 4,769,406 1,431,260 Exelixis, Inc. (a) 24,617,672 72,768 Gilead Sciences, Inc. 4,598,938 162,455 Incyte Corp. (a) 11,870,587 241,745 Moderna, Inc. (a) 4,958,190 234,616 Neurocrine Biosciences, Inc. (a) 23,480,369 37,780 Regeneron Pharmaceuticals, Inc. (a) 12,767,373 36,643 Sarepta Therapeutics, Inc. (a) 4,249,122 220,713 Seattle Genetics, Inc. (a) 23,923,082 92,144 Vertex Pharmaceuticals, Inc. (a) 20,921,295 --------------- 234,086,504 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 25.4% 50,836 Align Technology, Inc. (a) 13,069,936 120,636 Baxter International, Inc. 10,763,144 17,386 Becton, Dickinson and Co. 4,784,279 104,568 Boston Scientific Corp. (a) 4,378,262 14,717 Cooper (The) Cos., Inc. 5,105,180 65,726 Danaher Corp. 10,573,342 115,292 DexCom, Inc. (a) 27,756,549 86,480 Edwards Lifesciences Corp. (a) 19,013,493 850,837 Envista Holdings Corp. (a) 25,176,267 88,853 Hill-Rom Holdings, Inc. 9,461,956 90,567 Hologic, Inc. (a) 4,847,146 25,270 ICU Medical, Inc. (a) 4,611,017 117,845 Insulet Corp. (a) 22,866,644 17,064 Intuitive Surgical, Inc. (a) 9,552,086 63,821 Masimo Corp. (a) 10,887,863 41,678 Medtronic PLC 4,811,308 86,355 Penumbra, Inc. (a) 15,151,848 130,186 ResMed, Inc. 20,695,668 66,182 STERIS PLC 9,972,965 22,524 Stryker Corp. 4,745,807 37,683 Teleflex, Inc. 13,999,611 99,891 Varian Medical Systems, Inc. (a) 14,041,678 94,363 West Pharmaceutical Services, Inc. 14,715,910 --------------- 280,981,959 --------------- HEALTH CARE PROVIDERS & SERVICES -- 27.2% 118,648 AmerisourceBergen Corp. 10,151,523 6,799 Anthem, Inc. 17,720,439 658,192 Centene Corp. (a) 41,341,040 45,930 Chemed Corp. 21,451,147 123,326 Cigna Corp. 23,725,456 134,446 DaVita, Inc. (a) 10,738,202 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 204,787 Encompass Health Corp. $ 15,774,743 181,542 Guardant Health, Inc. (a) 13,804,454 136,494 HCA Healthcare, Inc. 18,945,367 68,805 Humana, Inc. 23,134,993 83,854 Laboratory Corp. of America Holdings (a) 14,707,992 72,929 McKesson Corp. 10,400,405 148,685 Molina Healthcare, Inc. (a) 18,283,794 124,829 Premier, Inc., Class A (a) 4,340,304 132,836 Quest Diagnostics, Inc. 14,700,960 85,785 UnitedHealth Group, Inc. 23,372,123 140,631 Universal Health Services, Inc., Class B 19,281,916 --------------- 301,874,858 --------------- HEALTH CARE TECHNOLOGY -- 0.4% 64,431 Cerner Corp. 4,628,079 --------------- LIFE SCIENCES TOOLS & SERVICES -- 10.3% 118,246 Agilent Technologies, Inc. 9,762,390 27,261 Bio-Rad Laboratories, Inc., Class A (a) 9,839,040 64,624 Bio-Techne Corp. 13,569,101 395,822 Bruker Corp. 19,581,314 132,070 Charles River Laboratories International, Inc. (a) 20,415,381 30,604 IQVIA Holdings, Inc. (a) 4,751,271 103,887 PerkinElmer, Inc. 9,607,470 127,626 PRA Health Sciences, Inc. (a) 12,929,790 43,665 Thermo Fisher Scientific, Inc. 13,675,441 --------------- 114,131,198 --------------- PHARMACEUTICALS -- 15.4% 314,302 Bristol-Myers Squibb Co. 19,785,311 76,753 Eli Lilly & Co. 10,717,789 696,654 Horizon Therapeutics PLC (a) 24,027,597 168,937 Jazz Pharmaceuticals PLC (a) 24,217,119 32,416 Johnson & Johnson 4,825,770 110,912 Merck & Co., Inc. 9,476,321 1,003,735 Mylan N.V. (a) 21,500,004 390,536 Perrigo Co. PLC 22,276,173 514,933 Pfizer, Inc. 19,176,105 107,182 Zoetis, Inc. 14,384,896 --------------- 170,387,085 --------------- TOTAL COMMON STOCKS -- 99.8% 1,106,089,683 (Cost $1,025,570,117) --------------- Page 34 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.2% 2,357,806 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (b) $ 2,357,806 (Cost $2,357,806) --------------- TOTAL INVESTMENTS -- 100.0% 1,108,447,489 (Cost $1,027,927,923) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (408,519) --------------- NET ASSETS -- 100.0% $ 1,108,038,970 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2020. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $110,971,310 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $30,451,744. The net unrealized appreciation was $80,519,566. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $1,106,089,683 $ -- $ -- Money Market Funds 2,357,806 -- -- --------------------------------------------- Total Investments $1,108,447,489 $ -- $ -- ============================================= * 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 JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 12.5% 57,839 BWX Technologies, Inc. $ 3,677,982 16,989 Curtiss-Wright Corp. 2,470,710 13,573 General Dynamics Corp. 2,381,247 19,084 Huntington Ingalls Industries, Inc. 4,980,924 6,147 Lockheed Martin Corp. 2,631,654 3,297 Northrop Grumman Corp. 1,234,957 27,235 Raytheon Co. 6,017,301 49,265 Spirit AeroSystems Holdings, Inc., Class A 3,217,990 134,177 Textron, Inc. 6,162,750 8,548 TransDigm Group, Inc. 5,498,757 7,571 United Technologies Corp. 1,137,164 --------------- 39,411,436 --------------- AIR FREIGHT & LOGISTICS -- 3.1% 30,610 C.H. Robinson Worldwide, Inc. 2,210,654 14,532 Expeditors International of Washington, Inc. 1,061,417 7,500 FedEx Corp. 1,084,800 60,068 XPO Logistics, Inc. (a) 5,341,247 --------------- 9,698,118 --------------- AIRLINES -- 9.2% 70,664 Alaska Air Group, Inc. 4,564,188 10,492 Copa Holdings S.A., Class A 1,027,796 102,329 Delta Air Lines, Inc. 5,703,819 319,674 JetBlue Airways Corp. (a) 6,339,135 110,862 Southwest Airlines Co. 6,095,193 67,934 United Airlines Holdings, Inc. (a) 5,081,463 --------------- 28,811,594 --------------- BUILDING PRODUCTS -- 3.2% 50,247 A.O. Smith Corp. 2,145,045 28,829 Allegion PLC 3,728,166 27,851 Johnson Controls International PLC 1,098,722 300,968 Resideo Technologies, Inc. (a) 3,063,854 --------------- 10,035,787 --------------- COMMERCIAL SERVICES & SUPPLIES -- 3.1% 301,855 ADT, Inc. (b) 1,871,501 4,216 Cintas Corp. 1,176,137 52,644 Copart, Inc. (a) 5,341,260 12,652 Republic Services, Inc. 1,202,573 --------------- 9,591,471 --------------- CONSTRUCTION & ENGINEERING -- 1.5% 117,599 Quanta Services, Inc. 4,604,001 --------------- CONTAINERS & PACKAGING -- 1.1% 27,446 Avery Dennison Corp. 3,602,013 --------------- ELECTRICAL EQUIPMENT -- 9.0% 23,999 AMETEK, Inc. 2,331,503 37,908 Eaton Corp. PLC 3,581,169 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRICAL EQUIPMENT (CONTINUED) 31,389 Emerson Electric Co. $ 2,248,394 32,388 Hubbell, Inc. 4,638,933 140,365 nVent Electric PLC 3,495,089 69,901 Regal Beloit Corp. 5,484,432 17,716 Rockwell Automation, Inc. 3,395,449 66,653 Sensata Technologies Holding PLC (a) 3,150,687 --------------- 28,325,656 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.5% 21,777 FLIR Systems, Inc. 1,122,387 34,984 Keysight Technologies, Inc. (a) 3,253,162 5,929 Littelfuse, Inc. 1,048,899 23,427 Zebra Technologies Corp., Class A (a) 5,599,522 --------------- 11,023,970 --------------- INDUSTRIAL CONGLOMERATES -- 2.5% 6,427 3M Co. 1,019,708 36,975 Carlisle Cos., Inc. 5,776,604 6,405 Honeywell International, Inc. 1,109,474 --------------- 7,905,786 --------------- IT SERVICES -- 4.0% 17,053 Accenture PLC, Class A 3,499,446 50,479 Booz Allen Hamilton Holding Corp. 3,939,381 113,526 Genpact Ltd. 5,025,796 --------------- 12,464,623 --------------- MACHINERY -- 20.7% 46,480 AGCO Corp. 3,260,107 24,313 Caterpillar, Inc. 3,193,513 41,566 Crane Co. 3,552,230 33,439 Cummins, Inc. 5,349,237 6,543 Deere & Co. 1,037,589 41,542 Donaldson Co., Inc. 2,153,953 41,537 Dover Corp. 4,728,987 13,327 Illinois Tool Works, Inc. 2,331,958 32,388 ITT, Inc. 2,172,587 11,722 Lincoln Electric Holdings, Inc. 1,045,368 6,962 Nordson Corp. 1,175,603 63,226 Oshkosh Corp. 5,439,965 75,655 PACCAR, Inc. 5,614,358 11,631 Parker-Hannifin Corp. 2,276,070 24,719 Pentair PLC 1,061,187 28,260 Snap-on, Inc. 4,511,144 60,092 Toro (The) Co. 4,808,562 216,137 Trinity Industries, Inc. 4,394,065 30,768 Westinghouse Air Brake Technologies Corp. 2,272,525 40,419 Woodward, Inc. 4,701,134 --------------- 65,080,142 --------------- MARINE -- 0.3% 12,663 Kirby Corp. (a) 928,071 --------------- Page 36 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 2.5% 1,896 CoStar Group, Inc. (a) $ 1,238,069 49,303 ManpowerGroup, Inc. 4,510,731 37,905 Robert Half International, Inc. 2,204,934 --------------- 7,953,734 --------------- ROAD & RAIL -- 10.3% 33,082 CSX Corp. 2,525,480 30,746 J.B. Hunt Transport Services, Inc. 3,318,416 7,402 Kansas City Southern 1,248,643 166,971 Knight-Swift Transportation Holdings, Inc. 6,191,285 21,392 Landstar System, Inc. 2,369,164 12,331 Norfolk Southern Corp. 2,567,437 25,228 Old Dominion Freight Line, Inc. 4,950,490 88,151 Ryder System, Inc. 4,206,566 219,406 Schneider National, Inc., Class B 4,886,172 --------------- 32,263,653 --------------- SOFTWARE -- 2.2% 49,532 Paylocity Holding Corp. (a) 7,028,096 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.8% 162,308 Xerox Holdings Corp. 5,773,296 --------------- TRADING COMPANIES & DISTRIBUTORS -- 8.4% 125,930 Air Lease Corp. 5,407,434 89,274 HD Supply Holdings, Inc. (a) 3,637,023 65,246 MSC Industrial Direct Co., Inc., Class A 4,441,295 35,883 United Rentals, Inc. (a) 4,868,964 10,607 W.W. Grainger, Inc. 3,210,421 100,761 WESCO International, Inc. (a) 4,877,840 --------------- 26,442,977 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.8% 55,875 Macquarie Infrastructure Corp. 2,464,646 --------------- TOTAL COMMON STOCKS -- 99.7% 313,409,070 (Cost $306,259,800) --------------- MONEY MARKET FUNDS -- 0.3% 314,734 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) 314,734 609,115 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 609,115 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 923,849 (Cost $923,849) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 1,451,115 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $1,451,303. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $1,481,716. (d) $ 1,451,115 (Cost $1,451,115) --------------- TOTAL INVESTMENTS -- 100.5% 315,784,034 (Cost $308,634,764) (e) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (1,599,315) --------------- NET ASSETS -- 100.0% $ 314,184,719 =============== (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 $1,684,348 and the total value of the collateral held by the Fund is $1,765,849. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $21,856,738 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $14,707,468. The net unrealized appreciation was $7,149,270. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 313,409,070 $ -- $ -- Money Market Funds 923,849 -- -- Repurchase Agreements -- 1,451,115 -- --------------------------------------------- Total Investments $ 314,332,919 $ 1,451,115 $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 37 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) --------------------------------- 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) $ 1,684,348 Non-cash Collateral(2) (1,684,348) --------------- 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 January 31, 2020, 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) $ 1,451,115 Non-cash Collateral(4) (1,451,115) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, 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 JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.5% 19,701 Hexcel Corp. $ 1,462,208 --------------- BUILDING PRODUCTS -- 3.4% 55,450 Owens Corning 3,354,171 --------------- CHEMICALS -- 38.9% 3,073 Air Products and Chemicals, Inc. 733,556 39,553 Albemarle Corp. 3,175,315 9,435 Ashland Global Holdings, Inc. 698,001 60,789 Cabot Corp. 2,422,442 11,733 Celanese Corp. 1,214,366 30,257 CF Industries Holdings, Inc. 1,218,752 159,691 Chemours (The) Co. 2,214,914 26,390 Dow, Inc. 1,215,787 36,447 Eastman Chemical Co. 2,597,578 61,832 Element Solutions, Inc. (a) 723,434 7,235 FMC Corp. 691,594 59,786 Huntsman Corp. 1,229,200 6,781 Linde PLC 1,377,425 38,218 LyondellBasell Industries N.V., Class A 2,975,653 100,120 Mosaic (The) Co. 1,986,381 1,487 NewMarket Corp. 653,715 167,467 Olin Corp. 2,490,234 10,823 PPG Industries, Inc. 1,297,028 28,224 RPM International, Inc. 2,014,347 27,206 Scotts Miracle-Gro (The) Co. 3,339,264 3,711 Sherwin-Williams (The) Co. 2,066,990 41,177 Westlake Chemical Corp. 2,520,032 --------------- 38,856,008 --------------- CONSTRUCTION & ENGINEERING -- 0.7% 4,824 Valmont Industries, Inc. 685,297 --------------- CONSTRUCTION MATERIALS -- 2.8% 7,750 Martin Marietta Materials, Inc. 2,044,450 5,015 Vulcan Materials Co. 710,274 --------------- 2,754,724 --------------- CONTAINERS & PACKAGING -- 18.9% 6,244 AptarGroup, Inc. 721,245 30,416 Berry Global Group, Inc. (a) 1,293,288 49,778 Crown Holdings, Inc. (a) 3,685,065 130,123 Graphic Packaging Holding Co. 2,033,823 47,050 International Paper Co. 1,915,876 25,793 Packaging Corp. of America 2,469,680 46,471 Silgan Holdings, Inc. 1,434,095 35,103 Sonoco Products Co. 2,005,785 84,155 WestRock Co. 3,282,045 --------------- 18,840,902 --------------- ELECTRICAL EQUIPMENT -- 4.5% 20,931 Acuity Brands, Inc. 2,467,137 186,452 GrafTech International Ltd. 2,000,630 --------------- 4,467,767 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MACHINERY -- 4.1% 10,868 Ingersoll-Rand PLC $ 1,447,944 51,302 Timken (The) Co. 2,694,894 --------------- 4,142,838 --------------- METALS & MINING -- 17.6% 55,047 Freeport-McMoRan, Inc. 611,022 83,106 Newmont Corp. 3,744,756 64,162 Nucor Corp. 3,047,054 30,154 Reliance Steel & Aluminum Co. 3,461,679 16,999 Southern Copper Corp. 640,522 106,083 Steel Dynamics, Inc. 3,169,760 316,473 United States Steel Corp. (b) 2,870,410 --------------- 17,545,203 --------------- MULTI-UTILITIES -- 2.2% 72,927 MDU Resources Group, Inc. 2,159,369 --------------- PAPER & FOREST PRODUCTS -- 3.3% 94,428 Domtar Corp. 3,287,983 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.0% 58,635 Fastenal Co. 2,045,189 --------------- TOTAL COMMON STOCKS -- 99.9% 99,601,659 (Cost $115,211,837) --------------- MONEY MARKET FUNDS -- 0.7% 496,371 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) 496,371 207,942 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 207,942 --------------- TOTAL MONEY MARKET FUNDS -- 0.7% 704,313 (Cost $704,313) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.3% $ 2,288,571 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $2,288,868. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $2,336,832. (d) 2,288,571 (Cost $2,288,571) --------------- TOTAL INVESTMENTS -- 102.9% 102,594,543 (Cost $118,204,721) (e) NET OTHER ASSETS AND LIABILITIES -- (2.9)% (2,847,334) --------------- NET ASSETS -- 100.0% $ 99,747,209 =============== See Notes to Financial Statements Page 39 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) (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 $2,630,400 and the total value of the collateral held by the Fund is $2,784,942. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,689,568 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $19,299,746. The net unrealized depreciation was $15,610,178. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 99,601,659 $ -- $ -- Money Market Funds 704,313 -- -- Repurchase Agreements -- 2,288,571 -- --------------------------------------------- Total Investments $ 100,305,972 $ 2,288,571 $ -- ============================================= * 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) $ 2,630,400 Non-cash Collateral(2) (2,630,400) --------------- 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 January 31, 2020, 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) $ 2,288,571 Non-cash Collateral(4) (2,288,571) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 40 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.1% 120,505 L3Harris Technologies, Inc. $ 26,671,372 --------------- COMMUNICATIONS EQUIPMENT -- 4.7% 372,369 Ciena Corp. (a) 15,144,247 174,780 EchoStar Corp., Class A (a) 6,974,596 170,745 F5 Networks, Inc. (a) 20,851,379 968,114 Juniper Networks, Inc. 22,208,535 46,977 Motorola Solutions, Inc. 8,314,929 210,292 Ubiquiti, Inc. 34,365,919 103,418 ViaSat, Inc. (a) 6,582,556 --------------- 114,442,161 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 9.6% 220,314 Amphenol Corp., Class A 21,914,633 561,845 Avnet, Inc. 20,501,724 278,223 CDW Corp. 36,294,190 283,662 Cognex Corp. 14,458,252 1,092,162 Corning, Inc. 29,149,804 346,580 Dolby Laboratories, Inc., Class A 24,031,857 109,692 IPG Photonics Corp. (a) 14,004,378 961,555 Jabil, Inc. 37,394,874 246,839 SYNNEX Corp. 34,004,541 --------------- 231,754,253 --------------- ENTERTAINMENT -- 3.2% 267,528 Activision Blizzard, Inc. 15,645,037 295,721 Electronic Arts, Inc. (a) 31,914,210 61,828 Take-Two Interactive Software, Inc. (a) 7,706,242 3,896,189 Zynga, Inc., Class A (a) 23,455,058 --------------- 78,720,547 --------------- INTERACTIVE MEDIA & SERVICES -- 5.2% 17,834 Alphabet, Inc., Class C (a) 25,578,058 154,897 Facebook, Inc., Class A (a) 31,275,253 127,627 IAC/InterActiveCorp (a) 31,088,661 483,999 Match Group, Inc. (a) (b) 37,858,402 --------------- 125,800,374 --------------- IT SERVICES -- 10.6% 184,029 Akamai Technologies, Inc. (a) 17,179,107 330,305 Amdocs Ltd. 23,765,445 117,396 Black Knight, Inc. (a) 7,856,140 63,589 CACI International, Inc., Class A (a) 17,006,242 512,622 Cognizant Technology Solutions Corp., Class A 31,464,738 422,889 DXC Technology Co. 13,481,701 187,316 EPAM Systems, Inc. (a) 42,734,272 49,123 Gartner, Inc. (a) 7,897,996 118,594 International Business Machines Corp. 17,045,516 SHARES DESCRIPTION VALUE --------------------------------------------------------------- IT SERVICES (CONTINUED) 162,391 Leidos Holdings, Inc. $ 16,315,424 120,784 MongoDB, Inc. (a) 19,797,706 206,680 Okta, Inc. (a) 26,465,374 708,398 Sabre Corp. 15,258,893 --------------- 256,268,554 --------------- PROFESSIONAL SERVICES -- 1.4% 421,936 IHS Markit Ltd. (a) 33,273,873 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 22.6% 693,261 Advanced Micro Devices, Inc. (a) 32,583,267 63,698 Analog Devices, Inc. 6,990,856 520,854 Applied Materials, Inc. 30,204,323 50,303 Broadcom, Inc. 15,350,464 1,022,061 Cypress Semiconductor Corp. 23,844,683 634,714 Entegris, Inc. 32,852,797 664,011 Intel Corp. 42,450,223 223,051 KLA Corp. 36,968,473 108,730 Lam Research Corp. 32,424,373 258,435 Maxim Integrated Products, Inc. 15,537,112 379,499 Microchip Technology, Inc. 36,993,563 738,959 Micron Technology, Inc. (a) 39,231,333 68,811 MKS Instruments, Inc. 7,212,769 178,591 Monolithic Power Systems, Inc. 30,569,421 101,336 NVIDIA Corp. 23,958,871 978,041 ON Semiconductor Corp. (a) 22,641,649 65,126 Qorvo, Inc. (a) 6,894,238 180,170 QUALCOMM, Inc. 15,370,303 263,014 Skyworks Solutions, Inc. 29,760,034 582,800 Teradyne, Inc. 38,458,972 154,281 Universal Display Corp. 27,179,684 --------------- 547,477,408 --------------- SOFTWARE -- 35.2% 96,397 Adobe, Inc. (a) 33,848,843 75,643 Alteryx, Inc., Class A (a) 10,549,929 455,052 Anaplan, Inc. (a) 26,206,445 154,388 ANSYS, Inc. (a) 42,353,260 62,596 Aspen Technology, Inc. (a) 7,447,672 173,294 Autodesk, Inc. (a) 34,112,924 325,525 Avalara, Inc. (a) 27,715,199 109,138 Cadence Design Systems, Inc. (a) 7,869,941 138,436 CDK Global, Inc. 7,431,244 585,462 Ceridian HCM Holding, Inc. (a) 42,908,510 68,259 Citrix Systems, Inc. 8,274,356 217,389 Coupa Software, Inc. (a) 35,032,237 536,246 DocuSign, Inc. (a) 42,100,673 961,672 FireEye, Inc. (a) 15,367,519 372,247 Fortinet, Inc. (a) 42,942,414 47,759 HubSpot, Inc. (a) 8,641,513 28,899 Intuit, Inc. 8,102,702 185,402 LogMeIn, Inc. 15,939,010 199,328 Manhattan Associates, Inc. (a) 17,034,571 201,605 Microsoft Corp. 34,319,219 424,551 Nuance Communications, Inc. (a) 8,032,505 See Notes to Financial Statements Page 41 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 242,154 Nutanix, Inc., Class A (a) $ 7,862,740 103,113 Palo Alto Networks, Inc. (a) 24,208,870 150,104 Paycom Software, Inc. (a) 47,757,089 299,366 Pegasystems, Inc. 25,808,343 65,950 Proofpoint, Inc. (a) 8,099,320 235,615 RingCentral, Inc., Class A (a) 48,437,732 97,740 salesforce.com, Inc. (a) 17,818,979 84,459 ServiceNow, Inc. (a) 28,566,568 530,826 Smartsheet, Inc., Class A (a) 25,734,444 265,347 Splunk, Inc. (a) 41,197,775 517,800 SS&C Technologies Holdings, Inc. 32,626,578 114,199 Synopsys, Inc. (a) 16,845,494 132,460 Tyler Technologies, Inc. (a) 42,874,653 98,782 Zendesk, Inc. (a) 8,534,765 --------------- 852,604,036 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 6.4% 108,268 Apple, Inc. 33,510,028 147,301 Dell Technologies, Inc., Class C (a) 7,183,870 2,505,745 Hewlett Packard Enterprise Co. 34,905,028 1,160,324 HP, Inc. 24,738,108 1,130,294 NCR Corp. (a) 38,113,514 929,074 Pure Storage, Inc., Class A (a) 16,537,517 --------------- 154,988,065 --------------- TOTAL COMMON STOCKS -- 100.0% 2,422,000,643 (Cost $2,096,445,579) --------------- MONEY MARKET FUNDS -- 0.4% 6,420,738 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) 6,420,738 1,795,107 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 1,795,107 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 8,215,845 (Cost $8,215,845) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.2% $ 29,603,467 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $29,607,315. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $30,227,753. (d) $ 29,603,467 (Cost $29,603,467) --------------- TOTAL INVESTMENTS -- 101.6% 2,459,819,955 (Cost $2,134,264,891) (e) NET OTHER ASSETS AND LIABILITIES -- (1.6)% (37,771,213) --------------- NET ASSETS -- 100.0% $ 2,422,048,742 =============== (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 $34,072,554 and the total value of the collateral held by the Fund is $36,024,205. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $356,073,685 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $30,518,621. The net unrealized appreciation was $325,555,064. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $2,422,000,643 $ -- $ -- Money Market Funds 8,215,845 -- -- Repurchase Agreements -- 29,603,467 -- --------------------------------------------- Total Investments $2,430,216,488 $ 29,603,467 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) --------------------------------- 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) $ 34,072,554 Non-cash Collateral(2) (34,072,554) --------------- 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 January 31, 2020, 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) $ 29,603,467 Non-cash Collateral(4) (29,603,467) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 43 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.0% DIVERSIFIED TELECOMMUNICATION SERVICES -- 13.1% 1,558,867 AT&T, Inc. $ 58,644,577 964,024 GCI Liberty, Inc., Class A (a) 70,547,276 572,092 Verizon Communications, Inc. 34,005,148 --------------- 163,197,001 --------------- ELECTRIC UTILITIES -- 42.8% 213,974 Alliant Energy Corp. 12,701,497 247,777 American Electric Power Co., Inc. 25,823,319 915,463 Avangrid, Inc. 48,757,559 513,492 Duke Energy Corp. 50,132,224 195,472 Entergy Corp. 25,708,477 539,663 Evergy, Inc. 38,942,082 137,638 Eversource Energy 12,723,257 1,498,159 Exelon Corp. 71,297,387 240,919 FirstEnergy Corp. 12,236,276 249,871 Hawaiian Electric Industries, Inc. 12,221,191 109,627 IDACORP, Inc. 12,299,053 789,891 OGE Energy Corp. 36,216,502 520,795 Pinnacle West Capital Corp. 50,876,464 1,305,330 PPL Corp. 47,239,893 735,246 Southern (The) Co. 51,761,318 368,838 Xcel Energy, Inc. 25,519,901 --------------- 534,456,400 --------------- GAS UTILITIES -- 7.6% 209,347 Atmos Energy Corp. 24,499,879 1,374,592 National Fuel Gas Co. 59,368,629 259,271 UGI Corp. 10,783,081 --------------- 94,651,589 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 5.3% 2,970,910 Vistra Energy Corp. 66,904,893 --------------- MULTI-UTILITIES -- 18.4% 304,915 Ameren Corp. 25,018,276 1,288,101 CenterPoint Energy, Inc. 34,108,914 388,265 Consolidated Edison, Inc. 36,496,910 180,311 DTE Energy Co. 23,911,042 1,261,725 NiSource, Inc. 36,981,160 594,859 Public Service Enterprise Group, Inc. 35,215,653 154,594 Sempra Energy 24,833,980 126,952 WEC Energy Group, Inc. 12,681,235 --------------- 229,247,170 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 11.8% 8,989,473 Sprint Corp. (a) (b) 39,283,997 2,685,858 Telephone & Data Systems, Inc. 60,915,259 597,234 T-Mobile US, Inc. (a) 47,294,961 --------------- 147,494,217 --------------- TOTAL COMMON STOCKS -- 99.0% 1,235,951,270 (Cost $1,193,576,704) --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 1.6% 1,396,069 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) $ 1,396,069 19,002,068 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 19,002,068 --------------- TOTAL MONEY MARKET FUNDS -- 1.6% 20,398,137 (Cost $20,398,137) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 6,436,721 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $6,437,557. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $6,572,460. (d) 6,436,721 (Cost $6,436,721) --------------- TOTAL INVESTMENTS -- 101.1% 1,262,786,128 (Cost $1,220,411,562) (e) NET OTHER ASSETS AND LIABILITIES -- (1.1)% (14,355,555) --------------- NET ASSETS -- 100.0% $ 1,248,430,573 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $7,311,010 and the total value of the collateral held by the Fund is $7,832,790. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $97,877,291 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $55,502,725. The net unrealized appreciation was $42,374,566. Page 44 See Notes to Financial Statements FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $1,235,951,270 $ -- $ -- Money Market Funds 20,398,137 -- -- Repurchase Agreements -- 6,436,721 -- --------------------------------------------- Total Investments $1,256,349,407 $ 6,436,721 $ -- ============================================= * 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) $ 7,311,010 Non-cash Collateral(2) (7,311,010) --------------- 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 January 31, 2020, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 6,436,721 Non-cash Collateral(4) (6,436,721) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 45 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF ASSETS AND LIABILITIES JANUARY 31, 2020 (UNAUDITED)
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.............................................. $ 298,508,860 $ 319,912,564 $ 76,536,941 Receivables: Investment securities sold................................... -- -- 882,948 Dividends.................................................... 120,786 381,157 55,957 Securities lending income.................................... 157 -- 302 Prepaid expenses................................................... 2,484 2,682 1,139 -------------- -------------- -------------- Total Assets................................................. 298,632,287 320,296,403 77,477,287 -------------- -------------- -------------- LIABILITIES: Payables: Investment securities purchased.............................. -- -- -- Capital shares redeemed...................................... -- -- 884,100 Collateral for securities on loan............................ 170,432 -- -- Investment advisory fees..................................... 137,325 141,965 38,022 Licensing fees............................................... 47,447 46,331 13,133 Shareholder reporting fees................................... 21,618 18,743 12,342 Audit and tax fees........................................... 14,449 14,449 14,449 Trustees' fees............................................... 637 626 612 Other liabilities.................................................. 83,479 79,451 24,989 -------------- -------------- -------------- Total Liabilities............................................ 475,387 301,565 987,647 -------------- -------------- -------------- NET ASSETS......................................................... $ 298,156,900 $ 319,994,838 $ 76,489,640 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital.................................................... $ 687,863,962 $ 562,729,130 $ 531,230,381 Par value.......................................................... 68,500 67,000 86,500 Accumulated distributable earnings (loss).......................... (389,775,562) (242,801,292) (454,827,241) -------------- -------------- -------------- NET ASSETS......................................................... $ 298,156,900 $ 319,994,838 $ 76,489,640 ============== ============== ============== NET ASSET VALUE, per share......................................... $ 43.53 $ 47.76 $ 8.84 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).......................... 6,850,002 6,700,002 8,650,002 ============== ============== ============== Investments, at cost............................................... $ 291,548,880 $ 317,421,710 $ 114,489,018 ============== ============== ============== Securities on loan, at value....................................... $ 166,688 $ -- $ -- ============== ============== ==============
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) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $1,966,732,908 $1,108,447,489 $ 315,784,034 $ 102,594,543 $2,459,819,955 $1,262,786,128 -- -- -- -- -- -- 1,666,700 527,560 471,608 65,754 52,643 1,645,223 -- 12,240 1,524 629 101,144 120 12,572 8,000 3,706 1,018 16,233 8,597 -------------- -------------- -------------- -------------- -------------- -------------- 1,968,412,180 1,108,995,289 316,260,872 102,661,944 2,459,989,975 1,264,440,068 -------------- -------------- -------------- -------------- -------------- -------------- -- -- -- -- -- 7,142,250 -- -- -- -- -- -- 16,380,000 -- 1,765,849 2,784,942 36,024,205 7,832,790 842,628 491,240 142,360 48,526 1,056,897 529,122 257,749 151,364 50,540 18,552 313,466 171,478 44,640 51,760 18,784 13,051 77,641 49,987 14,449 14,449 14,449 14,449 14,449 14,449 826 696 638 619 782 691 384,243 246,810 83,533 34,596 453,793 268,728 -------------- -------------- -------------- -------------- -------------- -------------- 17,924,535 956,319 2,076,153 2,914,735 37,941,233 16,009,495 -------------- -------------- -------------- -------------- -------------- -------------- $1,950,487,645 $1,108,038,970 $ 314,184,719 $ 99,747,209 $2,422,048,742 $1,248,430,573 ============== ============== ============== ============== ============== ============== $1,943,374,375 $1,671,567,131 $ 472,898,664 $ 240,984,950 $2,314,140,040 $1,312,439,744 591,500 134,000 71,500 27,000 330,050 420,000 6,521,770 (563,662,161) (158,785,445) (141,264,741) 107,578,652 (64,429,171) -------------- -------------- -------------- -------------- -------------- -------------- $1,950,487,645 $1,108,038,970 $ 314,184,719 $ 99,747,209 $2,422,048,742 $1,248,430,573 ============== ============== ============== ============== ============== ============== $ 32.98 $ 82.69 $ 43.94 $ 36.94 $ 73.38 $ 29.72 ============== ============== ============== ============== ============== ============== 59,150,002 13,400,002 7,150,002 2,700,002 33,005,000 42,000,002 ============== ============== ============== ============== ============== ============== $1,873,458,646 $1,027,927,923 $ 308,634,764 $ 118,204,721 $2,134,264,891 $1,220,411,562 ============== ============== ============== ============== ============== ============== $ 15,972,000 $ -- $ 1,684,348 $ 2,630,400 $ 34,072,554 $ 7,311,010 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 47 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED)
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.......................................................... $ 2,868,239 $ 4,277,785 $ 1,207,300 Securities lending income (net of fees)............................ 8,555 -- 27,056 Foreign withholding tax............................................ -- -- -- -------------- -------------- -------------- Total investment income...................................... 2,876,794 4,277,785 1,234,356 -------------- -------------- -------------- EXPENSES: Investment advisory fees........................................... 873,656 871,860 238,593 Accounting and administration fees................................. 88,182 87,824 24,511 Licensing fees..................................................... 69,892 69,749 19,087 Shareholder reporting fees......................................... 26,509 20,080 9,558 Custodian fees..................................................... 19,645 17,011 5,380 Audit and tax fees................................................. 12,038 12,038 12,038 Transfer agent fees................................................ 8,737 8,719 2,386 Listing fees....................................................... 4,793 4,793 4,793 Trustees' fees and expenses........................................ 3,713 3,708 3,603 Legal fees......................................................... 2,778 3,657 (2,009) Registration and filing fees....................................... 50 50 50 Other expenses..................................................... 3,583 3,065 1,431 -------------- -------------- -------------- Total expenses............................................... 1,113,576 1,102,554 319,421 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)....................................... 1,763,218 3,175,231 914,935 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments.................................................. (6,068,614) (9,169,412) (15,154,304) In-kind redemptions.......................................... 18,572,538 17,216,258 (2,813,863) -------------- -------------- -------------- Net realized gain (loss)........................................... 12,503,924 8,046,846 (17,968,167) -------------- -------------- -------------- Net change in unrealized appreciation (depreciation) on investments..................................................... (10,079,755) 6,876,631 (2,760,237) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................ 2,424,169 14,923,477 (20,728,404) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $ 4,187,387 $ 18,098,708 $ (19,813,469) ============== ============== ==============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXO) (FXH) (FXR) (FXZ) (FXL) (FXU) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 24,266,899 $ 3,649,158 $ 3,646,081 $ 1,687,679 $ 8,495,509 $ 18,530,797 35 24,861 15,880 10,548 367,020 120 (12,551) -- -- -- (22,153) -- -------------- -------------- -------------- -------------- -------------- -------------- 24,254,383 3,674,019 3,661,961 1,698,227 8,840,376 18,530,917 -------------- -------------- -------------- -------------- -------------- -------------- 4,157,423 2,780,628 855,782 340,285 5,770,149 3,227,747 383,289 273,445 86,333 34,721 512,565 309,131 332,594 222,450 68,463 27,223 461,612 258,220 47,041 33,022 20,880 15,435 95,761 75,430 82,271 38,255 19,674 7,262 91,008 54,588 12,038 12,038 12,038 12,038 12,038 12,038 33,216 26,471 8,558 3,403 41,419 28,707 6,049 6,049 4,793 4,793 6,050 4,793 4,269 3,834 3,707 3,639 4,361 4,159 9,964 9,076 (5,773) 226 27,114 20,441 50 50 50 50 50 50 11,133 11,711 774 1,292 17,504 9,909 -------------- -------------- -------------- -------------- -------------- -------------- 5,079,337 3,417,029 1,075,279 450,367 7,039,631 4,005,213 -------------- -------------- -------------- -------------- -------------- -------------- 19,175,046 256,990 2,586,682 1,247,860 1,800,745 14,525,704 -------------- -------------- -------------- -------------- -------------- -------------- (11,855,595) (22,010,262) 2,169,658 (5,789,956) (56,260,575) (19,570,868) 42,155,935 25,588,487 11,483,994 4,436,490 149,049,521 36,955,308 -------------- -------------- -------------- -------------- -------------- -------------- 30,300,340 3,578,225 13,653,652 (1,353,466) 92,788,946 17,384,440 -------------- -------------- -------------- -------------- -------------- -------------- 13,531,929 60,166,154 (3,197,392) (3,769,100) 33,926,544 24,485,711 -------------- -------------- -------------- -------------- -------------- -------------- 43,832,269 63,744,379 10,456,260 (5,122,566) 126,715,490 41,870,151 -------------- -------------- -------------- -------------- -------------- -------------- $ 63,007,315 $ 64,001,369 $ 13,042,942 $ (3,874,706) $ 128,516,235 $ 56,395,855 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49 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) ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended 1/31/2020 Year Ended 1/31/2020 Year Ended (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)................................ $ 1,763,218 $ 3,231,559 $ 3,175,231 $ 5,043,876 Net realized gain (loss).................................... 12,503,924 3,394,989 8,046,846 (16,244,507) Net change in unrealized appreciation (depreciation)........ (10,079,755) (4,579,483) 6,876,631 12,583,208 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 4,187,387 2,047,065 18,098,708 1,382,577 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (2,475,756) (2,816,656) (3,168,591) (8,074,707) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 33,358,566 118,936,453 93,234,029 124,804,864 Cost of shares redeemed..................................... (121,029,844) (143,392,949) (117,961,487) (157,963,843) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ (87,671,278) (24,456,496) (24,727,458) (33,158,979) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... (85,959,647) (25,226,087) (9,797,341) (39,851,109) NET ASSETS: Beginning of period......................................... 384,116,547 409,342,634 329,792,179 369,643,288 -------------- -------------- -------------- -------------- End of period............................................... $ 298,156,900 $ 384,116,547 $ 319,994,838 $ 329,792,179 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 8,850,002 9,650,002 7,200,002 7,950,002 Shares sold................................................. 800,000 2,800,000 1,950,000 2,700,000 Shares redeemed............................................. (2,800,000) (3,600,000) (2,450,000) (3,450,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 6,850,002 8,850,002 6,700,002 7,200,002 ============== ============== ============== ==============
Page 50 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) ---------------------------------- ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended Six Months Ended 1/31/2020 Year Ended 1/31/2020 Year Ended 1/31/2020 Year Ended (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 914,935 $ 3,078,942 $ 19,175,046 $ 21,435,515 $ 256,990 $ (1,754,398) (17,968,167) (69,838,515) 30,300,340 19,615,164 3,578,225 63,840,386 (2,760,237) (64,441,284) 13,531,929 (26,430,170) 60,166,154 (151,566,044) -------------- -------------- -------------- -------------- -------------- -------------- (19,813,469) (131,200,857) 63,007,315 14,620,509 64,001,369 (89,480,056) -------------- -------------- -------------- -------------- -------------- -------------- (1,416,016) (2,654,300) (23,673,531) (20,256,006) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 11,294,905 156,076,566 1,168,606,992 74,828,025 77,857,853 1,723,952,631 (35,949,285) (337,620,739) (245,805,783) (333,749,514) (217,560,224) (1,514,477,381) -------------- -------------- -------------- -------------- -------------- -------------- (24,654,380) (181,544,173) 922,801,209 (258,921,489) (139,702,371) 209,475,250 -------------- -------------- -------------- -------------- -------------- -------------- (45,883,865) (315,399,330) 962,134,993 (264,556,986) (75,701,002) 119,995,194 122,373,505 437,772,835 988,352,652 1,252,909,638 1,183,739,972 1,063,744,778 -------------- -------------- -------------- -------------- -------------- -------------- $ 76,489,640 $ 122,373,505 $1,950,487,645 $ 988,352,652 $1,108,038,970 $1,183,739,972 ============== ============== ============== ============== ============== ============== 11,250,002 25,600,002 30,550,002 39,100,002 15,250,002 13,850,002 1,100,000 10,400,000 36,300,000 2,450,000 950,000 22,250,000 (3,700,000) (24,750,000) (7,700,000) (11,000,000) (2,800,000) (20,850,000) -------------- -------------- -------------- -------------- -------------- -------------- 8,650,002 11,250,002 59,150,002 30,550,002 13,400,002 15,250,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 51 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) ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended 1/31/2020 Year Ended 1/31/2020 Year Ended (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)................................ $ 2,586,682 $ 5,164,553 $ 1,247,860 $ 2,267,112 Net realized gain (loss).................................... 13,653,652 21,656,111 (1,353,466) (9,024,903) Net change in unrealized appreciation (depreciation)........ (3,197,392) (132,608,865) (3,769,100) (29,969,693) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting............. from operations.......................................... 13,042,942 (105,788,201) (3,874,706) (36,727,484) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (2,603,751) (4,745,501) (1,649,716) (2,117,421) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 42,734,021 706,888,586 29,812,108 64,963,487 Cost of shares redeemed..................................... (117,161,093) (1,797,275,535) (91,909,674) (172,775,616) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ (74,427,072) (1,090,386,949) (62,097,566) (107,812,129) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... (63,987,881) (1,200,920,651) (67,621,988) (146,657,034) NET ASSETS: Beginning of period......................................... 378,172,600 1,579,093,251 167,369,197 314,026,231 -------------- -------------- -------------- -------------- End of period............................................... $ 314,184,719 $ 378,172,600 $ 99,747,209 $ 167,369,197 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 8,900,002 38,250,002 4,350,002 7,250,002 Shares sold................................................. 1,000,000 17,350,000 800,000 1,650,000 Shares redeemed............................................. (2,750,000) (46,700,000) (2,450,000) (4,550,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 7,150,002 8,900,002 2,700,002 4,350,002 ============== ============== ============== ==============
Page 52 See Notes to Financial Statements
FIRST TRUST FIRST TRUST TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXL) (FXU) ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended 1/31/2020 Year Ended 1/31/2020 Year Ended (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 ---------------- ---------------- ---------------- ---------------- $ 1,800,745 $ 10,428,716 $ 14,525,704 $ 13,712,237 92,788,946 243,984,837 17,384,440 26,261,291 33,926,544 157,909,622 24,485,711 25,589,904 -------------- -------------- -------------- -------------- 128,516,235 412,323,175 56,395,855 65,563,432 -------------- -------------- -------------- -------------- (3,703,979) (9,561,020) (19,650,601) (10,275,866) -------------- -------------- -------------- -------------- 562,464,981 1,756,769,650 237,961,360 1,503,287,322 (660,575,449) (1,760,385,574) (375,817,467) (517,573,676) -------------- -------------- -------------- -------------- (98,110,468) (3,615,924) (137,856,107) 985,713,646 -------------- -------------- -------------- -------------- 26,701,788 399,146,231 (101,110,853) 1,041,001,212 2,395,346,954 1,996,200,723 1,349,541,426 308,540,214 -------------- -------------- -------------- -------------- $2,422,048,742 $2,395,346,954 $1,248,430,573 $1,349,541,426 ============== ============== ============== ============== 34,555,000 35,305,000 46,750,002 11,700,002 7,750,000 27,100,000 8,200,000 53,150,000 (9,300,000) (27,850,000) (12,950,000) (18,100,000) -------------- -------------- -------------- -------------- 33,005,000 34,555,000 42,000,002 46,750,002 ============== ============== ============== ==============
See Notes to Financial Statements Page 53 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)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 -------------------------------------------------------------- (UNAUDITED) 2019 2018 2017 2016 2015 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 43.40 $ 42.42 $ 37.53 $ 36.06 $ 37.29 $ 32.24 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.23 0.37 0.43 0.34 0.53 0.30 Net realized and unrealized gain (loss) 0.21 0.93 4.88 1.48 (1.43) 5.03 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.44 1.30 5.31 1.82 (0.90) 5.33 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.31) (0.32) (0.42) (0.35) (0.33) (0.28) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 43.53 $ 43.40 $ 42.42 $ 37.53 $ 36.06 $ 37.29 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.99% 3.13% 14.17% 5.10% (2.34)% 16.54% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 298,157 $ 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% (b) 0.64% 0.64% 0.63% 0.61% 0.63% Ratio of net expenses to average net assets 0.64% (b) 0.64% 0.64% 0.63% 0.61% 0.63% Ratio of net investment income (loss) to average net assets 1.01% (b) 0.90% 1.03% 0.79% 1.39% 0.91% Portfolio turnover rate (c) 40% 97% 101% 93% 103% 131%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 -------------------------------------------------------------- (UNAUDITED) 2019 2018 2017 2016 2015 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 45.80 $ 46.50 $ 46.84 $ 49.06 $ 45.69 $ 37.71 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.47 0.70 1.00 0.56 0.76 0.72 Net realized and unrealized gain (loss) 1.95 (0.32) (0.74) (2.20) 3.38 7.95 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.42 0.38 0.26 (1.64) 4.14 8.67 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.46) (1.08) (0.60) (0.58) (0.77) (0.69) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 47.76 $ 45.80 $ 46.50 $ 46.84 $ 49.06 $ 45.69 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 5.26% 0.83% 0.53% (3.31)% 9.19% 23.09% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 319,995 $ 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 0.63% (b) 0.64% 0.64% 0.62% 0.61% 0.62% Ratio of net expenses to average net assets 0.63% (b) 0.64% 0.64% 0.62% 0.61% 0.62% Ratio of net investment income (loss) to average net assets 1.82% (b) 1.51% 2.09% 0.94% 1.60% 1.75% Portfolio turnover rate (c) 51% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 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 ENERGY ALPHADEX(R) FUND (FXN)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 -------------------------------------------------------------- (UNAUDITED) 2019 2018 2017 2016 2015 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 10.88 $ 17.10 $ 13.66 $ 14.54 $ 16.93 $ 28.07 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.10 0.16 0.12 0.14 0.22 0.40 Net realized and unrealized gain (loss) (2.00) (6.25) 3.47 (0.85) (2.37) (11.14) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.90) (6.09) 3.59 (0.71) (2.15) (10.74) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.14) (0.13) (0.15) (0.17) (0.24) (0.40) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 8.84 $ 10.88 $ 17.10 $ 13.66 $ 14.54 $ 16.93 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (17.61)% (35.77)% 26.45% (4.99)% (12.67)% (38.59)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 76,490 $ 122,374 $ 437,773 $ 249,296 $1,458,077 $ 346,292 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.67% (b) 0.65% 0.63% 0.63% 0.62% 0.64% Ratio of net expenses to average net assets 0.67% (b) 0.65% 0.63% 0.63% 0.62% 0.64% Ratio of net investment income (loss) to average net assets 1.92% (b) 1.17% 0.68% 1.03% 1.40% 1.68% Portfolio turnover rate (c) 37% 99% 108% 55% 112% 97%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 -------------------------------------------------------------- (UNAUDITED) 2019 2018 2017 2016 2015 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 32.35 $ 32.04 $ 29.39 $ 24.09 $ 24.43 $ 21.64 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.25 0.65 0.62 0.44 0.39 0.30 Net realized and unrealized gain (loss) 0.80 0.25 2.61 5.30 (0.36) 2.79 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.05 0.90 3.23 5.74 0.03 3.09 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.42) (0.59) (0.58) (0.44) (0.37) (0.30) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 32.98 $ 32.35 $ 32.04 $ 29.39 $ 24.09 $ 24.43 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.23% 3.03% 11.06% 24.00% 0.22% 14.39% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,950,488 $ 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 0.61% (b) 0.63% 0.63% 0.63% 0.64% 0.64% Ratio of net expenses to average net assets 0.61% (b) 0.63% 0.63% 0.63% 0.64% 0.64% Ratio of net investment income (loss) to average net assets 2.31% (b) 2.06% 1.99% 1.72% 1.72% 1.59% Portfolio turnover rate (c) 42% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. 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 HEALTH CARE ALPHADEX(R) FUND (FXH)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------- (UNAUDITED) 2019 2018 2017 2016 2015 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 77.62 $ 76.80 $ 66.92 $ 61.55 $ 69.63 $ 53.13 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.01 (0.11) (0.02) (0.03) 0.00 (a)(b) (0.05) Net realized and unrealized gain (loss) 5.06 0.93 9.90 5.40 (8.08) 16.55 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.07 0.82 9.88 5.37 (8.08) 16.50 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 82.69 $ 77.62 $ 76.80 $ 66.92 $ 61.55 $ 69.63 ========== ========== ========== ========== ========== ========== TOTAL RETURN (c) 6.53% 1.07% 14.76% 8.72% (11.60)% 31.06% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,108,039 $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 0.61% (d) 0.62% 0.63% 0.62% 0.61% 0.62% Ratio of net expenses to average net assets 0.61% (d) 0.62% 0.63% 0.62% 0.61% 0.62% Ratio of net investment income (loss) to average net assets 0.05% (d) (0.11)% (0.03)% (0.05)% 0.01% (0.10)% Portfolio turnover rate (e) 53% 123% 107% 112% 118% 125%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 -------------------------------------------------------------- (UNAUDITED) 2019 2018 2017 2016 2015 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 42.49 $ 41.28 $ 35.36 $ 28.94 $ 29.46 $ 29.27 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.35 0.30 0.28 0.17 0.24 0.13 Net realized and unrealized gain (loss) 1.43 1.17 5.92 6.42 (0.51) 0.26 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.78 1.47 6.20 6.59 (0.27) 0.39 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.33) (0.26) (0.28) (0.17) (0.25) (0.20) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 43.94 $ 42.49 $ 41.28 $ 35.36 $ 28.94 $ 29.46 ========== ========== ========== ========== ========== ========== TOTAL RETURN (c) 4.22% 3.67% 17.57% 22.81% (0.82)% 1.30% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 314,185 $ 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% (d) 0.63% 0.62% 0.63% 0.66% 0.63% Ratio of net expenses to average net assets 0.63% (d) 0.63% 0.62% 0.63% 0.66% 0.63% Ratio of net investment income (loss) to average net assets 1.51% (d) 0.71% 0.70% 0.53% 0.93% 0.55% Portfolio turnover rate (e) 38% 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) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 56 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 -------------------------------------------------------------- (UNAUDITED) 2019 2018 2017 2016 2015 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 38.48 $ 43.31 $ 38.63 $ 34.32 $ 30.68 $ 32.55 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.38 0.50 0.40 0.48 0.41 0.47 Net realized and unrealized gain (loss) (1.45) (4.88) 4.69 4.30 3.65 (1.88) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.07) (4.38) 5.09 4.78 4.06 (1.41) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.47) (0.45) (0.41) (0.47) (0.42) (0.46) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 36.94 $ 38.48 $ 43.31 $ 38.63 $ 34.32 $ 30.68 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (2.82)% (10.08)% 13.20% 14.01% 13.48% (4.36)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 99,747 $ 167,369 $ 314,026 $ 260,726 $ 250,558 $ 156,470 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.66% (b) 0.65% 0.64% 0.65% 0.66% 0.64% Ratio of net expenses to average net assets 0.66% (b) 0.65% 0.64% 0.65% 0.66% 0.64% Ratio of net investment income (loss) to average net assets 1.83% (b) 1.27% 0.92% 1.40% 1.26% 1.25% Portfolio turnover rate (c) 38% 82% 92% 84% 113% 104%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 -------------------------------------------------------------- (UNAUDITED) 2019 2018 2017 2016 2015 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 69.32 $ 56.54 $ 45.12 $ 34.84 $ 34.98 $ 31.74 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.05 0.31 0.09 0.32 0.27 0.14 Net realized and unrealized gain (loss) 4.12 12.75 11.43 10.32 (0.14) 3.26 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.17 13.06 11.52 10.64 0.13 3.40 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.11) (0.28) (0.10) (0.36) (0.27) (0.16) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 73.38 $ 69.32 $ 56.54 $ 45.12 $ 34.84 $ 34.98 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 6.03% 23.20% 25.55% 30.72% 0.42% 10.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,422,049 $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% (b) 0.61% 0.63% 0.63% 0.63% 0.63% Ratio of net expenses to average net assets 0.61% (b) 0.61% 0.63% 0.63% 0.63% 0.63% Ratio of net investment income (loss) to average net assets 0.16% (b) 0.50% 0.17% 0.82% 0.82% 0.53% Portfolio turnover rate (c) 53% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 57 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 -------------------------------------------------------------- (UNAUDITED) 2019 2018 2017 2016 2015 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 28.87 $ 26.37 $ 27.64 $ 27.46 $ 23.06 $ 22.59 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.34 0.63 0.98 0.76 0.73 0.83 Net realized and unrealized gain (loss) 0.96 2.43 (1.30) 0.19 4.38 0.47 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.30 3.06 (0.32) 0.95 5.11 1.30 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.45) (0.56) (0.95) (0.77) (0.71) (0.83) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.72 $ 28.87 $ 26.37 $ 27.64 $ 27.46 $ 23.06 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 4.52% 11.71% (1.09)% 3.57% 22.66% 5.77% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,248,431 $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 0.62% (b) 0.63% 0.63% 0.62% 0.62% 0.69% Ratio of net expenses to average net assets 0.62% (b) 0.63% 0.63% 0.62% 0.62% 0.69% Ratio of net investment income (loss) to average net assets 2.25% (b) 2.23% 2.67% 2.74% 2.79% 2.58% Portfolio turnover rate (c) 25% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 58 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2020 (UNAUDITED) 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 Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not Page 59 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2020 (UNAUDITED) 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 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 60 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2020 (UNAUDITED) 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 January 31, 2020, 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 January 31, 2020, all the Funds except FXG, FXN and FXH had securities in the securities lending program. During the six months ended January 31, 2020, all the Funds except for FXG 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 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2020 (UNAUDITED) 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 six months ended January 31, 2020, 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 -- --
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
Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2020 (UNAUDITED) 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 January 31, 2020, 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
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 ordinary losses as follows:
Qualified Late Year Losses --------------------------------- Ordinary Losses Capital Losses --------------- --------------- First Trust Health Care AlphaDEX(R) Fund $ 889,570 $ --
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. 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 Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2020 (UNAUDITED) interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least November 30, 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 (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. For the six months ended January 31, 2020, there were no fees waived or expenses reimbursed by First Trust for the Funds. As of January 31, 2020, 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, a defined-outcome 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 six months ended January 31, 2020, 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 $ 137,710,831 $ 138,549,935 First Trust Consumer Staples AlphaDEX(R) Fund 174,985,093 175,205,278 First Trust Energy AlphaDEX(R) Fund 35,398,400 35,983,528 First Trust Financials AlphaDEX(R) Fund 678,934,587 677,952,029 First Trust Health Care AlphaDEX(R) Fund 585,151,000 587,162,659 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 130,736,671 131,480,210 First Trust Materials AlphaDEX(R) Fund 51,851,303 52,470,501 First Trust Technology AlphaDEX(R) Fund 1,230,114,436 1,232,332,753 First Trust Utilities AlphaDEX(R) Fund 317,598,991 316,063,535
For the six months ended January 31, 2020, 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 $ 33,331,319 $ 120,890,107 First Trust Consumer Staples AlphaDEX(R) Fund 93,139,597 117,699,769 First Trust Energy AlphaDEX(R) Fund 11,250,678 35,857,335 First Trust Financials AlphaDEX(R) Fund 1,161,574,159 243,039,134 First Trust Health Care AlphaDEX(R) Fund 77,784,074 217,364,334 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 42,677,624 116,983,956 First Trust Materials AlphaDEX(R) Fund 29,775,656 91,758,142 First Trust Technology AlphaDEX(R) Fund 562,450,718 660,801,522 First Trust Utilities AlphaDEX(R) Fund 235,570,236 373,907,882
Page 64 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2020 (UNAUDITED) 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. 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 Creation Transaction Fee may increase or decrease with changes in each Fund's portfolio. 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. 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. The Redemption Transaction Fee may increase or decrease with changes in each Fund's portfolio. 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. Page 65 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2020 (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. 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. Page 66 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2020 (UNAUDITED) 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. 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. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. In 2017, the United Kingdom's Financial Conduct Authority announced that LIBOR will cease to be available for use after 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to the fund. 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. Page 67 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2020 (UNAUDITED) 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. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. The impact of this COVID-19 pandemic may be short term or may last for an extended period of time, and in either case could result in a substantial economic downturn or recession. 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 Page 68 -------------------------------------------------------------------------------- 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 Semi-Annual Report January 31, 2020 -------------------------------------------------------------------------------- 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 SEMI-ANNUAL REPORT JANUARY 31, 2020 Shareholder Letter......................................................... 2 Market Overview............................................................ 3 Fund Performance Overview First Trust Large Cap Core AlphaDEX(R) Fund (FEX).................... 4 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)...................... 6 First Trust Small Cap Core AlphaDEX(R) Fund (FYX).................... 8 First Trust Large Cap Value AlphaDEX(R) Fund (FTA)................... 10 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC).................. 12 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)................... 14 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD).................. 16 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)..................... 18 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY).................... 20 First Trust Small Cap Value AlphaDEX(R) Fund (FYT)................... 22 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC).................. 24 First Trust Mega Cap AlphaDEX(R) Fund (FMK).......................... 26 Notes to Fund Performance Overview......................................... 28 Understanding Your Fund Expenses........................................... 29 Portfolio of Investments First Trust Large Cap Core AlphaDEX(R) Fund (FEX).................... 31 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)...................... 38 First Trust Small Cap Core AlphaDEX(R) Fund (FYX).................... 46 First Trust Large Cap Value AlphaDEX(R) Fund (FTA)................... 55 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC).................. 59 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)................... 63 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD).................. 73 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)..................... 83 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY).................... 88 First Trust Small Cap Value AlphaDEX(R) Fund (FYT)................... 93 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC).................. 98 First Trust Mega Cap AlphaDEX(R) Fund (FMK).......................... 104 Statements of Assets and Liabilities....................................... 106 Statements of Operations................................................... 109 Statements of Changes in Net Assets........................................ 112 Financial Highlights....................................................... 116 Notes to Financial Statements.............................................. 123 Additional Information..................................................... 132 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information Section of this report for a discussion of other risks in investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit 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 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2020 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the Style Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which contains detailed information about the Funds for the six months ended January 31, 2020. We are now two decades into this millennium and while it has clearly not been smooth sailing for the securities markets or the economy, it has been relatively prosperous for those investors willing to stay the course. We have always been a proponent of buy-and-hold investing and believe in the merits of investing for the long haul, including the implementation of such basic strategies as diversification and asset allocation. From December 31, 1999 through December 31, 2019, the S&P 500(R) Index posted an average annual total return of 6.05%, according to Bloomberg. Over that same period, the ICE BofA 7-10 Year U.S. Treasury Index generated an average annual total return of 5.56%. These two asset classes are positioned at opposite ends of the risk spectrum. Historically speaking, stocks have tended to outperform government bonds in the U.S. by close to a 2 to 1 annual margin. For comparative purposes, from 1926 through 2019, the S&P 500(R) Index posted an average annual total return of 10.20%, compared to 5.56% for long-term government bonds, according to Morningstar/Ibbotson Associates. The returns from this millennium show that the S&P 500(R) Index lagged its historical average by more than four percentage points per year, while government bonds performed in line with their average. Remember, investors endured two severe bear markets in stocks between 2000 and 2009. This is one of the reasons we believe that, despite the S&P 500(R) Index setting new highs, equities are currently undervalued. Over the six-month period ended January 31, 2020, the S&P 500(R) Index was up 9.31% on a total return basis, which is a strong showing for just half a year. The two top-performing sectors by far were Information Technology and Utilities, according to Bloomberg. These two sectors make for an interesting pair in that one is growth-oriented, while the other is more defensive in nature, with a better than average dividend yield. The combination of the strength of the U.S. labor market, short-term interest rates and U.S. Treasury yields hovering around 1.50% to 2.00%, as of January 31, 2020, relatively modest inflation with the Consumer Price Index at 2.50% on a trailing 12-month basis and a favorable U.S. corporate tax structure helps foster a climate of opportunity for investors, in our opinion. We continue to urge investors to stay the course. One caveat moving forward is the outbreak of the respiratory disease designated as COVID-19 that has caused significant volatility and declines in global financial markets which have caused losses for investors. The impact of this COVID-19 pandemic may be short term or may last for an extended period of time and in either case could result in a substantial downturn or recession. We are continuing to monitor these events. Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. 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 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL REPORT JANUARY 31, 2020 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 27 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 Trump Administration's efforts to persuade some of the U.S.'s most important economic partners to renegotiate standing trade agreements began in earnest in March 2018, when President Donald J. Trump initiated the first round of tariffs on imported steel and aluminum. This somewhat heavy-handed approach has been operational for 22 months and counting. Some progress, however, has been made. The U.S. and China signed the first phase of a broader trade pact on January 15, 2020. President Trump signed the United States-Mexico-Canada Agreement into law on January 29, 2020, which updated the North American Free Trade Agreement. Progress notwithstanding, we believe that the ongoing trade conflict, particularly with China, has negatively impacted economic growth rates in the U.S. to such an extent that the Federal Reserve (the "Fed") felt compelled to intercede in the matter. Six months ago, the Fed chose to reverse course with respect to its monetary policy. President Trump had been urging the Fed to cut rates for some time. For those who may not follow the Fed closely, after holding its federal funds target rate (upper bound) at an artificially low 0.25% for seven years (December 2008-December 2015) to help stimulate U.S. economic activity, the Fed spent the better part of the next four years (December 2015-July 2019) increasing its benchmark lending rate in an effort to normalize it. Over that period, the Fed increased the rate from 0.25% to 2.50%. To lend some perspective, the average federal funds target rate (upper bound) was 2.93% for the 30-year period ended January 31, 2020, so the Fed came close to achieving its goal of normalizing it, according to data from Bloomberg. From the end of July 2019 through the end of November 2019, however, the Fed initiated three rate cuts that dropped it from 2.50% to 1.75%, where it still stands. As previously noted, one of the by-products of the escalation in the use of tariffs by all parties involved has been a slowdown in economic growth, particularly in the U.S. The annualized U.S. real gross domestic product ("GDP") growth rate in the second quarter of 2018 (when new tariffs were introduced) was 3.5%. In 2019, the first, second, third and fourth quarters generated annualized GDP growth rates of 3.1%, 2.0%, 2.1% and 2.1%, respectively, according to data from the Bureau of Economic Analysis. The past three quarters fell below the 2.3% average for the current U.S. economic recovery, which has run from July 2009 to the present, according to the National Bureau of Economic Research. The silver lining in this story, in our opinion, is that the stock and bond markets have continued to perform well despite the slowdown in economic activity. 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 $6.37 trillion in January 2020, up from $5.16 trillion a year ago, according to its own release. Total assets of U.S. listed ETFs/ETPs stood at an all-time high of $4.44 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 January 31, 2020, U.S. Equity funds/ETFs reported estimated net outflows totaling $58.71 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 $175.19 billion, compared to estimated net outflows totaling $233.90 billion for actively managed U.S. Equity funds/ETFs for the same period. For the 12-month period ended January 31, 2020, U.S. Large Blend, U.S. Large Growth and U.S. Large Value equity funds/ETFs reported estimated net flows totaling $116.55 billion, -$70.74 billion and -$14.96 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 -$2.16 billion, -$10.49 billion and -$16.15 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 -$8.16 billion, -$7.64 billion and -$2.99 billion, respectively, for the same period. The only style/market cap that reported net inflows for the 12-month period ended January 31, 2020 was Large-Cap Blend. For the six-month period ended January 31, 2020, the S&P 500(R) Index posted a total return of 9.31%, according to Bloomberg. Growth stocks outperformed value stocks for the same period. The S&P 500(R) Growth Index posted a total return of 10.30%, compared to 8.16% for the S&P 500(R) Value Index, for the same period. The S&P MidCap 400(R) Index posted a total return of 2.95% for the same period. Growth stocks outperformed value stocks during the period. The S&P MidCap 400(R) Growth Index posted a total return of 3.50%, compared to 2.28% for the S&P MidCap 400(R) Value Index, during the period. The S&P SmallCap 600(R) Index posted a total return of 2.54% for the same period. Growth stocks outperformed value stocks for the same period. The S&P SmallCap 600(R) Growth Index posted a total return of 3.74%, compared to 1.18% for the S&P SmallCap 600(R) Value Index, for the same period. One caveat moving forward is the outbreak of the respiratory disease designated as COVID-19 that has caused significant volatility and declines in global financial markets which have caused losses for investors. The impact of this COVID-19 pandemic may be short term or may last for an extended period of time and in either case could result in a substantial downturn or recession. We are continuing to monitor these events. 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 3.98% 13.70% 8.91% 12.59% 7.44% 53.24% 227.20% 149.25% Market Price 3.95% 13.63% 8.89% 12.58% 7.43% 53.11% 226.99% 149.13% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Core Index(1) 4.33% 14.47% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(1) 9.53% 22.42% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 9.31% 21.68% 12.37% 13.97% 8.43% 79.17% 269.82% 180.18% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 18.27% Financials 17.80 Industrials 12.16 Health Care 10.78 Consumer Discretionary 10.20 Communication Services 7.22 Utilities 6.39 Energy 5.48 Materials 4.40 Consumer Staples 4.21 Real Estate 3.09 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesla, Inc. 0.70% RingCentral, Inc., Class A 0.55 Paycom Software, Inc. 0.54 Lennar Corp., Class A 0.54 TransDigm Group, Inc. 0.52 D.R. Horton, Inc. 0.51 Copart, Inc. 0.50 DexCom, Inc. 0.50 T. Rowe Price Group, Inc. 0.50 Fortinet, Inc. 0.49 ------- Total 5.35% ======= ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JANUARY 31, 2020 First Trust Large Cap Core S&P 500(R) 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 1/20 37,141 40,632
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 21 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 106 0 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 1.74% 9.52% 7.67% 11.87% 7.83% 44.73% 207.13% 161.02% Market Price 1.81% 9.51% 7.65% 11.86% 7.82% 44.60% 206.84% 160.99% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Core Index(1) 2.07% 10.23% N/A N/A N/A N/A N/A N/A Nasdaq US 600 Mid Cap Index(1) 3.16% 12.57% N/A N/A N/A N/A N/A N/A S&P MidCap 400(R) Index 2.95% 11.27% 8.70% 12.79% 8.23% 51.75% 233.26% 173.78% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 21.15% Industrials 16.77 Consumer Discretionary 15.94 Information Technology 13.27 Health Care 9.83 Materials 5.56 Real Estate 5.37 Communication Services 4.35 Utilities 3.35 Energy 2.79 Consumer Staples 1.62 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Teladoc Health, Inc. 0.46% Enphase Energy, Inc. 0.46 Paylocity Holding Corp. 0.45 PulteGroup, Inc. 0.44 Santander Consumer USA Holdings, Inc. 0.43 Toll Brothers, Inc. 0.43 TopBuild Corp. 0.42 Albemarle Corp. 0.42 Five9, Inc. 0.42 FTI Consulting, Inc. 0.41 ------- Total 4.34% ======= ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JANUARY 31, 2020 First Trust Mid Cap S&P MidCap Core AlphaDEX(R) Fund 400(R) 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 1/20 35,022 37,568
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 48 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 79 0 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 0.34% 2.94% 6.53% 11.07% 6.50% 37.19% 185.82% 123.09% Market Price 0.34% 2.91% 6.51% 11.05% 6.50% 37.09% 185.24% 123.02% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Core Index(1) 0.66% 3.63% N/A N/A N/A N/A N/A N/A Nasdaq US 700 Small Cap Index(1) 2.45% 7.43% N/A N/A N/A N/A N/A N/A S&P SmallCap 600(R) Index 2.54% 6.57% 9.45% 13.28% 8.06% 57.07% 248.00% 168.38% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 22.01% Financials 18.08 Consumer Discretionary 15.40 Information Technology 11.04 Health Care 9.83 Real Estate 6.35 Materials 5.68 Energy 5.49 Consumer Staples 3.87 Communication Services 1.91 Utilities 0.34 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Acceleron Pharma, Inc. 0.46% Green Dot Corp., Class A 0.43 Taylor Morrison Home Corp. 0.40 Meritage Homes Corp. 0.39 Redfin Corp. 0.39 M/I Homes, Inc. 0.38 M.D.C. Holdings, Inc. 0.37 NeoGenomics, Inc. 0.37 eHealth, Inc. 0.37 Perficient, Inc. 0.36 ------- Total 3.92% ======= ---------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JANUARY 31, 2020 First Trust Small Cap S&P SmallCap Core AlphaDEX(R) Fund 600(R) 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 1/20 31,955 38,012
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 34 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 93 0 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 3.75% 8.61% 6.95% 11.25% 6.59% 39.90% 190.33% 125.46% Market Price 3.73% 8.55% 6.93% 11.25% 6.59% 39.82% 190.42% 125.32% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Value Index(1) 4.10% 9.33% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Value Index(1) 8.43% 18.35% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 9.31% 21.68% 12.37% 13.97% 8.43% 79.17% 269.82% 180.18% S&P 500(R) Value Index 8.16% 18.30% 9.93% 12.09% 6.16% 60.54% 213.00% 114.07% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 26.81% Industrials 10.28 Utilities 9.81 Energy 9.79 Consumer Discretionary 8.23 Health Care 7.96 Information Technology 7.84 Materials 6.13 Communication Services 5.84 Consumer Staples 5.17 Real Estate 2.14 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Lennar Corp., Class A 1.12% D.R. Horton, Inc. 1.06 Ally Financial, Inc. 0.99 Exelon Corp. 0.99 Newmont Corp. 0.98 Textron, Inc. 0.97 Southwest Airlines Co. 0.96 Fox Corp., Class A 0.95 Vornado Realty Trust 0.94 Micron Technology, Inc. 0.93 ------- Total 9.89% ======= ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JANUARY 31, 2020 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 32,831 34,421 30,248 1/19 31,157 33,388 29,389 7/19 32,618 37,168 32,146 1/20 33,847 40,632 34,768
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 49 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 78 0 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 4.45% 19.32% 10.77% 13.77% 8.04% 66.74% 263.19% 167.76% Market Price 4.40% 19.39% 10.75% 13.76% 8.04% 66.62% 263.09% 167.67% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Growth Index(1) 4.80% 20.12% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Growth Index(1) 10.65% 26.04% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 9.31% 21.68% 12.37% 13.97% 8.43% 79.17% 269.82% 180.18% S&P 500(R) Growth Index 10.30% 24.74% 14.41% 15.64% 10.50% 96.03% 327.74% 256.75% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 30.65% Industrials 14.41 Health Care 12.51 Consumer Discretionary 12.05 Communication Services 9.51 Financials 7.80 Real Estate 3.80 Consumer Staples 3.54 Utilities 2.44 Materials 2.20 Energy 1.09 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesla, Inc. 1.37% RingCentral, Inc., Class A 1.08 Paycom Software, Inc. 1.06 TransDigm Group, Inc. 1.01 Brown & Brown, Inc. 1.00 Copart, Inc. 0.98 DexCom, Inc. 0.97 Fortinet, Inc. 0.95 EPAM Systems, Inc. 0.95 Fair Isaac Corp. 0.95 ------- Total 10.32% ======= ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JANUARY 31, 2020 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 1/20 39,784 40,632 46,482
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 74 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 53 0 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 2.16% 4.82% 5.60% 10.57% 6.42% 31.34% 173.02% 120.77% Market Price 2.18% 4.74% 5.60% 10.56% 6.41% 31.30% 172.93% 120.59% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Value Index(1) 2.55% 5.62% N/A N/A N/A N/A N/A N/A Nasdaq US Multi Cap Value Index(1) 7.51% 16.61% N/A N/A N/A N/A N/A N/A S&P Composite 1500(R) Index 8.72% 20.56% 12.05% 13.90% 8.43% 76.60% 267.44% 180.34% S&P Composite 1500(R) Value Index 7.57% 17.17% 9.73% 12.10% 6.29% 59.05% 213.32% 117.49% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 25.91% Industrials 15.06 Consumer Discretionary 13.72 Energy 8.29 Materials 7.16 Information Technology 6.79 Utilities 6.13 Health Care 4.83 Communication Services 4.31 Consumer Staples 3.94 Real Estate 3.86 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Lennar Corp., Class A 0.57% D.R. Horton, Inc. 0.54 Ally Financial, Inc. 0.50 Exelon Corp. 0.50 Newmont Corp. 0.50 Textron, Inc. 0.49 Southwest Airlines Co. 0.49 Fox Corp., Class A 0.48 Vornado Realty Trust 0.47 Micron Technology, Inc. 0.47 ------- Total 5.01% ======= ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JANUARY 31, 2020 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 1/20 31,704 40,446 34,865
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 37 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 89 0 1 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 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/20 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 3.14% 16.04% 10.64% 13.56% 8.19% 65.76% 256.61% 172.51% Market Price 3.17% 15.98% 10.62% 13.56% 8.19% 65.62% 256.69% 172.33% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Growth Index(1) 3.49% 16.87% N/A N/A N/A N/A N/A N/A Nasdaq US Multi Cap Growth Index(1) 9.86% 24.83% N/A N/A N/A N/A N/A N/A S&P Composite 1500(R) Index 8.72% 20.56% 12.05% 13.90% 8.43% 76.60% 267.44% 180.34% S&P Composite 1500(R) Growth Index 9.71% 23.64% 13.99% 15.50% 10.41% 92.45% 322.54% 252.83% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 25.20% Health Care 16.46 Industrials 15.23 Consumer Discretionary 12.04 Financials 10.79 Communication Services 7.04 Real Estate 4.82 Consumer Staples 2.98 Materials 2.29 Utilities 2.08 Energy 1.07 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesla, Inc. 0.69% RingCentral, Inc., Class A 0.54 Paycom Software, Inc. 0.54 TransDigm Group, Inc. 0.51 Brown & Brown, Inc. 0.51 Copart, Inc. 0.50 DexCom, Inc. 0.49 Fortinet, Inc. 0.48 EPAM Systems, Inc. 0.48 Fair Isaac Corp. 0.48 ------- Total 5.22% ======= ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JANUARY 31, 2020 First Trust Multi Cap S&P Composite S&P Composite Growth AlphaDEX(R) Fund 1500(R) Index 1500(R) 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 37,950 37,202 41,933 1/20 39,145 40,444 46,007
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 16 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 111 0 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 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV -0.19% 1.30% 4.60% 7.60% 25.22% 90.40% Market Price -0.17% 1.27% 4.60% 7.60% 25.22% 90.34% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Value Index(1) 0.21% 2.13% N/A N/A N/A N/A Nasdaq US 600 Mid Cap Value Index(1) 1.62% 7.04% N/A N/A N/A N/A S&P MidCap 400(R) Value Index 2.28% 8.21% 7.82% 9.97% 45.69% 130.44% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 29.66% Consumer Discretionary 18.71 Industrials 17.74 Materials 8.43 Real Estate 5.35 Energy 5.13 Information Technology 4.90 Utilities 3.87 Communication Services 2.88 Health Care 1.72 Consumer Staples 1.61 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Santander Consumer USA Holdings, Inc. 0.89% Toll Brothers, Inc. 0.88 JetBlue Airways Corp. 0.83 Spirit Airlines, Inc. 0.80 CIT Group, Inc. 0.79 Equity Commonwealth 0.78 Brighthouse Financial, Inc. 0.78 National General Holdings Corp. 0.77 Gap (The), Inc. 0.77 SLM Corp. 0.77 ------- Total 8.06% ======= ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2020 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 1/20 19,040 23,044
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 39 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 88 0 0 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 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 3.77% 18.14% 10.90% 10.77% 67.77% 145.70% Market Price 3.79% 18.20% 10.87% 10.78% 67.52% 145.75% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Growth Index(1) 4.15% 19.03% N/A N/A N/A N/A Nasdaq US 600 Mid Cap Growth Index(1) 4.71% 18.20% N/A N/A N/A N/A S&P MidCap 400(R) Growth Index 3.50% 14.14% 9.33% 10.52% 56.19% 140.75% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 23.03% Health Care 20.27 Industrials 14.21 Consumer Discretionary 13.60 Financials 10.58 Communication Services 6.59 Real Estate 5.26 Materials 2.53 Utilities 1.88 Consumer Staples 1.66 Energy 0.39 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Teladoc Health, Inc. 0.89% Enphase Energy, Inc. 0.89 Paylocity Holding Corp. 0.86 TopBuild Corp. 0.82 Five9, Inc. 0.80 FTI Consulting, Inc. 0.80 DocuSign, Inc. 0.78 LHC Group, Inc. 0.78 Amedisys, Inc. 0.78 Churchill Downs, Inc. 0.77 ------- Total 8.17% ======= ---------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2020 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 1/20 24,570 24,075
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 54 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 73 0 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 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 1.74% 0.92% 3.70% 7.70% 19.94% 91.85% Market Price 2.15% 1.24% 3.77% 7.74% 20.32% 92.46% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Value Index(1) 2.15% 1.76% N/A N/A N/A N/A Nasdaq US 700 Small Cap Value Index(1) 1.52% 3.96% N/A N/A N/A N/A S&P SmallCap 600(R) Value Index 1.18% 3.77% 7.98% 10.33% 46.82% 137.17% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 23.38% Consumer Discretionary 20.29 Financials 17.77 Energy 9.28 Materials 7.87 Information Technology 6.99 Real Estate 6.01 Consumer Staples 4.35 Communication Services 2.57 Health Care 1.49 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Green Dot Corp., Class A 0.90% Taylor Morrison Home Corp. 0.83 Meritage Homes Corp. 0.81 M/I Homes, Inc. 0.79 TRI Pointe Group, Inc. 0.73 Enova International, Inc. 0.73 Employers Holdings, Inc. 0.72 AVX Corp. 0.69 Adtalem Global Education, Inc. 0.69 Arcosa, Inc. 0.69 ------- Total 7.58% ======= ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 22 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2020 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 18,859 23,442 1/20 19,185 23,717
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 62 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 64 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 borrowing) 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 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV -1.15% 5.14% 9.80% 10.14% 59.62% 133.64% Market Price -1.15% 5.07% 9.80% 10.13% 59.60% 133.54% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Growth Index(1) -0.80% 5.92% N/A N/A N/A N/A Nasdaq US 700 Small Cap Growth Index(1) 3.45% 11.17% N/A N/A N/A N/A S&P SmallCap 600(R) Growth Index 3.74% 9.26% 10.91% 11.95% 67.80% 169.70% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 20.83% Industrials 18.93 Financials 18.85 Information Technology 14.42 Consumer Discretionary 9.64 Real Estate 6.77 Consumer Staples 3.55 Materials 2.15 Energy 2.08 Utilities 1.44 Communication Services 1.34 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Acceleron Pharma, Inc. 0.89% Momenta Pharmaceuticals, Inc. 0.76 Redfin Corp. 0.75 Nevro Corp. 0.73 NeoGenomics, Inc. 0.72 eHealth, Inc. 0.71 Cannae Holdings, Inc. 0.71 SeaWorld Entertainment, Inc. 0.71 Perficient, Inc. 0.70 Installed Building Products, Inc. 0.70 ------- Total 7.38% ======= ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 24 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2020 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 1/20 23,364 26,970
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 26 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 101 0 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 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/11/11) Ended (5/11/11) 1/31/20 1/31/20 1/31/20 to 1/31/20 1/31/20 to 1/31/20 FUND PERFORMANCE NAV 6.23% 13.13% 9.64% 9.27% 58.42% 116.71% Market Price 6.18% 12.91% 9.61% 9.26% 58.24% 116.53% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mega Cap Index(1) 6.63% 14.00% N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(1) 9.53% 22.42% N/A N/A N/A N/A S&P 100(R) Index 10.99% 23.94% 13.02% 13.20% 84.40% 195.02% -----------------------------------------------------------------------------------------------------------------------------------
(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.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 20.57% Communication Services 18.12 Information Technology 13.86 Consumer Discretionary 12.65 Health Care 12.53 Energy 8.44 Industrials 5.31 Utilities 4.38 Consumer Staples 4.14 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesla, Inc. 5.22% Intel Corp. 3.59 Charter Communications, Inc., Class A 3.58 T-Mobile US, Inc. 3.39 Pfizer, Inc. 3.19 JPMorgan Chase & Co. 3.19 Citigroup, Inc. 3.13 ConocoPhillips 3.07 Chevron Corp. 2.98 Target Corp. 2.90 ------- Total 34.24% ======= ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 26 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 11, 2011 - JANUARY 31, 2020 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 1/20 21,671 29,502
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 JANUARY 31, 2020 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 January 31, 2020. 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 8/1/19 - 1/31/20 26 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/14 - 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 8/1/19 - 1/31/20 101 0 0 0 Page 27 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. For certain Funds the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 28 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES JANUARY 31, 2020 (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 January 31, 2020. 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 AUGUST 1, 2019 JANUARY 31, 2020 PERIOD (a) PERIOD (b) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $1,039.80 0.59% $3.03 Hypothetical (5% return before expenses) $1,000.00 $1,022.17 0.59% $3.00 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $1,017.40 0.60% $3.04 Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.60% $3.05 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $1,003.40 0.62% $3.12 Hypothetical (5% return before expenses) $1,000.00 $1,022.02 0.62% $3.15 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $1,037.50 0.60% $3.07 Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.60% $3.05 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $1,044.50 0.60% $3.08 Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.60% $3.05
Page 29 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2020 (UNAUDITED)
------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2019 JANUARY 31, 2020 PERIOD (a) PERIOD (b) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $1,021.60 0.70% $3.56 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $1,031.40 0.63% $3.22 Hypothetical (5% return before expenses) $1,000.00 $1,021.97 0.63% $3.20 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $998.10 0.70% $3.52 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $1,037.70 0.70% $3.59 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $1,017.40 0.70% $3.55 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $988.50 0.70% $3.50 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) Actual $1,000.00 $1,062.30 0.70% $3.63 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56
(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 (August 1, 2019 through January 31, 2020), multiplied by 184/366 (to reflect the six-month period). Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.6% 38,901 Arconic, Inc. $ 1,165,085 20,362 General Dynamics Corp. 3,572,309 12,100 L3Harris Technologies, Inc. 2,678,093 6,148 Lockheed Martin Corp. 2,632,082 10,441 Northrop Grumman Corp. 3,910,885 13,817 Teledyne Technologies, Inc. (a) 5,044,034 134,191 Textron, Inc. 6,163,393 10,688 TransDigm Group, Inc. 6,875,377 15,985 United Technologies Corp. 2,400,947 --------------- 34,442,205 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 61,226 C.H. Robinson Worldwide, Inc. 4,421,742 46,026 Expeditors International of Washington, Inc. 3,361,739 15,833 FedEx Corp. 2,290,085 10,224 United Parcel Service, Inc., Class B 1,058,388 --------------- 11,131,954 --------------- AIRLINES -- 1.4% 41,735 American Airlines Group, Inc. 1,120,167 102,341 Delta Air Lines, Inc. 5,704,487 110,873 Southwest Airlines Co. 6,095,798 67,941 United Airlines Holdings, Inc. (a) 5,081,987 --------------- 18,002,439 --------------- AUTO COMPONENTS -- 0.2% 25,207 Aptiv PLC 2,137,301 --------------- AUTOMOBILES -- 1.2% 128,707 Ford Motor Co. 1,135,196 163,523 General Motors Co. 5,460,033 14,305 Tesla, Inc. (a) 9,306,404 --------------- 15,901,633 --------------- BANKS -- 4.2% 101,959 Bank of America Corp. 3,347,314 59,932 Citigroup, Inc. 4,459,540 117,900 Citizens Financial Group, Inc. 4,395,312 66,731 Comerica, Inc. 4,081,268 155,756 Fifth Third Bancorp 4,431,258 317,503 Huntington Bancshares, Inc. 4,308,516 25,761 JPMorgan Chase & Co. 3,409,726 236,557 KeyCorp 4,425,981 21,154 M&T Bank Corp. 3,564,872 22,496 PNC Financial Services Group (The), Inc. 3,341,781 279,017 Regions Financial Corp. 4,344,295 14,303 SVB Financial Group (a) 3,437,440 60,567 U.S. Bancorp 3,223,376 88,994 Wells Fargo & Co. 4,177,378 --------------- 54,948,057 --------------- BEVERAGES -- 0.6% 35,412 Brown-Forman Corp., Class B 2,395,268 66,622 Molson Coors Beverage Co., Class B 3,702,851 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BEVERAGES (CONTINUED) 18,834 Monster Beverage Corp. (a) $ 1,254,344 --------------- 7,352,463 --------------- BIOTECHNOLOGY -- 2.1% 9,931 Amgen, Inc. 2,145,592 20,169 Biogen, Inc. (a) 5,422,436 12,944 Exact Sciences Corp. (a) 1,207,416 18,419 Gilead Sciences, Inc. 1,164,081 27,416 Incyte Corp. (a) 2,003,287 12,751 Regeneron Pharmaceuticals, Inc. (a) 4,309,073 9,276 Sarepta Therapeutics, Inc. (a) 1,075,645 52,379 Seattle Genetics, Inc. (a) 5,677,360 21,867 Vertex Pharmaceuticals, Inc. (a) 4,964,902 --------------- 27,969,792 --------------- BUILDING PRODUCTS -- 0.5% 38,445 Allegion PLC 4,971,707 24,942 Masco Corp. 1,185,244 --------------- 6,156,951 --------------- CAPITAL MARKETS -- 5.2% 14,370 Ameriprise Financial, Inc. 2,376,942 95,131 Bank of New York Mellon (The) Corp. 4,259,966 2,380 BlackRock, Inc. 1,255,093 42,796 Blackstone Group (The), Inc., Class A 2,613,552 9,975 Cboe Global Markets, Inc. 1,229,120 25,168 Charles Schwab (The) Corp. 1,146,402 105,531 E*TRADE Financial Corp. 4,497,731 230,366 Franklin Resources, Inc. 5,828,260 20,825 Goldman Sachs Group (The), Inc. 4,951,144 12,629 MarketAxess Holdings, Inc. 4,472,939 15,124 Moody's Corp. 3,883,692 93,661 Morgan Stanley 4,894,724 13,908 MSCI, Inc. 3,974,906 22,352 Nasdaq, Inc. 2,603,114 22,535 Northern Trust Corp. 2,204,148 53,521 Raymond James Financial, Inc. 4,893,425 13,150 S&P Global, Inc. 3,862,550 45,397 State Street Corp. 3,433,375 49,121 T. Rowe Price Group, Inc. 6,559,127 --------------- 68,940,210 --------------- CHEMICALS -- 2.8% 29,165 Celanese Corp. 3,018,577 100,292 CF Industries Holdings, Inc. 4,039,762 74,578 DuPont de Nemours, Inc. 3,816,902 75,508 Eastman Chemical Co. 5,381,455 59,957 FMC Corp. 5,731,290 9,279 International Flavors & Fragrances, Inc. (b) 1,216,570 63,346 LyondellBasell Industries N.V., Class A 4,932,120 221,253 Mosaic (The) Co. 4,389,660 8,966 PPG Industries, Inc. 1,074,485 6,154 Sherwin-Williams (The) Co. 3,427,716 --------------- 37,028,537 --------------- See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES -- 0.8% 13,345 Cintas Corp. $ 3,722,855 65,811 Copart, Inc. (a) 6,677,184 --------------- 10,400,039 --------------- CONSTRUCTION MATERIALS -- 0.3% 8,560 Martin Marietta Materials, Inc. 2,258,128 16,627 Vulcan Materials Co. 2,354,882 --------------- 4,613,010 --------------- CONSUMER FINANCE -- 1.8% 195,841 Ally Financial, Inc. 6,272,787 19,230 American Express Co. 2,497,400 58,156 Capital One Financial Corp. 5,803,969 56,449 Discover Financial Services 4,241,013 166,201 Synchrony Financial 5,386,575 --------------- 24,201,744 --------------- CONTAINERS & PACKAGING -- 0.3% 103,973 International Paper Co. 4,233,781 --------------- DISTRIBUTORS -- 0.2% 22,536 Genuine Parts Co. 2,108,693 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.7% 21,139 Berkshire Hathaway, Inc., Class B (a) 4,744,226 193,217 Equitable Holdings, Inc. 4,641,072 --------------- 9,385,298 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 153,145 AT&T, Inc. 5,761,315 77,980 Verizon Communications, Inc. 4,635,131 --------------- 10,396,446 --------------- ELECTRIC UTILITIES -- 3.5% 65,623 Alliant Energy Corp. 3,895,381 52,493 Duke Energy Corp. 5,124,891 15,873 Edison International 1,215,078 29,975 Entergy Corp. 3,942,312 36,780 Evergy, Inc. 2,654,045 28,141 Eversource Energy 2,601,354 131,277 Exelon Corp. 6,247,472 49,259 FirstEnergy Corp. 2,501,865 4,943 NextEra Energy, Inc. 1,325,713 53,240 Pinnacle West Capital Corp. 5,201,016 133,444 PPL Corp. 4,829,338 37,582 Southern (The) Co. 2,645,773 56,558 Xcel Energy, Inc. 3,913,248 --------------- 46,097,486 --------------- ELECTRICAL EQUIPMENT -- 0.9% 36,003 AMETEK, Inc. 3,497,692 50,549 Eaton Corp. PLC 4,775,364 47,088 Emerson Electric Co. 3,372,913 --------------- 11,645,969 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.2% 33,179 Amphenol Corp., Class A $ 3,300,315 41,900 CDW Corp. 5,465,855 205,596 Corning, Inc. 5,487,357 34,988 Keysight Technologies, Inc. (a) 3,253,534 49,957 TE Connectivity Ltd. 4,605,037 28,712 Trimble, Inc. (a) 1,220,834 23,429 Zebra Technologies Corp., Class A (a) 5,600,000 --------------- 28,932,932 --------------- ENERGY EQUIPMENT & SERVICES -- 0.6% 93,404 Baker Hughes Co. 2,023,131 244,581 Halliburton Co. 5,334,311 --------------- 7,357,442 --------------- ENTERTAINMENT -- 1.5% 60,433 Activision Blizzard, Inc. 3,534,122 55,668 Electronic Arts, Inc. (a) 6,007,690 52,082 Liberty Media Corp.-Liberty Formula One, Class C (a) 2,436,917 50,245 Live Nation Entertainment, Inc. (a) 3,424,699 7,398 Netflix, Inc. (a) 2,552,976 9,776 Take-Two Interactive Software, Inc. (a) 1,218,481 8,276 Walt Disney (The) Co. 1,144,653 --------------- 20,319,538 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.8% 14,815 Alexandria Real Estate Equities, Inc. 2,417,808 10,418 American Tower Corp. 2,414,267 8,683 Boston Properties, Inc. 1,244,708 8,421 Crown Castle International Corp. 1,261,803 9,996 Digital Realty Trust, Inc. 1,229,408 34,526 Duke Realty Corp. 1,253,639 4,102 Equinix, Inc. 2,419,073 34,010 Equity LifeStyle Properties, Inc. 2,474,228 322,636 Host Hotels & Resorts, Inc. 5,271,872 39,938 Invitation Homes, Inc. 1,256,849 9,077 Mid-America Apartment Communities, Inc. 1,245,455 40,284 Prologis, Inc. 3,741,578 4,966 SBA Communications Corp. 1,239,315 15,948 Sun Communities, Inc. 2,586,287 46,849 VICI Properties, Inc. 1,255,553 89,998 Vornado Realty Trust 5,919,168 --------------- 37,231,011 --------------- FOOD & STAPLES RETAILING -- 1.0% 165,159 Kroger (The) Co. 4,436,171 13,992 Sysco Corp. 1,149,303 101,509 Walgreens Boots Alliance, Inc. 5,161,732 20,143 Walmart, Inc. 2,306,172 --------------- 13,053,378 --------------- Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS -- 2.1% 103,299 Archer-Daniels-Midland Co. $ 4,623,663 104,877 Conagra Brands, Inc. 3,452,551 67,045 General Mills, Inc. 3,501,090 53,070 Hormel Foods Corp. 2,508,088 45,980 J.M. Smucker (The) Co. 4,763,988 55,655 Lamb Weston Holdings, Inc. 5,081,858 52,592 Tyson Foods, Inc., Class A 4,345,677 --------------- 28,276,915 --------------- GAS UTILITIES -- 0.3% 32,101 Atmos Energy Corp. 3,756,780 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.5% 12,870 Align Technology, Inc. (a) 3,308,877 26,470 Boston Scientific Corp. (a) 1,108,299 7,799 Danaher Corp. 1,254,625 21,153 DENTSPLY SIRONA, Inc. 1,184,568 27,361 DexCom, Inc. (a) 6,587,161 15,393 Edwards Lifesciences Corp. (a) 3,384,305 22,927 Hologic, Inc. (a) 1,227,053 4,049 Intuitive Surgical, Inc. (a) 2,266,549 10,552 Medtronic PLC 1,218,123 15,449 ResMed, Inc. 2,455,927 9,539 Teleflex, Inc. 3,543,834 16,858 Varian Medical Systems, Inc. (a) 2,369,729 23,887 West Pharmaceutical Services, Inc. 3,725,178 --------------- 33,634,228 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.4% 14,079 AmerisourceBergen Corp. 1,204,599 11,889 Anthem, Inc. 3,153,914 57,118 Centene Corp. (a) 3,587,582 23,413 Cigna Corp. 4,504,193 64,448 CVS Health Corp. 4,370,863 31,907 DaVita, Inc. (a) 2,548,412 16,196 HCA Healthcare, Inc. 2,248,005 53,821 Henry Schein, Inc. (a) 3,710,420 9,797 Humana, Inc. 3,294,143 28,304 Laboratory Corp. of America Holdings (a) 4,964,522 44,836 Quest Diagnostics, Inc. 4,962,000 8,142 UnitedHealth Group, Inc. 2,218,288 33,374 Universal Health Services, Inc., Class B 4,575,909 --------------- 45,342,850 --------------- HEALTH CARE TECHNOLOGY -- 0.1% 16,311 Cerner Corp. 1,171,619 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.6% 117,742 Carnival Corp. 5,125,309 4,291 Chipotle Mexican Grill, Inc. (a) 3,719,267 32,941 Darden Restaurants, Inc. 3,835,321 8,148 Domino's Pizza, Inc. 2,295,699 53,963 Hilton Worldwide Holdings, Inc. 5,817,211 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 17,337 Las Vegas Sands Corp. $ 1,132,280 23,714 Marriott International, Inc., Class A 3,321,383 35,977 MGM Resorts International 1,117,446 102,462 Norwegian Cruise Line Holdings Ltd. (a) 5,517,579 44,828 Royal Caribbean Cruises Ltd. 5,248,462 27,228 Starbucks Corp. 2,309,751 4,991 Vail Resorts, Inc. 1,170,439 34,478 Wynn Resorts Ltd. 4,349,745 49,862 Yum China Holdings, Inc. 2,147,556 --------------- 47,107,448 --------------- HOUSEHOLD DURABLES -- 1.7% 113,458 D.R. Horton, Inc. 6,716,714 49,076 Garmin Ltd. 4,757,918 107,276 Lennar Corp., Class A 7,118,835 944 NVR, Inc. (a) 3,603,220 --------------- 22,196,687 --------------- HOUSEHOLD PRODUCTS -- 0.3% 8,702 Kimberly-Clark Corp. 1,246,475 19,168 Procter & Gamble (The) Co. 2,388,716 --------------- 3,635,191 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 120,300 AES Corp. 2,389,158 52,065 Vistra Energy Corp. 1,172,504 --------------- 3,561,662 --------------- INDUSTRIAL CONGLOMERATES -- 0.4% 13,569 3M Co. 2,152,858 107,257 General Electric Co. 1,335,350 13,525 Honeywell International, Inc. 2,342,800 --------------- 5,831,008 --------------- INSURANCE -- 5.9% 67,882 Aflac, Inc. 3,500,675 42,578 Allstate (The) Corp. 5,047,196 93,279 American International Group, Inc. 4,688,203 111,632 Arch Capital Group Ltd. (a) 4,929,669 12,570 Arthur J. Gallagher & Co. 1,289,305 121,275 Brown & Brown, Inc. 5,445,247 15,380 Chubb Ltd. 2,337,606 4,325 Everest Re Group Ltd. 1,196,165 105,578 Fidelity National Financial, Inc. 5,146,928 34,120 Globe Life, Inc. 3,557,351 78,788 Hartford Financial Services Group (The), Inc. 4,670,553 60,853 Lincoln National Corp. 3,315,271 22,804 Loews Corp. 1,173,266 1,047 Markel Corp. (a) 1,228,100 32,232 Marsh & McLennan Cos., Inc. 3,605,472 117,419 MetLife, Inc. 5,836,898 87,053 Principal Financial Group, Inc. 4,609,456 16,535 Progressive (The) Corp. 1,334,209 See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 51,078 Prudential Financial, Inc. $ 4,651,163 22,023 Reinsurance Group of America, Inc. 3,172,413 34,960 Travelers (The) Cos., Inc. 4,601,435 34,645 W.R. Berkley Corp. 2,547,447 --------------- 77,884,028 --------------- INTERACTIVE MEDIA & SERVICES -- 1.7% 2,682 Alphabet, Inc., Class A (a) 3,842,716 23,328 Facebook, Inc., Class A (a) 4,710,157 19,221 IAC/InterActiveCorp (a) 4,682,043 219,900 Snap, Inc., Class A (a) 4,041,762 104,221 Zillow Group, Inc., Class C (a) 4,816,052 --------------- 22,092,730 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.7% 1,296 Amazon.com, Inc. (a) 2,603,301 587 Booking Holdings, Inc. (a) 1,074,533 99,445 eBay, Inc. 3,337,374 22,137 Expedia Group, Inc. 2,400,758 --------------- 9,415,966 --------------- IT SERVICES -- 4.1% 17,054 Accenture PLC, Class A 3,499,651 13,856 Akamai Technologies, Inc. (a) 1,293,458 67,312 Booz Allen Hamilton Holding Corp. 5,253,029 96,499 Cognizant Technology Solutions Corp., Class A 5,923,109 95,529 DXC Technology Co. 3,045,465 28,210 EPAM Systems, Inc. (a) 6,435,829 20,704 Fiserv, Inc. (a) 2,455,701 4,160 FleetCor Technologies, Inc. (a) 1,311,357 7,767 Gartner, Inc. (a) 1,248,778 13,113 Global Payments, Inc. 2,562,936 26,790 International Business Machines Corp. 3,850,527 24,650 Jack Henry & Associates, Inc. 3,686,161 24,456 Leidos Holdings, Inc. 2,457,094 12,027 Mastercard, Inc., Class A 3,799,810 31,126 Okta, Inc. (a) 3,985,684 14,072 Paychex, Inc. 1,206,955 12,740 Visa, Inc., Class A 2,534,878 --------------- 54,550,422 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% 28,062 Agilent Technologies, Inc. 2,316,799 7,746 IQVIA Holdings, Inc. (a) 1,202,566 1,509 Mettler-Toledo International, Inc. (a) 1,142,585 12,326 PerkinElmer, Inc. 1,139,908 11,052 Thermo Fisher Scientific, Inc. 3,461,376 10,246 Waters Corp. (a) 2,292,952 --------------- 11,556,186 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MACHINERY -- 2.1% 24,315 Caterpillar, Inc. $ 3,193,775 33,443 Cummins, Inc. 5,349,877 6,907 Deere & Co. 1,095,312 20,770 Dover Corp. 2,364,664 19,991 Illinois Tool Works, Inc. 3,498,025 27,016 Ingersoll-Rand PLC 3,599,342 75,663 PACCAR, Inc. 5,614,951 11,632 Parker-Hannifin Corp. 2,276,266 7,223 Stanley Black & Decker, Inc. 1,150,841 --------------- 28,143,053 --------------- MEDIA -- 2.9% 175,126 Altice USA, Inc., Class A (a) 4,791,447 12,337 Charter Communications, Inc., Class A (a) 6,383,904 106,470 Comcast Corp., Class A 4,598,439 182,801 Discovery, Inc., Class A (a) 5,348,757 161,449 Fox Corp., Class A 5,986,529 19,037 Liberty Broadband Corp., Class C (a) 2,530,589 29,548 Omnicom Group, Inc. 2,225,260 837,050 Sirius XM Holdings, Inc. 5,917,944 --------------- 37,782,869 --------------- METALS & MINING -- 0.9% 91,235 Freeport-McMoRan, Inc. 1,012,708 137,743 Newmont Corp. 6,206,700 106,341 Nucor Corp. 5,050,134 --------------- 12,269,542 --------------- MULTILINE RETAIL -- 0.5% 23,021 Dollar General Corp. 3,531,652 28,007 Target Corp. 3,101,495 --------------- 6,633,147 --------------- MULTI-UTILITIES -- 2.3% 46,757 Ameren Corp. 3,836,412 175,575 CenterPoint Energy, Inc. 4,649,226 38,097 CMS Energy Corp. 2,610,025 52,923 Consolidated Edison, Inc. 4,974,762 14,453 Dominion Energy, Inc. 1,239,345 27,649 DTE Energy Co. 3,666,534 171,979 NiSource, Inc. 5,040,705 31,608 Sempra Energy 5,077,509 --------------- 31,094,518 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.9% 49,663 Chevron Corp. 5,320,894 68,345 Concho Resources, Inc. 5,179,184 92,034 ConocoPhillips 5,469,581 174,487 Continental Resources, Inc. 4,749,536 230,455 Devon Energy Corp. 5,005,483 71,453 EOG Resources, Inc. 5,209,638 85,768 Exxon Mobil Corp. 5,327,908 35,831 Hess Corp. 2,026,960 440,715 Marathon Oil Corp. 5,010,930 99,335 Marathon Petroleum Corp. 5,413,758 144,564 Noble Energy, Inc. 2,858,030 15,819 ONEOK, Inc. 1,184,369 Page 34 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 53,720 Phillips 66 $ 4,908,396 7,907 Pioneer Natural Resources Co. 1,067,445 63,908 Valero Energy Corp. 5,388,083 50,463 Williams (The) Cos., Inc. 1,044,079 --------------- 65,164,274 --------------- PERSONAL PRODUCTS -- 0.2% 11,590 Estee Lauder (The) Cos., Inc., Class A 2,261,904 --------------- PHARMACEUTICALS -- 1.7% 18,648 Bristol-Myers Squibb Co. 1,173,891 18,214 Eli Lilly & Co. 2,543,403 16,410 Johnson & Johnson 2,442,957 26,321 Merck & Co., Inc. 2,248,866 238,204 Mylan N.V. (a) 5,102,330 152,755 Pfizer, Inc. 5,688,596 27,132 Zoetis, Inc. 3,641,386 --------------- 22,841,429 --------------- PROFESSIONAL SERVICES -- 0.5% 4,000 CoStar Group, Inc. (a) 2,611,960 41,946 TransUnion 3,846,448 --------------- 6,458,408 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 58,589 CBRE Group, Inc., Class A (a) 3,576,858 --------------- ROAD & RAIL -- 1.2% 30,750 J.B. Hunt Transport Services, Inc. 3,318,847 23,445 Kansas City Southern 3,954,937 6,166 Norfolk Southern Corp. 1,283,823 31,537 Old Dominion Freight Line, Inc. 6,188,506 6,621 Union Pacific Corp. 1,187,940 --------------- 15,934,053 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.5% 104,404 Advanced Micro Devices, Inc. (a) 4,906,988 39,219 Applied Materials, Inc. 2,274,310 7,577 Broadcom, Inc. 2,312,197 99,998 Intel Corp. 6,392,872 33,591 KLA Corp. 5,567,372 8,187 Lam Research Corp. 2,441,445 45,067 Marvell Technology Group Ltd. 1,083,411 57,151 Microchip Technology, Inc. 5,571,080 111,285 Micron Technology, Inc. (a) 5,908,121 15,261 NVIDIA Corp. 3,608,158 67,832 QUALCOMM, Inc. 5,786,748 39,608 Skyworks Solutions, Inc. 4,481,645 87,768 Teradyne, Inc. 5,791,810 23,235 Universal Display Corp. 4,093,310 --------------- 60,219,467 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE -- 6.2% 14,518 Adobe, Inc. (a) $ 5,097,851 23,251 ANSYS, Inc. (a) 6,378,447 26,099 Autodesk, Inc. (a) 5,137,588 17,257 Cadence Design Systems, Inc. (a) 1,244,402 10,793 Citrix Systems, Inc. 1,308,327 15,973 Fair Isaac Corp. (a) 6,427,216 56,060 Fortinet, Inc. (a) 6,467,082 22,771 Microsoft Corp. 3,876,307 93,807 NortonLifeLock, Inc. 2,665,995 15,528 Palo Alto Networks, Inc. (a) 3,645,664 22,605 Paycom Software, Inc. (a) 7,192,007 35,483 RingCentral, Inc., Class A (a) 7,294,595 7,359 salesforce.com, Inc. (a) 1,341,619 12,719 ServiceNow, Inc. (a) 4,301,947 39,960 Splunk, Inc. (a) 6,204,190 77,980 SS&C Technologies Holdings, Inc. 4,913,520 17,197 Synopsys, Inc. (a) 2,536,729 23,037 Trade Desk (The), Inc., Class A (a) 6,201,100 --------------- 82,234,586 --------------- SPECIALTY RETAIL -- 2.1% 14,948 Advance Auto Parts, Inc. 1,969,399 4,019 AutoZone, Inc. (a) 4,251,941 54,532 Best Buy Co., Inc. 4,618,315 26,248 Burlington Stores, Inc. (a) 5,708,153 27,306 CarMax, Inc. (a) 2,649,774 5,481 Home Depot (The), Inc. 1,250,216 10,926 O'Reilly Automotive, Inc. (a) 4,437,049 10,281 Ross Stores, Inc. 1,153,425 19,605 TJX (The) Cos., Inc. 1,157,479 12,810 Tractor Supply Co. 1,190,690 --------------- 28,386,441 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.2% 4,076 Apple, Inc. 1,261,563 46,584 Dell Technologies, Inc., Class C (a) 2,271,902 377,359 Hewlett Packard Enterprise Co. 5,256,611 116,494 HP, Inc. 2,483,652 38,458 NetApp, Inc. 2,053,657 40,236 Seagate Technology PLC 2,293,049 --------------- 15,620,434 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.1% 12,010 VF Corp. 996,470 --------------- TOBACCO -- 0.1% 14,067 Philip Morris International, Inc. 1,163,341 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 129,579 Fastenal Co. 4,519,716 35,886 United Rentals, Inc. (a) 4,869,371 10,606 W.W. Grainger, Inc. 3,210,118 --------------- 12,599,205 --------------- See Notes to Financial Statements Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 61,054 T-Mobile US, Inc. (a) $ 4,834,866 --------------- TOTAL COMMON STOCKS -- 100.0% 1,322,216,894 (Cost $1,216,313,529) --------------- MONEY MARKET FUNDS -- 0.1% 198,401 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) 198,401 1,700,025 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 1,700,025 --------------- TOTAL MONEY MARKET FUNDS -- 0.1% 1,898,426 (Cost $1,898,426) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 914,749 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $914,868. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $934,039. (d) 914,749 (Cost $914,749) --------------- TOTAL INVESTMENTS -- 100.2% 1,325,030,069 (Cost $1,219,126,704) (e) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (2,201,637) --------------- NET ASSETS -- 100.0% $ 1,322,828,432 =============== (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 $1,075,102 and the total value of the collateral held by the Fund is $1,113,150. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $139,905,105 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $34,001,740. The net unrealized appreciation was $105,903,365. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $1,322,216,894 $ -- $ -- Money Market Funds 1,898,426 -- -- Repurchase Agreements -- 914,749 -- --------------------------------------------- Total Investments $1,324,115,320 $ 914,749 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 36 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) --------------------------------- 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) $ 1,075,102 Non-cash Collateral(2) (1,075,102) --------------- 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 January 31, 2020, 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) $ 914,749 Non-cash Collateral(4) (914,749) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 37 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.0% 35,733 Axon Enterprise, Inc. (a) $ 2,744,652 10,545 BWX Technologies, Inc. 670,557 9,293 Curtiss-Wright Corp. 1,351,481 5,220 Huntington Ingalls Industries, Inc. 1,362,420 35,929 Spirit AeroSystems Holdings, Inc., Class A 2,346,882 --------------- 8,475,992 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 24,640 XPO Logistics, Inc. (a) 2,190,989 --------------- AIRLINES -- 1.5% 48,311 Alaska Air Group, Inc. 3,120,407 174,841 JetBlue Airways Corp. (a) 3,467,097 50,641 SkyWest, Inc. 2,793,864 81,197 Spirit Airlines, Inc. (a) 3,334,761 --------------- 12,716,129 --------------- AUTO COMPONENTS -- 1.3% 75,451 BorgWarner, Inc. 2,587,215 9,408 Fox Factory Holding Corp. (a) 619,234 67,764 Gentex Corp. 2,017,334 210,420 Goodyear Tire & Rubber (The) Co. 2,762,815 23,855 Lear Corp. 2,938,459 --------------- 10,925,057 --------------- AUTOMOBILES -- 0.5% 52,806 Harley-Davidson, Inc. 1,763,720 26,436 Thor Industries, Inc. 2,128,627 --------------- 3,892,347 --------------- BANKS -- 9.1% 30,777 Ameris Bancorp 1,236,928 118,804 Associated Banc-Corp. 2,367,764 34,866 Atlantic Union Bankshares Corp. 1,174,636 41,681 BancorpSouth Bank 1,190,826 20,635 Bank of Hawaii Corp. 1,848,896 107,295 Bank OZK 2,916,278 53,716 BankUnited, Inc. 1,772,628 22,470 BOK Financial Corp. 1,772,883 51,611 Cathay General Bancorp 1,861,093 78,617 CenterState Bank Corp. 1,773,600 71,730 CIT Group, Inc. 3,278,778 32,179 Columbia Banking System, Inc. 1,245,327 9,637 Commerce Bancshares, Inc. 652,039 9,227 Community Bank System, Inc. 611,473 13,389 Cullen/Frost Bankers, Inc. 1,193,763 30,335 CVB Financial Corp. 630,058 53,768 East West Bancorp, Inc. 2,464,725 206,177 F.N.B. Corp. 2,406,086 3,690 First Citizens BancShares, Inc., Class A 1,943,966 18,651 First Financial Bankshares, Inc. 625,182 68,071 First Hawaiian, Inc. 1,978,143 118,589 First Horizon National Corp. 1,897,424 112,669 Fulton Financial Corp. 1,855,658 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 28,466 Glacier Bancorp, Inc. $ 1,206,104 44,756 Hancock Whitney Corp. 1,778,603 99,891 Home BancShares, Inc. 1,909,916 109,882 Investors Bancorp, Inc. 1,327,924 107,372 Old National Bancorp 1,923,033 85,524 PacWest Bancorp 2,997,616 116,204 People's United Financial, Inc. 1,791,866 40,912 Pinnacle Financial Partners, Inc. 2,416,263 44,568 Popular, Inc. 2,494,025 9,107 Prosperity Bancshares, Inc. 639,311 19,166 Signature Bank 2,719,464 15,092 South State Corp. 1,141,106 62,106 Sterling Bancorp 1,242,120 50,098 Synovus Financial Corp. 1,754,432 13,989 TCF Financial Corp. 591,455 19,074 UMB Financial Corp. 1,267,658 147,936 Umpqua Holdings Corp. 2,500,118 33,865 United Bankshares, Inc. 1,161,570 171,514 Valley National Bancorp 1,806,042 24,534 Webster Financial Corp. 1,100,595 22,969 Western Alliance Bancorp 1,268,578 27,697 Wintrust Financial Corp. 1,752,666 50,432 Zions Bancorp N.A. 2,294,152 --------------- 77,782,771 --------------- BEVERAGES -- 0.1% 3,466 Boston Beer (The) Co., Inc., Class A (a) 1,235,213 --------------- BIOTECHNOLOGY -- 2.5% 76,508 ACADIA Pharmaceuticals, Inc. (a) 3,055,730 13,710 Agios Pharmaceuticals, Inc. (a) 668,088 28,421 Alnylam Pharmaceuticals, Inc. (a) 3,262,447 67,210 Amicus Therapeutics, Inc. (a) 594,136 14,413 Arena Pharmaceuticals, Inc. (a) 658,530 51,602 Arrowhead Pharmaceuticals, Inc. (a) 2,162,640 53,741 CRISPR Therapeutics AG (a) 2,791,845 15,261 FibroGen, Inc. (a) 638,673 61,871 Immunomedics, Inc. (a) 1,148,944 15,241 Mirati Therapeutics, Inc. (a) 1,323,376 33,467 Moderna, Inc. (a) 686,408 30,449 Neurocrine Biosciences, Inc. (a) 3,047,336 27,258 PTC Therapeutics, Inc. (a) 1,403,787 --------------- 21,441,940 --------------- BUILDING PRODUCTS -- 1.1% 27,480 A.O. Smith Corp. 1,173,121 6,965 Armstrong World Industries, Inc. 698,799 20,037 Fortune Brands Home & Security, Inc. 1,376,742 50,262 Owens Corning 3,040,348 16,318 Simpson Manufacturing Co., Inc. 1,349,009 14,566 Trex Co., Inc. (a) 1,430,964 --------------- 9,068,983 --------------- Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS -- 2.5% 91,707 Ares Management Corp., Class A $ 3,306,954 42,062 Eaton Vance Corp. 1,924,336 43,782 Evercore, Inc., Class A 3,354,577 20,087 Federated Investors, Inc., Class B 727,752 145,630 Invesco Ltd. 2,519,399 32,764 Lazard Ltd., Class A 1,374,777 35,482 LPL Financial Holdings, Inc. 3,268,957 4,326 Morningstar, Inc. 678,706 29,991 SEI Investments Co. 1,957,213 43,172 Stifel Financial Corp. 2,792,797 --------------- 21,905,468 --------------- CHEMICALS -- 2.8% 44,811 Albemarle Corp. 3,597,427 42,769 Ashland Global Holdings, Inc. 3,164,051 21,534 Axalta Coating Systems Ltd. (a) 620,395 144,746 Chemours (The) Co. 2,007,627 108,380 Huntsman Corp. 2,228,293 2,691 NewMarket Corp. 1,183,017 189,741 Olin Corp. 2,821,449 24,661 Scotts Miracle-Gro (The) Co. 3,026,891 29,714 Sensient Technologies Corp. 1,775,411 30,576 Valvoline, Inc. 644,542 46,659 Westlake Chemical Corp. 2,855,531 --------------- 23,924,634 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.2% 17,359 ABM Industries, Inc. 662,072 412,743 ADT, Inc. (b) 2,559,007 28,877 Brink's (The) Co. 2,431,155 5,206 Cimpress PLC (a) (b) 622,794 38,171 Clean Harbors, Inc. (a) 3,138,420 120,169 KAR Auction Services, Inc. 2,525,952 15,540 MSA Safety, Inc. 2,107,224 22,794 Tetra Tech, Inc. 1,951,166 12,965 UniFirst Corp. 2,643,952 --------------- 18,641,742 --------------- COMMUNICATIONS EQUIPMENT -- 1.3% 46,001 Ciena Corp. (a) 1,870,861 9,377 F5 Networks, Inc. (a) 1,145,119 79,733 Juniper Networks, Inc. 1,829,075 41,275 Lumentum Holdings, Inc. (a) 3,127,407 17,319 Ubiquiti, Inc. 2,830,271 8,942 ViaSat, Inc. (a) 569,158 --------------- 11,371,891 --------------- CONSTRUCTION & ENGINEERING -- 1.1% 30,342 EMCOR Group, Inc. 2,493,202 40,812 MasTec, Inc. (a) 2,356,893 80,398 Quanta Services, Inc. 3,147,582 8,740 Valmont Industries, Inc. 1,241,604 --------------- 9,239,281 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CONSUMER FINANCE -- 1.5% 191,408 Navient Corp. $ 2,752,447 77,654 OneMain Holdings, Inc. 3,290,200 140,054 Santander Consumer USA Holdings, Inc. 3,728,237 293,879 SLM Corp. 3,209,159 --------------- 12,980,043 --------------- CONTAINERS & PACKAGING -- 1.9% 41,354 Berry Global Group, Inc. (a) 1,758,372 45,120 Crown Holdings, Inc. (a) 3,340,233 117,949 Graphic Packaging Holding Co. 1,843,543 23,380 Packaging Corp. of America 2,238,635 63,186 Silgan Holdings, Inc. 1,949,920 31,820 Sonoco Products Co. 1,818,195 76,276 WestRock Co. 2,974,764 --------------- 15,923,662 --------------- DISTRIBUTORS -- 0.4% 36,674 LKQ Corp. (a) 1,198,689 9,246 Pool Corp. 2,027,648 --------------- 3,226,337 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 34,534 Chegg, Inc. (a) 1,423,837 5,122 Graham Holdings Co., Class B 2,813,105 83,638 H&R Block, Inc. 1,940,401 12,358 Strategic Education, Inc. 2,005,580 --------------- 8,182,923 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 91,896 Jefferies Financial Group, Inc. 1,988,629 32,205 Voya Financial, Inc. 1,923,605 --------------- 3,912,234 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 29,842 Cogent Communications Holdings, Inc. 2,116,693 36,959 GCI Liberty, Inc., Class A (a) 2,704,660 26,567 Iridium Communications, Inc. (a) 678,787 --------------- 5,500,140 --------------- ELECTRIC UTILITIES -- 1.0% 32,259 ALLETE, Inc. 2,692,981 27,938 Hawaiian Electric Industries, Inc. 1,366,448 12,260 IDACORP, Inc. 1,375,449 46,935 Portland General Electric Co. 2,886,503 --------------- 8,321,381 --------------- ELECTRICAL EQUIPMENT -- 1.6% 18,974 Acuity Brands, Inc. 2,236,465 26,243 EnerSys 1,888,446 32,540 Generac Holdings, Inc. (a) 3,370,819 56,334 GrafTech International Ltd. 604,464 17,712 Hubbell, Inc. 2,536,890 38,232 Regal Beloit Corp. 2,999,683 --------------- 13,636,767 --------------- See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 61,697 Avnet, Inc. $ 2,251,323 23,361 Cognex Corp. 1,190,710 19,029 Dolby Laboratories, Inc., Class A 1,319,471 25,144 FLIR Systems, Inc. 1,295,922 9,034 IPG Photonics Corp. (a) 1,153,371 31,677 Jabil, Inc. 1,231,918 3,422 Littelfuse, Inc. 605,386 20,330 SYNNEX Corp. 2,800,661 --------------- 11,848,762 --------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 43,228 Helmerich & Payne, Inc. 1,752,895 --------------- ENTERTAINMENT -- 0.8% 58,015 Cinemark Holdings, Inc. 1,828,053 2,226 Madison Square Garden (The) Co., Class A (a) 659,319 24,444 Roku, Inc. (a) 2,956,502 213,924 Zynga, Inc., Class A (a) 1,287,822 --------------- 6,731,696 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.0% 24,977 American Homes 4 Rent, Class A 682,621 201,420 Apple Hospitality REIT, Inc. 3,025,328 90,877 Brixmor Property Group, Inc. 1,813,905 22,281 Corporate Office Properties Trust 663,305 15,889 Cousins Properties, Inc. 650,337 14,911 Douglas Emmett, Inc. 618,806 4,935 EastGroup Properties, Inc. 671,505 99,696 Equity Commonwealth 3,269,032 31,541 First Industrial Realty Trust, Inc. 1,346,801 45,618 Gaming and Leisure Properties, Inc. 2,155,679 26,767 Highwoods Properties, Inc. 1,341,294 17,387 Hudson Pacific Properties, Inc. 631,844 15,605 Kilroy Realty Corp. 1,288,505 14,668 Lamar Advertising Co., Class A 1,361,337 72,951 Macerich (The) Co. (b) 1,627,537 31,010 Medical Properties Trust, Inc. 686,872 48,815 Outfront Media, Inc. 1,451,758 141,080 Paramount Group, Inc. 1,983,585 101,215 Park Hotels & Resorts, Inc. 2,220,657 48,834 Pebblebrook Hotel Trust 1,158,342 28,669 Rexford Industrial Realty, Inc. 1,381,559 147,767 RLJ Lodging Trust 2,299,255 22,661 Ryman Hospitality Properties, Inc. 1,926,865 30,674 Sabra Health Care REIT, Inc. 659,491 107,622 Service Properties Trust 2,322,483 14,250 SL Green Realty Corp. 1,311,570 17,578 STORE Capital Corp. 689,937 SHARES DESCRIPTION VALUE --------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 235,133 Sunstone Hotel Investors, Inc. $ 2,981,486 12,090 Terreno Realty Corp. 692,273 --------------- 42,913,969 --------------- FOOD & STAPLES RETAILING -- 0.3% 28,786 BJ's Wholesale Club Holdings, Inc. (a) 590,689 4,117 Casey's General Stores, Inc. 662,261 31,254 US Foods Holding Corp. (a) 1,255,473 --------------- 2,508,423 --------------- FOOD PRODUCTS -- 1.0% 69,936 Darling Ingredients, Inc. (a) 1,897,364 60,221 Flowers Foods, Inc. 1,296,558 28,172 Ingredion, Inc. 2,479,136 3,551 J&J Snack Foods Corp. 588,898 4,088 Lancaster Colony Corp. 632,209 40,019 Pilgrim's Pride Corp. (a) 1,042,495 3,715 Sanderson Farms, Inc. 511,518 --------------- 8,448,178 --------------- GAS UTILITIES -- 0.9% 70,328 National Fuel Gas Co. 3,037,466 29,375 New Jersey Resources Corp. 1,213,775 19,850 South Jersey Industries, Inc. 611,380 23,571 Spire, Inc. 1,987,507 28,990 UGI Corp. 1,205,694 --------------- 8,055,822 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9% 44,472 Globus Medical, Inc., Class A (a) 2,324,996 11,533 Hill-Rom Holdings, Inc. 1,228,149 15,294 Insulet Corp. (a) 2,967,648 4,141 Masimo Corp. (a) 706,455 38,840 Novocure Ltd. (a) 3,163,906 33,856 NuVasive, Inc. (a) 2,610,975 11,955 Penumbra, Inc. (a) 2,097,624 21,963 Tandem Diabetes Care, Inc. (a) 1,670,067 --------------- 16,769,820 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.9% 19,609 Amedisys, Inc. (a) 3,460,792 4,472 Chemed Corp. 2,088,603 9,450 Encompass Health Corp. 727,934 14,429 Ensign Group (The), Inc. 652,191 25,132 Guardant Health, Inc. (a) 1,911,037 26,513 HealthEquity, Inc. (a) 1,751,449 23,760 LHC Group, Inc. (a) 3,463,020 19,297 Molina Healthcare, Inc. (a) 2,372,952 --------------- 16,427,978 --------------- HEALTH CARE TECHNOLOGY -- 0.5% 8,010 Omnicell, Inc. (a) 651,053 39,096 Teladoc Health, Inc. (a) 3,976,454 --------------- 4,627,507 --------------- Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 3.4% 30,166 Aramark $ 1,331,527 65,592 Boyd Gaming Corp. 1,957,921 18,986 Choice Hotels International, Inc. 1,902,397 23,855 Churchill Downs, Inc. 3,444,185 12,774 Cracker Barrel Old Country Store, Inc. 1,953,528 54,880 Eldorado Resorts, Inc. (a) (b) 3,280,727 76,140 Hilton Grand Vacations, Inc. (a) 2,429,627 29,187 Hyatt Hotels Corp., Class A 2,467,469 5,084 Marriott Vacations Worldwide Corp. 611,300 26,296 Planet Fitness, Inc., Class A (a) 2,124,454 23,247 Texas Roadhouse, Inc. 1,452,938 117,896 Wendy's (The) Co. 2,554,806 12,663 Wyndham Destinations, Inc. 614,535 52,109 Wyndham Hotels & Resorts, Inc. 2,979,072 --------------- 29,104,486 --------------- HOUSEHOLD DURABLES -- 2.7% 14,563 Helen of Troy Ltd. (a) 2,753,135 12,878 Leggett & Platt, Inc. 612,864 24,000 Mohawk Industries, Inc. (a) 3,160,320 84,356 PulteGroup, Inc. 3,766,496 37,596 Tempur Sealy International, Inc. (a) 3,444,546 82,840 Toll Brothers, Inc. 3,674,782 31,753 TopBuild Corp. (a) 3,636,036 17,748 Whirlpool Corp. 2,594,225 --------------- 23,642,404 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 16,470 NRG Energy, Inc. 607,578 17,568 Ormat Technologies, Inc. 1,392,440 85,069 TerraForm Power, Inc., Class A 1,538,898 --------------- 3,538,916 --------------- INDUSTRIAL CONGLOMERATES -- 0.4% 20,224 Carlisle Cos., Inc. 3,159,596 --------------- INSURANCE -- 5.0% 11,940 American Financial Group, Inc. 1,298,953 22,251 American National Insurance Co. 2,451,170 4,995 Assurant, Inc. 652,147 53,416 Assured Guaranty Ltd. 2,448,589 69,596 Athene Holding Ltd., Class A (a) 3,031,602 11,013 Axis Capital Holdings Ltd. 707,585 83,432 Brighthouse Financial, Inc. (a) 3,245,505 15,822 Enstar Group Ltd. (a) 3,089,878 56,123 First American Financial Corp. 3,478,504 9,580 Hanover Insurance Group (The), Inc. 1,327,596 16,894 Kemper Corp. 1,257,251 53,735 Mercury General Corp. 2,637,851 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE (CONTINUED) 148,102 National General Holdings Corp. $ 3,224,181 117,051 Old Republic International Corp. 2,639,500 10,028 Primerica, Inc. 1,188,920 13,358 RenaissanceRe Holdings Ltd. 2,530,540 30,126 Selective Insurance Group, Inc. 1,995,848 112,245 Unum Group 2,995,819 2,346 White Mountains Insurance Group Ltd. 2,620,998 --------------- 42,822,437 --------------- INTERACTIVE MEDIA & SERVICES -- 0.5% 18,609 Cargurus, Inc. (a) 663,411 31,888 Match Group, Inc. (a) (b) 2,494,279 43,094 TripAdvisor, Inc. 1,177,328 --------------- 4,335,018 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.2% 155,306 Qurate Retail, Inc., Series A (a) 1,324,760 --------------- IT SERVICES -- 2.3% 10,151 Black Knight, Inc. (a) 679,305 5,238 CACI International, Inc., Class A (a) 1,400,851 4,154 Euronet Worldwide, Inc. (a) 654,837 62,094 Genpact Ltd. 2,748,901 42,925 KBR, Inc. 1,167,560 68,089 LiveRamp Holdings, Inc. (a) 2,739,901 26,400 MAXIMUS, Inc. 1,894,200 9,947 MongoDB, Inc. (a) 1,630,413 74,277 Perspecta, Inc. 2,084,955 7,522 Science Applications International Corp. 660,206 97,775 Western Union (The) Co. 2,630,148 6,249 WEX, Inc. (a) 1,355,533 --------------- 19,646,810 --------------- LEISURE PRODUCTS -- 0.5% 12,873 Polaris, Inc. 1,182,256 94,106 YETI Holdings, Inc. (a) (b) 3,421,694 --------------- 4,603,950 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.7% 5,307 Bio-Rad Laboratories, Inc., Class A (a) 1,915,402 2,983 Bio-Techne Corp. 626,340 38,529 Bruker Corp. 1,906,030 17,141 Charles River Laboratories International, Inc. (a) 2,649,656 31,149 Medpace Holdings, Inc. (a) 2,664,797 17,670 PRA Health Sciences, Inc. (a) 1,790,148 21,231 Repligen Corp. (a) 2,131,380 11,007 Syneos Health, Inc. (a) 675,390 --------------- 14,359,143 --------------- See Notes to Financial Statements Page 41 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY -- 3.7% 33,896 AGCO Corp. $ 2,377,465 13,546 Allison Transmission Holdings, Inc. 598,733 30,313 Crane Co. 2,590,549 34,082 Donaldson Co., Inc. 1,767,152 13,152 Flowserve Corp. 613,935 53,541 Gardner Denver Holdings, Inc. (a) 1,890,533 12,587 Graco, Inc. 668,999 17,712 ITT, Inc. 1,188,121 17,433 John Bean Technologies Corp. 1,969,755 13,537 Lincoln Electric Holdings, Inc. 1,207,230 22,619 Navistar International Corp. (a) 828,308 8,040 Nordson Corp. 1,357,634 34,580 Oshkosh Corp. 2,975,263 60,203 Rexnord Corp. (a) 1,965,628 15,458 Snap-on, Inc. 2,467,561 46,499 Timken (The) Co. 2,442,593 32,865 Toro (The) Co. 2,629,857 22,107 Woodward, Inc. 2,571,265 --------------- 32,110,581 --------------- MARINE -- 0.1% 14,623 Kirby Corp. (a) 1,071,720 --------------- MEDIA -- 2.1% 1,760 Cable One, Inc. 2,999,093 73,820 DISH Network Corp., Class A (a) 2,713,623 85,016 Interpublic Group of Cos. (The), Inc. 1,929,863 134,556 Liberty Latin America Ltd., Class C (a) 2,267,269 40,697 New York Times (The) Co., Class A 1,302,711 22,330 Nexstar Media Group, Inc., Class A 2,705,280 19,636 Sinclair Broadcast Group, Inc., Class A 587,509 196,108 TEGNA, Inc. 3,314,225 --------------- 17,819,573 --------------- METALS & MINING -- 0.8% 77,931 Cleveland-Cliffs, Inc. (b) 547,076 27,330 Reliance Steel & Aluminum Co. 3,137,484 5,354 Royal Gold, Inc. 617,423 96,153 Steel Dynamics, Inc. 2,873,052 --------------- 7,175,035 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.2% 143,162 Apollo Commercial Real Estate Finance, Inc. 2,617,001 17,588 Blackstone Mortgage Trust, Inc., Class A 671,862 31,840 Chimera Investment Corp. 675,008 342,279 MFA Financial, Inc. 2,669,776 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 40,632 New Residential Investment Corp. $ 680,180 26,331 Starwood Property Trust, Inc. 675,653 179,100 Two Harbors Investment Corp. 2,733,066 --------------- 10,722,546 --------------- MULTILINE RETAIL -- 0.9% 64,241 Kohl's Corp. 2,746,303 192,533 Macy's, Inc. 3,070,901 47,979 Nordstrom, Inc. 1,768,506 --------------- 7,585,710 --------------- MULTI-UTILITIES -- 1.0% 54,449 Avista Corp. 2,768,731 88,134 MDU Resources Group, Inc. 2,609,648 36,534 NorthWestern Corp. 2,812,022 --------------- 8,190,401 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.6% 76,740 Apache Corp. 2,105,746 3,964,457 Chesapeake Energy Corp. (a) 2,029,009 62,354 Cimarex Energy Co. 2,736,717 97,616 Delek US Holdings, Inc. 2,680,535 240,223 EQT Corp. 1,453,349 64,543 HollyFrontier Corp. 2,899,272 122,128 Murphy Oil Corp. 2,559,803 69,234 Parsley Energy, Inc., Class A 1,152,054 41,735 PBF Energy, Inc., Class A 1,139,365 16,032 Targa Resources Corp. 585,168 238,214 WPX Energy, Inc. (a) 2,846,657 --------------- 22,187,675 --------------- PAPER & FOREST PRODUCTS -- 0.1% 22,064 Louisiana-Pacific Corp. 676,924 --------------- PERSONAL PRODUCTS -- 0.2% 116,375 Coty, Inc., Class A 1,194,008 13,733 Herbalife Nutrition Ltd. (a) 533,527 --------------- 1,727,535 --------------- PHARMACEUTICALS -- 1.2% 34,881 Catalent, Inc. (a) 2,131,229 72,334 Horizon Therapeutics PLC (a) 2,494,800 21,925 Jazz Pharmaceuticals PLC (a) 3,142,949 50,685 Perrigo Co. PLC 2,891,072 --------------- 10,660,050 --------------- PROFESSIONAL SERVICES -- 1.3% 27,672 ASGN, Inc. (a) 1,873,117 9,486 Exponent, Inc. 690,296 29,578 FTI Consulting, Inc. (a) 3,551,135 26,965 ManpowerGroup, Inc. 2,467,028 31,100 Robert Half International, Inc. 1,809,087 11,565 TriNet Group, Inc. (a) 659,899 --------------- 11,050,562 --------------- Page 42 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 10,326 Howard Hughes (The) Corp. (a) $ 1,256,468 11,281 Jones Lang LaSalle, Inc. 1,915,739 --------------- 3,172,207 --------------- ROAD & RAIL -- 1.1% 6,966 AMERCO 2,586,267 60,911 Avis Budget Group, Inc. (a) 1,997,881 36,529 Knight-Swift Transportation Holdings, Inc. 1,354,495 11,702 Landstar System, Inc. 1,295,996 48,211 Ryder System, Inc. 2,300,629 --------------- 9,535,268 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.8% 31,201 Brooks Automation, Inc. 1,188,134 18,145 Cabot Microelectronics Corp. 2,640,279 7,942 Cirrus Logic, Inc. (a) 610,025 125,261 Enphase Energy, Inc. (a) 3,948,227 52,276 Entegris, Inc. 2,705,806 5,951 MKS Instruments, Inc. 623,784 11,032 Monolithic Power Systems, Inc. 1,888,347 53,701 ON Semiconductor Corp. (a) 1,243,178 5,632 Qorvo, Inc. (a) 596,203 --------------- 15,443,983 --------------- SOFTWARE -- 5.9% 69,116 ACI Worldwide, Inc. (a) 2,381,046 6,541 Alteryx, Inc., Class A (a) 912,273 37,477 Anaplan, Inc. (a) 2,158,300 5,413 Aspen Technology, Inc. (a) 644,039 26,810 Avalara, Inc. (a) 2,282,603 11,972 CDK Global, Inc. 642,657 38,575 Ceridian HCM Holding, Inc. (a) 2,827,162 17,905 Coupa Software, Inc. (a) 2,885,391 44,165 DocuSign, Inc. (a) 3,467,394 18,802 Envestnet, Inc. (a) 1,482,914 16,767 Everbridge, Inc. (a) 1,519,761 39,602 FireEye, Inc. (a) 632,840 49,908 Five9, Inc. (a) 3,579,901 13,972 j2 Global, Inc. 1,339,356 16,418 Manhattan Associates, Inc. (a) 1,403,082 30,179 Mimecast Ltd. (a) 1,540,034 146,856 Nuance Communications, Inc. (a) 2,778,516 20,940 Nutanix, Inc., Class A (a) 679,922 27,091 Paylocity Holding Corp. (a) 3,843,942 24,656 Pegasystems, Inc. 2,125,594 10,924 PROS Holdings, Inc. (a) 655,440 16,148 Q2 Holdings, Inc. (a) 1,407,944 35,055 Rapid7, Inc. (a) 2,081,566 43,719 Smartsheet, Inc., Class A (a) 2,119,497 8,727 Tyler Technologies, Inc. (a) 2,824,755 35,475 Verint Systems, Inc. (a) 2,057,550 8,542 Zendesk, Inc. (a) 738,029 --------------- 51,011,508 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL -- 3.4% 11,462 Aaron's, Inc. $ 680,384 222,656 American Eagle Outfitters, Inc. 3,206,247 67,305 AutoNation, Inc. (a) 2,856,424 35,557 Carvana Co. (a) 2,817,892 10,240 Five Below, Inc. (a) 1,159,373 51,535 Floor & Decor Holdings, Inc., Class A (a) 2,541,191 83,946 Foot Locker, Inc. 3,187,430 185,127 Gap (The), Inc. 3,223,061 36,127 L Brands, Inc. 836,701 17,812 Lithia Motors, Inc., Class A 2,416,020 16,784 Murphy USA, Inc. (a) 1,714,821 65,175 Penske Automotive Group, Inc. 3,061,270 26,739 Williams-Sonoma, Inc. 1,873,869 --------------- 29,574,683 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 18,619 NCR Corp. (a) 627,833 38,259 Pure Storage, Inc., Class A (a) 681,010 88,772 Xerox Holdings Corp. 3,157,620 --------------- 4,466,463 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.7% 11,974 Carter's, Inc. 1,270,082 13,066 Columbia Sportswear Co. 1,227,159 11,629 Deckers Outdoor Corp. (a) 2,220,092 176,325 Hanesbrands, Inc. 2,426,232 31,126 PVH Corp. 2,713,253 16,753 Ralph Lauren Corp. 1,901,466 45,470 Skechers U.S.A., Inc., Class A (a) 1,700,123 30,439 Steven Madden Ltd. 1,173,728 --------------- 14,632,135 --------------- THRIFTS & MORTGAGE FINANCE -- 1.3% 37,772 Essent Group Ltd. 1,873,869 2,157 LendingTree, Inc. (a) 671,259 230,984 MGIC Investment Corp. 3,185,269 163,379 New York Community Bancorp, Inc. 1,806,972 104,070 Radian Group, Inc. 2,548,674 35,723 Washington Federal, Inc. 1,214,582 --------------- 11,300,625 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.2% 68,878 Air Lease Corp. 2,957,621 31,603 GATX Corp. 2,405,936 48,828 HD Supply Holdings, Inc. (a) 1,989,253 33,368 MSC Industrial Direct Co., Inc., Class A 2,271,360 3,634 Watsco, Inc. 632,025 --------------- 10,256,195 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.3% 61,122 Macquarie Infrastructure Corp. 2,696,091 --------------- See Notes to Financial Statements Page 43 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) WATER UTILITIES -- 0.1% 7,556 American States Water Co. $ 669,159 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 128,710 Telephone & Data Systems, Inc. 2,919,143 --------------- TOTAL COMMON STOCKS -- 99.9% 857,774,266 (Cost $803,500,807) --------------- MONEY MARKET FUNDS -- 0.3% 1,852,213 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) 1,852,213 1,195,371 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 1,195,371 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 3,047,584 (Cost $3,047,584) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.0% $ 8,539,818 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $8,540,928. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $8,719,908. (d) 8,539,818 (Cost $8,539,818) --------------- TOTAL INVESTMENTS -- 101.2% 869,361,668 (Cost $815,088,209) (e) NET OTHER ASSETS AND LIABILITIES -- (1.2)% (10,588,362) --------------- NET ASSETS -- 100.0% $ 858,773,306 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $9,901,660 and the total value of the collateral held by the Fund is $10,392,031. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $96,533,245 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $42,259,786. The net unrealized appreciation was $54,273,459. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 857,774,266 $ -- $ -- Money Market Funds 3,047,584 -- -- Repurchase Agreements -- 8,539,818 -- --------------------------------------------- Total Investments $ 860,821,850 $ 8,539,818 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 44 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 9,901,660 Non-cash Collateral(2) (9,901,660) --------------- 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 January 31, 2020, 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) $ 8,539,818 Non-cash Collateral(4) (8,539,818) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 45 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.9% 7,944 AAR Corp. $ 338,256 5,804 AeroVironment, Inc. (a) 386,604 64,101 Astronics Corp. (a) 1,615,345 11,272 Cubic Corp. 735,949 8,399 Moog, Inc., Class A 752,634 56,718 Triumph Group, Inc. 1,158,749 --------------- 4,987,537 --------------- AIR FREIGHT & LOGISTICS -- 1.0% 45,821 Air Transport Services Group, Inc. (a) 960,866 64,984 Atlas Air Worldwide Holdings, Inc. (a) 1,452,393 20,489 Forward Air Corp. 1,341,005 34,930 Hub Group, Inc., Class A (a) 1,846,749 --------------- 5,601,013 --------------- AIRLINES -- 0.6% 8,236 Allegiant Travel Co. 1,383,978 61,166 Hawaiian Holdings, Inc. 1,705,308 --------------- 3,089,286 --------------- AUTO COMPONENTS -- 1.9% 133,203 American Axle & Manufacturing Holdings, Inc. (a) 1,230,796 49,852 Cooper Tire & Rubber Co. 1,320,579 54,028 Cooper-Standard Holdings, Inc. (a) 1,432,823 98,439 Dana, Inc. 1,516,945 35,868 Garrett Motion, Inc. (a) 302,009 8,073 Gentherm, Inc. (a) 372,246 10,033 LCI Industries 1,083,263 13,466 Standard Motor Products, Inc. 654,178 61,105 Stoneridge, Inc. (a) 1,702,385 4,137 Visteon Corp. (a) 330,174 --------------- 9,945,398 --------------- AUTOMOBILES -- 0.2% 20,289 Winnebago Industries, Inc. 1,111,026 --------------- BANKS -- 8.3% 20,720 1st Source Corp. 977,777 17,215 BancFirst Corp. 995,027 18,996 Banner Corp. 979,244 21,796 Berkshire Hills Bancorp, Inc. 613,557 119,141 Boston Private Financial Holdings, Inc. 1,358,207 43,538 Brookline Bancorp, Inc. 661,778 79,056 Cadence BanCorp 1,235,645 8,745 City Holding Co. 661,822 29,474 Eagle Bancorp, Inc. 1,288,014 14,866 Enterprise Financial Services Corp. 646,820 9,051 FB Financial Corp. (b) 322,668 26,934 First Bancorp 955,618 67,671 First BanCorp 627,310 26,059 First Busey Corp. 664,504 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 74,083 First Commonwealth Financial Corp. $ 1,001,602 56,339 First Financial Bancorp 1,354,390 17,096 First Interstate BancSystem, Inc., Class A 658,196 17,231 First Merchants Corp. 684,932 46,615 First Midwest Bancorp, Inc. 929,503 41,257 Great Western Bancorp, Inc. 1,219,144 28,814 Heartland Financial USA, Inc. 1,409,293 25,322 Heritage Financial Corp. 652,801 57,493 Hilltop Holdings, Inc. 1,301,641 96,452 Hope Bancorp, Inc. 1,341,165 8,609 Independent Bank Corp. 621,570 12,927 Independent Bank Group, Inc. 691,853 24,959 International Bancshares Corp. 983,385 14,646 Lakeland Financial Corp. 694,806 10,174 National Bank Holdings Corp., Class A 331,672 17,668 NBT Bancorp, Inc. 667,674 15,177 OFG Bancorp 299,139 32,970 Pacific Premier Bancorp, Inc. 982,506 7,000 Park National Corp. 664,790 40,464 Renasant Corp. 1,292,016 17,788 S&T Bancorp, Inc. 668,651 28,378 Sandy Spring Bancorp, Inc. 987,554 35,164 Seacoast Banking Corp. of Florida (a) 954,703 28,528 ServisFirst Bancshares, Inc. 1,048,404 53,501 Simmons First National Corp., Class A 1,282,954 19,296 Southside Bancshares, Inc. 676,904 26,181 Stock Yards Bancorp, Inc. 1,014,252 11,747 Tompkins Financial Corp. 1,011,299 38,640 TowneBank 1,025,892 26,341 TriCo Bancshares 958,812 31,149 Trustmark Corp. 996,145 34,811 United Community Banks, Inc. 971,923 49,202 Veritex Holdings, Inc. 1,393,401 13,322 Washington Trust Bancorp, Inc. 630,530 18,964 WesBanco, Inc. 628,088 5,288 Westamerica Bancorporation 335,048 --------------- 44,354,629 --------------- BEVERAGES -- 0.2% 2,523 Coca-Cola Consolidated, Inc. 683,253 14,046 National Beverage Corp. (a) (b) 602,714 --------------- 1,285,967 --------------- BIOTECHNOLOGY -- 3.4% 27,033 Acceleron Pharma, Inc. (a) 2,454,056 20,570 Denali Therapeutics, Inc. (a) (b) 476,401 81,326 Dicerna Pharmaceuticals, Inc. (a) 1,605,782 24,203 Editas Medicine, Inc. (a) 639,685 13,284 Emergent BioSolutions, Inc. (a) 731,816 72,828 Epizyme, Inc. (a) 1,524,290 54,928 Fate Therapeutics, Inc. (a) 1,392,974 Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 45,743 Heron Therapeutics, Inc. (a) $ 954,199 11,567 Intercept Pharmaceuticals, Inc. (a) 1,068,906 134,604 Ironwood Pharmaceuticals, Inc. (a) 1,626,016 54,483 Momenta Pharmaceuticals, Inc. (a) 1,581,097 21,272 Natera, Inc. (a) 744,733 15,005 Portola Pharmaceuticals, Inc. (a) (b) 191,914 32,705 Principia Biopharma, Inc. (a) 1,721,918 5,000 uniQure N.V. (a) 287,800 38,502 Veracyte, Inc. (a) 1,010,678 --------------- 18,012,265 --------------- BUILDING PRODUCTS -- 3.0% 14,505 AAON, Inc. 760,642 36,902 Advanced Drainage Systems, Inc. 1,534,016 13,714 American Woodmark Corp. (a) 1,503,740 44,102 Apogee Enterprises, Inc. 1,403,326 42,305 Builders FirstSource, Inc. (a) 1,048,953 18,614 CSW Industrials, Inc. 1,412,430 14,207 Gibraltar Industries, Inc. (a) 774,566 76,531 JELD-WEN Holding, Inc. (a) 1,827,560 27,337 Patrick Industries, Inc. 1,418,244 96,129 PGT Innovations, Inc. (a) 1,490,000 120,141 Resideo Technologies, Inc. (a) 1,223,035 30,047 Universal Forest Products, Inc. 1,439,251 --------------- 15,835,763 --------------- CAPITAL MARKETS -- 1.9% 11,086 Artisan Partners Asset Management, Inc., Class A 370,272 36,268 Bain Capital Specialty Finance, Inc. 718,106 60,322 BGC Partners, Inc., Class A 348,058 27,414 Blucora, Inc. (a) 618,186 17,129 Cohen & Steers, Inc. 1,267,203 48,634 Focus Financial Partners, Inc., Class A (a) 1,373,911 6,011 Hamilton Lane, Inc., Class A 390,414 21,997 Houlihan Lokey, Inc. 1,140,544 22,451 Moelis & Co., Class A 808,236 8,964 Piper Sandler Cos. 738,903 15,880 PJT Partners, Inc., Class A 730,798 107,152 Waddell & Reed Financial, Inc., Class A 1,712,289 --------------- 10,216,920 --------------- CHEMICALS -- 2.6% 22,621 Cabot Corp. 901,447 3,025 Chase Corp. 278,209 61,355 Element Solutions, Inc. (a) 717,854 48,323 Ferro Corp. (a) 661,059 15,777 GCP Applied Technologies, Inc. (a) 350,565 20,844 H.B. Fuller Co. 963,201 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CHEMICALS (CONTINUED) 13,855 Innospec, Inc. $ 1,395,614 70,757 Kraton Corp. (a) 1,163,953 106,960 Kronos Worldwide, Inc. 1,159,446 167,635 Livent Corp. (a) 1,577,445 31,087 Minerals Technologies, Inc. 1,682,739 9,740 PolyOne Corp. 323,173 41,713 PQ Group Holdings, Inc. (a) 638,626 10,494 Stepan Co. 1,035,233 38,519 Trinseo S.A. 1,106,266 --------------- 13,954,830 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.6% 191,409 ACCO Brands Corp. 1,653,774 12,515 Brady Corp., Class A 692,955 84,960 BrightView Holdings, Inc. (a) 1,342,368 23,354 Casella Waste Systems, Inc., Class A (a) 1,195,491 31,144 Harsco Corp. (a) 464,045 29,468 Healthcare Services Group, Inc. 754,381 17,206 Herman Miller, Inc. 665,012 38,261 HNI Corp. 1,376,248 42,555 Knoll, Inc. 1,053,662 9,387 Matthews International Corp., Class A 350,323 18,725 McGrath RentCorp 1,447,817 28,355 Mobile Mini, Inc. 1,183,538 70,052 Steelcase, Inc., Class A 1,303,668 5,307 Viad Corp. 344,955 --------------- 13,828,237 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 24,819 EchoStar Corp., Class A (a) 990,402 97,237 Extreme Networks, Inc. (a) 573,698 6,575 InterDigital, Inc. 363,269 14,620 NETGEAR, Inc. (a) 376,027 29,773 NetScout Systems, Inc. (a) 765,464 13,107 Plantronics, Inc. 376,433 --------------- 3,445,293 --------------- CONSTRUCTION & ENGINEERING -- 1.5% 40,215 Arcosa, Inc. 1,759,406 21,564 Comfort Systems USA, Inc. 1,000,570 30,398 Dycom Industries, Inc. (a) 1,228,687 12,950 Granite Construction, Inc. 351,333 80,557 Primoris Services Corp. 1,718,281 96,895 WillScot Corp. (a) 1,826,471 --------------- 7,884,748 --------------- CONSTRUCTION MATERIALS -- 0.1% 14,993 Summit Materials, Inc., Class A (a) 329,396 --------------- CONSUMER FINANCE -- 1.4% 50,668 Encore Capital Group, Inc. (a) 1,720,179 74,463 Enova International, Inc. (a) 1,866,043 76,892 Green Dot Corp., Class A (a) 2,312,911 See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE (CONTINUED) 28,393 LendingClub Corp. (a) $ 332,766 6,153 Nelnet, Inc., Class A 352,321 19,743 PRA Group, Inc. (a) 698,112 --------------- 7,282,332 --------------- CONTAINERS & PACKAGING -- 0.3% 32,428 Greif, Inc., Class A 1,310,740 30,035 O-I Glass, Inc. 379,041 --------------- 1,689,781 --------------- DISTRIBUTORS -- 0.2% 39,535 Core-Mark Holding Co., Inc. 926,700 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 51,233 Adtalem Global Education, Inc. (a) 1,768,051 81,389 Laureate Education, Inc., Class A (a) 1,696,147 58,453 Perdoceo Education Corp. (a) 1,039,294 9,378 WW International, Inc. (a) 309,286 --------------- 4,812,778 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 38,540 Cannae Holdings, Inc. (a) 1,567,036 67,289 FGL Holdings 649,339 --------------- 2,216,375 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 19,406 ATN International, Inc. 1,123,025 --------------- ELECTRIC UTILITIES -- 0.1% 4,546 MGE Energy, Inc. 363,362 --------------- ELECTRICAL EQUIPMENT -- 1.1% 44,282 Atkore International Group, Inc. (a) 1,757,996 31,193 AZZ, Inc. 1,287,023 24,969 Encore Wire Corp. 1,356,066 25,946 Sunrun, Inc. (a) 441,860 148,065 Vivint Solar, Inc. (a) (b) 1,208,211 --------------- 6,051,156 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.0% 87,523 AVX Corp. 1,774,091 11,038 Badger Meter, Inc. 651,904 41,713 Benchmark Electronics, Inc. 1,283,926 35,820 CTS Corp. 1,049,884 12,754 ePlus, Inc. (a) 1,016,749 16,579 Fabrinet (a) 1,045,140 21,285 II-VI, Inc. (a) 716,240 15,293 Insight Enterprises, Inc. (a) 1,007,350 21,340 Itron, Inc. (a) 1,744,545 67,768 Knowles Corp. (a) 1,337,063 45,529 Methode Electronics, Inc. 1,491,075 7,460 MTS Systems Corp. 378,147 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 7,113 OSI Systems, Inc. (a) $ 615,559 9,313 Plexus Corp. (a) 662,341 41,859 Sanmina Corp. (a) 1,332,791 48,486 ScanSource, Inc. (a) 1,691,676 119,043 TTM Technologies, Inc. (a) 1,713,029 84,151 Vishay Intertechnology, Inc. 1,707,424 --------------- 21,218,934 --------------- ENERGY EQUIPMENT & SERVICES -- 1.6% 142,757 Archrock, Inc. 1,192,021 20,881 Cactus, Inc., Class A 601,790 9,511 Core Laboratories N.V. 334,121 49,836 Diamond Offshore Drilling, Inc. (a) (b) 230,741 148,835 Helix Energy Solutions Group, Inc. (a) 1,241,284 497,664 Nabors Industries Ltd. 1,030,165 48,065 Oceaneering International, Inc. (a) 596,487 43,938 Oil States International, Inc. (a) 473,652 68,251 Patterson-UTI Energy, Inc. 541,913 63,701 ProPetro Holding Corp. (a) 620,448 136,763 RPC, Inc. (b) 619,536 33,216 SEACOR Holdings, Inc. (a) 1,248,589 --------------- 8,730,747 --------------- ENTERTAINMENT -- 0.1% 59,227 Glu Mobile, Inc. (a) 349,439 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.5% 17,096 Alexander & Baldwin, Inc. 373,719 27,023 American Finance Trust, Inc. 350,488 22,750 Brandywine Realty Trust 355,355 17,137 Columbia Property Trust, Inc. 361,591 103,084 CoreCivic, Inc. 1,644,190 129,357 DiamondRock Hospitality Co. 1,250,882 84,909 Diversified Healthcare Trust 655,497 60,399 Easterly Government Properties, Inc. 1,462,260 51,335 Empire State Realty Trust, Inc., Class A 696,103 28,885 Essential Properties Realty Trust, Inc. 797,515 86,290 GEO Group (The), Inc. 1,363,382 53,005 Global Net Lease, Inc. 1,098,794 22,270 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 759,184 50,897 Independence Realty Trust, Inc. 746,659 31,964 Industrial Logistics Properties Trust 731,656 4,723 Innovative Industrial Properties, Inc. 422,708 18,348 Kite Realty Group Trust 315,586 77,457 Mack-Cali Realty Corp. 1,700,956 Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 21,315 National Storage Affiliates Trust $ 727,907 7,962 NexPoint Residential Trust, Inc. 388,546 33,447 Office Properties Income Trust 1,138,201 32,223 Piedmont Office Realty Trust, Inc., Class A 747,251 8,280 PotlatchDeltic Corp. 356,040 6,602 QTS Realty Trust, Inc., Class A 375,522 26,739 Retail Properties of America, Inc., Class A 324,879 47,648 RPT Realty 664,690 26,675 Safehold, Inc. 1,199,308 76,672 SITE Centers Corp. 974,501 145,186 Summit Hotel Properties, Inc. 1,610,113 97,304 Tanger Factory Outlet Centers, Inc. (b) 1,423,557 12,213 Universal Health Realty Income Trust 1,506,473 56,046 Urban Edge Properties 1,030,686 12,279 Washington Real Estate Investment Trust 373,773 82,906 Xenia Hotels & Resorts, Inc. 1,549,513 --------------- 29,477,485 --------------- FOOD & STAPLES RETAILING -- 1.1% 70,871 Andersons (The), Inc. 1,603,102 28,207 Chefs' Warehouse (The), Inc. (a) 1,026,735 10,091 PriceSmart, Inc. 618,174 55,554 Sprouts Farmers Market, Inc. (a) 868,309 44,249 Weis Markets, Inc. 1,623,496 --------------- 5,739,816 --------------- FOOD PRODUCTS -- 1.1% 99,922 B&G Foods, Inc. (b) 1,604,747 3,955 Calavo Growers, Inc. 302,993 40,975 Fresh Del Monte Produce, Inc. 1,285,795 30,320 Freshpet, Inc. (a) 1,906,522 24,643 Hostess Brands, Inc. (a) 330,709 25,110 Simply Good Foods (The) Co. (a) 576,777 --------------- 6,007,543 --------------- GAS UTILITIES -- 0.1% 4,859 Northwest Natural Holding Co. 356,553 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.8% 22,043 AtriCure, Inc. (a) 857,473 12,932 Axonics Modulation Technologies, Inc. (a) (b) 375,416 22,123 Cardiovascular Systems, Inc. (a) 1,004,163 16,021 CONMED Corp. 1,629,015 5,244 Inogen, Inc. (a) 232,152 12,194 Nevro Corp. (a) 1,620,705 14,328 Quidel Corp. (a) 1,100,390 30,564 STAAR Surgical Co. (a) 1,028,173 26,537 Tactile Systems Technology, Inc. (a) 1,491,114 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 12,020 Varex Imaging Corp. (a) $ 332,353 --------------- 9,670,954 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.2% 14,742 Addus HomeCare Corp. (a) 1,390,760 11,501 AMN Healthcare Services, Inc. (a) 774,938 7,740 BioTelemetry, Inc. (a) 378,641 147,861 Brookdale Senior Living, Inc. (a) 974,404 12,305 CorVel Corp. (a) 1,126,769 9,158 Magellan Health, Inc. (a) 670,457 16,583 National HealthCare Corp. 1,391,645 16,301 National Research Corp. 1,103,089 52,487 Patterson Cos., Inc. 1,155,239 9,460 Premier, Inc., Class A (a) 328,924 138,028 R1 RCM, Inc. (a) 1,725,350 30,705 Select Medical Holdings Corp. (a) 701,302 --------------- 11,721,518 --------------- HEALTH CARE TECHNOLOGY -- 0.7% 13,173 HealthStream, Inc. (a) 336,570 76,156 Inovalon Holdings, Inc., Class A (a) 1,542,921 24,142 Inspire Medical Systems, Inc. (a) 1,805,822 22,298 NextGen Healthcare, Inc. (a) 309,050 --------------- 3,994,363 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.2% 32,470 Bloomin' Brands, Inc. 674,402 8,531 Brinker International, Inc. 364,188 27,662 Cheesecake Factory (The), Inc. 1,062,221 26,760 Dave & Buster's Entertainment, Inc. 1,181,721 18,023 Denny's Corp. (a) 368,931 12,871 Dine Brands Global, Inc. 1,097,253 4,593 Jack in the Box, Inc. 375,478 21,915 Lindblad Expeditions Holdings, Inc. (a) 361,378 22,697 Papa John's International, Inc. 1,470,312 42,055 Penn National Gaming, Inc. (a) 1,254,501 85,315 Playa Hotels & Resorts N.V. (a) 598,911 66,901 Scientific Games Corp. (a) 1,661,821 45,199 SeaWorld Entertainment, Inc. (a) 1,557,557 --------------- 12,028,674 --------------- HOUSEHOLD DURABLES -- 3.2% 3,668 Cavco Industries, Inc. (a) 821,705 26,013 Installed Building Products, Inc. (a) 1,928,344 41,824 KB Home 1,570,491 34,148 La-Z-Boy, Inc. 1,046,295 10,144 LGI Homes, Inc. (a) 808,883 46,949 M.D.C. Holdings, Inc. 1,978,431 45,529 M/I Homes, Inc. (a) 2,021,032 See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 29,318 Meritage Homes Corp. (a) $ 2,080,405 33,910 Skyline Champion Corp. (a) 974,913 81,957 Taylor Morrison Home Corp. (a) 2,121,047 114,992 TRI Pointe Group, Inc. (a) 1,869,770 --------------- 17,221,316 --------------- HOUSEHOLD PRODUCTS -- 0.3% 48,816 Central Garden & Pet Co., Class A (a) 1,462,527 1,845 WD-40 Co. 344,683 --------------- 1,807,210 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 17,961 Clearway Energy, Inc., Class C 380,234 --------------- INSURANCE -- 2.7% 11,972 American Equity Investment Life Holding Co. 316,181 5,451 Argo Group International Holdings Ltd. 357,586 79,056 CNO Financial Group, Inc. 1,390,595 18,647 eHealth, Inc. (a) 1,960,919 42,911 Employers Holdings, Inc. 1,830,154 18,241 FBL Financial Group, Inc., Class A 981,001 24,621 Horace Mann Educators Corp. 1,058,949 8,695 James River Group Holdings Ltd. 373,363 10,574 Kinsale Capital Group, Inc. 1,207,762 4,928 National Western Life Group, Inc., Class A 1,310,848 9,914 ProAssurance Corp. 301,088 11,617 Safety Insurance Group, Inc. 1,069,693 11,552 State Auto Financial Corp. 347,831 34,060 Third Point Reinsurance Ltd. (a) 370,913 38,261 Trupanion, Inc. (a) (b) 1,221,291 8,194 United Fire Group, Inc. 362,667 --------------- 14,460,841 --------------- INTERACTIVE MEDIA & SERVICES -- 0.1% 42,305 ANGI Homeservices, Inc., Class A (a) (b) 339,709 10,288 Yelp, Inc. (a) 335,389 --------------- 675,098 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.5% 109,021 Quotient Technology, Inc. (a) 1,097,841 8,356 Shutterstock, Inc. (a) 362,066 55,856 Stitch Fix, Inc., Class A (a) (b) 1,279,102 --------------- 2,739,009 --------------- IT SERVICES -- 1.6% 27,680 CSG Systems International, Inc. 1,379,018 21,053 EVERTEC, Inc. 706,749 15,476 ExlService Holdings, Inc. (a) 1,131,450 SHARES DESCRIPTION VALUE --------------------------------------------------------------- IT SERVICES (CONTINUED) 8,971 ManTech International Corp., Class A $ 720,192 48,097 NIC, Inc. 948,954 38,889 Perficient, Inc. (a) 1,932,783 29,061 Sykes Enterprises, Inc. (a) 976,159 9,044 TTEC Holdings, Inc. 359,228 7,906 Virtusa Corp. (a) 329,206 --------------- 8,483,739 --------------- LEISURE PRODUCTS -- 0.5% 22,050 Acushnet Holdings Corp. 682,888 33,804 Callaway Golf Co. 724,082 30,476 Sturm Ruger & Co., Inc. 1,509,172 --------------- 2,916,142 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.5% 25,760 NanoString Technologies, Inc. (a) 699,899 61,251 NeoGenomics, Inc. (a) 1,974,120 --------------- 2,674,019 --------------- MACHINERY -- 5.1% 11,415 Alamo Group, Inc. 1,421,852 4,720 Albany International Corp., Class A 329,314 39,583 Altra Industrial Motion Corp. 1,316,531 17,349 Barnes Group, Inc. 1,095,936 17,902 Columbus McKinnon Corp. 626,391 32,575 Douglas Dynamics, Inc. 1,707,907 5,357 EnPro Industries, Inc. 313,063 11,621 ESCO Technologies, Inc. 1,115,151 44,443 Federal Signal Corp. 1,429,287 25,004 Franklin Electric Co., Inc. 1,442,481 19,110 Gorman-Rupp (The) Co. 705,350 55,245 Greenbrier (The) Cos., Inc. 1,330,852 31,004 Helios Technologies, Inc. 1,318,290 21,513 Hillenbrand, Inc. 624,522 13,606 Kadant, Inc. 1,450,400 54,725 Meritor, Inc. (a) 1,199,025 33,856 Mueller Industries, Inc. 987,580 29,909 Mueller Water Products, Inc., Class A 348,440 29,299 REV Group, Inc. 292,990 35,213 SPX Corp. (a) 1,727,902 29,327 SPX FLOW, Inc. (a) 1,282,763 13,547 Standex International Corp. 990,150 18,393 Tennant Co. 1,420,308 22,816 TriMas Corp. (a) 655,504 64,707 Trinity Industries, Inc. 1,315,493 10,775 Watts Water Technologies, Inc., Class A 1,074,375 --------------- 27,521,857 --------------- MARINE -- 0.2% 26,348 Matson, Inc. 948,791 --------------- MEDIA -- 1.1% 45,356 AMC Networks, Inc., Class A (a) 1,659,576 22,808 E.W. Scripps (The) Co., Class A 276,889 Page 50 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 66,851 Gray Television, Inc. (a) $ 1,355,739 29,539 John Wiley & Sons, Inc., Class A 1,288,491 20,594 MSG Networks, Inc., Class A (a) 313,235 27,957 Scholastic Corp. 921,183 --------------- 5,815,113 --------------- METALS & MINING -- 1.9% 86,718 Allegheny Technologies, Inc. (a) 1,495,886 35,990 Carpenter Technology Corp. 1,430,243 80,449 Commercial Metals Co. 1,653,227 5,877 Compass Minerals International, Inc. 340,220 105,699 Hecla Mining Co. 320,268 9,693 Kaiser Aluminum Corp. 970,754 6,027 Materion Corp. 327,266 157,020 United States Steel Corp. (b) 1,424,171 84,790 Warrior Met Coal, Inc. 1,599,139 16,989 Worthington Industries, Inc. 624,855 --------------- 10,186,029 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.7% 74,909 Arbor Realty Trust, Inc. 1,106,406 35,094 KKR Real Estate Finance Trust, Inc. 738,729 48,226 PennyMac Mortgage Investment Trust 1,121,254 21,663 Redwood Trust, Inc. 381,919 17,676 TPG RE Finance Trust, Inc. 361,828 --------------- 3,710,136 --------------- MULTILINE RETAIL -- 0.6% 62,380 Big Lots, Inc. 1,688,003 24,382 Dillard's, Inc., Class A (b) 1,480,475 --------------- 3,168,478 --------------- MULTI-UTILITIES -- 0.1% 5,797 Unitil Corp. 357,617 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.9% 628,628 Antero Resources Corp. (a) 1,162,962 24,973 Arch Coal, Inc., Class A 1,286,859 370,929 Callon Petroleum Co. (a) 1,112,787 202,440 CNX Resources Corp. (a) 1,463,641 125,725 Kosmos Energy Ltd. 642,455 85,450 Magnolia Oil & Gas Corp., Class A (a) 898,934 99,699 Matador Resources Co. (a) 1,462,584 549,569 Oasis Petroleum, Inc. (a) 1,236,530 77,091 Par Pacific Holdings, Inc. (a) 1,551,071 68,461 PDC Energy, Inc. (a) 1,478,073 196,446 Peabody Energy Corp. 1,327,975 318,506 QEP Resources, Inc. 1,009,664 159,394 SM Energy Co. 1,463,237 740,326 Southwestern Energy Co. (a) 1,162,312 59,422 Talos Energy, Inc. (a) 1,303,718 SHARES DESCRIPTION VALUE --------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 244,085 Whiting Petroleum Corp. (a) (b) $ 1,108,146 24,758 World Fuel Services Corp. 968,533 --------------- 20,639,481 --------------- PAPER & FOREST PRODUCTS -- 0.8% 19,617 Boise Cascade Co. 710,135 46,852 Domtar Corp. 1,631,387 10,176 Neenah, Inc. 678,129 34,134 Schweitzer-Mauduit International, Inc. 1,195,714 --------------- 4,215,365 --------------- PERSONAL PRODUCTS -- 0.4% 9,855 Inter Parfums, Inc. 681,079 3,269 Medifast, Inc. (b) 315,884 26,231 Nu Skin Enterprises, Inc., Class A 854,868 9,124 USANA Health Sciences, Inc. (a) 562,951 --------------- 2,414,782 --------------- PHARMACEUTICALS -- 1.2% 14,825 Aerie Pharmaceuticals, Inc. (a) (b) 303,616 18,575 Amphastar Pharmaceuticals, Inc. (a) 351,253 29,614 Corcept Therapeutics, Inc. (a) 375,209 25,306 Innoviva, Inc. (a) 349,349 14,748 MyoKardia, Inc. (a) 1,003,307 15,820 Pacira BioSciences, Inc. (a) 683,740 7,012 Reata Pharmaceuticals, Inc., Class A (a) 1,534,156 55,360 Theravance Biopharma, Inc. (a) 1,543,437 6,873 Zogenix, Inc. (a) 346,193 --------------- 6,490,260 --------------- PROFESSIONAL SERVICES -- 1.4% 26,581 CBIZ, Inc. (a) 717,687 25,779 Forrester Research, Inc. (a) 1,066,477 20,856 Huron Consulting Group, Inc. (a) 1,351,677 7,822 ICF International, Inc. 685,129 79,344 Kelly Services, Inc., Class A 1,409,149 18,051 Kforce, Inc. 668,790 42,254 Korn Ferry 1,731,569 --------------- 7,630,478 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 28,858 Marcus & Millichap, Inc. (a) 1,021,573 53,262 Newmark Group, Inc., Class A 626,894 84,749 Redfin Corp. (a) 2,061,943 36,138 St Joe (The) Co. (a) 759,259 --------------- 4,469,669 --------------- ROAD & RAIL -- 1.6% 68,090 Heartland Express, Inc. 1,272,602 68,251 Hertz Global Holdings, Inc. (a) 1,075,636 83,369 Marten Transport Ltd. 1,730,741 See Notes to Financial Statements Page 51 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 15,392 Saia, Inc. (a) $ 1,340,643 65,685 Schneider National, Inc., Class B 1,462,805 49,233 Werner Enterprises, Inc. 1,814,728 --------------- 8,697,155 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.9% 5,032 Advanced Energy Industries, Inc. (a) 351,938 5,917 Ambarella, Inc. (a) 349,931 82,689 Amkor Technology, Inc. (a) 930,251 31,782 Diodes, Inc. (a) 1,641,223 68,988 FormFactor, Inc. (a) 1,746,086 24,204 Inphi Corp. (a) 1,838,536 56,162 Lattice Semiconductor Corp. (a) 1,044,613 53,882 MACOM Technology Solutions Holdings, Inc. (a) 1,531,326 7,244 Power Integrations, Inc. 707,522 --------------- 10,141,426 --------------- SOFTWARE -- 2.7% 13,036 Appfolio, Inc., Class A (a) 1,713,452 9,378 Appian Corp. (a) (b) 478,653 13,899 Blackline, Inc. (a) 850,202 20,056 Bottomline Technologies DE, Inc. (a) 1,075,002 21,353 Box, Inc., Class A (a) 320,936 61,620 Cloudera, Inc. (a) 634,070 42,899 Ebix, Inc. 1,477,012 38,736 LivePerson, Inc. (a) 1,588,563 2,513 MicroStrategy, Inc., Class A (a) 382,051 8,623 Progress Software Corp. 389,156 45,548 SailPoint Technologies Holding, Inc. (a) 1,142,799 19,398 SPS Commerce, Inc. (a) 1,102,388 40,104 SVMK, Inc. (a) 707,836 14,955 Tenable Holdings, Inc. (a) 407,524 10,033 Upland Software, Inc. (a) 391,688 18,444 Varonis Systems, Inc. (a) 1,543,025 --------------- 14,204,357 --------------- SPECIALTY RETAIL -- 4.1% 103,619 Abercrombie & Fitch Co., Class A 1,695,207 9,617 Asbury Automotive Group, Inc. (a) 927,560 40,234 Boot Barn Holdings, Inc. (a) 1,688,621 55,663 Buckle (The), Inc. (b) 1,358,734 17,193 Children's Place (The), Inc. (b) 1,025,906 91,060 Designer Brands, Inc., Class A 1,296,695 28,962 Dick's Sporting Goods, Inc. 1,280,989 14,334 Group 1 Automotive, Inc. 1,444,437 16,011 Guess?, Inc. 340,874 132,873 Michaels (The) Cos., Inc. (a) 655,064 523,092 Office Depot, Inc. 1,161,264 49,697 Rent-A-Center, Inc. 1,447,674 8,392 RH (a) 1,751,830 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 58,901 Sally Beauty Holdings, Inc. (a) $ 904,130 65,928 Signet Jewelers Ltd. 1,602,710 36,385 Sleep Number Corp. (a) 1,877,102 64,515 Urban Outfitters, Inc. (a) 1,651,584 --------------- 22,110,381 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 135,726 Diebold Nixdorf, Inc. (a) 1,562,206 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 42,768 Crocs, Inc. (a) 1,621,335 53,481 G-III Apparel Group Ltd. (a) 1,455,218 8,534 Kontoor Brands, Inc. 325,487 19,004 Oxford Industries, Inc. 1,318,877 21,240 Wolverine World Wide, Inc. 670,547 --------------- 5,391,464 --------------- THRIFTS & MORTGAGE FINANCE -- 2.7% 35,501 Axos Financial, Inc. (a) 1,000,063 42,305 Columbia Financial, Inc. (a) 709,455 28,103 Flagstar Bancorp, Inc. 990,350 25,909 Kearny Financial Corp. 319,976 53,506 Meridian Bancorp, Inc. 962,573 49,071 Meta Financial Group, Inc. 1,826,423 53,997 NMI Holdings, Inc., Class A (a) 1,723,584 43,092 Northwest Bancshares, Inc. 677,622 42,089 OceanFirst Financial Corp. 978,990 52,633 PennyMac Financial Services, Inc. 1,774,785 43,608 Provident Financial Services, Inc. 994,698 27,700 Walker & Dunlop, Inc. 1,838,449 16,290 WSFS Financial Corp. 649,808 --------------- 14,446,776 --------------- TOBACCO -- 0.6% 31,399 Universal Corp. 1,668,857 133,801 Vector Group Ltd. 1,758,145 --------------- 3,427,002 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.9% 16,118 Applied Industrial Technologies, Inc. 1,040,739 33,614 Beacon Roofing Supply, Inc. (a) 1,112,960 49,958 BMC Stock Holdings, Inc. (a) 1,458,024 66,160 GMS, Inc. (a) 1,767,795 53,592 H&E Equipment Services, Inc. 1,452,879 21,965 Herc Holdings, Inc. (a) 881,236 10,872 Kaman Corp. 671,020 105,079 MRC Global, Inc. (a) 1,183,190 127,515 NOW, Inc. (a) 1,276,425 38,530 Rush Enterprises, Inc., Class A 1,656,790 44,567 Triton International Ltd. 1,673,491 30,167 WESCO International, Inc. (a) 1,460,384 --------------- 15,634,933 --------------- Page 52 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) WATER UTILITIES -- 0.1% 5,042 SJW Group $ 369,831 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 17,223 Shenandoah Telecommunications Co. 694,948 49,451 United States Cellular Corp. (a) 1,583,421 --------------- 2,278,369 --------------- TOTAL COMMON STOCKS -- 99.8% 534,833,407 (Cost $517,504,410) --------------- MONEY MARKET FUNDS -- 0.7% 2,759,350 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) 2,759,350 1,045,793 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 1,045,793 --------------- TOTAL MONEY MARKET FUNDS -- 0.7% 3,805,143 (Cost $3,805,143) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.4% $ 12,722,266 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $12,723,920. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $12,990,556. (d) 12,722,266 (Cost $12,722,266) --------------- TOTAL INVESTMENTS -- 102.9% 551,360,816 (Cost $534,031,819) (e) NET OTHER ASSETS AND LIABILITIES -- (2.9)% (15,614,065) --------------- NET ASSETS -- 100.0% $ 535,746,751 =============== (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 $14,634,353 and the total value of the collateral held by the Fund is $15,481,616. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $57,873,685 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $40,544,688. The net unrealized appreciation was $17,328,997. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 534,833,407 $ -- $ -- Money Market Funds 3,805,143 -- -- Repurchase Agreements -- 12,722,266 -- --------------------------------------------- Total Investments $ 538,638,550 $ 12,722,266 $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 53 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) --------------------------------- 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) $ 14,634,353 Non-cash Collateral(2) (14,634,353) --------------- 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 January 31, 2020, 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) $ 12,722,266 Non-cash Collateral(4) (12,722,266) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 54 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.5% 23,097 General Dynamics Corp. $ 4,052,138 228,322 Textron, Inc. 10,486,830 13,242 United Technologies Corp. 1,988,948 --------------- 16,527,916 --------------- AIR FREIGHT & LOGISTICS -- 1.0% 52,086 C.H. Robinson Worldwide, Inc. 3,761,651 52,207 Expeditors International of Washington, Inc. 3,813,199 13,114 FedEx Corp. 1,896,809 16,942 United Parcel Service, Inc., Class B 1,753,836 --------------- 11,225,495 --------------- AIRLINES -- 3.0% 142,024 American Airlines Group, Inc. 3,811,924 174,131 Delta Air Lines, Inc. 9,706,062 188,645 Southwest Airlines Co. 10,371,702 115,599 United Airlines Holdings, Inc. (a) 8,646,805 --------------- 32,536,493 --------------- AUTO COMPONENTS -- 0.2% 20,881 Aptiv PLC 1,770,500 --------------- AUTOMOBILES -- 0.9% 278,228 General Motors Co. 9,290,033 --------------- BANKS -- 8.1% 168,913 Bank of America Corp. 5,545,414 101,970 Citigroup, Inc. 7,587,588 250,755 Citizens Financial Group, Inc. 9,348,146 113,539 Comerica, Inc. 6,944,045 265,013 Fifth Third Bancorp 7,539,620 540,218 Huntington Bancshares, Inc. 7,330,758 29,221 JPMorgan Chase & Co. 3,867,692 293,925 KeyCorp 5,499,337 35,045 M&T Bank Corp. 5,905,783 37,269 PNC Financial Services Group (The), Inc. 5,536,310 474,736 Regions Financial Corp. 7,391,640 16,225 SVB Financial Group (a) 3,899,354 68,701 U.S. Bancorp 3,656,267 151,420 Wells Fargo & Co. 7,107,655 --------------- 87,159,609 --------------- BEVERAGES -- 0.6% 110,372 Molson Coors Beverage Co., Class B 6,134,476 --------------- BIOTECHNOLOGY -- 1.4% 16,897 Amgen, Inc. 3,650,597 27,454 Biogen, Inc. (a) 7,381,008 10,848 Regeneron Pharmaceuticals, Inc. (a) 3,665,973 --------------- 14,697,578 --------------- BUILDING PRODUCTS -- 0.2% 41,320 Masco Corp. 1,963,526 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS -- 5.5% 11,904 Ameriprise Financial, Inc. $ 1,969,041 118,202 Bank of New York Mellon (The) Corp. 5,293,085 131,122 E*TRADE Financial Corp. 5,588,420 391,960 Franklin Resources, Inc. 9,916,588 35,429 Goldman Sachs Group (The), Inc. 8,423,245 159,361 Morgan Stanley 8,328,206 18,664 Northern Trust Corp. 1,825,526 66,499 Raymond James Financial, Inc. 6,080,003 75,211 State Street Corp. 5,688,208 48,828 T. Rowe Price Group, Inc. 6,520,003 --------------- 59,632,325 --------------- CHEMICALS -- 3.5% 48,319 Celanese Corp. 5,001,016 124,615 CF Industries Holdings, Inc. 5,019,492 92,666 DuPont de Nemours, Inc. 4,742,646 128,477 Eastman Chemical Co. 9,156,556 107,781 LyondellBasell Industries N.V., Class A 8,391,829 274,911 Mosaic (The) Co. 5,454,234 --------------- 37,765,773 --------------- CONSTRUCTION MATERIALS -- 0.2% 7,091 Martin Marietta Materials, Inc. 1,870,606 --------------- CONSUMER FINANCE -- 3.2% 333,217 Ally Financial, Inc. 10,672,940 98,952 Capital One Financial Corp. 9,875,410 70,137 Discover Financial Services 5,269,393 282,785 Synchrony Financial 9,165,062 --------------- 34,982,805 --------------- CONTAINERS & PACKAGING -- 0.7% 176,906 International Paper Co. 7,203,612 --------------- DISTRIBUTORS -- 0.2% 18,667 Genuine Parts Co. 1,746,671 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.3% 26,265 Berkshire Hathaway, Inc., Class B (a) 5,894,654 328,753 Equitable Holdings, Inc. 7,896,647 --------------- 13,791,301 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 260,571 AT&T, Inc. 9,802,681 96,890 Verizon Communications, Inc. 5,759,142 --------------- 15,561,823 --------------- ELECTRIC UTILITIES -- 5.4% 74,436 Alliant Energy Corp. 4,418,521 89,316 Duke Energy Corp. 8,719,921 49,660 Entergy Corp. 6,531,283 23,312 Eversource Energy 2,154,961 223,362 Exelon Corp. 10,629,798 83,811 FirstEnergy Corp. 4,256,761 90,587 Pinnacle West Capital Corp. 8,849,444 See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 227,049 PPL Corp. $ 8,216,903 64,155 Xcel Energy, Inc. 4,438,885 --------------- 58,216,477 --------------- ELECTRICAL EQUIPMENT -- 0.9% 62,808 Eaton Corp. PLC 5,933,472 53,412 Emerson Electric Co. 3,825,901 --------------- 9,759,373 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.2% 279,853 Corning, Inc. 7,469,277 62,072 TE Connectivity Ltd. 5,721,797 --------------- 13,191,074 --------------- ENERGY EQUIPMENT & SERVICES -- 0.8% 77,370 Baker Hughes Co. 1,675,834 332,918 Halliburton Co. 7,260,942 --------------- 8,936,776 --------------- ENTERTAINMENT -- 0.9% 33,372 Activision Blizzard, Inc. 1,951,595 75,774 Electronic Arts, Inc. (a) 8,177,530 --------------- 10,129,125 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 1.8% 548,954 Host Hotels & Resorts, Inc. 8,969,909 153,129 Vornado Realty Trust 10,071,294 --------------- 19,041,203 --------------- FOOD & STAPLES RETAILING -- 1.5% 281,011 Kroger (The) Co. 7,547,956 138,171 Walgreens Boots Alliance, Inc. 7,025,995 16,686 Walmart, Inc. 1,910,380 --------------- 16,484,331 --------------- FOOD PRODUCTS -- 2.7% 128,350 Archer-Daniels-Midland Co. 5,744,946 118,961 Conagra Brands, Inc. 3,916,196 76,049 General Mills, Inc. 3,971,279 43,960 Hormel Foods Corp. 2,077,550 57,132 J.M. Smucker (The) Co. 5,919,446 89,483 Tyson Foods, Inc., Class A 7,393,980 --------------- 29,023,397 --------------- GAS UTILITIES -- 0.4% 36,414 Atmos Energy Corp. 4,261,530 --------------- HEALTH CARE PROVIDERS & SERVICES -- 4.9% 13,485 Anthem, Inc. 3,577,301 64,789 Centene Corp. (a) 4,069,397 29,092 Cigna Corp. 5,596,719 80,078 CVS Health Corp. 5,430,890 26,430 DaVita, Inc. (a) 2,110,964 27,558 HCA Healthcare, Inc. 3,825,050 61,050 Henry Schein, Inc. (a) 4,208,787 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 11,113 Humana, Inc. $ 3,736,635 35,167 Laboratory Corp. of America Holdings (a) 6,168,292 38,142 Quest Diagnostics, Inc. 4,221,175 6,745 UnitedHealth Group, Inc. 1,837,675 56,786 Universal Health Services, Inc., Class B 7,785,929 --------------- 52,568,814 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.7% 200,337 Carnival Corp. 8,720,670 37,365 Darden Restaurants, Inc. 4,350,407 174,338 Norwegian Cruise Line Holdings Ltd. (a) 9,388,101 61,018 Royal Caribbean Cruises Ltd. 7,143,987 --------------- 29,603,165 --------------- HOUSEHOLD DURABLES -- 2.2% 193,044 D.R. Horton, Inc. 11,428,205 182,527 Lennar Corp., Class A 12,112,491 --------------- 23,540,696 --------------- HOUSEHOLD PRODUCTS -- 0.4% 14,418 Kimberly-Clark Corp. 2,065,234 15,876 Procter & Gamble (The) Co. 1,978,467 --------------- 4,043,701 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.2% 99,649 AES Corp. 1,979,029 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 11,240 3M Co. 1,783,338 11,204 Honeywell International, Inc. 1,940,757 --------------- 3,724,095 --------------- INSURANCE -- 8.6% 112,459 Aflac, Inc. 5,799,511 52,903 Allstate (The) Corp. 6,271,122 158,707 American International Group, Inc. 7,976,614 189,939 Arch Capital Group Ltd. (a) 8,387,706 26,166 Chubb Ltd. 3,976,970 7,163 Everest Re Group Ltd. 1,981,071 131,180 Fidelity National Financial, Inc. 6,395,025 38,701 Globe Life, Inc. 4,034,966 134,054 Hartford Financial Services Group (The), Inc. 7,946,721 69,027 Lincoln National Corp. 3,760,591 199,785 MetLife, Inc. 9,931,313 108,166 Principal Financial Group, Inc. 5,727,390 86,904 Prudential Financial, Inc. 7,913,478 36,485 Reinsurance Group of America, Inc. 5,255,664 43,439 Travelers (The) Cos., Inc. 5,717,441 28,698 W.R. Berkley Corp. 2,110,164 --------------- 93,185,747 --------------- Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & DIRECT MARKETING RETAIL -- 0.5% 112,800 eBay, Inc. $ 3,785,568 18,337 Expedia Group, Inc. 1,988,648 --------------- 5,774,216 --------------- IT SERVICES -- 2.1% 131,353 Cognizant Technology Solutions Corp., Class A 8,062,447 108,358 DXC Technology Co. 3,454,453 30,389 International Business Machines Corp. 4,367,811 27,962 Jack Henry & Associates, Inc. 4,181,437 20,257 Leidos Holdings, Inc. 2,035,221 --------------- 22,101,369 --------------- MACHINERY -- 1.7% 45,522 Cummins, Inc. 7,282,154 128,736 PACCAR, Inc. 9,553,499 9,635 Parker-Hannifin Corp. 1,885,473 --------------- 18,721,126 --------------- MEDIA -- 2.7% 181,154 Comcast Corp., Class A 7,824,041 311,028 Discovery, Inc., Class A (a) 9,100,679 274,701 Fox Corp., Class A 10,185,913 24,477 Omnicom Group, Inc. 1,843,363 --------------- 28,953,996 --------------- METALS & MINING -- 1.8% 234,365 Newmont Corp. 10,560,487 180,938 Nucor Corp. 8,592,746 --------------- 19,153,233 --------------- MULTILINE RETAIL -- 0.3% 31,769 Target Corp. 3,518,099 --------------- MULTI-UTILITIES -- 3.8% 77,463 Ameren Corp. 6,355,839 298,734 CenterPoint Energy, Inc. 7,910,476 31,557 CMS Energy Corp. 2,161,970 65,757 Consolidated Edison, Inc. 6,181,158 45,807 DTE Energy Co. 6,074,466 213,687 NiSource, Inc. 6,263,166 39,274 Sempra Energy 6,308,976 --------------- 41,256,051 --------------- OIL, GAS & CONSUMABLE FUELS -- 9.0% 84,499 Chevron Corp. 9,053,223 116,287 Concho Resources, Inc. 8,812,229 156,592 ConocoPhillips 9,306,263 296,883 Continental Resources, Inc. 8,081,155 392,110 Devon Energy Corp. 8,516,629 121,573 EOG Resources, Inc. 8,863,887 116,744 Exxon Mobil Corp. 7,252,137 749,862 Marathon Oil Corp. 8,525,931 169,013 Marathon Petroleum Corp. 9,211,208 163,980 Noble Energy, Inc. 3,241,885 91,403 Phillips 66 8,351,492 SHARES DESCRIPTION VALUE --------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 86,989 Valero Energy Corp. $ 7,334,043 --------------- 96,550,082 --------------- PHARMACEUTICALS -- 1.7% 13,595 Johnson & Johnson 2,023,888 405,298 Mylan N.V. (a) 8,681,483 207,925 Pfizer, Inc. 7,743,127 --------------- 18,448,498 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 66,457 CBRE Group, Inc., Class A (a) 4,057,200 --------------- ROAD & RAIL -- 0.6% 34,881 J.B. Hunt Transport Services, Inc. 3,764,706 12,949 Kansas City Southern 2,184,367 --------------- 5,949,073 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.5% 32,489 Applied Materials, Inc. 1,884,037 136,115 Intel Corp. 8,701,832 6,782 Lam Research Corp. 2,022,460 189,346 Micron Technology, Inc. (a) 10,052,379 33,697 Skyworks Solutions, Inc. 3,812,816 --------------- 26,473,524 --------------- SOFTWARE -- 0.2% 17,881 Citrix Systems, Inc. 2,167,535 --------------- SPECIALTY RETAIL -- 1.2% 12,382 Advance Auto Parts, Inc. 1,631,329 67,757 Best Buy Co., Inc. 5,738,340 22,618 CarMax, Inc. (a) 2,194,851 17,032 Ross Stores, Inc. 1,910,820 32,478 TJX (The) Cos., Inc. 1,917,501 --------------- 13,392,841 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.9% 642,062 Hewlett Packard Enterprise Co. 8,943,924 289,492 HP, Inc. 6,171,969 65,433 NetApp, Inc. 3,494,122 33,326 Seagate Technology PLC 1,899,249 --------------- 20,509,264 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 48,849 United Rentals, Inc. (a) 6,628,321 12,033 W.W. Grainger, Inc. 3,642,028 --------------- 10,270,349 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 103,884 T-Mobile US, Inc. (a) 8,226,574 --------------- TOTAL COMMON STOCKS -- 100.0% 1,077,072,105 (Cost $1,031,666,909) --------------- See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.0% 191,832 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (b) $ 191,832 (Cost $191,832) --------------- TOTAL INVESTMENTS -- 100.0% 1,077,263,937 (Cost $1,031,858,741) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 371,761 --------------- NET ASSETS -- 100.0% $ 1,077,635,698 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2020. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $89,957,024 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $44,551,828. The net unrealized appreciation was $45,405,196. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $1,077,072,105 $ -- $ -- Money Market Funds 191,832 -- -- --------------------------------------------- Total Investments $1,077,263,937 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 58 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 4.0% 15,345 HEICO Corp. $ 1,878,688 36,369 L3Harris Technologies, Inc. 8,049,551 13,497 Lockheed Martin Corp. 5,778,336 15,277 Northrop Grumman Corp. 5,722,306 25,958 Teledyne Technologies, Inc. (a) 9,476,227 16,064 TransDigm Group, Inc. 10,333,650 --------------- 41,238,758 --------------- AUTOMOBILES -- 1.4% 21,504 Tesla, Inc. (a) 13,989,857 --------------- BEVERAGES -- 1.2% 77,738 Brown-Forman Corp., Class B 5,258,198 31,648 Coca-Cola (The) Co. 1,848,243 56,618 Monster Beverage Corp. (a) 3,770,759 12,817 PepsiCo, Inc. 1,820,271 --------------- 12,697,471 --------------- BIOTECHNOLOGY -- 2.5% 16,197 Alexion Pharmaceuticals, Inc. (a) 1,609,820 18,941 Exact Sciences Corp. (a) 1,766,816 60,182 Incyte Corp. (a) 4,397,499 13,576 Sarepta Therapeutics, Inc. (a) 1,574,273 78,727 Seattle Genetics, Inc. (a) 8,533,220 32,866 Vertex Pharmaceuticals, Inc. (a) 7,462,225 --------------- 25,343,853 --------------- BUILDING PRODUCTS -- 0.9% 72,227 Allegion PLC 9,340,396 --------------- CAPITAL MARKETS -- 4.6% 93,942 Blackstone Group (The), Inc., Class A 5,737,038 14,598 Cboe Global Markets, Inc. 1,798,766 6,529 FactSet Research Systems, Inc. 1,868,012 18,927 Intercontinental Exchange, Inc. 1,887,779 18,982 MarketAxess Holdings, Inc. 6,723,045 30,312 Moody's Corp. 7,783,819 27,873 MSCI, Inc. 7,966,103 49,068 Nasdaq, Inc. 5,714,459 26,354 S&P Global, Inc. 7,740,960 --------------- 47,219,981 --------------- CHEMICALS -- 1.7% 7,455 Air Products and Chemicals, Inc. 1,779,583 90,115 FMC Corp. 8,614,093 12,332 Sherwin-Williams (The) Co. 6,868,801 --------------- 17,262,477 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.3% 26,745 Cintas Corp. 7,461,053 98,913 Copart, Inc. (a) 10,035,713 40,144 Republic Services, Inc. 3,815,687 15,371 Waste Management, Inc. 1,870,651 --------------- 23,183,104 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 0.2% 10,869 Motorola Solutions, Inc. $ 1,923,813 --------------- CONSTRUCTION MATERIALS -- 0.5% 36,496 Vulcan Materials Co. 5,168,928 --------------- CONSUMER FINANCE -- 0.5% 42,213 American Express Co. 5,482,202 --------------- ELECTRIC UTILITIES -- 1.7% 18,535 American Electric Power Co., Inc. 1,931,718 80,736 Evergy, Inc. 5,825,910 14,858 NextEra Energy, Inc. 3,984,915 82,498 Southern (The) Co. 5,807,859 --------------- 17,550,402 --------------- ELECTRICAL EQUIPMENT -- 0.7% 72,151 AMETEK, Inc. 7,009,470 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.3% 66,490 Amphenol Corp., Class A 6,613,760 62,975 CDW Corp. 8,215,089 70,118 Keysight Technologies, Inc. (a) 6,520,273 86,306 Trimble, Inc. (a) 3,669,731 35,215 Zebra Technologies Corp., Class A (a) 8,417,089 --------------- 33,435,942 --------------- ENTERTAINMENT -- 2.3% 114,329 Liberty Media Corp.-Liberty Formula One, Class C (a) 5,349,454 100,689 Live Nation Entertainment, Inc. (a) 6,862,962 11,121 Netflix, Inc. (a) 3,837,746 29,389 Take-Two Interactive Software, Inc. (a) 3,663,045 24,879 Walt Disney (The) Co. 3,441,014 --------------- 23,154,221 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.8% 22,268 Alexandria Real Estate Equities, Inc. 3,634,138 15,656 American Tower Corp. 3,628,121 12,707 Boston Properties, Inc. 1,821,549 12,323 Crown Castle International Corp. 1,846,478 50,524 Duke Realty Corp. 1,834,526 6,165 Equinix, Inc. 3,635,686 51,117 Equity LifeStyle Properties, Inc. 3,718,762 120,056 Invitation Homes, Inc. 3,778,162 13,285 Mid-America Apartment Communities, Inc. 1,822,835 58,955 Prologis, Inc. 5,475,740 7,270 SBA Communications Corp. 1,814,301 23,972 Sun Communities, Inc. 3,887,539 68,561 VICI Properties, Inc. 1,837,435 --------------- 38,735,272 --------------- See Notes to Financial Statements Page 59 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS -- 1.4% 11,918 Hershey (The) Co. $ 1,849,316 104,560 Lamb Weston Holdings, Inc. 9,547,374 10,319 McCormick & Co., Inc. 1,685,815 31,803 Mondelez International, Inc., Class A 1,824,856 --------------- 14,907,361 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.3% 25,789 Align Technology, Inc. (a) 6,630,352 79,569 Boston Scientific Corp. (a) 3,331,554 23,444 Danaher Corp. 3,771,436 63,582 DENTSPLY SIRONA, Inc. 3,560,592 41,122 DexCom, Inc. (a) 9,900,121 30,847 Edwards Lifesciences Corp. (a) 6,782,021 68,915 Hologic, Inc. (a) 3,688,331 6,087 Intuitive Surgical, Inc. (a) 3,407,381 33,911 ResMed, Inc. 5,390,832 8,345 Stryker Corp. 1,758,292 13,959 Teleflex, Inc. 5,185,908 37,005 Varian Medical Systems, Inc. (a) 5,201,793 34,958 West Pharmaceutical Services, Inc. 5,451,700 --------------- 64,060,313 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.5% 8,597 Chipotle Mexican Grill, Inc. (a) 7,451,536 24,496 Domino's Pizza, Inc. 6,901,748 81,104 Hilton Worldwide Holdings, Inc. 8,743,011 47,521 Marriott International, Inc., Class A 6,655,791 59,772 Starbucks Corp. 5,070,459 51,821 Wynn Resorts Ltd. 6,537,737 109,459 Yum China Holdings, Inc. 4,714,399 --------------- 46,074,681 --------------- HOUSEHOLD DURABLES -- 1.6% 92,203 Garmin Ltd. 8,939,081 1,889 NVR, Inc. (a) 7,210,256 --------------- 16,149,337 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 156,508 Vistra Energy Corp. 3,524,560 --------------- INSURANCE -- 2.6% 55,183 Arthur J. Gallagher & Co. 5,660,120 227,843 Brown & Brown, Inc. 10,230,151 16,659 Cincinnati Financial Corp. 1,748,362 64,592 Marsh & McLennan Cos., Inc. 7,225,261 24,198 Progressive (The) Corp. 1,952,537 --------------- 26,816,431 --------------- INTERACTIVE MEDIA & SERVICES -- 4.0% 5,372 Alphabet, Inc., Class A (a) 7,696,894 43,827 Facebook, Inc., Class A (a) 8,849,110 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INTERACTIVE MEDIA & SERVICES (CONTINUED) 28,888 IAC/InterActiveCorp (a) $ 7,036,828 440,676 Snap, Inc., Class A (a) 8,099,625 195,805 Zillow Group, Inc., Class C (a) 9,048,149 --------------- 40,730,606 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.9% 2,844 Amazon.com, Inc. (a) 5,712,800 1,753 Booking Holdings, Inc. (a) 3,208,954 --------------- 8,921,754 --------------- IT SERVICES -- 7.2% 34,175 Accenture PLC, Class A 7,013,052 41,655 Akamai Technologies, Inc. (a) 3,888,494 101,169 Booz Allen Hamilton Holding Corp. 7,895,229 42,399 EPAM Systems, Inc. (a) 9,672,908 12,593 Fidelity National Information Services, Inc. 1,809,110 45,448 Fiserv, Inc. (a) 5,390,587 12,507 FleetCor Technologies, Inc. (a) 3,942,582 23,349 Gartner, Inc. (a) 3,754,052 28,785 Global Payments, Inc. 5,626,028 24,099 Mastercard, Inc., Class A 7,613,838 45,550 Okta, Inc. (a) 5,832,678 42,300 Paychex, Inc. 3,628,071 16,194 PayPal Holdings, Inc. (a) 1,844,335 27,967 Visa, Inc., Class A 5,564,594 --------------- 73,475,558 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.3% 61,601 Agilent Technologies, Inc. 5,085,779 23,287 IQVIA Holdings, Inc. (a) 3,615,307 4,537 Mettler-Toledo International, Inc. (a) 3,435,326 37,055 PerkinElmer, Inc. 3,426,846 16,176 Thermo Fisher Scientific, Inc. 5,066,161 15,399 Waters Corp. (a) 3,446,142 --------------- 24,075,561 --------------- MACHINERY -- 2.7% 48,729 Caterpillar, Inc. 6,400,554 20,766 Deere & Co. 3,293,072 22,932 Fortive Corp. 1,718,295 10,185 IDEX Corp. 1,668,812 40,061 Illinois Tool Works, Inc. 7,009,874 54,139 Ingersoll-Rand PLC 7,212,939 --------------- 27,303,546 --------------- MEDIA -- 3.2% 329,016 Altice USA, Inc., Class A (a) 9,001,878 18,545 Charter Communications, Inc., Class A (a) 9,596,296 41,790 Liberty Broadband Corp., Class C (a) 5,555,145 1,258,079 Sirius XM Holdings, Inc. 8,894,618 --------------- 33,047,937 --------------- Page 60 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL -- 0.7% 46,135 Dollar General Corp. $ 7,077,570 --------------- MULTI-UTILITIES -- 0.2% 18,993 WEC Energy Group, Inc. 1,897,211 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.1% 28,684 Cheniere Energy, Inc. (a) 1,699,240 78,658 Hess Corp. 4,449,683 82,744 Kinder Morgan, Inc. 1,726,868 23,772 Pioneer Natural Resources Co. 3,209,220 --------------- 11,085,011 --------------- PERSONAL PRODUCTS -- 0.5% 25,443 Estee Lauder (The) Cos., Inc., Class A 4,965,456 --------------- PHARMACEUTICALS -- 1.4% 27,375 Eli Lilly & Co. 3,822,645 57,781 Merck & Co., Inc. 4,936,809 39,707 Zoetis, Inc. 5,329,076 --------------- 14,088,530 --------------- PROFESSIONAL SERVICES -- 1.5% 8,783 CoStar Group, Inc. (a) 5,735,211 12,503 Equifax, Inc. 1,874,200 84,058 TransUnion 7,708,118 --------------- 15,317,529 --------------- ROAD & RAIL -- 1.6% 18,535 Norfolk Southern Corp. 3,859,172 47,399 Old Dominion Freight Line, Inc. 9,301,106 19,903 Union Pacific Corp. 3,570,996 --------------- 16,731,274 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.7% 196,147 Advanced Micro Devices, Inc. (a) 9,218,909 14,740 Analog Devices, Inc. 1,617,715 16,631 Broadcom, Inc. 5,075,116 50,486 KLA Corp. 8,367,550 135,470 Marvell Technology Group Ltd. 3,256,699 85,899 Microchip Technology, Inc. 8,373,434 30,584 NVIDIA Corp. 7,230,975 101,952 QUALCOMM, Inc. 8,697,525 131,914 Teradyne, Inc. 8,705,005 43,651 Universal Display Corp. 7,689,997 --------------- 68,232,925 --------------- SOFTWARE -- 12.8% 21,820 Adobe, Inc. (a) 7,661,875 34,946 ANSYS, Inc. (a) 9,586,736 39,224 Autodesk, Inc. (a) 7,721,244 51,875 Cadence Design Systems, Inc. (a) 3,740,706 24,009 Fair Isaac Corp. (a) 9,660,742 84,258 Fortinet, Inc. (a) 9,720,003 33,323 Microsoft Corp. 5,672,574 205,922 NortonLifeLock, Inc. 5,852,303 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 31,119 Palo Alto Networks, Inc. (a) $ 7,306,119 33,974 Paycom Software, Inc. (a) 10,809,168 53,330 RingCentral, Inc., Class A (a) 10,963,581 10,771 salesforce.com, Inc. (a) 1,963,661 18,614 ServiceNow, Inc. (a) 6,295,813 60,061 Splunk, Inc. (a) 9,325,071 146,503 SS&C Technologies Holdings, Inc. 9,231,154 37,753 Synopsys, Inc. (a) 5,568,945 34,626 Trade Desk (The), Inc., Class A (a) 9,320,627 --------------- 130,400,322 --------------- SPECIALTY RETAIL -- 3.0% 7,551 AutoZone, Inc. (a) 7,988,656 39,449 Burlington Stores, Inc. (a) 8,578,974 16,477 Home Depot (The), Inc. 3,758,404 16,419 O'Reilly Automotive, Inc. (a) 6,667,756 18,748 Tractor Supply Co. 1,742,626 6,920 Ulta Beauty, Inc. (a) 1,853,937 --------------- 30,590,353 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 102,260 Dell Technologies, Inc., Class C (a) 4,987,220 --------------- TOBACCO -- 0.3% 42,285 Philip Morris International, Inc. 3,496,970 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.7% 194,756 Fastenal Co. 6,793,089 --------------- WATER UTILITIES -- 0.2% 14,259 American Water Works Co., Inc. 1,942,076 --------------- TOTAL COMMON STOCKS -- 99.8% 1,019,429,328 (Cost $885,959,361) --------------- MONEY MARKET FUNDS -- 0.5% 4,658,533 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (b) 4,658,533 (Cost $4,658,533) --------------- TOTAL INVESTMENTS -- 100.3% 1,024,087,861 (Cost $890,617,894) (c) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (2,937,652) --------------- NET ASSETS -- 100.0% $ 1,021,150,209 =============== See Notes to Financial Statements Page 61 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2020. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $142,161,028 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $8,691,061. The net unrealized appreciation was $133,469,967. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $1,019,429,328 $ -- $ -- Money Market Funds 4,658,533 -- -- --------------------------------------------- Total Investments $1,024,087,861 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 62 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.1% 4,004 Astronics Corp. (a) $ 100,901 345 Cubic Corp. 22,525 275 Curtiss-Wright Corp. 39,993 892 General Dynamics Corp. 156,493 155 Huntington Ingalls Industries, Inc. 40,455 1,597 Spirit AeroSystems Holdings, Inc., Class A 104,316 8,816 Textron, Inc. 404,919 511 United Technologies Corp. 76,752 --------------- 946,354 --------------- AIR FREIGHT & LOGISTICS -- 0.9% 4,059 Atlas Air Worldwide Holdings, Inc. (a) 90,719 2,011 C.H. Robinson Worldwide, Inc. 145,234 2,016 Expeditors International of Washington, Inc. 147,249 506 FedEx Corp. 73,188 1,745 Hub Group, Inc., Class A (a) 92,258 654 United Parcel Service, Inc., Class B 67,702 1,460 XPO Logistics, Inc. (a) 129,823 --------------- 746,173 --------------- AIRLINES -- 2.6% 2,290 Alaska Air Group, Inc. 147,911 378 Allegiant Travel Co. 63,519 5,484 American Airlines Group, Inc. 147,191 6,723 Delta Air Lines, Inc. 374,740 3,821 Hawaiian Holdings, Inc. 106,530 10,361 JetBlue Airways Corp. (a) 205,459 3,001 SkyWest, Inc. 165,565 7,284 Southwest Airlines Co. 400,474 4,812 Spirit Airlines, Inc. (a) 197,629 4,463 United Airlines Holdings, Inc. (a) 333,832 --------------- 2,142,850 --------------- AUTO COMPONENTS -- 1.3% 6,122 American Axle & Manufacturing Holdings, Inc. (a) 56,567 806 Aptiv PLC 68,341 4,471 BorgWarner, Inc. 153,311 3,114 Cooper Tire & Rubber Co. 82,490 3,375 Cooper-Standard Holdings, Inc. (a) 89,505 6,148 Dana, Inc. 94,741 12,470 Goodyear Tire & Rubber (The) Co. 163,731 418 LCI Industries 45,131 1,414 Lear Corp. 174,176 413 Standard Motor Products, Inc. 20,063 3,053 Stoneridge, Inc. (a) 85,057 --------------- 1,033,113 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- AUTOMOBILES -- 0.7% 10,742 General Motors Co. $ 358,675 2,086 Harley-Davidson, Inc. 69,672 1,044 Thor Industries, Inc. 84,063 1,243 Winnebago Industries, Inc. 68,067 --------------- 580,477 --------------- BANKS -- 9.7% 863 1st Source Corp. 40,725 912 Ameris Bancorp 36,653 7,040 Associated Banc-Corp. 140,307 1,033 Atlantic Union Bankshares Corp. 34,802 1,235 BancorpSouth Bank 35,284 6,522 Bank of America Corp. 214,117 6,358 Bank OZK 172,810 3,183 BankUnited, Inc. 105,039 791 Banner Corp. 40,776 1,361 Berkshire Hills Bancorp, Inc. 38,312 1,332 BOK Financial Corp. 105,095 5,476 Boston Private Financial Holdings, Inc. 62,426 1,334 Brookline Bancorp, Inc. 20,277 3,633 Cadence BanCorp 56,784 3,059 Cathay General Bancorp 110,308 3,106 CenterState Bank Corp. 70,071 4,251 CIT Group, Inc. 194,313 3,937 Citigroup, Inc. 292,952 9,682 Citizens Financial Group, Inc. 360,945 1,907 Columbia Banking System, Inc. 73,801 4,384 Comerica, Inc. 268,125 397 Cullen/Frost Bankers, Inc. 35,397 1,355 Eagle Bancorp, Inc. 59,214 2,390 East West Bancorp, Inc. 109,558 455 Enterprise Financial Services Corp. 19,797 12,218 F.N.B. Corp. 142,584 10,232 Fifth Third Bancorp 291,100 1,628 First Busey Corp. 41,514 146 First Citizens BancShares, Inc., Class A 76,916 3,085 First Commonwealth Financial Corp. 41,709 2,589 First Financial Bancorp 62,240 2,689 First Hawaiian, Inc. 78,142 7,028 First Horizon National Corp. 112,448 524 First Interstate BancSystem, Inc., Class A 20,174 1,076 First Merchants Corp. 42,771 2,857 First Midwest Bancorp, Inc. 56,969 4,451 Fulton Financial Corp. 73,308 1,896 Great Western Bancorp, Inc. 56,027 2,652 Hancock Whitney Corp. 105,391 1,324 Heartland Financial USA, Inc. 64,757 1,582 Heritage Financial Corp. 40,784 2,642 Hilltop Holdings, Inc. 59,815 5,920 Home BancShares, Inc. 113,190 6,024 Hope Bancorp, Inc. 83,764 20,858 Huntington Bancshares, Inc. 283,043 1,529 International Bancshares Corp. 60,243 See Notes to Financial Statements Page 63 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 3,256 Investors Bancorp, Inc. $ 39,349 1,128 JPMorgan Chase & Co. 149,302 11,349 KeyCorp 212,340 1,353 M&T Bank Corp. 228,008 541 NBT Bancorp, Inc. 20,444 6,363 Old National Bancorp 113,961 5,068 PacWest Bancorp 177,633 214 Park National Corp. 20,324 4,591 People's United Financial, Inc. 70,793 1,439 PNC Financial Services Group (The), Inc. 213,763 2,641 Popular, Inc. 147,790 18,330 Regions Financial Corp. 285,398 1,860 Renasant Corp. 59,390 545 S&T Bancorp, Inc. 20,487 2,459 Simmons First National Corp., Class A 58,967 894 South State Corp. 67,595 626 SVB Financial Group (a) 150,447 2,969 Synovus Financial Corp. 103,974 1,609 TowneBank 42,719 1,097 TriCo Bancshares 39,931 1,297 Trustmark Corp. 41,478 2,653 U.S. Bancorp 141,193 565 UMB Financial Corp. 37,550 8,767 Umpqua Holdings Corp. 148,162 2,007 United Bankshares, Inc. 68,840 6,776 Valley National Bancorp 71,351 1,454 Webster Financial Corp. 65,226 5,846 Wells Fargo & Co. 274,411 1,184 WesBanco, Inc. 39,214 681 Western Alliance Bancorp 37,612 1,641 Wintrust Financial Corp. 103,842 2,242 Zions Bancorp N.A. 101,989 --------------- 7,958,260 --------------- BEVERAGES -- 0.3% 4,261 Molson Coors Beverage Co., Class B 236,827 430 National Beverage Corp. (a) (b) 18,451 --------------- 255,278 --------------- BIOTECHNOLOGY -- 0.7% 652 Amgen, Inc. 140,864 1,060 Biogen, Inc. (a) 284,981 419 Regeneron Pharmaceuticals, Inc. (a) 141,597 --------------- 567,442 --------------- BUILDING PRODUCTS -- 1.1% 814 A.O. Smith Corp. 34,750 630 American Woodmark Corp. (a) 69,080 2,027 Apogee Enterprises, Inc. 64,499 2,593 Builders FirstSource, Inc. (a) 64,293 435 Gibraltar Industries, Inc. (a) 23,716 1,595 Masco Corp. 75,794 2,979 Owens Corning 180,200 1,707 Patrick Industries, Inc. 88,559 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BUILDING PRODUCTS (CONTINUED) 6,004 PGT Innovations, Inc. (a) $ 93,062 7,504 Resideo Technologies, Inc. (a) 76,391 484 Simpson Manufacturing Co., Inc. 40,012 1,381 Universal Forest Products, Inc. 66,150 --------------- 876,506 --------------- CAPITAL MARKETS -- 3.7% 460 Ameriprise Financial, Inc. 76,089 679 Artisan Partners Asset Management, Inc., Class A 22,679 4,564 Bank of New York Mellon (The) Corp. 204,376 5,063 E*TRADE Financial Corp. 215,785 1,662 Eaton Vance Corp. 76,036 2,076 Evercore, Inc., Class A 159,063 15,134 Franklin Resources, Inc. 382,890 1,368 Goldman Sachs Group (The), Inc. 325,242 8,630 Invesco Ltd. 149,299 971 Lazard Ltd., Class A 40,743 688 Moelis & Co., Class A 24,768 6,153 Morgan Stanley 321,556 721 Northern Trust Corp. 70,521 275 Piper Sandler Cos. 22,668 2,568 Raymond James Financial, Inc. 234,792 2,904 State Street Corp. 219,630 2,558 Stifel Financial Corp. 165,477 1,885 T. Rowe Price Group, Inc. 251,704 6,693 Waddell & Reed Financial, Inc., Class A 106,954 --------------- 3,070,272 --------------- CHEMICALS -- 3.6% 2,124 Albemarle Corp. 170,515 2,534 Ashland Global Holdings, Inc. 187,465 1,386 Cabot Corp. 55,232 1,866 Celanese Corp. 193,131 4,811 CF Industries Holdings, Inc. 193,787 185 Chase Corp. 17,014 8,578 Chemours (The) Co. 118,977 3,578 DuPont de Nemours, Inc. 183,122 4,961 Eastman Chemical Co. 353,571 1,880 Element Solutions, Inc. (a) 21,996 868 H.B. Fuller Co. 40,110 6,423 Huntsman Corp. 132,057 4,420 Kraton Corp. (a) 72,709 4,916 Kronos Worldwide, Inc. 53,289 4,161 LyondellBasell Industries N.V., Class A 323,976 1,553 Minerals Technologies, Inc. 84,064 10,614 Mosaic (The) Co. 210,582 159 NewMarket Corp. 69,900 11,244 Olin Corp. 167,198 597 PolyOne Corp. 19,809 587 Sensient Technologies Corp. 35,073 437 Stepan Co. 43,110 1,770 Trinseo S.A. 50,834 Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 1,812 Valvoline, Inc. $ 38,197 2,212 Westlake Chemical Corp. 135,374 --------------- 2,971,092 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.8% 11,955 ACCO Brands Corp. 103,291 3,905 BrightView Holdings, Inc. (a) 61,699 308 Cimpress PLC (a) (b) 36,846 903 Healthcare Services Group, Inc. 23,117 1,759 HNI Corp. 63,271 7,121 KAR Auction Services, Inc. 149,683 1,772 Knoll, Inc. 43,875 579 Mobile Mini, Inc. 24,168 3,220 Steelcase, Inc., Class A 59,924 576 UniFirst Corp. 117,464 --------------- 683,338 --------------- COMMUNICATIONS EQUIPMENT -- 0.3% 1,521 EchoStar Corp., Class A (a) 60,696 278 F5 Networks, Inc. (a) 33,949 3,150 Juniper Networks, Inc. 72,261 896 NETGEAR, Inc. (a) 23,045 912 NetScout Systems, Inc. (a) 23,448 --------------- 213,399 --------------- CONSTRUCTION & ENGINEERING -- 0.9% 2,512 Arcosa, Inc. 109,900 898 Comfort Systems USA, Inc. 41,667 1,899 Dycom Industries, Inc. (a) 76,758 1,349 EMCOR Group, Inc. 110,847 1,814 MasTec, Inc. (a) 104,758 4,025 Primoris Services Corp. 85,853 3,812 Quanta Services, Inc. 149,240 259 Valmont Industries, Inc. 36,794 --------------- 715,817 --------------- CONSTRUCTION MATERIALS -- 0.1% 274 Martin Marietta Materials, Inc. 72,281 --------------- CONSUMER FINANCE -- 2.8% 12,866 Ally Financial, Inc. 412,098 3,821 Capital One Financial Corp. 381,336 2,708 Discover Financial Services 203,452 3,165 Encore Capital Group, Inc. (a) 107,452 4,651 Enova International, Inc. (a) 116,554 4,803 Green Dot Corp., Class A (a) 144,474 11,343 Navient Corp. 163,112 605 PRA Group, Inc. (a) 21,393 8,300 Santander Consumer USA Holdings, Inc. 220,946 17,415 SLM Corp. 190,172 10,918 Synchrony Financial 353,852 --------------- 2,314,841 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CONTAINERS & PACKAGING -- 1.3% 2,451 Berry Global Group, Inc. (a) $ 104,216 6,990 Graphic Packaging Holding Co. 109,254 2,025 Greif, Inc., Class A 81,850 6,830 International Paper Co. 278,118 1,386 Packaging Corp. of America 132,709 2,496 Silgan Holdings, Inc. 77,027 1,257 Sonoco Products Co. 71,825 4,520 WestRock Co. 176,280 --------------- 1,031,279 --------------- DISTRIBUTORS -- 0.2% 1,646 Core-Mark Holding Co., Inc. 38,582 721 Genuine Parts Co. 67,464 1,087 LKQ Corp. (a) 35,529 --------------- 141,575 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 3,200 Adtalem Global Education, Inc. (a) 110,432 304 Graham Holdings Co., Class B 166,963 6,609 H&R Block, Inc. 153,329 5,084 Laureate Education, Inc., Class A (a) 105,951 575 WW International, Inc. (a) 18,963 --------------- 555,638 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 1,014 Berkshire Hathaway, Inc., Class B (a) 227,572 12,693 Equitable Holdings, Inc. 304,886 4,203 FGL Holdings 40,559 5,446 Jefferies Financial Group, Inc. 117,851 1,272 Voya Financial, Inc. 75,977 --------------- 766,845 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 10,061 AT&T, Inc. 378,495 808 ATN International, Inc. 46,759 3,741 Verizon Communications, Inc. 222,365 --------------- 647,619 --------------- ELECTRIC UTILITIES -- 3.1% 1,434 ALLETE, Inc. 119,710 2,874 Alliant Energy Corp. 170,601 3,449 Duke Energy Corp. 336,726 1,917 Entergy Corp. 252,124 900 Eversource Energy 83,196 8,624 Exelon Corp. 410,416 3,236 FirstEnergy Corp. 164,356 828 Hawaiian Electric Industries, Inc. 40,497 363 IDACORP, Inc. 40,725 3,498 Pinnacle West Capital Corp. 341,720 2,086 Portland General Electric Co. 128,289 8,766 PPL Corp. 317,242 2,477 Xcel Energy, Inc. 171,384 --------------- 2,576,986 --------------- See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT -- 1.1% 843 Acuity Brands, Inc. $ 99,364 1,434 AZZ, Inc. 59,167 2,425 Eaton Corp. PLC 229,090 2,062 Emerson Electric Co. 147,701 1,560 Encore Wire Corp. 84,724 1,555 EnerSys 111,898 2,266 Regal Beloit Corp. 177,790 --------------- 909,734 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.2% 3,656 Avnet, Inc. 133,407 5,467 AVX Corp. 110,816 1,917 Benchmark Electronics, Inc. 59,005 10,805 Corning, Inc. 288,385 1,492 CTS Corp. 43,731 564 Dolby Laboratories, Inc., Class A 39,108 531 ePlus, Inc. (a) 42,331 690 Fabrinet (a) 43,498 745 FLIR Systems, Inc. 38,397 652 II-VI, Inc. (a) 21,940 637 Insight Enterprises, Inc. (a) 41,959 268 IPG Photonics Corp. (a) 34,216 1,877 Jabil, Inc. 72,997 2,275 Methode Electronics, Inc. 74,506 285 Plexus Corp. (a) 20,269 2,615 Sanmina Corp. (a) 83,262 2,423 ScanSource, Inc. (a) 84,539 1,205 SYNNEX Corp. 166,001 2,397 TE Connectivity Ltd. 220,955 5,948 TTM Technologies, Inc. (a) 85,592 4,205 Vishay Intertechnology, Inc. 85,319 --------------- 1,790,233 --------------- ENERGY EQUIPMENT & SERVICES -- 1.0% 8,917 Archrock, Inc. 74,457 2,987 Baker Hughes Co. 64,698 583 Core Laboratories N.V. 20,481 12,854 Halliburton Co. 280,346 9,296 Helix Energy Solutions Group, Inc. (a) 77,529 1,708 Helmerich & Payne, Inc. 69,259 31,084 Nabors Industries Ltd. 64,344 3,002 Oceaneering International, Inc. (a) 37,255 1,346 Oil States International, Inc. (a) 14,510 8,542 RPC, Inc. (b) 38,695 2,075 SEACOR Holdings, Inc. (a) 77,999 --------------- 819,573 --------------- ENTERTAINMENT -- 0.6% 1,289 Activision Blizzard, Inc. 75,381 3,438 Cinemark Holdings, Inc. 108,331 2,926 Electronic Arts, Inc. (a) 315,774 --------------- 499,486 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.5% 11,936 Apple Hospitality REIT, Inc. $ 179,279 3,590 Brixmor Property Group, Inc. 71,656 1,050 Columbia Property Trust, Inc. 22,155 6,439 CoreCivic, Inc. 102,702 5,945 DiamondRock Hospitality Co. 57,488 2,602 Diversified Healthcare Trust 20,088 1,573 Empire State Realty Trust, Inc., Class A 21,330 5,908 Equity Commonwealth 193,723 5,390 GEO Group (The), Inc. 85,162 3,248 Global Net Lease, Inc. 67,331 793 Highwoods Properties, Inc. 39,737 21,195 Host Hotels & Resorts, Inc. 346,326 4,323 Macerich (The) Co. (b) 96,446 4,838 Mack-Cali Realty Corp. 106,243 2,050 Office Properties Income Trust 69,762 5,574 Paramount Group, Inc. 78,370 4,499 Park Hotels & Resorts, Inc. 98,708 1,447 Pebblebrook Hotel Trust 34,323 8,757 RLJ Lodging Trust 136,259 1,460 RPT Realty 20,367 6,378 Service Properties Trust 137,637 3,193 SITE Centers Corp. 40,583 422 SL Green Realty Corp. 38,841 9,068 Summit Hotel Properties, Inc. 100,564 11,147 Sunstone Hotel Investors, Inc. 141,344 4,472 Tanger Factory Outlet Centers, Inc. (b) 65,425 1,145 Urban Edge Properties 21,057 5,912 Vornado Realty Trust 388,832 4,143 Xenia Hotels & Resorts, Inc. 77,433 --------------- 2,859,171 --------------- FOOD & STAPLES RETAILING -- 1.3% 4,427 Andersons (The), Inc. 100,139 3,412 BJ's Wholesale Club Holdings, Inc. (a) 70,014 10,850 Kroger (The) Co. 291,431 309 PriceSmart, Inc. 18,929 3,404 Sprouts Farmers Market, Inc. (a) 53,204 1,852 US Foods Holding Corp. (a) 74,395 5,335 Walgreens Boots Alliance, Inc. 271,285 644 Walmart, Inc. 73,732 2,764 Weis Markets, Inc. 101,411 --------------- 1,054,540 --------------- FOOD PRODUCTS -- 1.9% 4,956 Archer-Daniels-Midland Co. 221,831 6,241 B&G Foods, Inc. (b) 100,230 4,593 Conagra Brands, Inc. 151,202 2,763 Darling Ingredients, Inc. (a) 74,960 1,784 Flowers Foods, Inc. 38,409 2,559 Fresh Del Monte Produce, Inc. 80,301 2,936 General Mills, Inc. 153,318 1,697 Hormel Foods Corp. 80,200 1,252 Ingredion, Inc. 110,176 2,206 J.M. Smucker (The) Co. 228,564 Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 1,186 Pilgrim's Pride Corp. (a) $ 30,895 3,455 Tyson Foods, Inc., Class A 285,487 --------------- 1,555,573 --------------- GAS UTILITIES -- 0.5% 1,406 Atmos Energy Corp. 164,544 3,334 National Fuel Gas Co. 143,996 931 Spire, Inc. 78,502 --------------- 387,042 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.9% 352 AMN Healthcare Services, Inc. (a) 23,718 521 Anthem, Inc. 138,211 9,061 Brookdale Senior Living, Inc. (a) 59,712 2,501 Centene Corp. (a) 157,088 1,123 Cigna Corp. 216,043 3,092 CVS Health Corp. 209,699 1,020 DaVita, Inc. (a) 81,467 560 Encompass Health Corp. 43,137 1,064 HCA Healthcare, Inc. 147,683 2,357 Henry Schein, Inc. (a) 162,492 429 Humana, Inc. 144,247 1,358 Laboratory Corp. of America Holdings (a) 238,193 281 Magellan Health, Inc. (a) 20,572 858 Molina Healthcare, Inc. (a) 105,508 762 National HealthCare Corp. 63,947 2,186 Patterson Cos., Inc. 48,114 1,473 Quest Diagnostics, Inc. 163,017 941 Select Medical Holdings Corp. (a) 21,492 260 UnitedHealth Group, Inc. 70,837 2,192 Universal Health Services, Inc., Class B 300,545 --------------- 2,415,722 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.3% 894 Aramark 39,461 2,028 Bloomin' Brands, Inc. 42,122 3,887 Boyd Gaming Corp. 116,027 7,735 Carnival Corp. 336,705 1,152 Cheesecake Factory (The), Inc. 44,237 757 Cracker Barrel Old Country Store, Inc. 115,768 1,443 Darden Restaurants, Inc. 168,008 1,640 Dave & Buster's Entertainment, Inc. 72,422 1,297 Hyatt Hotels Corp., Class A 109,648 6,731 Norwegian Cruise Line Holdings Ltd. (a) 362,464 2,577 Penn National Gaming, Inc. (a) 76,872 5,329 Playa Hotels & Resorts N.V. (a) 37,410 2,356 Royal Caribbean Cruises Ltd. 275,840 689 Texas Roadhouse, Inc. 43,063 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,501 Wyndham Destinations, Inc. $ 72,844 --------------- 1,912,891 --------------- HOUSEHOLD DURABLES -- 3.0% 112 Cavco Industries, Inc. (a) 25,090 7,453 D.R. Horton, Inc. 441,218 2,612 KB Home 98,081 1,422 La-Z-Boy, Inc. 43,570 763 Leggett & Platt, Inc. 36,311 7,047 Lennar Corp., Class A 467,639 2,346 M.D.C. Holdings, Inc. 98,860 2,844 M/I Homes, Inc. (a) 126,245 1,831 Meritage Homes Corp. (a) 129,928 1,422 Mohawk Industries, Inc. (a) 187,249 3,999 PulteGroup, Inc. 178,555 5,119 Taylor Morrison Home Corp. (a) 132,480 4,909 Toll Brothers, Inc. 217,763 7,182 TRI Pointe Group, Inc. (a) 116,779 1,052 Whirlpool Corp. 153,771 --------------- 2,453,539 --------------- HOUSEHOLD PRODUCTS -- 0.3% 2,244 Central Garden & Pet Co., Class A (a) 67,230 557 Kimberly-Clark Corp. 79,785 613 Procter & Gamble (The) Co. 76,392 --------------- 223,407 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 3,847 AES Corp. 76,401 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 434 3M Co. 68,859 433 Honeywell International, Inc. 75,004 --------------- 143,863 --------------- INSURANCE -- 7.4% 4,342 Aflac, Inc. 223,917 2,043 Allstate (The) Corp. 242,177 734 American Equity Investment Life Holding Co. 19,385 354 American Financial Group, Inc. 38,512 6,128 American International Group, Inc. 307,993 1,319 American National Insurance Co. 145,301 7,334 Arch Capital Group Ltd. (a) 323,869 334 Argo Group International Holdings Ltd. 21,910 3,165 Assured Guaranty Ltd. 145,084 4,124 Athene Holding Ltd., Class A (a) 179,641 4,944 Brighthouse Financial, Inc. (a) 192,322 1,010 Chubb Ltd. 153,510 4,938 CNO Financial Group, Inc. 86,859 2,680 Employers Holdings, Inc. 114,302 938 Enstar Group Ltd. (a) 183,182 277 Everest Re Group Ltd. 76,610 See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 760 FBL Financial Group, Inc., Class A $ 40,873 5,065 Fidelity National Financial, Inc. 246,919 2,661 First American Financial Corp. 164,929 1,494 Globe Life, Inc. 155,764 284 Hanover Insurance Group (The), Inc. 39,357 5,176 Hartford Financial Services Group (The), Inc. 306,833 1,025 Horace Mann Educators Corp. 44,085 2,665 Lincoln National Corp. 145,189 3,184 Mercury General Corp. 156,303 7,714 MetLife, Inc. 383,463 8,777 National General Holdings Corp. 191,075 308 National Western Life Group, Inc., Class A 81,928 6,937 Old Republic International Corp. 156,429 4,176 Principal Financial Group, Inc. 221,119 608 ProAssurance Corp. 18,465 3,355 Prudential Financial, Inc. 305,506 1,409 Reinsurance Group of America, Inc. 202,967 484 Safety Insurance Group, Inc. 44,567 1,190 Selective Insurance Group, Inc. 78,838 1,677 Travelers (The) Cos., Inc. 220,727 6,652 Unum Group 177,542 1,108 W.R. Berkley Corp. 81,471 139 White Mountains Insurance Group Ltd. 155,294 --------------- 6,074,217 --------------- INTERACTIVE MEDIA & SERVICES -- 0.0% 1,277 TripAdvisor, Inc. 34,888 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.4% 4,355 eBay, Inc. 146,154 708 Expedia Group, Inc. 76,783 9,204 Qurate Retail, Inc., Series A (a) 78,510 --------------- 301,447 --------------- IT SERVICES -- 1.5% 155 CACI International, Inc., Class A (a) 41,453 5,072 Cognizant Technology Solutions Corp., Class A 311,319 4,184 DXC Technology Co. 133,386 1,173 International Business Machines Corp. 168,595 1,080 Jack Henry & Associates, Inc. 161,503 782 Leidos Holdings, Inc. 78,568 4,035 LiveRamp Holdings, Inc. (a) 162,369 275 ManTech International Corp., Class A 22,077 1,043 MAXIMUS, Inc. 74,835 2,934 Perspecta, Inc. 82,357 SHARES DESCRIPTION VALUE --------------------------------------------------------------- IT SERVICES (CONTINUED) 1,210 Sykes Enterprises, Inc. (a) $ 40,644 --------------- 1,277,106 --------------- LEISURE PRODUCTS -- 0.2% 676 Acushnet Holdings Corp. 20,936 1,036 Callaway Golf Co. 22,191 763 Polaris, Inc. 70,074 1,401 Sturm Ruger & Co., Inc. 69,377 --------------- 182,578 --------------- MACHINERY -- 2.4% 1,507 AGCO Corp. 105,701 1,819 Altra Industrial Motion Corp. 60,500 722 Barnes Group, Inc. 45,609 1,347 Crane Co. 115,114 1,758 Cummins, Inc. 281,227 586 Gorman-Rupp (The) Co. 21,629 3,451 Greenbrier (The) Cos., Inc. 83,134 659 Hillenbrand, Inc. 19,131 525 ITT, Inc. 35,217 401 Lincoln Electric Holdings, Inc. 35,761 3,418 Meritor, Inc. (a) 74,888 1,410 Mueller Industries, Inc. 41,130 1,639 Oshkosh Corp. 141,019 4,971 PACCAR, Inc. 368,898 372 Parker-Hannifin Corp. 72,797 2,378 Rexnord Corp. (a) 77,642 687 Snap-on, Inc. 109,666 564 Standex International Corp. 41,223 2,756 Timken (The) Co. 144,773 4,042 Trinity Industries, Inc. 82,174 --------------- 1,957,233 --------------- MARINE -- 0.1% 433 Kirby Corp. (a) 31,735 1,615 Matson, Inc. 58,156 --------------- 89,891 --------------- MEDIA -- 2.2% 2,266 AMC Networks, Inc., Class A (a) 82,913 6,994 Comcast Corp., Class A 302,071 12,009 Discovery, Inc., Class A (a) 351,383 4,375 DISH Network Corp., Class A (a) 160,825 10,606 Fox Corp., Class A 393,271 4,175 Gray Television, Inc. (a) 84,669 3,359 Interpublic Group of Cos. (The), Inc. 76,249 1,358 John Wiley & Sons, Inc., Class A 59,236 945 Omnicom Group, Inc. 71,168 1,164 Scholastic Corp. 38,354 9,297 TEGNA, Inc. 157,119 --------------- 1,777,258 --------------- METALS & MINING -- 2.0% 5,416 Allegheny Technologies, Inc. (a) 93,426 1,798 Carpenter Technology Corp. 71,453 Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 4,020 Commercial Metals Co. $ 82,611 360 Compass Minerals International, Inc. 20,840 404 Kaiser Aluminum Corp. 40,461 9,049 Newmont Corp. 407,748 6,986 Nucor Corp. 331,765 1,620 Reliance Steel & Aluminum Co. 185,976 5,698 Steel Dynamics, Inc. 170,256 9,807 United States Steel Corp. (b) 88,949 5,296 Warrior Met Coal, Inc. 99,883 521 Worthington Industries, Inc. 19,162 --------------- 1,612,530 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.4% 6,363 Apollo Commercial Real Estate Finance, Inc. 116,316 1,887 Chimera Investment Corp. 40,004 20,284 MFA Financial, Inc. 158,215 2,408 New Residential Investment Corp. 40,310 --------------- 354,845 --------------- MULTILINE RETAIL -- 0.9% 3,896 Big Lots, Inc. 105,426 1,523 Dillard's, Inc., Class A (b) 92,477 3,807 Kohl's Corp. 162,749 11,410 Macy's, Inc. 181,989 2,843 Nordstrom, Inc. 104,793 1,227 Target Corp. 135,878 --------------- 783,312 --------------- MULTI-UTILITIES -- 2.4% 2,991 Ameren Corp. 245,412 3,227 Avista Corp. 164,093 11,534 CenterPoint Energy, Inc. 305,420 1,218 CMS Energy Corp. 83,445 2,539 Consolidated Edison, Inc. 238,666 1,769 DTE Energy Co. 234,587 3,917 MDU Resources Group, Inc. 115,983 8,251 NiSource, Inc. 241,837 1,624 NorthWestern Corp. 124,999 1,516 Sempra Energy 243,530 --------------- 1,997,972 --------------- OIL, GAS & CONSUMABLE FUELS -- 7.3% 39,264 Antero Resources Corp. (a) 72,638 4,548 Apache Corp. 124,797 1,560 Arch Coal, Inc., Class A 80,387 23,168 Callon Petroleum Co. (a) 69,504 234,938 Chesapeake Energy Corp. (a) 120,241 3,263 Chevron Corp. 349,598 3,695 Cimarex Energy Co. 162,174 12,644 CNX Resources Corp. (a) 91,416 4,490 Concho Resources, Inc. 340,252 6,046 ConocoPhillips 359,314 11,463 Continental Resources, Inc. 312,023 SHARES DESCRIPTION VALUE --------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 5,785 Delek US Holdings, Inc. $ 158,856 15,139 Devon Energy Corp. 328,819 4,694 EOG Resources, Inc. 342,240 17,795 EQT Corp. 107,660 4,508 Exxon Mobil Corp. 280,037 3,825 HollyFrontier Corp. 171,819 28,952 Marathon Oil Corp. 329,184 6,526 Marathon Petroleum Corp. 355,667 6,227 Matador Resources Co. (a) 91,350 7,238 Murphy Oil Corp. 151,708 6,331 Noble Energy, Inc. 125,164 34,326 Oasis Petroleum, Inc. (a) 77,234 1,237 PBF Energy, Inc., Class A 33,770 4,276 PDC Energy, Inc. (a) 92,319 12,270 Peabody Energy Corp. 82,945 3,529 Phillips 66 322,445 19,894 QEP Resources, Inc. 63,064 9,956 SM Energy Co. 91,396 46,241 Southwestern Energy Co. (a) 72,598 3,711 Talos Energy, Inc. (a) 81,419 3,359 Valero Energy Corp. 283,197 15,246 Whiting Petroleum Corp. (a) (b) 69,217 1,031 World Fuel Services Corp. 40,333 14,117 WPX Energy, Inc. (a) 168,698 --------------- 6,003,483 --------------- PAPER & FOREST PRODUCTS -- 0.2% 601 Boise Cascade Co. 21,756 2,926 Domtar Corp. 101,883 312 Neenah, Inc. 20,792 1,569 Schweitzer-Mauduit International, Inc. 54,962 --------------- 199,393 --------------- PERSONAL PRODUCTS -- 0.1% 1,092 Nu Skin Enterprises, Inc., Class A 35,588 570 USANA Health Sciences, Inc. (a) 35,169 --------------- 70,757 --------------- PHARMACEUTICALS -- 1.2% 1,039 Jazz Pharmaceuticals PLC (a) 148,941 525 Johnson & Johnson 78,157 15,649 Mylan N.V. (a) 335,201 2,253 Perrigo Co., PLC 128,511 8,028 Pfizer, Inc. 298,963 --------------- 989,773 --------------- PROFESSIONAL SERVICES -- 0.6% 1,093 ASGN, Inc. (a) 73,985 814 CBIZ, Inc. (a) 21,978 240 ICF International, Inc. 21,022 4,956 Kelly Services, Inc., Class A 88,018 553 Kforce, Inc. 20,489 2,111 Korn Ferry 86,509 1,199 ManpowerGroup, Inc. 109,696 1,229 Robert Half International, Inc. 71,491 --------------- 493,188 --------------- See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 2,566 CBRE Group, Inc., Class A (a) $ 156,654 446 Jones Lang LaSalle, Inc. 75,740 1,202 Marcus & Millichap, Inc. (a) 42,551 3,327 Newmark Group, Inc., Class A 39,159 --------------- 314,104 --------------- ROAD & RAIL -- 1.2% 413 AMERCO 153,334 4,253 Heartland Express, Inc. 79,489 1,347 J.B. Hunt Transport Services, Inc. 145,382 500 Kansas City Southern 84,345 347 Landstar System, Inc. 38,430 5,207 Marten Transport Ltd. 108,097 2,857 Ryder System, Inc. 136,336 707 Saia, Inc. (a) 61,580 4,103 Schneider National, Inc., Class B 91,374 2,460 Werner Enterprises, Inc. 90,676 --------------- 989,043 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.4% 5,067 Amkor Technology, Inc. (a) 57,004 1,254 Applied Materials, Inc. 72,720 5,255 Intel Corp. 335,952 262 Lam Research Corp. 78,131 7,311 Micron Technology, Inc. (a) 388,141 3,182 ON Semiconductor Corp. (a) 73,663 1,301 Skyworks Solutions, Inc. 147,208 --------------- 1,152,819 --------------- SOFTWARE -- 0.2% 690 Citrix Systems, Inc. 83,642 2,680 Ebix, Inc. 92,272 --------------- 175,914 --------------- SPECIALTY RETAIL -- 3.2% 6,472 Abercrombie & Fitch Co., Class A 105,882 478 Advance Auto Parts, Inc. 62,977 13,195 American Eagle Outfitters, Inc. 190,008 400 Asbury Automotive Group, Inc. (a) 38,580 3,191 AutoNation, Inc. (a) 135,426 2,616 Best Buy Co., Inc. 221,549 2,556 Buckle (The), Inc. (b) 62,392 873 CarMax, Inc. (a) 84,716 1,054 Children's Place (The), Inc. (b) 62,892 5,688 Designer Brands, Inc., Class A 80,997 1,809 Dick's Sporting Goods, Inc. 80,012 4,975 Foot Locker, Inc. 188,901 10,971 Gap (The), Inc. 191,005 659 Group 1 Automotive, Inc. 66,407 4,282 L Brands, Inc. 99,171 792 Lithia Motors, Inc., Class A 107,427 11,066 Michaels (The) Cos., Inc. (a) 54,555 663 Murphy USA, Inc. (a) 67,739 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 32,672 Office Depot, Inc. $ 72,532 3,090 Penske Automotive Group, Inc. 145,137 658 Ross Stores, Inc. 73,821 4,905 Sally Beauty Holdings, Inc. (a) 75,292 3,030 Signet Jewelers Ltd. 73,659 1,254 TJX (The) Cos., Inc. 74,036 4,030 Urban Outfitters, Inc. (a) 103,168 1,585 Williams-Sonoma, Inc. 111,077 --------------- 2,629,358 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.2% 24,790 Hewlett Packard Enterprise Co. 345,325 11,177 HP, Inc. 238,294 2,526 NetApp, Inc. 134,888 1,287 Seagate Technology PLC 73,346 5,261 Xerox Holdings Corp. 187,134 --------------- 978,987 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.9% 355 Carter's, Inc. 37,655 3,340 G-III Apparel Group Ltd. (a) 90,881 10,449 Hanesbrands, Inc. 143,778 873 Oxford Industries, Inc. 60,586 1,845 PVH Corp. 160,829 662 Ralph Lauren Corp. 75,137 1,796 Skechers U.S.A., Inc., Class A (a) 67,153 902 Steven Madden Ltd. 34,781 1,327 Wolverine World Wide, Inc. 41,893 --------------- 712,693 --------------- THRIFTS & MORTGAGE FINANCE -- 0.9% 1,478 Axos Financial, Inc. (a) 41,635 1,722 Flagstar Bancorp, Inc. 60,683 13,688 MGIC Investment Corp. 188,758 6,455 New York Community Bancorp, Inc. 71,392 1,320 Northwest Bancshares, Inc. 20,757 1,753 OceanFirst Financial Corp. 40,775 2,630 PennyMac Financial Services, Inc. 88,684 2,672 Provident Financial Services, Inc. 60,948 1,384 Walker & Dunlop, Inc. 91,856 2,117 Washington Federal, Inc. 71,978 1,018 WSFS Financial Corp. 40,608 --------------- 778,074 --------------- TOBACCO -- 0.1% 1,569 Universal Corp. 83,392 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.9% 4,082 Air Lease Corp. 175,281 671 Applied Industrial Technologies, Inc. 43,326 2,060 Beacon Roofing Supply, Inc. (a) 68,207 Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 3,120 BMC Stock Holdings, Inc. (a) $ 91,057 1,873 GATX Corp. 142,592 3,306 GMS, Inc. (a) 88,336 1,929 HD Supply Holdings, Inc. (a) 78,587 915 Herc Holdings, Inc. (a) 36,710 333 Kaman Corp. 20,553 4,830 MRC Global, Inc. (a) 54,386 1,586 MSC Industrial Direct Co., Inc., Class A 107,959 7,965 NOW, Inc. (a) 79,730 2,407 Rush Enterprises, Inc., Class A 103,501 1,886 United Rentals, Inc. (a) 255,911 465 W.W. Grainger, Inc. 140,742 1,884 WESCO International, Inc. (a) 91,204 --------------- 1,578,082 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.1% 2,717 Macquarie Infrastructure Corp. 119,847 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 7,627 Telephone & Data Systems, Inc. 172,980 4,011 T-Mobile US, Inc. (a) 317,631 3,089 United States Cellular Corp. (a) 98,910 --------------- 589,521 --------------- TOTAL COMMON STOCKS -- 100.0% 82,270,315 (Cost $81,389,103) --------------- MONEY MARKET FUNDS -- 0.4% 117,410 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) 117,410 255,260 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 255,260 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 372,670 (Cost $372,670) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.7% $ 541,334 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $541,404. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $552,749. (d) $ 541,334 (Cost $541,334) --------------- TOTAL INVESTMENTS -- 101.1% 83,184,319 (Cost $82,303,107) (e) NET OTHER ASSETS AND LIABILITIES -- (1.1)% (883,247) --------------- NET ASSETS -- 100.0% $ 82,301,072 =============== (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 $618,223 and the total value of the collateral held by the Fund is $658,744. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $7,126,915 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,245,703. The net unrealized appreciation was $881,212. See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 82,270,315 $ -- $ -- Money Market Funds 372,670 -- -- Repurchase Agreements -- 541,334 -- --------------------------------------------- Total Investments $ 82,642,985 $ 541,334 $ -- ============================================= * 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) $ 618,223 Non-cash Collateral(2) (618,223) --------------- 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 January 31, 2020, 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) $ 541,334 Non-cash Collateral(4) (541,334) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.6% 1,765 Aerojet Rocketdyne Holdings, Inc. (a) $ 91,904 1,507 AeroVironment, Inc. (a) 100,381 5,501 Axon Enterprise, Inc. (a) 422,532 1,394 HEICO Corp. 170,667 1,100 Hexcel Corp. 81,642 2,534 Kratos Defense & Security Solutions, Inc. (a) 46,474 3,304 L3Harris Technologies, Inc. 731,274 1,226 Lockheed Martin Corp. 524,875 1,166 Mercury Systems, Inc. (a) 89,490 1,090 Moog, Inc., Class A 97,675 1,387 Northrop Grumman Corp. 519,529 2,358 Teledyne Technologies, Inc. (a) 860,811 1,459 TransDigm Group, Inc. 938,546 9,203 Triumph Group, Inc. 188,017 --------------- 4,863,817 --------------- AIR FREIGHT & LOGISTICS -- 0.2% 7,931 Air Transport Services Group, Inc. (a) 166,313 3,325 Forward Air Corp. 217,621 --------------- 383,934 --------------- AUTO COMPONENTS -- 0.3% 602 Dorman Products, Inc. (a) 42,020 2,318 Fox Factory Holding Corp. (a) 152,571 4,568 Garrett Motion, Inc. (a) 38,462 11,128 Gentex Corp. 331,280 --------------- 564,333 --------------- AUTOMOBILES -- 0.7% 1,953 Tesla, Inc. (a) 1,270,563 --------------- BANKS -- 2.5% 2,980 BancFirst Corp. 172,244 3,389 Bank of Hawaii Corp. 303,654 1,670 City Holding Co. 126,386 2,273 Community Bank System, Inc. 150,632 7,472 CVB Financial Corp. 155,193 2,350 FB Financial Corp. (b) 83,777 3,430 First Bancorp 121,696 8,784 First BanCorp 81,428 4,594 First Financial Bankshares, Inc. 153,991 3,506 Glacier Bancorp, Inc. 148,549 1,117 Independent Bank Corp. 80,647 2,469 Independent Bank Group, Inc. 132,141 2,798 Lakeland Financial Corp. 132,737 2,641 National Bank Holdings Corp., Class A 86,097 3,940 OFG Bancorp 77,657 5,707 Pacific Premier Bancorp, Inc. 170,069 5,039 Pinnacle Financial Partners, Inc. 297,603 4,912 Sandy Spring Bancorp, Inc. 170,938 6,087 Seacoast Banking Corp. of Florida (a) 165,262 4,938 ServisFirst Bancshares, Inc. 181,472 2,361 Signature Bank 335,002 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 3,687 Southside Bancshares, Inc. $ 129,340 11,474 Sterling Bancorp 229,480 4,532 Stock Yards Bancorp, Inc. 175,570 1,496 Tompkins Financial Corp. 128,791 6,025 United Community Banks, Inc. 168,218 6,387 Veritex Holdings, Inc. 180,880 2,545 Washington Trust Bancorp, Inc. 120,455 1,373 Westamerica Bancorporation 86,993 --------------- 4,546,902 --------------- BEVERAGES -- 0.8% 640 Boston Beer (The) Co., Inc., Class A (a) 228,083 7,062 Brown-Forman Corp., Class B 477,674 2,875 Coca-Cola (The) Co. 167,900 482 Coca-Cola Consolidated, Inc. 130,531 5,144 Monster Beverage Corp. (a) 342,590 1,164 PepsiCo, Inc. 165,311 --------------- 1,512,089 --------------- BIOTECHNOLOGY -- 4.5% 9,424 ACADIA Pharmaceuticals, Inc. (a) 376,395 3,509 Acceleron Pharma, Inc. (a) 318,547 3,377 Agios Pharmaceuticals, Inc. (a) 164,561 1,472 Alexion Pharmaceuticals, Inc. (a) 146,302 3,501 Alnylam Pharmaceuticals, Inc. (a) 401,880 8,278 Amicus Therapeutics, Inc. (a) 73,177 3,550 Arena Pharmaceuticals, Inc. (a) 162,199 6,356 Arrowhead Pharmaceuticals, Inc. (a) 266,380 6,619 CRISPR Therapeutics AG (a) 343,857 2,620 Denali Therapeutics, Inc. (a) (b) 60,679 10,557 Dicerna Pharmaceuticals, Inc. (a) 208,448 3,142 Editas Medicine, Inc. (a) 83,043 2,538 Emergent BioSolutions, Inc. (a) 139,818 9,454 Epizyme, Inc. (a) 197,872 1,720 Exact Sciences Corp. (a) 160,442 9,507 Fate Therapeutics, Inc. (a) 241,098 3,760 FibroGen, Inc. (a) 157,356 2,574 Halozyme Therapeutics, Inc. (a) 48,855 7,918 Heron Therapeutics, Inc. (a) 165,169 11,431 Immunomedics, Inc. (a) 212,274 5,467 Incyte Corp. (a) 399,474 1,877 Intercept Pharmaceuticals, Inc. (a) 173,454 2,830 Invitae Corp. (a) 52,779 1,335 Ionis Pharmaceuticals, Inc. (a) 77,857 17,473 Ironwood Pharmaceuticals, Inc. (a) 211,074 1,877 Mirati Therapeutics, Inc. (a) 162,980 8,244 Moderna, Inc. (a) 169,084 9,430 Momenta Pharmaceuticals, Inc. (a) 273,659 4,064 Natera, Inc. (a) 142,281 See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 3,750 Neurocrine Biosciences, Inc. (a) $ 375,300 1,911 Portola Pharmaceuticals, Inc. (a) (b) 24,442 4,246 Principia Biopharma, Inc. (a) 223,552 3,358 PTC Therapeutics, Inc. (a) 172,937 2,264 Radius Health, Inc. (a) 39,756 1,233 Sarepta Therapeutics, Inc. (a) 142,979 7,152 Seattle Genetics, Inc. (a) 775,205 1,298 uniQure N.V. (a) 74,713 4,904 Veracyte, Inc. (a) 128,730 2,985 Vertex Pharmaceuticals, Inc. (a) 677,744 1,327 Xencor, Inc. (a) 45,038 --------------- 8,271,390 --------------- BUILDING PRODUCTS -- 1.1% 1,883 AAON, Inc. 98,744 4,790 Advanced Drainage Systems, Inc. 199,120 6,561 Allegion PLC 848,469 1,716 Armstrong World Industries, Inc. 172,166 2,417 CSW Industrials, Inc. 183,402 9,935 JELD-WEN Holding, Inc. (a) 237,248 2,691 Trex Co., Inc. (a) 264,364 --------------- 2,003,513 --------------- CAPITAL MARKETS -- 3.7% 11,295 Ares Management Corp., Class A 407,298 6,929 Bain Capital Specialty Finance, Inc. 137,194 8,533 Blackstone Group (The), Inc., Class A 521,110 5,238 Blucora, Inc. (a) 118,117 1,326 Cboe Global Markets, Inc. 163,390 2,965 Cohen & Steers, Inc. 219,351 593 FactSet Research Systems, Inc. 169,663 4,948 Federated Investors, Inc., Class B 179,266 6,314 Focus Financial Partners, Inc., Class A (a) 178,370 766 Hamilton Lane, Inc., Class A 49,752 3,807 Houlihan Lokey, Inc. 197,393 1,719 Intercontinental Exchange, Inc. 171,453 4,370 LPL Financial Holdings, Inc. 402,608 1,724 MarketAxess Holdings, Inc. 610,606 2,753 Moody's Corp. 706,943 1,065 Morningstar, Inc. 167,088 2,532 MSCI, Inc. 723,646 4,457 Nasdaq, Inc. 519,062 3,033 PJT Partners, Inc., Class A 139,579 2,394 S&P Global, Inc. 703,190 3,693 SEI Investments Co. 241,005 3,410 TCG BDC, Inc. 47,228 --------------- 6,773,312 --------------- CHEMICALS -- 1.7% 678 Air Products and Chemicals, Inc. 161,845 5,304 Axalta Coating Systems Ltd. (a) 152,808 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CHEMICALS (CONTINUED) 793 Balchem Corp. $ 85,660 9,232 Ferro Corp. (a) 126,294 8,186 FMC Corp. 782,500 4,096 GCP Applied Technologies, Inc. (a) 91,013 922 Ingevity Corp. (a) 60,133 2,248 Innospec, Inc. 226,441 21,761 Livent Corp. (a) 204,771 7,969 PQ Group Holdings, Inc. (a) 122,005 3,037 Scotts Miracle-Gro (The) Co. 372,761 1,120 Sherwin-Williams (The) Co. 623,829 1,154 WR Grace & Co. 77,734 --------------- 3,087,794 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.6% 2,139 ABM Industries, Inc. 81,581 50,834 ADT, Inc. (b) 315,171 2,391 Brady Corp., Class A 132,390 3,556 Brink's (The) Co. 299,380 4,042 Casella Waste Systems, Inc., Class A (a) 206,910 2,429 Cintas Corp. 677,618 4,701 Clean Harbors, Inc. (a) 386,516 8,986 Copart, Inc. (a) 911,720 3,076 Covanta Holding Corp. 46,078 4,043 Harsco Corp. (a) 60,241 3,287 Herman Miller, Inc. 127,043 3,038 McGrath RentCorp 234,898 2,552 MSA Safety, Inc. 346,051 3,646 Republic Services, Inc. 346,552 3,743 Tetra Tech, Inc. 320,401 788 US Ecology, Inc. 42,560 1,396 Waste Management, Inc. 169,893 --------------- 4,705,003 --------------- COMMUNICATIONS EQUIPMENT -- 0.8% 5,665 Ciena Corp. (a) 230,395 18,577 Extreme Networks, Inc. (a) 109,604 5,084 Lumentum Holdings, Inc. (a) 385,215 988 Motorola Solutions, Inc. 174,876 1,669 Plantronics, Inc. 47,934 2,134 Ubiquiti, Inc. 348,738 2,203 ViaSat, Inc. (a) 140,221 --------------- 1,436,983 --------------- CONSTRUCTION & ENGINEERING -- 0.2% 905 NV5 Global, Inc. (a) 56,210 12,578 WillScot Corp. (a) 237,095 --------------- 293,305 --------------- CONSTRUCTION MATERIALS -- 0.3% 3,315 Vulcan Materials Co. 469,503 --------------- CONSUMER FINANCE -- 0.6% 3,834 American Express Co. 497,922 2,351 Nelnet, Inc., Class A 134,618 Page 74 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE (CONTINUED) 9,564 OneMain Holdings, Inc. $ 405,227 528 World Acceptance Corp. (a) 45,656 --------------- 1,083,423 --------------- CONTAINERS & PACKAGING -- 0.3% 697 AptarGroup, Inc. 80,510 5,557 Crown Holdings, Inc. (a) 411,385 --------------- 491,895 --------------- DISTRIBUTORS -- 0.2% 1,519 Pool Corp. 333,117 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 537 Bright Horizons Family Solutions, Inc. (a) 87,923 6,380 Chegg, Inc. (a) 263,047 10,118 Perdoceo Education Corp. (a) 179,898 2,030 Strategic Education, Inc. 329,449 --------------- 860,317 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.1% 6,254 Cannae Holdings, Inc. (a) 254,288 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% 4,901 Cogent Communications Holdings, Inc. 347,628 5,690 GCI Liberty, Inc., Class A (a) 416,394 6,544 Iridium Communications, Inc. (a) 167,199 --------------- 931,221 --------------- ELECTRIC UTILITIES -- 0.9% 1,683 American Electric Power Co., Inc. 175,402 7,334 Evergy, Inc. 529,222 1,180 MGE Energy, Inc. 94,318 1,350 NextEra Energy, Inc. 362,070 890 Otter Tail Corp. 47,668 7,495 Southern (The) Co. 527,648 --------------- 1,736,328 --------------- ELECTRICAL EQUIPMENT -- 1.2% 6,555 AMETEK, Inc. 636,818 5,748 Atkore International Group, Inc. (a) 228,196 4,008 Generac Holdings, Inc. (a) 415,189 13,877 GrafTech International Ltd. 148,900 2,727 Hubbell, Inc. 390,588 6,737 Sunrun, Inc. (a) 114,731 25,628 Vivint Solar, Inc. (a) (b) 209,125 --------------- 2,143,547 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.1% 6,040 Amphenol Corp., Class A 600,799 2,109 Badger Meter, Inc. 124,558 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 5,720 CDW Corp. $ 746,174 2,878 Cognex Corp. 146,692 2,770 Itron, Inc. (a) 226,447 6,369 Keysight Technologies, Inc. (a) 592,253 8,797 Knowles Corp. (a) 173,565 950 MTS Systems Corp. 48,155 1,359 OSI Systems, Inc. (a) 117,608 7,840 Trimble, Inc. (a) 333,357 3,199 Zebra Technologies Corp., Class A (a) 764,625 --------------- 3,874,233 --------------- ENERGY EQUIPMENT & SERVICES -- 0.1% 3,989 Cactus, Inc., Class A 114,963 8,860 Patterson-UTI Energy, Inc. 70,348 8,269 ProPetro Holding Corp. (a) 80,540 --------------- 265,851 --------------- ENTERTAINMENT -- 1.6% 15,377 Glu Mobile, Inc. (a) 90,724 10,386 Liberty Media Corp.-Liberty Formula One, Class C (a) 485,961 9,146 Live Nation Entertainment, Inc. (a) 623,391 548 Madison Square Garden (The) Co., Class A (a) 162,312 1,011 Netflix, Inc. (a) 348,886 3,011 Roku, Inc. (a) 364,181 2,670 Take-Two Interactive Software, Inc. (a) 332,789 2,260 Walt Disney (The) Co. 312,581 39,521 Zynga, Inc., Class A (a) 237,916 --------------- 2,958,741 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.5% 4,439 Alexander & Baldwin, Inc. 97,037 2,023 Alexandria Real Estate Equities, Inc. 330,154 3,442 American Finance Trust, Inc. 44,643 3,077 American Homes 4 Rent, Class A 84,094 1,422 American Tower Corp. 329,534 2,300 Americold Realty Trust 79,281 1,154 Boston Properties, Inc. 165,426 5,906 Brandywine Realty Trust 92,252 2,744 Corporate Office Properties Trust 81,689 1,119 Crown Castle International Corp. 167,671 1,232 CyrusOne, Inc. 74,967 1,837 Douglas Emmett, Inc. 76,235 4,589 Duke Realty Corp. 166,627 7,840 Easterly Government Properties, Inc. 189,806 1,215 EastGroup Properties, Inc. 165,325 560 Equinix, Inc. 330,249 See Notes to Financial Statements Page 75 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 4,643 Equity LifeStyle Properties, Inc. $ 337,778 3,749 Essential Properties Realty Trust, Inc. 103,510 3,884 First Industrial Realty Trust, Inc. 165,847 1,619 Four Corners Property Trust, Inc. 49,040 5,618 Gaming and Leisure Properties, Inc. 265,479 1,388 Getty Realty Corp. 43,750 2,891 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 98,554 9,723 Independence Realty Trust, Inc. 142,636 6,107 Industrial Logistics Properties Trust 139,789 601 Innovative Industrial Properties, Inc. 53,790 10,906 Invitation Homes, Inc. 343,212 1,922 Kilroy Realty Corp. 158,700 3,893 Kimco Realty Corp. 74,162 2,709 Lamar Advertising Co., Class A 251,422 4,298 Lexington Realty Trust 47,579 745 Life Storage, Inc. 84,319 3,820 Medical Properties Trust, Inc. 84,613 1,206 Mid-America Apartment Communities, Inc. 165,475 2,767 National Storage Affiliates Trust 94,493 2,067 NexPoint Residential Trust, Inc. 100,870 9,018 Outfront Media, Inc. 268,195 6,156 Piedmont Office Realty Trust, Inc., Class A 142,758 5,355 Prologis, Inc. 497,372 1,715 QTS Realty Trust, Inc., Class A 97,549 6,942 Retail Properties of America, Inc., Class A 84,345 3,531 Rexford Industrial Realty, Inc. 170,159 2,791 Ryman Hospitality Properties, Inc. 237,319 4,617 Safehold, Inc. 207,580 660 SBA Communications Corp. 164,710 1,639 Spirit Realty Capital, Inc. 86,506 2,165 STORE Capital Corp. 84,976 2,178 Sun Communities, Inc. 353,206 1,489 Terreno Realty Corp. 85,260 5,559 Uniti Group, Inc. 35,188 1,585 Universal Health Realty Income Trust 195,510 6,228 VICI Properties, Inc. 166,910 2,581 Weingarten Realty Investors 75,107 --------------- 8,232,658 --------------- FOOD & STAPLES RETAILING -- 0.1% 507 Casey's General Stores, Inc. 81,556 3,593 Chefs' Warehouse (The), Inc. (a) 130,785 --------------- 212,341 --------------- FOOD PRODUCTS -- 1.2% 3,936 Freshpet, Inc. (a) 247,496 1,083 Hershey (The) Co. 168,049 SHARES DESCRIPTION VALUE --------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 6,398 Hostess Brands, Inc. (a) $ 85,861 875 J&J Snack Foods Corp. 145,110 9,498 Lamb Weston Holdings, Inc. 867,263 1,008 Lancaster Colony Corp. 155,887 937 McCormick & Co., Inc. 153,078 2,890 Mondelez International, Inc., Class A 165,828 739 Post Holdings, Inc. (a) 77,277 4,797 Simply Good Foods (The) Co. (a) 110,187 --------------- 2,176,036 --------------- GAS UTILITIES -- 0.1% 476 Chesapeake Utilities Corp. 45,796 1,262 Northwest Natural Holding Co. 92,606 --------------- 138,402 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.4% 2,342 Align Technology, Inc. (a) 602,128 4,211 AtriCure, Inc. (a) 163,808 3,358 Axonics Modulation Technologies, Inc. (a) 97,483 7,228 Boston Scientific Corp. (a) 302,636 2,818 Cardiovascular Systems, Inc. (a) 127,909 2,080 CONMED Corp. 211,494 2,130 Danaher Corp. 342,653 5,776 DENTSPLY SIRONA, Inc. 323,456 3,736 DexCom, Inc. (a) 899,442 2,802 Edwards Lifesciences Corp. (a) 616,048 5,477 Globus Medical, Inc., Class A (a) 286,338 2,131 Hill-Rom Holdings, Inc. 226,930 6,261 Hologic, Inc. (a) 335,089 1,361 Inogen, Inc. (a) 60,251 1,884 Insulet Corp. (a) 365,571 1,384 Integra LifeSciences Holdings Corp. (a) 76,175 553 Intuitive Surgical, Inc. (a) 309,558 1,020 Masimo Corp. (a) 174,012 1,462 Merit Medical Systems, Inc. (a) 53,246 1,979 Nevro Corp. (a) 263,029 4,783 Novocure Ltd. (a) 389,623 5,212 NuVasive, Inc. (a) 401,949 1,473 Penumbra, Inc. (a) 258,453 2,480 Quidel Corp. (a) 190,464 3,080 ResMed, Inc. 489,628 5,290 STAAR Surgical Co. (a) 177,956 758 Stryker Corp. 159,711 3,445 Tactile Systems Technology, Inc. (a) 193,575 4,058 Tandem Diabetes Care, Inc. (a) 308,570 1,268 Teleflex, Inc. 471,075 3,361 Varian Medical Systems, Inc. (a) 472,456 10,814 ViewRay, Inc. (a) 33,740 3,175 West Pharmaceutical Services, Inc. 495,141 --------------- 9,879,597 --------------- Page 76 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES -- 1.6% 2,392 Addus HomeCare Corp. (a) $ 225,661 2,415 Amedisys, Inc. (a) 426,223 2,009 BioTelemetry, Inc. (a) 98,280 734 Chemed Corp. 342,808 1,567 CorVel Corp. (a) 143,490 3,554 Ensign Group (The), Inc. 160,641 4,127 Guardant Health, Inc. (a) 313,817 4,354 HealthEquity, Inc. (a) 287,625 2,926 LHC Group, Inc. (a) 426,465 2,077 National Research Corp. 140,551 2,456 Premier, Inc., Class A (a) 85,395 17,918 R1 RCM, Inc. (a) 223,975 400 US Physical Therapy, Inc. 46,856 --------------- 2,921,787 --------------- HEALTH CARE TECHNOLOGY -- 0.7% 3,420 HealthStream, Inc. (a) 87,381 9,886 Inovalon Holdings, Inc., Class A (a) 200,290 3,134 Inspire Medical Systems, Inc. (a) 234,423 1,973 Omnicell, Inc. (a) 160,366 937 Tabula Rasa HealthCare, Inc. (a) 54,412 4,816 Teladoc Health, Inc. (a) 489,835 --------------- 1,226,707 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.3% 2,215 Brinker International, Inc. 94,558 781 Chipotle Mexican Grill, Inc. (a) 676,939 3,118 Choice Hotels International, Inc. 312,424 2,938 Churchill Downs, Inc. 424,188 2,296 Denny's Corp. (a) 46,999 2,228 Dine Brands Global, Inc. 189,937 2,225 Domino's Pizza, Inc. 626,894 6,759 Eldorado Resorts, Inc. (a) (b) 404,053 9,377 Hilton Grand Vacations, Inc. (a) 299,220 7,367 Hilton Worldwide Holdings, Inc. 794,163 585 Jack in the Box, Inc. 47,824 2,792 Lindblad Expeditions Holdings, Inc. (a) 46,040 4,317 Marriott International, Inc., Class A 604,639 3,683 Papa John's International, Inc. 238,585 4,318 Planet Fitness, Inc., Class A (a) 348,851 8,684 Scientific Games Corp. (a) 215,711 7,334 SeaWorld Entertainment, Inc. (a) 252,730 766 Shake Shack, Inc., Class A (a) 51,667 5,429 Starbucks Corp. 460,542 14,520 Wendy's (The) Co. 314,648 935 Wingstop, Inc. 86,740 6,418 Wyndham Hotels & Resorts, Inc. 366,917 4,707 Wynn Resorts Ltd. 593,835 9,943 Yum China Holdings, Inc. 428,245 --------------- 7,926,349 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOUSEHOLD DURABLES -- 1.8% 8,376 Garmin Ltd. $ 812,053 1,794 Helen of Troy Ltd. (a) 339,156 3,377 Installed Building Products, Inc. (a) 250,337 1,938 LGI Homes, Inc. (a) 154,536 171 NVR, Inc. (a) 652,702 5,869 Skyline Champion Corp. (a) 168,734 4,630 Tempur Sealy International, Inc. (a) 424,200 3,911 TopBuild Corp. (a) 447,849 --------------- 3,249,567 --------------- HOUSEHOLD PRODUCTS -- 0.0% 479 WD-40 Co. 89,487 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5% 4,057 NRG Energy, Inc. 149,663 3,246 Ormat Technologies, Inc. 257,278 15,716 TerraForm Power, Inc., Class A 284,303 14,218 Vistra Energy Corp. 320,189 --------------- 1,011,433 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 2,491 Carlisle Cos., Inc. 389,169 --------------- INSURANCE -- 2.2% 691 AMERISAFE, Inc. 47,278 5,013 Arthur J. Gallagher & Co. 514,183 20,698 Brown & Brown, Inc. 929,340 1,513 Cincinnati Financial Corp. 158,789 2,421 eHealth, Inc. (a) 254,592 3,121 Kemper Corp. 232,265 1,830 Kinsale Capital Group, Inc. 209,023 5,867 Marsh & McLennan Cos., Inc. 656,283 1,853 Primerica, Inc. 219,692 2,198 Progressive (The) Corp. 177,357 1,645 RenaissanceRe Holdings Ltd. 311,629 896 RLI Corp. 83,337 6,209 Trupanion, Inc. (a) (b) 198,191 --------------- 3,991,959 --------------- INTERACTIVE MEDIA & SERVICES -- 2.4% 488 Alphabet, Inc., Class A (a) 699,197 5,388 ANGI Homeservices, Inc., Class A (a) (b) 43,266 4,583 Cargurus, Inc. (a) 163,384 3,981 Facebook, Inc., Class A (a) 803,804 2,624 IAC/InterActiveCorp (a) 639,180 4,910 Match Group, Inc. (a) (b) 384,060 40,031 Snap, Inc., Class A (a) 735,770 2,671 Yelp, Inc. (a) 87,074 17,787 Zillow Group, Inc., Class C (a) 821,937 --------------- 4,377,672 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.7% 259 Amazon.com, Inc. (a) 520,259 159 Booking Holdings, Inc. (a) 291,057 See Notes to Financial Statements Page 77 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & DIRECT MARKETING RETAIL (CONTINUED) 13,886 Quotient Technology, Inc. (a) $ 139,832 9,063 Stitch Fix, Inc., Class A (a) (b) 207,543 892 Wayfair, Inc., Class A (a) 83,580 --------------- 1,242,271 --------------- IT SERVICES -- 5.1% 3,105 Accenture PLC, Class A 637,177 3,784 Akamai Technologies, Inc. (a) 353,236 2,501 Black Knight, Inc. (a) 167,367 9,190 Booz Allen Hamilton Holding Corp. 717,188 3,594 CSG Systems International, Inc. 179,053 3,852 EPAM Systems, Inc. (a) 878,795 1,023 Euronet Worldwide, Inc. (a) 161,266 2,733 EVERTEC, Inc. 91,747 2,679 ExlService Holdings, Inc. (a) 195,862 1,144 Fidelity National Information Services, Inc. 164,347 4,128 Fiserv, Inc. (a) 489,622 1,136 FleetCor Technologies, Inc. (a) 358,101 2,121 Gartner, Inc. (a) 341,014 9,560 Genpact Ltd. 423,221 2,615 Global Payments, Inc. 511,102 2,189 Mastercard, Inc., Class A 691,593 1,838 MongoDB, Inc. (a) 301,267 8,325 NIC, Inc. 164,252 4,138 Okta, Inc. (a) 529,871 3,842 Paychex, Inc. 329,528 1,471 PayPal Holdings, Inc. (a) 167,532 5,049 Perficient, Inc. (a) 250,935 3,593 Sabre Corp. 77,393 2,348 TTEC Holdings, Inc. 93,262 2,541 Visa, Inc., Class A 505,583 15,053 Western Union (The) Co. 404,926 1,154 WEX, Inc. (a) 250,326 --------------- 9,435,566 --------------- LEISURE PRODUCTS -- 0.2% 11,590 YETI Holdings, Inc. (a) 421,412 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.6% 2,701 Accelerate Diagnostics, Inc. (a) (b) 45,377 5,596 Agilent Technologies, Inc. 462,006 871 Bio-Rad Laboratories, Inc., Class A (a) 314,361 734 Bio-Techne Corp. 154,118 6,327 Bruker Corp. 312,997 2,111 Charles River Laboratories International, Inc. (a) 326,318 2,115 IQVIA Holdings, Inc. (a) 328,354 4,796 Medpace Holdings, Inc. (a) 410,298 412 Mettler-Toledo International, Inc. (a) 311,958 3,344 NanoString Technologies, Inc. (a) 90,856 SHARES DESCRIPTION VALUE --------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 7,951 NeoGenomics, Inc. (a) $ 256,261 3,366 PerkinElmer, Inc. 311,288 2,901 PRA Health Sciences, Inc. (a) 293,900 3,487 Repligen Corp. (a) 350,060 1,470 Thermo Fisher Scientific, Inc. 460,389 1,399 Waters Corp. (a) 313,082 --------------- 4,741,623 --------------- MACHINERY -- 4.1% 1,853 Alamo Group, Inc. 230,810 601 Albany International Corp., Class A 41,932 3,337 Allison Transmission Holdings, Inc. 147,495 4,427 Caterpillar, Inc. 581,486 677 Chart Industries, Inc. (a) 43,315 3,420 Columbus McKinnon Corp. 119,666 1,887 Deere & Co. 299,240 4,198 Donaldson Co., Inc. 217,666 4,228 Douglas Dynamics, Inc. 221,674 2,011 ESCO Technologies, Inc. 192,976 5,769 Federal Signal Corp. 185,531 3,240 Flowserve Corp. 151,243 2,083 Fortive Corp. 156,079 3,246 Franklin Electric Co., Inc. 187,262 8,792 Gardner Denver Holdings, Inc. (a) 310,446 3,101 Graco, Inc. 164,818 4,024 Helios Technologies, Inc. 171,101 925 IDEX Corp. 151,561 3,640 Illinois Tool Works, Inc. 636,927 4,918 Ingersoll-Rand PLC 655,225 2,147 John Bean Technologies Corp. 242,590 2,208 Kadant, Inc. 235,373 2,786 Navistar International Corp. (a) 102,023 1,485 Nordson Corp. 250,757 4,571 SPX Corp. (a) 224,299 4,759 SPX FLOW, Inc. (a) 208,159 2,985 Tennant Co. 230,502 5,060 Toro (The) Co. 404,901 4,359 TriMas Corp. (a) 125,234 1,865 Watts Water Technologies, Inc., Class A 185,959 3,404 Woodward, Inc. 395,919 --------------- 7,472,169 --------------- MEDIA -- 2.4% 29,888 Altice USA, Inc., Class A (a) 817,736 216 Cable One, Inc. 368,070 1,684 Charter Communications, Inc., Class A (a) 871,403 15,957 Clear Channel Outdoor Holdings, Inc. (a) 43,563 3,796 Liberty Broadband Corp., Class C (a) 504,602 16,572 Liberty Latin America Ltd., Class C (a) 279,238 Page 78 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 5,346 MSG Networks, Inc., Class A (a) $ 81,313 7,518 New York Times (The) Co., Class A 240,651 2,750 Nexstar Media Group, Inc., Class A 333,162 4,836 Sinclair Broadcast Group, Inc., Class A 144,693 114,284 Sirius XM Holdings, Inc. 807,988 --------------- 4,492,419 --------------- METALS & MINING -- 0.1% 9,598 Cleveland-Cliffs, Inc. (b) 67,378 660 Royal Gold, Inc. 76,111 --------------- 143,489 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.8% 12,965 Arbor Realty Trust, Inc. 191,493 2,166 Blackstone Mortgage Trust, Inc., Class A 82,741 2,483 Granite Point Mortgage Trust, Inc. 45,414 6,704 KKR Real Estate Finance Trust, Inc. 141,119 2,529 Ladder Capital Corp. 46,407 7,325 New York Mortgage Trust, Inc. 46,514 8,347 PennyMac Mortgage Investment Trust 194,068 8,278 Redwood Trust, Inc. 145,941 6,486 Starwood Property Trust, Inc. 166,431 4,589 TPG RE Finance Trust, Inc. 93,937 22,059 Two Harbors Investment Corp. 336,620 --------------- 1,490,685 --------------- MULTILINE RETAIL -- 0.4% 4,191 Dollar General Corp. 642,941 1,235 Ollie's Bargain Outlet Holdings, Inc. (a) 65,505 --------------- 708,446 --------------- MULTI-UTILITIES -- 0.2% 1,026 Black Hills Corp. 85,189 1,505 Unitil Corp. 92,843 1,725 WEC Energy Group, Inc. 172,310 --------------- 350,342 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.9% 2,606 Cheniere Energy, Inc. (a) 154,379 7,145 Hess Corp. 404,193 7,517 Kinder Morgan, Inc. 156,880 24,019 Kosmos Energy Ltd. 122,737 14,789 Magnolia Oil & Gas Corp., Class A (a) 155,580 10,007 Par Pacific Holdings, Inc. (a) 201,341 12,791 Parsley Energy, Inc., Class A 212,842 2,159 Pioneer Natural Resources Co. 291,465 --------------- 1,699,417 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- PERSONAL PRODUCTS -- 0.5% 21,500 Coty, Inc., Class A $ 220,590 2,311 Estee Lauder (The) Cos., Inc., Class A 451,015 1,883 Inter Parfums, Inc. 130,134 1,249 Medifast, Inc. (b) 120,691 --------------- 922,430 --------------- PHARMACEUTICALS -- 1.7% 3,849 Aerie Pharmaceuticals, Inc. (a) (b) 78,827 4,822 Amphastar Pharmaceuticals, Inc. (a) 91,184 740 ANI Pharmaceuticals, Inc. (a) 45,880 5,728 Catalent, Inc. (a) 349,981 3,772 Corcept Therapeutics, Inc. (a) 47,791 2,487 Eli Lilly & Co. 347,285 11,136 Horizon Therapeutics PLC (a) 384,081 6,569 Innoviva, Inc. (a) 90,685 5,248 Merck & Co., Inc. 448,389 1,878 MyoKardia, Inc. (a) 127,760 3,022 Pacira BioSciences, Inc. (a) 130,611 910 Reata Pharmaceuticals, Inc., Class A (a) 199,099 7,186 Theravance Biopharma, Inc. (a) 200,346 3,607 Zoetis, Inc. 484,095 1,784 Zogenix, Inc. (a) 89,860 --------------- 3,115,874 --------------- PROFESSIONAL SERVICES -- 1.4% 798 CoStar Group, Inc. (a) 521,086 1,136 Equifax, Inc. 170,286 2,336 Exponent, Inc. 169,991 4,462 Forrester Research, Inc. (a) 184,593 3,643 FTI Consulting, Inc. (a) 437,379 3,384 Huron Consulting Group, Inc. (a) 219,317 7,636 TransUnion 700,221 1,425 TriNet Group, Inc. (a) 81,310 --------------- 2,484,183 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 1,907 Howard Hughes (The) Corp. (a) 232,044 11,001 Redfin Corp. (a) 267,654 4,691 St Joe (The) Co. (a) 98,558 --------------- 598,256 --------------- ROAD & RAIL -- 1.2% 7,502 Avis Budget Group, Inc. (a) 246,066 8,693 Hertz Global Holdings, Inc. (a) 137,002 6,748 Knight-Swift Transportation Holdings, Inc. 250,216 1,683 Norfolk Southern Corp. 350,417 4,305 Old Dominion Freight Line, Inc. 844,770 1,808 Union Pacific Corp. 324,391 --------------- 2,152,862 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.1% 17,818 Advanced Micro Devices, Inc. (a) 837,446 See Notes to Financial Statements Page 79 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 1,536 Ambarella, Inc. (a) $ 90,839 1,339 Analog Devices, Inc. 146,955 1,511 Broadcom, Inc. 461,097 5,764 Brooks Automation, Inc. 219,493 2,794 Cabot Microelectronics Corp. 406,555 4,126 Diodes, Inc. (a) 213,067 15,428 Enphase Energy, Inc. (a) 486,291 6,438 Entegris, Inc. 333,231 8,955 FormFactor, Inc. (a) 226,651 3,142 Inphi Corp. (a) 238,666 4,586 KLA Corp. 760,084 7,153 Lattice Semiconductor Corp. (a) 133,046 8,743 MACOM Technology Solutions Holdings, Inc. (a) 248,476 12,306 Marvell Technology Group Ltd. 295,836 7,803 Microchip Technology, Inc. 760,636 1,811 Monolithic Power Systems, Inc. 309,989 2,778 NVIDIA Corp. 656,803 1,385 Power Integrations, Inc. 135,273 9,261 QUALCOMM, Inc. 790,056 1,525 Semtech Corp. (a) 73,490 5,851 SunPower Corp. (a) (b) 49,850 11,983 Teradyne, Inc. 790,758 3,966 Universal Display Corp. 698,690 2,467 Xperi Corp. 39,694 --------------- 9,402,972 --------------- SOFTWARE -- 11.5% 8,513 ACI Worldwide, Inc. (a) 293,273 1,982 Adobe, Inc. (a) 695,959 806 Alteryx, Inc., Class A (a) 112,413 6,154 Anaplan, Inc. (a) 354,409 3,174 ANSYS, Inc. (a) 870,723 1,692 Appfolio, Inc., Class A (a) 222,396 1,195 Appian Corp. (a) (b) 60,993 667 Aspen Technology, Inc. (a) 79,360 3,563 Autodesk, Inc. (a) 701,377 3,302 Avalara, Inc. (a) 281,132 1,805 Blackline, Inc. (a) 110,412 2,555 Bottomline Technologies DE, Inc. (a) 136,948 2,719 Box, Inc., Class A (a) 40,867 4,713 Cadence Design Systems, Inc. (a) 339,854 4,751 Ceridian HCM Holding, Inc. (a) 348,201 11,772 Cloudera, Inc. (a) 121,134 2,205 Coupa Software, Inc. (a) 355,336 5,439 DocuSign, Inc. (a) 427,016 3,474 Envestnet, Inc. (a) 273,994 3,098 Everbridge, Inc. (a) 280,803 2,181 Fair Isaac Corp. (a) 877,591 9,754 FireEye, Inc. (a) 155,869 6,147 Five9, Inc. (a) 440,924 1,391 ForeScout Technologies, Inc. (a) 39,657 7,654 Fortinet, Inc. (a) 882,965 508 HubSpot, Inc. (a) 91,917 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 2,581 j2 Global, Inc. $ 247,415 5,028 LivePerson, Inc. (a) 206,198 3,032 Manhattan Associates, Inc. (a) 259,115 3,027 Microsoft Corp. 515,286 5,575 Mimecast Ltd. (a) 284,492 18,706 NortonLifeLock, Inc. 531,624 18,087 Nuance Communications, Inc. (a) 342,206 5,158 Nutanix, Inc., Class A (a) 167,480 2,827 Palo Alto Networks, Inc. (a) 663,723 3,086 Paycom Software, Inc. (a) 981,842 3,337 Paylocity Holding Corp. (a) 473,487 3,036 Pegasystems, Inc. 261,734 1,099 Progress Software Corp. 49,598 702 Proofpoint, Inc. (a) 86,213 2,691 PROS Holdings, Inc. (a) 161,460 2,984 Q2 Holdings, Inc. (a) 260,175 967 Qualys, Inc. (a) 82,911 5,757 Rapid7, Inc. (a) 341,851 4,845 RingCentral, Inc., Class A (a) 996,035 5,802 SailPoint Technologies Holding, Inc. (a) 145,572 978 salesforce.com, Inc. (a) 178,299 1,691 ServiceNow, Inc. (a) 571,947 7,179 Smartsheet, Inc., Class A (a) 348,038 5,456 Splunk, Inc. (a) 847,099 2,470 SPS Commerce, Inc. (a) 140,370 13,308 SS&C Technologies Holdings, Inc. 838,537 7,661 SVMK, Inc. (a) 135,217 3,429 Synopsys, Inc. (a) 505,812 1,904 Tenable Holdings, Inc. (a) 51,884 3,145 Trade Desk (The), Inc., Class A (a) 846,571 1,075 Tyler Technologies, Inc. (a) 347,956 2,606 Upland Software, Inc. (a) 101,738 2,394 Varonis Systems, Inc. (a) 200,282 4,369 Verint Systems, Inc. (a) 253,402 1,053 Zendesk, Inc. (a) 90,979 --------------- 21,112,071 --------------- SPECIALTY RETAIL -- 2.6% 2,824 Aaron's, Inc. 167,633 685 AutoZone, Inc. (a) 724,703 5,223 Boot Barn Holdings, Inc. (a) 219,209 3,584 Burlington Stores, Inc. (a) 779,412 4,379 Carvana Co. (a) 347,036 1,892 Five Below, Inc. (a) 214,212 7,934 Floor & Decor Holdings, Inc., Class A (a) 391,226 1,497 Home Depot (The), Inc. 341,466 1,491 O'Reilly Automotive, Inc. (a) 605,495 6,452 Rent-A-Center, Inc. 187,947 1,090 RH (a) 227,537 4,724 Sleep Number Corp. (a) 243,711 1,703 Tractor Supply Co. 158,294 629 Ulta Beauty, Inc. (a) 168,515 --------------- 4,776,396 --------------- Page 80 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 9,289 Dell Technologies, Inc., Class C (a) $ 453,024 17,619 Diebold Nixdorf, Inc. (a) 202,795 14,136 Pure Storage, Inc., Class A (a) 251,621 --------------- 907,440 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 2,414 Columbia Sportswear Co. 226,723 5,552 Crocs, Inc. (a) 210,476 1,433 Deckers Outdoor Corp. (a) 273,574 --------------- 710,773 --------------- THRIFTS & MORTGAGE FINANCE -- 0.9% 8,082 Columbia Financial, Inc. (a) 135,535 6,203 Essent Group Ltd. 307,731 6,727 Kearny Financial Corp. 83,079 532 LendingTree, Inc. (a) 165,559 9,261 Meridian Bancorp, Inc. 166,605 6,370 Meta Financial Group, Inc. 237,091 7,009 NMI Holdings, Inc., Class A (a) 223,727 12,818 Radian Group, Inc. 313,913 --------------- 1,633,240 --------------- TOBACCO -- 0.3% 3,841 Philip Morris International, Inc. 317,651 17,368 Vector Group Ltd. 228,215 --------------- 545,866 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 17,692 Fastenal Co. 617,097 6,957 H&E Equipment Services, Inc. 188,604 5,785 Triton International Ltd. 217,227 --------------- 1,022,928 --------------- WATER UTILITIES -- 0.3% 1,861 American States Water Co. 164,810 1,295 American Water Works Co., Inc. 176,379 1,717 Aqua America, Inc. (a) 89,181 885 California Water Service Group 46,516 1,309 SJW Group 96,015 --------------- 572,901 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.1% 3,290 Shenandoah Telecommunications Co. 132,752 --------------- TOTAL COMMON STOCKS -- 100.0% 183,227,349 (Cost $158,562,890) --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.4% 356,883 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) $ 356,883 433,189 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.45% (c) 433,189 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 790,072 (Cost $790,072) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.9% $ 1,645,447 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $1,645,660. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $1,680,146. (d) 1,645,447 (Cost $1,645,447) --------------- TOTAL INVESTMENTS -- 101.3% 185,662,868 (Cost $160,998,409) (e) NET OTHER ASSETS AND LIABILITIES -- (1.3)% (2,347,917) --------------- NET ASSETS -- 100.0% $ 183,314,951 =============== (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 $1,917,250 and the total value of the collateral held by the Fund is $2,002,330. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $27,026,799 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,362,340. The net unrealized appreciation was $24,664,459. See Notes to Financial Statements Page 81 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 183,227,349 $ -- $ -- Money Market Funds 790,072 -- -- Repurchase Agreements -- 1,645,447 -- --------------------------------------------- Total Investments $ 184,017,421 $ 1,645,447 $ -- ============================================= * 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) $ 1,917,250 Non-cash Collateral(2) (1,917,250) --------------- 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 January 31, 2020, 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) $ 1,645,447 Non-cash Collateral(4) (1,645,447) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 82 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.8% 569 Curtiss-Wright Corp. $ 82,750 319 Huntington Ingalls Industries, Inc. 83,259 3,301 Spirit AeroSystems Holdings, Inc., Class A 215,621 --------------- 381,630 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 3,018 XPO Logistics, Inc. (a) 268,361 --------------- AIRLINES -- 2.9% 4,734 Alaska Air Group, Inc. 305,769 21,419 JetBlue Airways Corp. (a) 424,739 6,204 SkyWest, Inc. 342,275 9,946 Spirit Airlines, Inc. (a) 408,482 --------------- 1,481,265 --------------- AUTO COMPONENTS -- 2.0% 9,243 BorgWarner, Inc. 316,943 25,777 Goodyear Tire & Rubber (The) Co. 338,452 2,923 Lear Corp. 360,055 --------------- 1,015,450 --------------- AUTOMOBILES -- 0.6% 4,312 Harley-Davidson, Inc. 144,021 2,159 Thor Industries, Inc. 173,842 --------------- 317,863 --------------- BANKS -- 13.3% 1,885 Ameris Bancorp 75,758 14,554 Associated Banc-Corp. 290,061 2,136 Atlantic Union Bankshares Corp. 71,962 2,553 BancorpSouth Bank 72,939 13,144 Bank OZK 357,254 6,581 BankUnited, Inc. 217,173 2,752 BOK Financial Corp. 217,133 6,322 Cathay General Bancorp 227,971 6,421 CenterState Bank Corp. 144,858 8,787 CIT Group, Inc. 401,654 3,943 Columbia Banking System, Inc. 152,594 821 Cullen/Frost Bankers, Inc. 73,200 4,939 East West Bancorp, Inc. 226,404 25,257 F.N.B. Corp. 294,749 301 First Citizens BancShares, Inc., Class A 158,573 5,560 First Hawaiian, Inc. 161,574 14,528 First Horizon National Corp. 232,448 9,201 Fulton Financial Corp. 151,540 5,482 Hancock Whitney Corp. 217,855 12,237 Home BancShares, Inc. 233,971 6,731 Investors Bancorp, Inc. 81,344 13,154 Old National Bancorp 235,588 10,478 PacWest Bancorp 367,254 9,491 People's United Financial, Inc. 146,351 5,460 Popular, Inc. 305,542 1,848 South State Corp. 139,727 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 6,136 Synovus Financial Corp. $ 214,883 1,168 UMB Financial Corp. 77,625 18,123 Umpqua Holdings Corp. 306,279 4,149 United Bankshares, Inc. 142,311 14,007 Valley National Bancorp 147,494 3,006 Webster Financial Corp. 134,849 1,407 Western Alliance Bancorp 77,709 3,393 Wintrust Financial Corp. 214,709 4,635 Zions Bancorp N.A. 210,846 --------------- 6,782,182 --------------- BUILDING PRODUCTS -- 1.0% 1,683 A.O. Smith Corp. 71,847 6,158 Owens Corning 372,498 1,000 Simpson Manufacturing Co., Inc. 82,670 --------------- 527,015 --------------- CAPITAL MARKETS -- 2.4% 3,436 Eaton Vance Corp. 157,197 4,291 Evercore, Inc., Class A 328,777 17,840 Invesco Ltd. 308,632 2,007 Lazard Ltd., Class A 84,214 5,289 Stifel Financial Corp. 342,145 --------------- 1,220,965 --------------- CHEMICALS -- 4.3% 4,392 Albemarle Corp. 352,590 5,239 Ashland Global Holdings, Inc. 387,581 17,732 Chemours (The) Co. 245,943 13,276 Huntsman Corp. 272,954 330 NewMarket Corp. 145,075 23,244 Olin Corp. 345,638 1,214 Sensient Technologies Corp. 72,536 3,745 Valvoline, Inc. 78,945 4,573 Westlake Chemical Corp. 279,868 --------------- 2,181,130 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.2% 638 Cimpress PLC (a) (b) 76,324 14,720 KAR Auction Services, Inc. 309,414 1,190 UniFirst Corp. 242,677 --------------- 628,415 --------------- COMMUNICATIONS EQUIPMENT -- 0.4% 575 F5 Networks, Inc. (a) 70,219 6,512 Juniper Networks, Inc. 149,385 --------------- 219,604 --------------- CONSTRUCTION & ENGINEERING -- 1.6% 2,788 EMCOR Group, Inc. 229,090 3,750 MasTec, Inc. (a) 216,562 7,879 Quanta Services, Inc. 308,463 535 Valmont Industries, Inc. 76,002 --------------- 830,117 --------------- See Notes to Financial Statements Page 83 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE -- 2.3% 23,447 Navient Corp. $ 337,168 17,157 Santander Consumer USA Holdings, Inc. 456,719 36,001 SLM Corp. 393,131 --------------- 1,187,018 --------------- CONTAINERS & PACKAGING -- 2.7% 5,066 Berry Global Group, Inc. (a) 215,406 14,448 Graphic Packaging Holding Co. 225,822 2,865 Packaging Corp. of America 274,324 5,160 Silgan Holdings, Inc. 159,238 2,598 Sonoco Products Co. 148,450 9,345 WestRock Co. 364,455 --------------- 1,387,695 --------------- DISTRIBUTORS -- 0.2% 2,246 LKQ Corp. (a) 73,411 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.3% 627 Graham Holdings Co., Class B 344,361 13,662 H&R Block, Inc. 316,958 --------------- 661,319 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.8% 11,258 Jefferies Financial Group, Inc. 243,623 2,629 Voya Financial, Inc. 157,030 --------------- 400,653 --------------- ELECTRIC UTILITIES -- 1.3% 2,963 ALLETE, Inc. 247,351 1,711 Hawaiian Electric Industries, Inc. 83,685 751 IDACORP, Inc. 84,255 4,312 Portland General Electric Co. 265,188 --------------- 680,479 --------------- ELECTRICAL EQUIPMENT -- 1.6% 1,744 Acuity Brands, Inc. 205,565 3,215 EnerSys 231,351 4,684 Regal Beloit Corp. 367,507 --------------- 804,423 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.0% 7,558 Avnet, Inc. 275,792 1,165 Dolby Laboratories, Inc., Class A 80,781 1,541 FLIR Systems, Inc. 79,423 554 IPG Photonics Corp. (a) 70,729 3,881 Jabil, Inc. 150,932 2,490 SYNNEX Corp. 343,022 --------------- 1,000,679 --------------- ENERGY EQUIPMENT & SERVICES -- 0.3% 3,530 Helmerich & Payne, Inc. 143,141 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ENTERTAINMENT -- 0.4% 7,107 Cinemark Holdings, Inc. $ 223,942 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.0% 24,675 Apple Hospitality REIT, Inc. 370,619 7,423 Brixmor Property Group, Inc. 148,163 12,213 Equity Commonwealth 400,464 1,639 Highwoods Properties, Inc. 82,130 8,936 Macerich (The) Co. (b) 199,362 11,522 Paramount Group, Inc. 161,999 9,299 Park Hotels & Resorts, Inc. 204,020 2,991 Pebblebrook Hotel Trust 70,947 18,103 RLJ Lodging Trust 281,683 13,185 Service Properties Trust 284,532 873 SL Green Realty Corp. 80,351 23,044 Sunstone Hotel Investors, Inc. 292,198 --------------- 2,576,468 --------------- FOOD & STAPLES RETAILING -- 0.6% 7,053 BJ's Wholesale Club Holdings, Inc. (a) 144,727 3,828 US Foods Holding Corp. (a) 153,771 --------------- 298,498 --------------- FOOD PRODUCTS -- 1.0% 5,712 Darling Ingredients, Inc. (a) 154,967 3,689 Flowers Foods, Inc. 79,424 2,589 Ingredion, Inc. 227,832 2,451 Pilgrim's Pride Corp. (a) 63,848 --------------- 526,071 --------------- GAS UTILITIES -- 0.9% 6,892 National Fuel Gas Co. 297,666 1,926 Spire, Inc. 162,400 --------------- 460,066 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.6% 1,157 Encompass Health Corp. 89,124 1,773 Molina Healthcare, Inc. (a) 218,026 --------------- 307,150 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 1,847 Aramark 81,527 8,035 Boyd Gaming Corp. 239,845 1,565 Cracker Barrel Old Country Store, Inc. 239,335 2,682 Hyatt Hotels Corp., Class A 226,736 1,425 Texas Roadhouse, Inc. 89,063 3,104 Wyndham Destinations, Inc. 150,637 --------------- 1,027,143 --------------- HOUSEHOLD DURABLES -- 3.1% 1,577 Leggett & Platt, Inc. 75,049 2,940 Mohawk Industries, Inc. (a) 387,139 8,266 PulteGroup, Inc. 369,077 10,149 Toll Brothers, Inc. 450,210 2,175 Whirlpool Corp. 317,920 --------------- 1,599,395 --------------- Page 84 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE -- 8.1% 732 American Financial Group, Inc. $ 79,634 2,725 American National Insurance Co. 300,186 6,544 Assured Guaranty Ltd. 299,977 8,526 Athene Holding Ltd., Class A (a) 371,393 10,220 Brighthouse Financial, Inc. (a) 397,558 1,938 Enstar Group Ltd. (a) 378,472 5,501 First American Financial Corp. 340,952 586 Hanover Insurance Group (The), Inc. 81,208 6,583 Mercury General Corp. 323,160 18,143 National General Holdings Corp. 394,973 14,339 Old Republic International Corp. 323,344 2,460 Selective Insurance Group, Inc. 162,975 13,751 Unum Group 367,014 287 White Mountains Insurance Group Ltd. 320,642 --------------- 4,141,488 --------------- INTERACTIVE MEDIA & SERVICES -- 0.2% 2,640 TripAdvisor, Inc. 72,125 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.3% 19,026 Qurate Retail, Inc., Series A (a) 162,292 --------------- IT SERVICES -- 1.5% 320 CACI International, Inc., Class A (a) 85,581 8,341 LiveRamp Holdings, Inc. (a) 335,642 2,156 MAXIMUS, Inc. 154,693 6,066 Perspecta, Inc. 170,272 --------------- 746,188 --------------- LEISURE PRODUCTS -- 0.3% 1,576 Polaris, Inc. 144,740 --------------- MACHINERY -- 3.1% 3,114 AGCO Corp. 218,416 2,785 Crane Co. 238,006 1,085 ITT, Inc. 72,782 828 Lincoln Electric Holdings, Inc. 73,841 3,389 Oshkosh Corp. 291,590 4,917 Rexnord Corp. (a) 160,540 1,421 Snap-on, Inc. 226,834 5,696 Timken (The) Co. 299,211 --------------- 1,581,220 --------------- MARINE -- 0.1% 895 Kirby Corp. (a) 65,595 --------------- MEDIA -- 1.6% 9,044 DISH Network Corp., Class A (a) 332,457 6,944 Interpublic Group of Cos. (The), Inc. 157,629 19,218 TEGNA, Inc. 324,784 --------------- 814,870 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- METALS & MINING -- 1.4% 3,347 Reliance Steel & Aluminum Co. $ 384,235 11,778 Steel Dynamics, Inc. 351,927 --------------- 736,162 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.4% 13,154 Apollo Commercial Real Estate Finance, Inc. 240,455 3,900 Chimera Investment Corp. 82,680 41,930 MFA Financial, Inc. 327,054 4,978 New Residential Investment Corp. 83,332 --------------- 733,521 --------------- MULTILINE RETAIL -- 1.8% 7,870 Kohl's Corp. 336,442 23,586 Macy's, Inc. 376,197 5,878 Nordstrom, Inc. 216,663 --------------- 929,302 --------------- MULTI-UTILITIES -- 1.6% 6,671 Avista Corp. 339,221 8,097 MDU Resources Group, Inc. 239,752 3,357 NorthWestern Corp. 258,388 --------------- 837,361 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.9% 9,402 Apache Corp. 257,991 485,658 Chesapeake Energy Corp. (a) 248,560 7,638 Cimarex Energy Co. 335,232 11,957 Delek US Holdings, Inc. 328,339 36,786 EQT Corp. 222,555 7,906 HollyFrontier Corp. 355,137 14,961 Murphy Oil Corp. 313,583 2,557 PBF Energy, Inc., Class A 69,806 29,181 WPX Energy, Inc. (a) 348,713 --------------- 2,479,916 --------------- PHARMACEUTICALS -- 1.1% 2,148 Jazz Pharmaceuticals PLC (a) 307,916 4,657 Perrigo Co. PLC 265,635 --------------- 573,551 --------------- PROFESSIONAL SERVICES -- 1.0% 2,261 ASGN, Inc. (a) 153,047 2,477 ManpowerGroup, Inc. 226,621 2,539 Robert Half International, Inc. 147,693 --------------- 527,361 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 921 Jones Lang LaSalle, Inc. 156,404 --------------- ROAD & RAIL -- 1.3% 854 AMERCO 317,065 717 Landstar System, Inc. 79,408 5,906 Ryder System, Inc. 281,834 --------------- 678,307 --------------- See Notes to Financial Statements Page 85 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.3% 6,579 ON Semiconductor Corp. (a) $ 152,304 --------------- SPECIALTY RETAIL -- 5.0% 27,277 American Eagle Outfitters, Inc. 392,789 6,596 AutoNation, Inc. (a) 279,934 10,283 Foot Locker, Inc. 390,446 22,679 Gap (The), Inc. 394,841 8,851 L Brands, Inc. 204,989 1,636 Lithia Motors, Inc., Class A 221,907 1,370 Murphy USA, Inc. (a) 139,973 6,387 Penske Automotive Group, Inc. 299,997 3,276 Williams-Sonoma, Inc. 229,582 --------------- 2,554,458 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.8% 10,876 Xerox Holdings Corp. 386,859 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.1% 734 Carter's, Inc. 77,855 21,601 Hanesbrands, Inc. 297,230 3,813 PVH Corp. 332,379 1,367 Ralph Lauren Corp. 155,155 3,713 Skechers U.S.A., Inc., Class A (a) 138,829 1,865 Steven Madden Ltd. 71,914 --------------- 1,073,362 --------------- THRIFTS & MORTGAGE FINANCE -- 1.4% 28,297 MGIC Investment Corp. 390,216 13,343 New York Community Bancorp, Inc. 147,573 4,376 Washington Federal, Inc. 148,784 --------------- 686,573 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.0% 8,438 Air Lease Corp. 362,328 3,872 GATX Corp. 294,775 3,988 HD Supply Holdings, Inc. (a) 162,471 3,280 MSC Industrial Direct Co., Inc., Class A 223,270 --------------- 1,042,844 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.5% 5,616 Macquarie Infrastructure Corp. 247,722 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 15,766 Telephone & Data Systems, Inc. 357,573 --------------- TOTAL COMMON STOCKS -- 99.9% 51,093,646 (Cost $52,013,034) --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 46,506 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) $ 46,506 (Cost $46,506) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.4% $ 214,423 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $214,450. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $218,944. (d) 214,423 (Cost $214,423) --------------- TOTAL INVESTMENTS -- 100.4% 51,354,575 (Cost $52,273,963) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (214,665) --------------- NET ASSETS -- 100.0% $ 51,139,910 =============== (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 $247,586 and the total value of the collateral held by the Fund is $260,929. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,395,554 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,314,942. The net unrealized depreciation was $919,388. Page 86 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 51,093,646 $ -- $ -- Money Market Funds 46,506 -- -- Repurchase Agreements -- 214,423 -- --------------------------------------------- Total Investments $ 51,140,152 $ 214,423 $ -- ============================================= * 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) $ 247,586 Non-cash Collateral(2) (247,586) --------------- 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 January 31, 2020, 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) $ 214,423 Non-cash Collateral(4) (214,423) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 87 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.2% 10,319 Aerojet Rocketdyne Holdings, Inc. (a) $ 537,310 32,148 Axon Enterprise, Inc. (a) 2,469,288 6,427 Hexcel Corp. 477,012 6,818 Mercury Systems, Inc. (a) 523,282 --------------- 4,006,892 --------------- AUTO COMPONENTS -- 0.9% 13,545 Fox Factory Holding Corp. (a) 891,532 65,033 Gentex Corp. 1,936,032 --------------- 2,827,564 --------------- BANKS -- 3.2% 19,805 Bank of Hawaii Corp. 1,774,528 13,283 Community Bank System, Inc. 880,264 43,666 CVB Financial Corp. 906,943 26,847 First Financial Bankshares, Inc. 899,912 20,490 Glacier Bancorp, Inc. 868,161 29,448 Pinnacle Financial Partners, Inc. 1,739,199 13,796 Signature Bank 1,957,514 67,053 Sterling Bancorp 1,341,060 --------------- 10,367,581 --------------- BEVERAGES -- 0.4% 3,741 Boston Beer (The) Co., Inc., Class A (a) 1,333,218 --------------- BIOTECHNOLOGY -- 5.7% 55,068 ACADIA Pharmaceuticals, Inc. (a) 2,199,416 19,735 Agios Pharmaceuticals, Inc. (a) 961,687 20,455 Alnylam Pharmaceuticals, Inc. (a) 2,348,030 48,374 Amicus Therapeutics, Inc. (a) 427,626 20,747 Arena Pharmaceuticals, Inc. (a) 947,930 37,140 Arrowhead Pharmaceuticals, Inc. (a) 1,556,537 38,680 CRISPR Therapeutics AG (a) 2,009,426 21,971 FibroGen, Inc. (a) 919,486 66,800 Immunomedics, Inc. (a) 1,240,476 7,799 Ionis Pharmaceuticals, Inc. (a) 454,838 10,969 Mirati Therapeutics, Inc. (a) 952,438 48,176 Moderna, Inc. (a) 988,090 21,917 Neurocrine Biosciences, Inc. (a) 2,193,453 19,620 PTC Therapeutics, Inc. (a) 1,010,430 --------------- 18,209,863 --------------- BUILDING PRODUCTS -- 0.8% 10,028 Armstrong World Industries, Inc. 1,006,109 15,726 Trex Co., Inc. (a) 1,544,922 --------------- 2,551,031 --------------- CAPITAL MARKETS -- 2.5% 66,008 Ares Management Corp., Class A 2,380,248 28,914 Federated Investors, Inc., Class B 1,047,554 25,537 LPL Financial Holdings, Inc. 2,352,724 6,228 Morningstar, Inc. 977,111 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 21,587 SEI Investments Co. $ 1,408,768 --------------- 8,166,405 --------------- CHEMICALS -- 1.4% 30,998 Axalta Coating Systems Ltd. (a) 893,053 4,636 Balchem Corp. 500,781 5,392 Ingevity Corp. (a) 351,666 17,750 Scotts Miracle-Gro (The) Co. 2,178,635 6,745 WR Grace & Co. 454,343 --------------- 4,378,478 --------------- COMMERCIAL SERVICES & SUPPLIES -- 3.2% 12,494 ABM Industries, Inc. 476,521 297,076 ADT, Inc. (b) 1,841,871 20,784 Brink's (The) Co. 1,749,805 27,473 Clean Harbors, Inc. (a) 2,258,830 14,915 MSA Safety, Inc. 2,022,474 21,873 Tetra Tech, Inc. 1,872,329 --------------- 10,221,830 --------------- COMMUNICATIONS EQUIPMENT -- 2.0% 33,111 Ciena Corp. (a) 1,346,624 29,708 Lumentum Holdings, Inc. (a) 2,250,975 12,466 Ubiquiti, Inc. 2,037,194 12,874 ViaSat, Inc. (a) 819,430 --------------- 6,454,223 --------------- CONSUMER FINANCE -- 0.7% 55,891 OneMain Holdings, Inc. 2,368,102 --------------- CONTAINERS & PACKAGING -- 0.9% 4,075 AptarGroup, Inc. 470,703 32,476 Crown Holdings, Inc. (a) 2,404,199 --------------- 2,874,902 --------------- DISTRIBUTORS -- 0.6% 8,874 Pool Corp. 1,946,068 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.2% 3,135 Bright Horizons Family Solutions, Inc. (a) 513,294 37,285 Chegg, Inc. (a) 1,537,261 11,860 Strategic Education, Inc. 1,924,759 --------------- 3,975,314 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.7% 28,638 Cogent Communications Holdings, Inc. 2,031,294 33,251 GCI Liberty, Inc., Class A (a) 2,433,308 38,244 Iridium Communications, Inc. (a) 977,134 --------------- 5,441,736 --------------- ELECTRICAL EQUIPMENT -- 1.7% 23,420 Generac Holdings, Inc. (a) 2,426,078 81,095 GrafTech International Ltd. 870,149 15,937 Hubbell, Inc. 2,282,657 --------------- 5,578,884 --------------- Page 88 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.3% 16,815 Cognex Corp. $ 857,061 --------------- ENTERTAINMENT -- 1.4% 3,203 Madison Square Garden (The) Co., Class A (a) 948,697 17,594 Roku, Inc. (a) 2,127,994 230,962 Zynga, Inc., Class A (a) 1,390,391 --------------- 4,467,082 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.8% 17,977 American Homes 4 Rent, Class A 491,311 13,439 Americold Realty Trust 463,242 16,037 Corporate Office Properties Trust 477,422 7,201 CyrusOne, Inc. 438,181 10,733 Douglas Emmett, Inc. 445,420 7,103 EastGroup Properties, Inc. 966,505 22,701 First Industrial Realty Trust, Inc. 969,333 32,834 Gaming and Leisure Properties, Inc. 1,551,571 11,231 Kilroy Realty Corp. 927,344 22,751 Kimco Realty Corp. 433,407 15,836 Lamar Advertising Co., Class A 1,469,739 4,351 Life Storage, Inc. 492,446 22,319 Medical Properties Trust, Inc. 494,366 52,703 Outfront Media, Inc. 1,567,387 20,633 Rexford Industrial Realty, Inc. 994,304 16,311 Ryman Hospitality Properties, Inc. 1,386,924 9,580 Spirit Realty Capital, Inc. 505,632 12,652 STORE Capital Corp. 496,591 8,703 Terreno Realty Corp. 498,334 15,082 Weingarten Realty Investors 438,886 --------------- 15,508,345 --------------- FOOD & STAPLES RETAILING -- 0.1% 2,963 Casey's General Stores, Inc. 476,628 --------------- FOOD PRODUCTS -- 0.7% 5,114 J&J Snack Foods Corp. 848,105 5,886 Lancaster Colony Corp. 910,270 4,319 Post Holdings, Inc. (a) 451,638 --------------- 2,210,013 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.5% 32,008 Globus Medical, Inc., Class A (a) 1,673,378 12,450 Hill-Rom Holdings, Inc. 1,325,801 11,008 Insulet Corp. (a) 2,135,992 8,084 Integra LifeSciences Holdings Corp. (a) 444,943 5,962 Masimo Corp. (a) 1,017,117 27,956 Novocure Ltd. (a) 2,277,296 30,460 NuVasive, Inc. (a) 2,349,075 8,605 Penumbra, Inc. (a) 1,509,833 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 23,712 Tandem Diabetes Care, Inc. (a) $ 1,803,061 --------------- 14,536,496 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.6% 14,113 Amedisys, Inc. (a) 2,490,803 4,291 Chemed Corp. 2,004,068 20,770 Ensign Group (The), Inc. 938,804 24,119 Guardant Health, Inc. (a) 1,834,009 25,444 HealthEquity, Inc. (a) 1,680,831 17,101 LHC Group, Inc. (a) 2,492,471 --------------- 11,440,986 --------------- HEALTH CARE TECHNOLOGY -- 1.2% 11,531 Omnicell, Inc. (a) 937,239 28,139 Teladoc Health, Inc. (a) 2,862,018 --------------- 3,799,257 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.7% 18,221 Choice Hotels International, Inc. 1,825,744 17,171 Churchill Downs, Inc. 2,479,149 39,501 Eldorado Resorts, Inc. (a) (b) 2,361,370 54,802 Hilton Grand Vacations, Inc. (a) 1,748,732 25,236 Planet Fitness, Inc., Class A (a) 2,038,816 84,856 Wendy's (The) Co. 1,838,830 5,464 Wingstop, Inc. 506,895 37,507 Wyndham Hotels & Resorts, Inc. 2,144,275 --------------- 14,943,811 --------------- HOUSEHOLD DURABLES -- 2.2% 10,482 Helen of Troy Ltd. (a) 1,981,622 27,059 Tempur Sealy International, Inc. (a) 2,479,146 22,854 TopBuild Corp. (a) 2,617,011 --------------- 7,077,779 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 1.3% 23,706 NRG Energy, Inc. 874,514 18,968 Ormat Technologies, Inc. 1,503,404 91,845 TerraForm Power, Inc., Class A 1,661,476 --------------- 4,039,394 --------------- INDUSTRIAL CONGLOMERATES -- 0.7% 14,556 Carlisle Cos., Inc. 2,274,084 --------------- INSURANCE -- 1.5% 18,239 Kemper Corp. 1,357,346 10,826 Primerica, Inc. 1,283,531 9,615 RenaissanceRe Holdings Ltd. 1,821,466 5,234 RLI Corp. 486,814 --------------- 4,949,157 --------------- INTERACTIVE MEDIA & SERVICES -- 1.0% 26,786 Cargurus, Inc. (a) 954,921 28,691 Match Group, Inc. (a) (b) 2,244,210 --------------- 3,199,131 --------------- See Notes to Financial Statements Page 89 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & DIRECT MARKETING RETAIL -- 0.2% 5,214 Wayfair, Inc., Class A (a) $ 488,552 --------------- IT SERVICES -- 3.3% 14,614 Black Knight, Inc. (a) 977,969 5,981 Euronet Worldwide, Inc. (a) 942,845 55,865 Genpact Ltd. 2,473,144 10,740 MongoDB, Inc. (a) 1,760,393 20,997 Sabre Corp. 452,275 87,968 Western Union (The) Co. 2,366,339 6,748 WEX, Inc. (a) 1,463,776 --------------- 10,436,741 --------------- LEISURE PRODUCTS -- 0.8% 67,735 YETI Holdings, Inc. (a) (b) 2,462,845 --------------- LIFE SCIENCES TOOLS & SERVICES -- 3.9% 5,093 Bio-Rad Laboratories, Inc., Class A (a) 1,838,166 4,293 Bio-Techne Corp. 901,401 36,976 Bruker Corp. 1,829,203 12,337 Charles River Laboratories International, Inc. (a) 1,907,053 28,025 Medpace Holdings, Inc. (a) 2,397,539 16,955 PRA Health Sciences, Inc. (a) 1,717,711 20,375 Repligen Corp. (a) 2,045,446 --------------- 12,636,519 --------------- MACHINERY -- 4.4% 19,502 Allison Transmission Holdings, Inc. 861,988 24,530 Donaldson Co., Inc. 1,271,881 18,934 Flowserve Corp. 883,839 51,381 Gardner Denver Holdings, Inc. (a) 1,814,263 18,122 Graco, Inc. 963,184 12,546 John Bean Technologies Corp. 1,417,573 16,281 Navistar International Corp. (a) 596,210 8,680 Nordson Corp. 1,465,705 29,570 Toro (The) Co. 2,366,191 19,890 Woodward, Inc. 2,313,406 --------------- 13,954,240 --------------- MEDIA -- 2.5% 1,266 Cable One, Inc. 2,157,302 96,847 Liberty Latin America Ltd., Class C (a) 1,631,872 43,938 New York Times (The) Co., Class A 1,406,455 16,074 Nexstar Media Group, Inc., Class A 1,947,365 28,264 Sinclair Broadcast Group, Inc., Class A 845,659 --------------- 7,988,653 --------------- METALS & MINING -- 0.3% 56,091 Cleveland-Cliffs, Inc. (b) 393,759 3,854 Royal Gold, Inc. 444,443 --------------- 838,202 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.1% 12,659 Blackstone Mortgage Trust, Inc., Class A $ 483,574 37,905 Starwood Property Trust, Inc. 972,642 128,908 Two Harbors Investment Corp. 1,967,136 --------------- 3,423,352 --------------- MULTILINE RETAIL -- 0.1% 7,214 Ollie's Bargain Outlet Holdings, Inc. (a) 382,631 --------------- MULTI-UTILITIES -- 0.2% 5,999 Black Hills Corp. 498,097 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.4% 74,748 Parsley Energy, Inc., Class A 1,243,807 --------------- PERSONAL PRODUCTS -- 0.4% 125,643 Coty, Inc., Class A 1,289,097 --------------- PHARMACEUTICALS -- 1.3% 33,475 Catalent, Inc. (a) 2,045,323 65,078 Horizon Therapeutics PLC (a) 2,244,540 --------------- 4,289,863 --------------- PROFESSIONAL SERVICES -- 1.3% 13,655 Exponent, Inc. 993,674 21,289 FTI Consulting, Inc. (a) 2,555,957 8,323 TriNet Group, Inc. (a) 474,911 --------------- 4,024,542 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 11,147 Howard Hughes (The) Corp. (a) 1,356,367 --------------- ROAD & RAIL -- 0.9% 43,843 Avis Budget Group, Inc. (a) 1,438,051 39,439 Knight-Swift Transportation Holdings, Inc. 1,462,398 --------------- 2,900,449 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3% 33,687 Brooks Automation, Inc. 1,282,801 16,323 Cabot Microelectronics Corp. 2,375,160 90,157 Enphase Energy, Inc. (a) 2,841,748 37,625 Entegris, Inc. 1,947,470 10,587 Monolithic Power Systems, Inc. 1,812,177 8,907 Semtech Corp. (a) 429,228 --------------- 10,688,584 --------------- SOFTWARE -- 13.7% 49,747 ACI Worldwide, Inc. (a) 1,713,784 4,708 Alteryx, Inc., Class A (a) 656,625 35,966 Anaplan, Inc. (a) 2,071,282 3,896 Aspen Technology, Inc. (a) 463,546 19,297 Avalara, Inc. (a) 1,642,947 27,764 Ceridian HCM Holding, Inc. (a) 2,034,823 12,886 Coupa Software, Inc. (a) 2,076,579 31,788 DocuSign, Inc. (a) 2,495,676 20,300 Envestnet, Inc. (a) 1,601,061 18,103 Everbridge, Inc. (a) 1,640,856 Page 90 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 57,007 FireEye, Inc. (a) $ 910,972 35,923 Five9, Inc. (a) 2,576,757 2,973 HubSpot, Inc. (a) 537,935 15,084 j2 Global, Inc. 1,445,952 17,724 Manhattan Associates, Inc. (a) 1,514,693 32,584 Mimecast Ltd. (a) 1,662,761 105,701 Nuance Communications, Inc. (a) 1,999,863 30,145 Nutanix, Inc., Class A (a) 978,808 19,498 Paylocity Holding Corp. (a) 2,766,571 17,746 Pegasystems, Inc. 1,529,883 4,105 Proofpoint, Inc. (a) 504,135 15,726 PROS Holdings, Inc. (a) 943,560 17,433 Q2 Holdings, Inc. (a) 1,519,983 5,650 Qualys, Inc. (a) 484,431 33,642 Rapid7, Inc. (a) 1,997,662 41,955 Smartsheet, Inc., Class A (a) 2,033,978 6,282 Tyler Technologies, Inc. (a) 2,033,358 25,533 Verint Systems, Inc. (a) 1,480,914 6,149 Zendesk, Inc. (a) 531,274 --------------- 43,850,669 --------------- SPECIALTY RETAIL -- 2.0% 16,500 Aaron's, Inc. 979,440 25,593 Carvana Co. (a) 2,028,245 11,055 Five Below, Inc. (a) 1,251,647 46,365 Floor & Decor Holdings, Inc., Class A (a) 2,286,258 --------------- 6,545,590 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 82,612 Pure Storage, Inc., Class A (a) 1,470,494 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.9% 14,108 Columbia Sportswear Co. 1,325,023 8,371 Deckers Outdoor Corp. (a) 1,598,108 --------------- 2,923,131 --------------- THRIFTS & MORTGAGE FINANCE -- 1.4% 36,250 Essent Group Ltd. 1,798,363 3,106 LendingTree, Inc. (a) 966,587 74,907 Radian Group, Inc. 1,834,472 --------------- 4,599,422 --------------- WATER UTILITIES -- 0.5% 10,876 American States Water Co. 963,178 10,037 Aqua America, Inc. (a) 521,322 --------------- 1,484,500 --------------- TOTAL COMMON STOCKS -- 99.9% 320,257,662 (Cost $281,828,668) --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.5% 1,553,527 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) $ 1,553,527 (Cost $1,553,527) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.2% $ 7,162,695 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $7,163,626. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $7,313,744. (d) 7,162,695 (Cost $7,162,695) --------------- TOTAL INVESTMENTS -- 102.6% 328,973,884 (Cost $290,544,890) (e) NET OTHER ASSETS AND LIABILITIES -- (2.6)% (8,385,535) --------------- NET ASSETS -- 100.0% $ 320,588,349 =============== (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 $8,302,896 and the total value of the collateral held by the Fund is $8,716,222. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $42,452,917 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,023,923. The net unrealized appreciation was $38,428,994. See Notes to Financial Statements Page 91 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 320,257,662 $ -- $ -- Money Market Funds 1,553,527 -- -- Repurchase Agreements -- 7,162,695 -- --------------------------------------------- Total Investments $ 321,811,189 $ 7,162,695 $ -- ============================================= * 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) $ 8,302,896 Non-cash Collateral(2) (8,302,896) --------------- 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 January 31, 2020, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 7,162,695 Non-cash Collateral(4) (7,162,695) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 92 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.8% 16,183 Astronics Corp. (a) $ 407,811 1,396 Cubic Corp. 91,145 --------------- 498,956 --------------- AIR FREIGHT & LOGISTICS -- 1.1% 16,406 Atlas Air Worldwide Holdings, Inc. (a) 366,674 7,056 Hub Group, Inc., Class A (a) 373,051 --------------- 739,725 --------------- AIRLINES -- 1.1% 1,530 Allegiant Travel Co. 257,101 15,443 Hawaiian Holdings, Inc. 430,551 --------------- 687,652 --------------- AUTO COMPONENTS -- 3.0% 24,747 American Axle & Manufacturing Holdings, Inc. (a) 228,662 12,586 Cooper Tire & Rubber Co. 333,403 13,641 Cooper-Standard Holdings, Inc. (a) 361,759 24,853 Dana, Inc. 382,985 1,689 LCI Industries 182,361 1,668 Standard Motor Products, Inc. 81,032 12,342 Stoneridge, Inc. (a) 343,848 --------------- 1,914,050 --------------- AUTOMOBILES -- 0.4% 5,026 Winnebago Industries, Inc. 275,224 --------------- BANKS -- 8.2% 3,487 1st Source Corp. 164,552 3,197 Banner Corp. 164,805 5,503 Berkshire Hills Bancorp, Inc. 154,909 22,134 Boston Private Financial Holdings, Inc. 252,328 5,393 Brookline Bancorp, Inc. 81,974 14,687 Cadence BanCorp 229,558 5,476 Eagle Bancorp, Inc. 239,301 1,841 Enterprise Financial Services Corp. 80,102 6,579 First Busey Corp. 167,764 12,469 First Commonwealth Financial Corp. 168,581 10,467 First Financial Bancorp 251,627 2,117 First Interstate BancSystem, Inc., Class A 81,504 4,351 First Merchants Corp. 172,952 11,547 First Midwest Bancorp, Inc. 230,247 7,665 Great Western Bancorp, Inc. 226,501 5,354 Heartland Financial USA, Inc. 261,864 6,394 Heritage Financial Corp. 164,837 10,681 Hilltop Holdings, Inc. 241,818 24,351 Hope Bancorp, Inc. 338,601 6,182 International Bancshares Corp. 243,571 2,188 NBT Bancorp, Inc. 82,685 867 Park National Corp. 82,339 7,517 Renasant Corp. 240,018 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 2,203 S&T Bancorp, Inc. $ 82,811 9,940 Simmons First National Corp., Class A 238,361 6,504 TowneBank 172,681 4,434 TriCo Bancshares 161,398 5,243 Trustmark Corp. 167,671 4,787 WesBanco, Inc. 158,545 --------------- 5,303,905 --------------- BEVERAGES -- 0.1% 1,740 National Beverage Corp. (a) (b) 74,663 --------------- BUILDING PRODUCTS -- 3.4% 2,548 American Woodmark Corp. (a) 279,388 8,193 Apogee Enterprises, Inc. 260,701 10,479 Builders FirstSource, Inc. (a) 259,827 1,760 Gibraltar Industries, Inc. (a) 95,955 6,902 Patrick Industries, Inc. 358,076 24,270 PGT Innovations, Inc. (a) 376,185 30,332 Resideo Technologies, Inc. (a) 308,780 5,582 Universal Forest Products, Inc. 267,378 --------------- 2,206,290 --------------- CAPITAL MARKETS -- 1.1% 2,746 Artisan Partners Asset Management, Inc., Class A 91,717 2,781 Moelis & Co., Class A 100,116 1,110 Piper Sandler Cos. 91,497 27,053 Waddell & Reed Financial, Inc., Class A 432,307 --------------- 715,637 --------------- CHEMICALS -- 2.9% 5,603 Cabot Corp. 223,280 749 Chase Corp. 68,886 7,599 Element Solutions, Inc. (a) 88,908 3,509 H.B. Fuller Co. 162,151 17,865 Kraton Corp. (a) 293,879 19,871 Kronos Worldwide, Inc. 215,402 6,279 Minerals Technologies, Inc. 339,882 2,412 PolyOne Corp. 80,030 1,766 Stepan Co. 174,216 7,156 Trinseo S.A. 205,520 --------------- 1,852,154 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.4% 48,326 ACCO Brands Corp. 417,537 15,784 BrightView Holdings, Inc. (a) 249,387 3,650 Healthcare Services Group, Inc. 93,440 7,108 HNI Corp. 255,675 7,163 Knoll, Inc. 177,356 2,341 Mobile Mini, Inc. 97,713 13,015 Steelcase, Inc., Class A 242,209 --------------- 1,533,317 --------------- COMMUNICATIONS EQUIPMENT -- 0.7% 6,148 EchoStar Corp., Class A (a) 245,336 3,621 NETGEAR, Inc. (a) 93,132 See Notes to Financial Statements Page 93 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 3,688 NetScout Systems, Inc. (a) $ 94,818 --------------- 433,286 --------------- CONSTRUCTION & ENGINEERING -- 2.0% 10,153 Arcosa, Inc. 444,194 3,629 Comfort Systems USA, Inc. 168,386 7,674 Dycom Industries, Inc. (a) 310,183 16,271 Primoris Services Corp. 347,060 --------------- 1,269,823 --------------- CONSUMER FINANCE -- 2.4% 12,792 Encore Capital Group, Inc. (a) 434,289 18,800 Enova International, Inc. (a) 471,128 19,414 Green Dot Corp., Class A (a) 583,973 2,445 PRA Group, Inc. (a) 86,455 --------------- 1,575,845 --------------- CONTAINERS & PACKAGING -- 0.5% 8,187 Greif, Inc., Class A 330,919 --------------- DISTRIBUTORS -- 0.2% 6,654 Core-Mark Holding Co., Inc. 155,970 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.5% 12,935 Adtalem Global Education, Inc. (a) 446,387 20,548 Laureate Education, Inc., Class A (a) 428,220 2,323 WW International, Inc. (a) 76,613 --------------- 951,220 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 16,989 FGL Holdings 163,944 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 3,266 ATN International, Inc. 189,003 --------------- ELECTRICAL EQUIPMENT -- 0.9% 5,795 AZZ, Inc. 239,102 6,304 Encore Wire Corp. 342,370 --------------- 581,472 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.0% 22,097 AVX Corp. 447,906 7,749 Benchmark Electronics, Inc. 238,514 6,029 CTS Corp. 176,710 2,147 ePlus, Inc. (a) 171,159 2,790 Fabrinet (a) 175,882 2,636 II-VI, Inc. (a) 88,701 2,575 Insight Enterprises, Inc. (a) 169,615 9,196 Methode Electronics, Inc. 301,169 1,153 Plexus Corp. (a) 82,001 10,569 Sanmina Corp. (a) 336,517 9,794 ScanSource, Inc. (a) 341,713 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 24,044 TTM Technologies, Inc. (a) $ 345,993 16,996 Vishay Intertechnology, Inc. 344,849 --------------- 3,220,729 --------------- ENERGY EQUIPMENT & SERVICES -- 2.5% 36,042 Archrock, Inc. 300,951 2,357 Core Laboratories N.V. 82,802 37,577 Helix Energy Solutions Group, Inc. (a) 313,392 125,647 Nabors Industries Ltd. 260,089 12,135 Oceaneering International, Inc. (a) 150,595 5,442 Oil States International, Inc. (a) 58,665 34,529 RPC, Inc. (b) 156,416 8,387 SEACOR Holdings, Inc. (a) 315,267 --------------- 1,638,177 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.5% 4,245 Columbia Property Trust, Inc. 89,569 26,025 CoreCivic, Inc. 415,099 24,033 DiamondRock Hospitality Co. 232,399 10,516 Diversified Healthcare Trust 81,183 6,358 Empire State Realty Trust, Inc., Class A 86,214 21,786 GEO Group (The), Inc. 344,219 13,130 Global Net Lease, Inc. 272,185 19,556 Mack-Cali Realty Corp. 429,450 8,285 Office Properties Income Trust 281,939 5,901 RPT Realty 82,319 12,905 SITE Centers Corp. 164,023 36,656 Summit Hotel Properties, Inc. 406,515 18,078 Tanger Factory Outlet Centers, Inc. (b) 264,481 4,628 Urban Edge Properties 85,109 16,746 Xenia Hotels & Resorts, Inc. 312,983 --------------- 3,547,687 --------------- FOOD & STAPLES RETAILING -- 1.7% 17,893 Andersons (The), Inc. 404,740 1,250 PriceSmart, Inc. 76,575 13,761 Sprouts Farmers Market, Inc. (a) 215,084 11,171 Weis Markets, Inc. 409,864 --------------- 1,106,263 --------------- FOOD PRODUCTS -- 1.1% 25,228 B&G Foods, Inc. (b) 405,162 10,345 Fresh Del Monte Produce, Inc. 324,626 --------------- 729,788 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.5% 1,424 AMN Healthcare Services, Inc. (a) 95,949 36,627 Brookdale Senior Living, Inc. (a) 241,372 1,135 Magellan Health, Inc. (a) 83,093 3,081 National HealthCare Corp. 258,558 Page 94 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 8,835 Patterson Cos., Inc. $ 194,458 3,803 Select Medical Holdings Corp. (a) 86,861 --------------- 960,291 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.7% 8,198 Bloomin' Brands, Inc. 170,272 4,656 Cheesecake Factory (The), Inc. 178,790 6,629 Dave & Buster's Entertainment, Inc. 292,737 10,418 Penn National Gaming, Inc. (a) 310,769 21,539 Playa Hotels & Resorts N.V. (a) 151,204 --------------- 1,103,772 --------------- HOUSEHOLD DURABLES -- 4.8% 454 Cavco Industries, Inc. (a) 101,705 10,559 KB Home 396,490 5,747 La-Z-Boy, Inc. 176,088 9,482 M.D.C. Holdings, Inc. 399,572 11,495 M/I Homes, Inc. (a) 510,263 7,402 Meritage Homes Corp. (a) 525,246 20,692 Taylor Morrison Home Corp. (a) 535,509 29,033 TRI Pointe Group, Inc. (a) 472,077 --------------- 3,116,950 --------------- HOUSEHOLD PRODUCTS -- 0.4% 9,069 Central Garden & Pet Co., Class A (a) 271,707 --------------- INSURANCE -- 3.0% 2,965 American Equity Investment Life Holding Co. 78,306 1,349 Argo Group International Holdings Ltd. 88,494 19,959 CNO Financial Group, Inc. 351,079 10,834 Employers Holdings, Inc. 462,070 3,070 FBL Financial Group, Inc., Class A 165,105 4,144 Horace Mann Educators Corp. 178,233 1,244 National Western Life Group, Inc., Class A 330,904 2,456 ProAssurance Corp. 74,589 1,956 Safety Insurance Group, Inc. 180,108 --------------- 1,908,888 --------------- IT SERVICES -- 0.4% 1,111 ManTech International Corp., Class A 89,191 4,891 Sykes Enterprises, Inc. (a) 164,289 --------------- 253,480 --------------- LEISURE PRODUCTS -- 0.7% 2,731 Acushnet Holdings Corp. 84,579 4,187 Callaway Golf Co. 89,686 5,662 Sturm Ruger & Co., Inc. 280,382 --------------- 454,647 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MACHINERY -- 2.9% 7,354 Altra Industrial Motion Corp. $ 244,594 2,920 Barnes Group, Inc. 184,457 2,367 Gorman-Rupp (The) Co. 87,366 13,948 Greenbrier (The) Cos., Inc. 336,007 2,665 Hillenbrand, Inc. 77,365 13,816 Meritor, Inc. (a) 302,709 5,699 Mueller Industries, Inc. 166,240 2,281 Standex International Corp. 166,718 16,337 Trinity Industries, Inc. 332,131 --------------- 1,897,587 --------------- MARINE -- 0.4% 6,526 Matson, Inc. 235,001 --------------- MEDIA -- 1.7% 9,161 AMC Networks, Inc., Class A (a) 335,201 16,878 Gray Television, Inc. (a) 342,286 5,488 John Wiley & Sons, Inc., Class A 239,386 4,705 Scholastic Corp. 155,030 --------------- 1,071,903 --------------- METALS & MINING -- 3.2% 21,894 Allegheny Technologies, Inc. (a) 377,671 7,269 Carpenter Technology Corp. 288,870 16,249 Commercial Metals Co. 333,917 1,456 Compass Minerals International, Inc. 84,288 1,632 Kaiser Aluminum Corp. 163,445 39,643 United States Steel Corp. (b) 359,562 21,407 Warrior Met Coal, Inc. 403,736 2,104 Worthington Industries, Inc. 77,385 --------------- 2,088,874 --------------- MULTILINE RETAIL -- 1.2% 15,750 Big Lots, Inc. 426,195 6,155 Dillard's, Inc., Class A (b) 373,732 --------------- 799,927 --------------- OIL, GAS & CONSUMABLE FUELS -- 6.7% 158,711 Antero Resources Corp. (a) 293,615 6,305 Arch Coal, Inc., Class A 324,897 93,650 Callon Petroleum Co. (a) 280,950 51,110 CNX Resources Corp. (a) 369,525 25,171 Matador Resources Co. (a) 369,259 138,751 Oasis Petroleum, Inc. (a) 312,190 17,284 PDC Energy, Inc. (a) 373,161 49,597 Peabody Energy Corp. 335,276 80,414 QEP Resources, Inc. 254,912 40,243 SM Energy Co. 369,431 186,913 Southwestern Energy Co. (a) 293,453 15,002 Talos Energy, Inc. (a) 329,144 61,626 Whiting Petroleum Corp. (a) (b) 279,782 4,167 World Fuel Services Corp. 163,013 --------------- 4,348,608 --------------- PAPER & FOREST PRODUCTS -- 1.3% 2,430 Boise Cascade Co. 87,966 11,829 Domtar Corp. 411,886 See Notes to Financial Statements Page 95 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PAPER & FOREST PRODUCTS (CONTINUED) 1,260 Neenah, Inc. $ 83,966 6,341 Schweitzer-Mauduit International, Inc. 222,125 --------------- 805,943 --------------- PERSONAL PRODUCTS -- 0.4% 4,415 Nu Skin Enterprises, Inc., Class A 143,885 2,303 USANA Health Sciences, Inc. (a) 142,095 --------------- 285,980 --------------- PROFESSIONAL SERVICES -- 1.5% 3,292 CBIZ, Inc. (a) 88,884 969 ICF International, Inc. 84,875 20,032 Kelly Services, Inc., Class A 355,768 2,235 Kforce, Inc. 82,807 8,535 Korn Ferry 349,764 --------------- 962,098 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 4,857 Marcus & Millichap, Inc. (a) 171,938 13,447 Newmark Group, Inc., Class A 158,271 --------------- 330,209 --------------- ROAD & RAIL -- 2.7% 17,191 Heartland Express, Inc. 321,300 21,048 Marten Transport Ltd. 436,956 2,859 Saia, Inc. (a) 249,019 16,584 Schneider National, Inc., Class B 369,326 9,944 Werner Enterprises, Inc. 366,536 --------------- 1,743,137 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.4% 20,483 Amkor Technology, Inc. (a) 230,434 --------------- SOFTWARE -- 0.6% 10,831 Ebix, Inc. 372,911 --------------- SPECIALTY RETAIL -- 5.5% 26,161 Abercrombie & Fitch Co., Class A 427,994 1,619 Asbury Automotive Group, Inc. (a) 156,153 10,334 Buckle (The), Inc. (b) 252,253 4,259 Children's Place (The), Inc. (b) 254,134 22,990 Designer Brands, Inc., Class A 327,378 7,312 Dick's Sporting Goods, Inc. 323,410 2,663 Group 1 Automotive, Inc. 268,350 44,730 Michaels (The) Cos., Inc. (a) 220,519 132,066 Office Depot, Inc. 293,186 19,828 Sally Beauty Holdings, Inc. (a) 304,360 12,248 Signet Jewelers Ltd. 297,749 16,288 Urban Outfitters, Inc. (a) 416,973 --------------- 3,542,459 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.2% 13,502 G-III Apparel Group Ltd. (a) $ 367,389 3,530 Oxford Industries, Inc. 244,982 5,363 Wolverine World Wide, Inc. 169,310 --------------- 781,681 --------------- THRIFTS & MORTGAGE FINANCE -- 2.8% 5,975 Axos Financial, Inc. (a) 168,316 6,961 Flagstar Bancorp, Inc. 245,306 5,337 Northwest Bancshares, Inc. 83,924 7,084 OceanFirst Financial Corp. 164,774 10,630 PennyMac Financial Services, Inc. 358,443 10,802 Provident Financial Services, Inc. 246,394 5,594 Walker & Dunlop, Inc. 371,274 4,113 WSFS Financial Corp. 164,067 --------------- 1,802,498 --------------- TOBACCO -- 0.5% 6,341 Universal Corp. 337,024 --------------- TRADING COMPANIES & DISTRIBUTORS -- 4.2% 2,713 Applied Industrial Technologies, Inc. 175,178 8,326 Beacon Roofing Supply, Inc. (a) 275,674 12,613 BMC Stock Holdings, Inc. (a) 368,110 13,363 GMS, Inc. (a) 357,059 3,697 Herc Holdings, Inc. (a) 148,324 1,346 Kaman Corp. 83,075 19,522 MRC Global, Inc. (a) 219,818 32,194 NOW, Inc. (a) 322,262 9,728 Rush Enterprises, Inc., Class A 418,304 7,616 WESCO International, Inc. (a) 368,691 --------------- 2,736,495 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 12,484 United States Cellular Corp. (a) 399,738 --------------- TOTAL COMMON STOCKS -- 99.9% 64,537,941 (Cost $67,179,125) --------------- MONEY MARKET FUNDS -- 0.6% 391,921 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) 391,921 (Cost $391,921) --------------- Page 96 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.8% $ 1,806,991 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $1,807,226. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $1,845,097. (d) $ 1,806,991 (Cost $1,806,991) --------------- TOTAL INVESTMENTS -- 103.3% 66,736,853 (Cost $69,378,037) (e) NET OTHER ASSETS AND LIABILITIES -- (3.3)% (2,144,351) --------------- NET ASSETS -- 100.0% $ 64,592,502 =============== (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 $2,061,343 and the total value of the collateral held by the Fund is $2,198,912. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $4,189,330 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,830,514. The net unrealized depreciation was $2,641,184. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 64,537,941 $ -- $ -- Money Market Funds 391,921 -- -- Repurchase Agreements -- 1,806,991 -- --------------------------------------------- Total Investments $ 64,929,862 $ 1,806,991 $ -- ============================================= * 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) $ 2,061,343 Non-cash Collateral(2) (2,061,343) --------------- 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 January 31, 2020, 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) $ 1,806,991 Non-cash Collateral(4) (1,806,991) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 97 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.2% 9,403 AeroVironment, Inc. (a) $ 626,334 15,813 Kratos Defense & Security Solutions, Inc. (a) 290,010 6,804 Moog, Inc., Class A 609,707 57,435 Triumph Group, Inc. 1,173,397 --------------- 2,699,448 --------------- AIR FREIGHT & LOGISTICS -- 1.1% 49,493 Air Transport Services Group, Inc. (a) 1,037,868 20,749 Forward Air Corp. 1,358,022 --------------- 2,395,890 --------------- AUTO COMPONENTS -- 0.2% 3,761 Dorman Products, Inc. (a) 262,518 28,508 Garrett Motion, Inc. (a) 240,037 --------------- 502,555 --------------- BANKS -- 7.7% 18,595 BancFirst Corp. 1,074,791 10,426 City Holding Co. 789,040 14,664 FB Financial Corp. (b) 522,771 21,408 First Bancorp 759,556 54,821 First BanCorp 508,191 6,974 Independent Bank Corp. 503,523 15,411 Independent Bank Group, Inc. 824,797 17,462 Lakeland Financial Corp. 828,397 16,483 National Bank Holdings Corp., Class A 537,346 24,589 OFG Bancorp 484,649 35,611 Pacific Premier Bancorp, Inc. 1,061,208 30,652 Sandy Spring Bancorp, Inc. 1,066,689 37,982 Seacoast Banking Corp. of Florida (a) 1,031,211 30,815 ServisFirst Bancshares, Inc. 1,132,451 23,005 Southside Bancshares, Inc. 807,015 28,278 Stock Yards Bancorp, Inc. 1,095,490 9,338 Tompkins Financial Corp. 803,908 37,600 United Community Banks, Inc. 1,049,792 39,859 Veritex Holdings, Inc. 1,128,807 15,884 Washington Trust Bancorp, Inc. 751,790 8,566 Westamerica Bancorporation 542,742 --------------- 17,304,164 --------------- BEVERAGES -- 0.4% 3,008 Coca-Cola Consolidated, Inc. 814,596 --------------- BIOTECHNOLOGY -- 8.0% 21,899 Acceleron Pharma, Inc. (a) 1,987,991 16,349 Denali Therapeutics, Inc. (a) (b) 378,643 65,882 Dicerna Pharmaceuticals, Inc. (a) 1,300,840 19,607 Editas Medicine, Inc. (a) 518,213 15,837 Emergent BioSolutions, Inc. (a) 872,460 58,999 Epizyme, Inc. (a) 1,234,849 59,331 Fate Therapeutics, Inc. (a) 1,504,634 16,063 Halozyme Therapeutics, Inc. (a) 304,876 49,408 Heron Therapeutics, Inc. (a) 1,030,651 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 11,712 Intercept Pharmaceuticals, Inc. (a) $ 1,082,306 17,656 Invitae Corp. (a) 329,284 109,044 Ironwood Pharmaceuticals, Inc. (a) 1,317,252 58,849 Momenta Pharmaceuticals, Inc. (a) 1,707,798 25,360 Natera, Inc. (a) 887,854 11,926 Portola Pharmaceuticals, Inc. (a) (b) 152,534 26,495 Principia Biopharma, Inc. (a) 1,394,962 14,127 Radius Health, Inc. (a) 248,070 8,102 uniQure N.V. (a) 466,351 30,601 Veracyte, Inc. (a) 803,276 8,281 Xencor, Inc. (a) 281,057 --------------- 17,803,901 --------------- BUILDING PRODUCTS -- 2.0% 11,750 AAON, Inc. 616,170 29,894 Advanced Drainage Systems, Inc. 1,242,694 15,079 CSW Industrials, Inc. 1,144,194 61,998 JELD-WEN Holding, Inc. (a) 1,480,512 --------------- 4,483,570 --------------- CAPITAL MARKETS -- 3.0% 43,239 Bain Capital Specialty Finance, Inc. 856,132 32,685 Blucora, Inc. (a) 737,047 18,501 Cohen & Steers, Inc. 1,368,704 39,399 Focus Financial Partners, Inc., Class A (a) 1,113,022 4,778 Hamilton Lane, Inc., Class A 310,331 23,759 Houlihan Lokey, Inc. 1,231,904 18,932 PJT Partners, Inc., Class A 871,251 21,285 TCG BDC, Inc. 294,797 --------------- 6,783,188 --------------- CHEMICALS -- 2.1% 57,613 Ferro Corp. (a) 788,146 25,564 GCP Applied Technologies, Inc. (a) 568,032 14,031 Innospec, Inc. 1,413,343 135,801 Livent Corp. (a) 1,277,887 49,732 PQ Group Holdings, Inc. (a) 761,397 --------------- 4,808,805 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.4% 14,921 Brady Corp., Class A 826,176 25,225 Casella Waste Systems, Inc., Class A (a) 1,291,268 19,191 Covanta Holding Corp. 287,481 25,230 Harsco Corp. (a) 375,927 20,514 Herman Miller, Inc. 792,866 18,962 McGrath RentCorp 1,466,142 4,918 US Ecology, Inc. 265,621 --------------- 5,305,481 --------------- Page 98 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT -- 0.4% 115,929 Extreme Networks, Inc. (a) $ 683,981 10,417 Plantronics, Inc. 299,176 --------------- 983,157 --------------- CONSTRUCTION & ENGINEERING -- 0.8% 5,645 NV5 Global, Inc. (a) 350,611 78,495 WillScot Corp. (a) 1,479,631 --------------- 1,830,242 --------------- CONSUMER FINANCE -- 0.5% 14,670 Nelnet, Inc., Class A 840,004 3,296 World Acceptance Corp. (a) 285,005 --------------- 1,125,009 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 63,137 Perdoceo Education Corp. (a) 1,122,576 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.7% 39,026 Cannae Holdings, Inc. (a) 1,586,797 --------------- ELECTRIC UTILITIES -- 0.4% 7,365 MGE Energy, Inc. 588,684 5,553 Otter Tail Corp. 297,419 --------------- 886,103 --------------- ELECTRICAL EQUIPMENT -- 1.5% 35,872 Atkore International Group, Inc. (a) 1,424,119 42,038 Sunrun, Inc. (a) 715,907 159,931 Vivint Solar, Inc. (a) (b) 1,305,037 --------------- 3,445,063 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 13,159 Badger Meter, Inc. 777,170 17,289 Itron, Inc. (a) 1,413,376 54,898 Knowles Corp. (a) 1,083,137 5,930 MTS Systems Corp. 300,592 8,481 OSI Systems, Inc. (a) 733,946 --------------- 4,308,221 --------------- ENERGY EQUIPMENT & SERVICES -- 0.7% 24,895 Cactus, Inc., Class A 717,474 55,290 Patterson-UTI Energy, Inc. 439,002 51,604 ProPetro Holding Corp. (a) 502,623 --------------- 1,659,099 --------------- ENTERTAINMENT -- 0.3% 95,959 Glu Mobile, Inc. (a) 566,158 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.7% 27,698 Alexander & Baldwin, Inc. 605,478 21,478 American Finance Trust, Inc. 278,570 36,860 Brandywine Realty Trust 575,753 SHARES DESCRIPTION VALUE --------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 48,930 Easterly Government Properties, Inc. $ 1,184,595 23,400 Essential Properties Realty Trust, Inc. 646,074 10,103 Four Corners Property Trust, Inc. 306,020 8,664 Getty Realty Corp. 273,089 18,041 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 615,018 60,681 Independence Realty Trust, Inc. 890,190 38,108 Industrial Logistics Properties Trust 872,292 3,754 Innovative Industrial Properties, Inc. 335,983 26,817 Lexington Realty Trust 296,864 17,268 National Storage Affiliates Trust 589,702 12,901 NexPoint Residential Trust, Inc. 629,569 38,417 Piedmont Office Realty Trust, Inc., Class A 890,890 10,697 QTS Realty Trust, Inc., Class A 608,445 43,325 Retail Properties of America, Inc., Class A 526,399 28,811 Safehold, Inc. 1,295,343 34,689 Uniti Group, Inc. 219,582 9,893 Universal Health Realty Income Trust 1,220,302 --------------- 12,860,158 --------------- FOOD & STAPLES RETAILING -- 0.4% 22,419 Chefs' Warehouse (The), Inc. (a) 816,052 --------------- FOOD PRODUCTS -- 1.2% 24,562 Freshpet, Inc. (a) 1,544,458 39,928 Hostess Brands, Inc. (a) 535,834 29,937 Simply Good Foods (The) Co. (a) 687,653 --------------- 2,767,945 --------------- GAS UTILITIES -- 0.4% 2,972 Chesapeake Utilities Corp. 285,936 7,874 Northwest Natural Holding Co. 577,794 --------------- 863,730 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.4% 26,281 AtriCure, Inc. (a) 1,022,331 20,951 Axonics Modulation Technologies, Inc. (a) (b) 608,207 17,584 Cardiovascular Systems, Inc. (a) 798,138 12,978 CONMED Corp. 1,319,603 8,496 Inogen, Inc. (a) 376,118 9,122 Merit Medical Systems, Inc. (a) 332,223 12,348 Nevro Corp. (a) 1,641,173 15,475 Quidel Corp. (a) 1,188,480 33,014 STAAR Surgical Co. (a) 1,110,591 21,499 Tactile Systems Technology, Inc. (a) 1,208,029 67,488 ViewRay, Inc. (a) 210,562 --------------- 9,815,455 --------------- See Notes to Financial Statements Page 99 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES -- 2.7% 14,929 Addus HomeCare Corp. (a) $ 1,408,402 12,539 BioTelemetry, Inc. (a) 613,408 9,780 CorVel Corp. (a) 895,554 12,957 National Research Corp. 876,800 15,326 Premier, Inc., Class A (a) 532,885 111,816 R1 RCM, Inc. (a) 1,397,700 2,491 US Physical Therapy, Inc. 291,796 --------------- 6,016,545 --------------- HEALTH CARE TECHNOLOGY -- 1.6% 21,344 HealthStream, Inc. (a) 545,339 61,695 Inovalon Holdings, Inc., Class A (a) 1,249,941 19,558 Inspire Medical Systems, Inc. (a) 1,462,938 5,850 Tabula Rasa HealthCare, Inc. (a) 339,710 --------------- 3,597,928 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.3% 13,823 Brinker International, Inc. 590,104 14,326 Denny's Corp. (a) 293,253 13,902 Dine Brands Global, Inc. 1,185,145 3,650 Jack in the Box, Inc. 298,388 17,419 Lindblad Expeditions Holdings, Inc. (a) 287,239 22,983 Papa John's International, Inc. 1,488,839 54,196 Scientific Games Corp. (a) 1,346,229 45,770 SeaWorld Entertainment, Inc. (a) 1,577,234 4,781 Shake Shack, Inc., Class A (a) 322,478 --------------- 7,388,909 --------------- HOUSEHOLD DURABLES -- 1.6% 21,074 Installed Building Products, Inc. (a) 1,562,215 12,093 LGI Homes, Inc. (a) 964,296 36,628 Skyline Champion Corp. (a) 1,053,055 --------------- 3,579,566 --------------- HOUSEHOLD PRODUCTS -- 0.3% 2,990 WD-40 Co. 558,592 --------------- INSURANCE -- 2.0% 4,313 AMERISAFE, Inc. 295,095 15,106 eHealth, Inc. (a) 1,588,547 11,421 Kinsale Capital Group, Inc. 1,304,507 38,745 Trupanion, Inc. (a) (b) 1,236,740 --------------- 4,424,889 --------------- INTERACTIVE MEDIA & SERVICES -- 0.4% 33,624 ANGI Homeservices, Inc., Class A (a) (b) 270,001 16,668 Yelp, Inc. (a) 543,377 --------------- 813,378 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- INTERNET & DIRECT MARKETING RETAIL -- 1.0% 86,653 Quotient Technology, Inc. (a) $ 872,596 56,562 Stitch Fix, Inc., Class A (a) (b) 1,295,270 --------------- 2,167,866 --------------- IT SERVICES -- 2.7% 22,424 CSG Systems International, Inc. 1,117,164 17,055 EVERTEC, Inc. 572,536 16,716 ExlService Holdings, Inc. (a) 1,222,107 51,951 NIC, Inc. 1,024,993 31,504 Perficient, Inc. (a) 1,565,749 14,653 TTEC Holdings, Inc. 582,017 --------------- 6,084,566 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 16,852 Accelerate Diagnostics, Inc. (a) (b) 283,114 20,868 NanoString Technologies, Inc. (a) 566,983 49,620 NeoGenomics, Inc. (a) 1,599,253 --------------- 2,449,350 --------------- MACHINERY -- 7.3% 11,560 Alamo Group, Inc. 1,439,914 3,751 Albany International Corp., Class A 261,707 4,220 Chart Industries, Inc. (a) 269,996 21,344 Columbus McKinnon Corp. 746,826 26,389 Douglas Dynamics, Inc. 1,383,575 12,552 ESCO Technologies, Inc. 1,204,490 36,003 Federal Signal Corp. 1,157,856 20,256 Franklin Electric Co., Inc. 1,168,569 25,116 Helios Technologies, Inc. 1,067,932 13,778 Kadant, Inc. 1,468,735 28,526 SPX Corp. (a) 1,399,771 29,699 SPX FLOW, Inc. (a) 1,299,034 18,626 Tennant Co. 1,438,300 27,201 TriMas Corp. (a) 781,485 11,639 Watts Water Technologies, Inc., Class A 1,160,525 --------------- 16,248,715 --------------- MEDIA -- 0.3% 99,580 Clear Channel Outdoor Holdings, Inc. (a) 271,853 33,365 MSG Networks, Inc., Class A (a) 507,482 --------------- 779,335 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.5% 80,913 Arbor Realty Trust, Inc. 1,195,085 15,495 Granite Point Mortgage Trust, Inc. 283,404 41,841 KKR Real Estate Finance Trust, Inc. 880,753 15,787 Ladder Capital Corp. 289,691 45,714 New York Mortgage Trust, Inc. 290,284 52,091 PennyMac Mortgage Investment Trust 1,211,116 Page 100 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MORTGAGE REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 51,656 Redwood Trust, Inc. $ 910,695 28,641 TPG RE Finance Trust, Inc. 586,281 --------------- 5,647,309 --------------- MULTI-UTILITIES -- 0.3% 9,391 Unitil Corp. 579,331 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.3% 149,894 Kosmos Energy Ltd. 765,958 92,297 Magnolia Oil & Gas Corp., Class A (a) 970,965 62,452 Par Pacific Holdings, Inc. (a) 1,256,534 --------------- 2,993,457 --------------- PERSONAL PRODUCTS -- 0.7% 11,751 Inter Parfums, Inc. 812,112 7,797 Medifast, Inc. (b) 753,424 --------------- 1,565,536 --------------- PHARMACEUTICALS -- 3.1% 24,019 Aerie Pharmaceuticals, Inc. (a) (b) 491,909 30,096 Amphastar Pharmaceuticals, Inc. (a) 569,115 4,618 ANI Pharmaceuticals, Inc. (a) 286,316 23,537 Corcept Therapeutics, Inc. (a) 298,214 40,999 Innoviva, Inc. (a) 565,991 11,723 MyoKardia, Inc. (a) 797,516 18,861 Pacira BioSciences, Inc. (a) 815,173 5,680 Reata Pharmaceuticals, Inc., Class A (a) 1,242,727 44,847 Theravance Biopharma, Inc. (a) 1,250,334 11,137 Zogenix, Inc. (a) 560,971 --------------- 6,878,266 --------------- PROFESSIONAL SERVICES -- 1.1% 27,844 Forrester Research, Inc. (a) 1,151,906 21,120 Huron Consulting Group, Inc. (a) 1,368,787 --------------- 2,520,693 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.0% 68,655 Redfin Corp. (a) 1,670,376 29,276 St Joe (The) Co. (a) 615,089 --------------- 2,285,465 --------------- ROAD & RAIL -- 0.4% 54,247 Hertz Global Holdings, Inc. (a) 854,933 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.8% 9,586 Ambarella, Inc. (a) 566,916 25,747 Diodes, Inc. (a) 1,329,575 55,887 FormFactor, Inc. (a) 1,414,500 19,608 Inphi Corp. (a) 1,489,424 44,639 Lattice Semiconductor Corp. (a) 830,285 54,563 MACOM Technology Solutions Holdings, Inc. (a) 1,550,681 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 8,638 Power Integrations, Inc. $ 843,673 36,512 SunPower Corp. (a) (b) 311,082 15,395 Xperi Corp. 247,706 --------------- 8,583,842 --------------- SOFTWARE -- 4.9% 10,560 Appfolio, Inc., Class A (a) 1,388,007 7,454 Appian Corp. (a) (b) 380,452 11,260 Blackline, Inc. (a) 688,774 15,940 Bottomline Technologies DE, Inc. (a) 854,384 16,972 Box, Inc., Class A (a) 255,089 73,465 Cloudera, Inc. (a) 755,955 8,683 ForeScout Technologies, Inc. (a) 247,552 31,381 LivePerson, Inc. (a) 1,286,935 6,854 Progress Software Corp. 309,321 36,203 SailPoint Technologies Holding, Inc. (a) 908,333 15,417 SPS Commerce, Inc. (a) 876,148 47,812 SVMK, Inc. (a) 843,882 11,886 Tenable Holdings, Inc. (a) 323,894 16,257 Upland Software, Inc. (a) 634,673 14,942 Varonis Systems, Inc. (a) 1,250,048 --------------- 11,003,447 --------------- SPECIALTY RETAIL -- 2.5% 32,593 Boot Barn Holdings, Inc. (a) 1,367,928 40,260 Rent-A-Center, Inc. 1,172,774 6,798 RH (a) 1,419,082 29,476 Sleep Number Corp. (a) 1,520,667 --------------- 5,480,451 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.6% 109,953 Diebold Nixdorf, Inc. (a) 1,265,559 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 34,647 Crocs, Inc. (a) 1,313,468 --------------- THRIFTS & MORTGAGE FINANCE -- 2.4% 50,437 Columbia Financial, Inc. (a) 845,828 41,977 Kearny Financial Corp. 518,416 57,795 Meridian Bancorp, Inc. 1,039,732 39,753 Meta Financial Group, Inc. 1,479,607 43,742 NMI Holdings, Inc., Class A (a) 1,396,245 --------------- 5,279,828 --------------- TOBACCO -- 0.6% 108,393 Vector Group Ltd. 1,424,284 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 43,415 H&E Equipment Services, Inc. 1,176,981 36,104 Triton International Ltd. 1,355,705 --------------- 2,532,686 --------------- See Notes to Financial Statements Page 101 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) WATER UTILITIES -- 0.4% 5,524 California Water Service Group $ 290,341 8,170 SJW Group 599,270 --------------- 889,611 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 20,533 Shenandoah Telecommunications Co. 828,507 --------------- TOTAL COMMON STOCKS -- 99.9% 223,573,675 (Cost $203,165,792) --------------- MONEY MARKET FUNDS -- 0.5% 1,151,736 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.46% (c) (d) 1,151,736 (Cost $1,151,736) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.4% $ 5,310,195 BNP Paribas S.A., 1.56% (c), dated 01/31/20, due 02/03/20, with a maturity value of $5,310,886. Collateralized by U.S. Treasury Note, interest rate of 2.125%, due 08/15/21. The value of the collateral including accrued interest is $5,422,179. (d) 5,310,195 (Cost $5,310,195) --------------- TOTAL INVESTMENTS -- 102.8% 230,035,606 (Cost $209,627,723) (e) NET OTHER ASSETS AND LIABILITIES -- (2.8)% (6,216,655) --------------- NET ASSETS -- 100.0% $ 223,818,951 =============== (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 $6,182,909 and the total value of the collateral held by the Fund is $6,461,931. (c) Rate shown reflects yield as of January 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $27,255,841 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,847,958. The net unrealized appreciation was $20,407,883. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 223,573,675 $ -- $ -- Money Market Funds 1,151,736 -- -- Repurchase Agreements -- 5,310,195 -- --------------------------------------------- Total Investments $ 224,725,411 $ 5,310,195 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 102 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) --------------------------------- 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) $ 6,182,909 Non-cash Collateral(2) (6,182,909) --------------- 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 January 31, 2020, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 5,310,195 Non-cash Collateral(4) (5,310,195) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2020, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 103 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 2.0% 3,315 United Technologies Corp. $ 497,913 --------------- AUTOMOBILES -- 5.2% 1,978 Tesla, Inc. (a) 1,286,827 --------------- BANKS -- 13.0% 18,796 Bank of America Corp. 617,073 10,358 Citigroup, Inc. 770,739 5,936 JPMorgan Chase & Co. 785,689 3,110 PNC Financial Services Group (The), Inc. 461,990 2,791 U.S. Bancorp 148,537 9,228 Wells Fargo & Co. 433,162 --------------- 3,217,190 --------------- BEVERAGES -- 1.4% 2,422 PepsiCo, Inc. 343,972 --------------- BIOTECHNOLOGY -- 0.6% 687 Amgen, Inc. 148,426 --------------- CAPITAL MARKETS -- 5.5% 2,879 Goldman Sachs Group (The), Inc. 684,482 12,950 Morgan Stanley 676,767 --------------- 1,361,249 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 3,451 Cisco Systems, Inc. 158,642 --------------- DIVERSIFIED FINANCIAL SERVICES -- 2.0% 2,192 Berkshire Hathaway, Inc., Class B (a) 491,951 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.2% 16,939 AT&T, Inc. 637,245 10,782 Verizon Communications, Inc. 640,882 --------------- 1,278,127 --------------- ELECTRIC UTILITIES -- 4.4% 5,443 Duke Energy Corp. 531,400 7,794 Southern (The) Co. 548,698 --------------- 1,080,098 --------------- ENTERTAINMENT -- 1.3% 2,289 Walt Disney (The) Co. 316,592 --------------- FOOD & STAPLES RETAILING -- 1.3% 563 Costco Wholesale Corp. 172,008 1,393 Walmart, Inc. 159,484 --------------- 331,492 --------------- FOOD PRODUCTS -- 1.4% 6,009 Mondelez International, Inc., Class A 344,796 --------------- HEALTH CARE PROVIDERS & SERVICES -- 7.4% 1,096 Anthem, Inc. 290,747 3,237 Cigna Corp. 622,734 4,455 CVS Health Corp. 302,138 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 2,252 UnitedHealth Group, Inc. $ 613,557 --------------- 1,829,176 --------------- INDUSTRIAL CONGLOMERATES -- 1.5% 29,659 General Electric Co. 369,255 --------------- INTERACTIVE MEDIA & SERVICES -- 2.1% 247 Alphabet, Inc., Class A (a) 353,897 806 Facebook, Inc., Class A (a) 162,739 --------------- 516,636 --------------- IT SERVICES -- 1.4% 786 Accenture PLC, Class A 161,295 1,235 International Business Machines Corp. 177,507 --------------- 338,802 --------------- MACHINERY -- 1.8% 3,362 Caterpillar, Inc. 441,599 --------------- MEDIA -- 6.2% 1,706 Charter Communications, Inc., Class A (a) 882,787 14,721 Comcast Corp., Class A 635,800 --------------- 1,518,587 --------------- MULTILINE RETAIL -- 2.9% 6,454 Target Corp. 714,716 --------------- OIL, GAS & CONSUMABLE FUELS -- 8.4% 6,867 Chevron Corp. 735,730 12,725 ConocoPhillips 756,247 9,487 Exxon Mobil Corp. 589,333 --------------- 2,081,310 --------------- PHARMACEUTICALS -- 4.5% 5,156 Bristol-Myers Squibb Co. 324,570 21,120 Pfizer, Inc. 786,509 --------------- 1,111,079 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.2% 13,826 Intel Corp. 883,896 703 NVIDIA Corp. 166,210 5,627 QUALCOMM, Inc. 480,040 --------------- 1,530,146 --------------- SOFTWARE -- 2.8% 1,505 Adobe, Inc. (a) 528,465 3,124 Oracle Corp. 163,854 --------------- 692,319 --------------- SPECIALTY RETAIL -- 3.2% 2,764 Lowe's Cos., Inc. 321,288 8,131 TJX (The) Cos., Inc. 480,054 --------------- 801,342 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.8% 2,254 Apple, Inc. 697,636 --------------- Page 104 See Notes to Financial Statements FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2020 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 1.3% 3,267 NIKE, Inc., Class B $ 314,612 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 3.4% 10,552 T-Mobile US, Inc. (a) 835,613 --------------- TOTAL INVESTMENTS -- 99.8% 24,650,103 (Cost $23,198,642) (b) NET OTHER ASSETS AND LIABILITIES -- 0.2% 49,476 --------------- NET ASSETS -- 100.0% $ 24,699,579 =============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,975,444 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $523,983. The net unrealized appreciation was $1,451,461. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2020 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* $ 24,650,103 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 105 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JANUARY 31, 2020 (UNAUDITED)
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................................................ $ 1,325,030,069 $ 869,361,668 $ 551,360,816 Cash................................................................. -- -- -- Receivables: Capital shares sold............................................ -- -- -- Investment securities sold..................................... -- -- -- Dividends...................................................... 1,044,948 477,984 249,488 Securities lending income...................................... 1,142 11,423 79,699 Prepaid expenses..................................................... 11,693 7,980 6,056 ---------------- ---------------- ---------------- Total Assets................................................... 1,326,087,852 869,859,055 551,696,059 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian..................................................... 1,120,731 -- -- Payables: Capital shares redeemed........................................ -- -- -- Investment securities purchased................................ 4,953 -- -- Collateral for securities on loan.............................. 1,113,150 10,392,031 15,481,616 Investment advisory fees....................................... 588,198 378,478 240,067 Licensing fees................................................. 69,092 44,723 29,068 Shareholder reporting fees..................................... 61,729 47,549 37,269 Audit and tax fees............................................. 14,449 14,449 14,449 Trustees' fees................................................. 712 678 650 Other liabilities.................................................... 286,406 207,841 146,189 ---------------- ---------------- ---------------- Total Liabilities.............................................. 3,259,420 11,085,749 15,949,308 ---------------- ---------------- ---------------- NET ASSETS........................................................... $ 1,322,828,432 $ 858,773,306 $ 535,746,751 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital...................................................... $ 1,399,575,526 $ 985,464,547 $ 726,742,732 Par value............................................................ 206,500 122,000 87,000 Accumulated distributable earnings (loss)............................ (76,953,594) (126,813,241) (191,082,981) ---------------- ---------------- ---------------- NET ASSETS........................................................... $ 1,322,828,432 $ 858,773,306 $ 535,746,751 ================ ================ ================ NET ASSET VALUE, per share........................................... $ 64.06 $ 70.39 $ 61.58 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................ 20,650,002 12,200,002 8,700,002 ================ ================ ================ Investments, at cost................................................. $ 1,219,126,704 $ 815,088,209 $ 534,031,819 ================ ================ ================ Securities on loan, at value......................................... $ 1,075,102 $ 9,901,660 $ 14,634,353 ================ ================ ================
Page 106 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,077,263,937 $ 1,024,087,861 $ 83,184,319 $ 185,662,868 $ 51,354,575 $ 328,973,884 -- -- -- -- 36,175 480,303 -- -- -- -- -- -- -- -- -- -- 3,489,117 -- 1,220,421 313,928 78,815 41,338 46,193 32,571 100 3,060 1,880 7,227 186 9,195 9,895 9,234 2,312 3,047 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,078,494,353 1,024,414,083 83,267,326 185,714,480 54,926,246 329,495,953 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- -- 2,471,064 -- 224,472 -- -- -- -- -- -- 3,490,677 -- -- -- 192,955 -- 893 -- -- -- 658,744 2,002,330 260,929 8,716,222 482,551 443,536 36,589 80,039 33,837 191,382 57,951 53,293 4,364 9,604 -- -- 53,961 47,211 8,108 12,619 -- -- 14,449 14,449 14,449 14,449 -- -- 697 686 613 620 -- -- 249,046 233,635 50,432 55,396 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 858,655 3,263,874 966,254 2,399,529 3,786,336 8,907,604 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,077,635,698 $ 1,021,150,209 $ 82,301,072 $ 183,314,951 $ 51,139,910 $ 320,588,349 ================ ================ ================ ================ ================ ================ $ 1,240,142,902 $ 993,437,613 $ 113,694,272 $ 173,940,189 $ 70,372,402 $ 322,043,695 199,500 137,500 15,000 23,500 15,000 66,500 (162,706,704) 27,575,096 (31,408,200) 9,351,262 (19,247,492) (1,521,846) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,077,635,698 $ 1,021,150,209 $ 82,301,072 $ 183,314,951 $ 51,139,910 $ 320,588,349 ================ ================ ================ ================ ================ ================ $ 54.02 $ 74.27 $ 54.87 $ 78.01 $ 34.09 $ 48.21 ================ ================ ================ ================ ================ ================ 19,950,002 13,750,002 1,500,002 2,350,002 1,500,002 6,650,002 ================ ================ ================ ================ ================ ================ $ 1,031,858,741 $ 890,617,894 $ 82,303,107 $ 160,998,409 $ 52,273,963 $ 290,544,890 ================ ================ ================ ================ ================ ================ $ -- $ -- $ 618,223 $ 1,917,250 $ 247,586 $ 8,302,896 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 107 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JANUARY 31, 2020 (UNAUDITED)
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................................................ $ 66,736,853 $ 230,035,606 $ 24,650,103 Cash................................................................. 28,068 305,013 14,404 Receivables: Capital shares sold............................................ 1,796,444 -- -- Investment securities sold..................................... -- -- -- Dividends...................................................... 57,744 41,878 50,158 Securities lending income...................................... 7,207 35,571 -- Prepaid expenses..................................................... -- -- -- ---------------- ---------------- ---------------- Total Assets................................................... 68,626,316 230,418,068 24,714,665 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian..................................................... -- -- -- Payables: Capital shares redeemed........................................ -- -- -- Investment securities purchased................................ 1,794,899 -- -- Collateral for securities on loan.............................. 2,198,912 6,461,931 -- Investment advisory fees....................................... 40,003 137,186 15,086 Licensing fees................................................. -- -- -- Shareholder reporting fees..................................... -- -- -- Audit and tax fees............................................. -- -- -- Trustees' fees................................................. -- -- -- Other liabilities.................................................... -- -- -- ---------------- ---------------- ---------------- Total Liabilities.............................................. 4,033,814 6,599,117 15,086 ---------------- ---------------- ---------------- NET ASSETS........................................................... $ 64,592,502 $ 223,818,951 $ 24,699,579 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital...................................................... $ 96,852,600 $ 295,702,670 $ 26,967,670 Par value............................................................ 18,500 48,500 6,500 Accumulated distributable earnings (loss)............................ (32,278,598) (71,932,219) (2,274,591) ---------------- ---------------- ---------------- NET ASSETS........................................................... $ 64,592,502 $ 223,818,951 $ 24,699,579 ================ ================ ================ NET ASSET VALUE, per share........................................... $ 34.91 $ 46.15 $ 38.00 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................ 1,850,002 4,850,002 650,002 ================ ================ ================ Investments, at cost................................................. $ 69,378,037 $ 209,627,723 $ 23,198,642 ================ ================ ================ Securities on loan, at value......................................... $ 2,061,343 $ 6,182,909 $ -- ================ ================ ================
Page 108 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED)
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............................................................ $ 13,716,275 $ 8,947,319 $ 4,617,752 Securities lending income (net of fees).............................. 2,869 123,738 306,222 Foreign withholding tax.............................................. -- (2,795) (1,884) ---------------- ---------------- ---------------- Total investment income........................................ 13,719,144 9,068,262 4,922,090 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................. 3,400,556 2,174,295 1,420,780 Accounting and administration fees................................... 323,425 218,946 144,158 Licensing fees....................................................... 105,787 68,999 46,394 Shareholder reporting fees........................................... 62,037 46,984 39,202 Custodian fees....................................................... 52,751 61,281 57,263 Transfer agent fees.................................................. 29,571 21,743 14,208 Legal fees........................................................... 13,557 9,063 4,636 Audit and tax fees................................................... 12,038 12,038 12,038 Trustees' fees and expenses.......................................... 4,038 3,875 3,772 Listing fees......................................................... 2,664 2,565 2,616 Registration and filing fees......................................... 50 50 50 Other expenses....................................................... 10,229 6,831 4,755 ---------------- ---------------- ---------------- Total expenses.................................................. 4,016,703 2,626,670 1,749,872 Less fees waived and expenses reimbursed by the investment advisor..................................................... -- -- -- ---------------- ---------------- ---------------- Net expenses.................................................. 4,016,703 2,626,670 1,749,872 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)......................................... 9,702,441 6,441,592 3,172,218 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments.................................................... (14,558,749) 11,085,595 (12,174,983) In-kind redemptions............................................ 77,105,334 5,756,874 8,145,320 ---------------- ---------------- ---------------- Net realized gain (loss)............................................. 62,546,585 16,842,469 (4,029,663) ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments.. (20,826,792) (8,954,376) 1,751,771 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 41,719,793 7,888,093 (2,277,892) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................... $ 51,422,234 $ 14,329,685 $ 894,326 ================ ================ ================
See Notes to Financial Statements Page 109 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED)
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............................................................ $ 14,450,197 $ 6,763,525 $ 1,076,865 Securities lending income (net of fees).............................. 2,284 7,823 12,993 Foreign withholding tax.............................................. -- -- (235) ---------------- ---------------- ---------------- Total investment income........................................ 14,452,481 6,771,348 1,089,623 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................. 2,814,990 2,621,956 211,695 Accounting and administration fees................................... 276,312 260,869 23,140 Licensing fees....................................................... 88,220 82,429 10,121 Shareholder reporting fees........................................... 54,780 50,885 9,065 Custodian fees....................................................... 54,239 47,572 46,947 Transfer agent fees.................................................. 26,643 25,677 2,117 Legal fees........................................................... 11,587 12,513 798 Audit and tax fees................................................... 12,038 12,038 12,038 Trustees' fees and expenses.......................................... 3,959 3,969 3,622 Listing fees......................................................... 2,648 2,580 2,308 Registration and filing fees......................................... 50 50 50 Other expenses....................................................... 9,511 8,170 1,288 ---------------- ---------------- ---------------- Total expenses................................................ 3,354,977 3,128,708 323,189 Less fees waived and expenses reimbursed by the investment advisor..................................................... -- -- (26,816) ---------------- ---------------- ---------------- Net expenses................................................. 3,354,977 3,128,708 296,373 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)......................................... 11,097,504 3,642,640 793,250 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments.................................................... (10,250,918) 33,492,544 (425,342) In-kind redemptions............................................ 17,038,742 19,369,807 480,288 ---------------- ---------------- ---------------- Net realized gain (loss)............................................. 6,787,824 52,862,351 54,946 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments.. 23,582,505 (9,682,720) 1,121,848 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 30,370,329 43,179,631 1,176,794 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................... $ 41,467,833 $ 46,822,271 $ 1,970,044 ================ ================ ================
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). Page 110 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,102,717 $ 783,852 $ 1,596,454 $ 603,644 $ 1,448,141 $ 292,832 29,659 6,122 66,742 36,143 123,650 -- (139) (353) -- (251) (929) -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,132,237 789,621 1,663,196 639,536 1,570,862 292,832 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 462,473 189,444 (a) 1,078,746 (a) 214,386 (a) 850,111 (a) 84,071 (a) 48,372 -- -- -- -- -- 17,644 -- -- -- -- -- 13,495 -- -- -- -- -- 17,799 -- -- -- -- -- 4,625 -- -- -- -- -- 1,760 -- -- -- -- -- 12,038 -- -- -- -- -- 3,658 -- -- -- -- -- 2,275 -- -- -- -- -- 50 -- -- -- -- -- 1,973 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 586,162 189,444 1,078,746 214,386 850,111 84,071 -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 586,162 189,444 1,078,746 214,386 850,111 84,071 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 546,075 600,177 584,450 425,150 720,751 208,761 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (309,653) (1,755,086) 5,125,230 1,847,292) (8,310,737) (48,241) 10,509,901 517,839 4,424,620 179,048 4,288,069 922,573 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 10,200,248 (1,237,247) 9,549,850 (1,668,244) (4,022,668) 874,332 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (4,643,435) 333,976 1,255,418 1,803,505 (1,522,139) 339,451 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 5,556,813 (903,271) 10,805,268 135,261 (5,544,807) 1,213,783 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 6,102,888 $ (303,094) $ 11,389,718 $ 560,411 $ (4,824,056) $ 1,422,544 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 111 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) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 1/31/2020 Year Ended 1/31/2020 Year Ended (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss)................................ $ 9,702,441 $ 18,340,763 $ 6,441,592 $ 8,240,591 Net realized gain (loss).................................... 62,546,585 69,431,466 16,842,469 25,438,096 Net change in unrealized appreciation (depreciation)........ (20,826,792) (51,939,570) (8,954,376) (28,927,358) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 51,422,234 35,832,659 14,329,685 4,751,329 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (11,106,026) (17,636,192) (8,452,501) (7,372,456) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 231,259,187 389,384,895 3,523,184 287,753,879 Cost of shares redeemed..................................... (383,425,852) (513,826,091) (37,803,439) (299,688,790) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ (152,166,665) (124,441,196) (34,280,255) (11,934,911) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... (111,850,457) (106,244,729) (28,403,071) (14,556,038) NET ASSETS: Beginning of period......................................... 1,434,678,889 1,540,923,618 887,176,377 901,732,415 -------------- -------------- -------------- -------------- End of period............................................... $1,322,828,432 $1,434,678,889 $ 858,773,306 $ 887,176,377 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 23,100,002 25,350,002 12,700,002 12,950,002 Shares sold................................................. 3,550,000 6,400,000 50,000 4,150,000 Shares redeemed............................................. (6,000,000) (8,650,000) (550,000) (4,400,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 20,650,002 23,100,002 12,200,002 12,700,002 ============== ============== ============== ==============
Page 112 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) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Six Months Ended Ended Ended Ended 1/31/2020 Year Ended 1/31/2020 Year Ended 1/31/2020 Year Ended 1/31/2020 Year Ended (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 3,172,218 $ 6,112,880 $ 11,097,504 $ 22,632,151 $ 3,642,640 $ 5,276,951 $ 793,250 $ 1,466,127 (4,029,663) 2,859,229 6,787,824 14,254,561 52,862,351 39,686,289 54,946 1,294,092 1,751,771 (66,349,033) 23,582,505 (47,887,065) (9,682,720) 12,785,024 1,121,848 (5,847,344) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 894,326 (57,376,924) 41,467,833 (11,000,353) 46,822,271 57,748,264 1,970,044 (3,087,125) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (4,354,501) (5,893,001) (15,629,067) (19,337,442) (3,790,396) (4,584,530) (1,087,791) (1,340,962) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -- 262,073,225 10,578,788 127,487,293 38,590,288 726,158,507 -- 2,412,023 (63,711,237) (323,986,860) (125,350,684) (76,934,193) (102,197,690) (637,594,289) (2,881,870) (5,449,388) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (63,711,237) (61,913,635) (114,771,896) 50,553,100 (63,607,402) 88,564,218 (2,881,870) (3,037,365) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (67,171,412) (125,183,560) (88,933,130) 20,215,305 (20,575,527) 141,727,952 (1,999,617) (7,465,452) 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 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 535,746,751 $ 602,918,163 $1,077,635,698 $1,166,568,828 $1,021,150,209 $1,041,725,736 $ 82,301,072 $ 84,300,689 ============== ============== ============== ============== ============== ============== ============== ============== 9,750,002 10,900,002 22,100,002 21,200,002 14,600,002 13,450,002 1,550,002 1,600,002 -- 3,950,000 200,000 2,450,000 550,000 10,750,000 -- 50,000 (1,050,000) (5,100,000) (2,350,000) (1,550,000) (1,400,000) (9,600,000) (50,000) (100,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 8,700,002 9,750,002 19,950,002 22,100,002 13,750,002 14,600,002 1,500,002 1,550,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 113 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) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 1/31/2020 Year Ended 1/31/2020 Year Ended (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss)................................ $ 546,075 $ 571,783 $ 600,177 $ 780,370 Net realized gain (loss).................................... 10,200,248 2,171,060 (1,237,247) (632,580) Net change in unrealized appreciation (depreciation)........ (4,643,435) 622,734 333,976 (2,569,766) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 6,102,888 3,365,577 (303,094) (2,421,976) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (677,426) (458,046) (821,956) (675,721) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 38,887,900 45,995,046 3,539,893 15,447,959 Cost of shares redeemed..................................... (46,953,891) (55,632,416) (6,748,004) (6,442,277) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ (8,065,991) (9,637,370) (3,208,111) 9,005,682 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... (2,640,529) (6,729,839) (4,333,161) 5,907,985 NET ASSETS: Beginning of period......................................... 185,955,480 192,685,319 55,473,071 49,565,086 -------------- -------------- -------------- -------------- End of period............................................... $ 183,314,951 $ 185,955,480 $ 51,139,910 $ 55,473,071 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 2,450,002 2,650,002 1,600,002 1,350,002 Shares sold................................................. 500,000 650,000 100,000 450,000 Shares redeemed............................................. (600,000) (850,000) (200,000) (200,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 2,350,002 2,450,002 1,500,002 1,600,002 ============== ============== ============== ==============
Page 114 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) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Six Months Ended Ended Ended Ended 1/31/2020 Year Ended 1/31/2020 Year Ended 1/31/2020 Year Ended 1/31/2020 Year Ended (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 (Unaudited) 7/31/2019 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 584,450 $ 205,791 $ 425,150 $ 984,336 $ 720,751 $ 121,317 $ 208,761 $ 289,306 9,549,850 (5,458,495) (1,668,244) (587,303) (4,022,668) (30,777,755) 874,332 798,457 1,255,418 16,316,990 1,803,505 (7,220,590) (1,522,139) (8,010,419) 339,451 296,932 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 11,389,718 11,064,286 560,411 (6,823,557) (4,824,056) (38,666,857) 1,422,544 1,384,695 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (881,365) (115,920) (626,656) (917,901) (937,820) (105,410) (235,301) (250,051) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 25,458,381 202,282,798 8,993,298 10,488,596 -- 259,177,575 9,519,910 23,625,038 (25,204,062) (118,044,854) (4,993,621) (18,091,538) (49,270,503) (302,564,084) (9,488,697) (17,209,998) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 254,319 84,237,944 3,999,677 (7,602,942) (49,270,503) (43,386,509) 31,213 6,415,040 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 10,762,672 95,186,310 3,933,432 (15,344,400) (55,032,379) (82,158,776) 1,218,456 7,549,684 309,825,677 214,639,367 60,659,070 76,003,470 278,851,330 361,010,106 23,481,123 15,931,439 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 320,588,349 $ 309,825,677 $ 64,592,502 $ 60,659,070 $ 223,818,951 $ 278,851,330 $ 24,699,579 $ 23,481,123 ============== ============== ============== ============== ============== ============== ============== ============== 6,650,002 4,900,002 1,750,002 1,950,002 5,950,002 7,400,002 650,002 450,002 550,000 4,550,000 250,000 300,000 -- 5,200,000 250,000 700,000 (550,000) (2,800,000) (150,000) (500,000) 1,100,000) (6,650,000) (250,000) (500,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 6,650,002 6,650,002 1,850,002 1,750,002 4,850,002 5,950,002 650,002 650,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 115 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)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 62.11 $ 60.79 $ 54.07 $ 46.93 $ 45.96 $ 43.21 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.46 0.77 0.69 0.61 0.64 0.57 Net realized and unrealized gain (loss) 2.00 1.28 6.69 7.16 0.95 2.75 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.46 2.05 7.38 7.77 1.59 3.32 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.51) (0.73) (0.66) (0.63) (0.62) (0.57) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 64.06 $ 62.11 $ 60.79 $ 54.07 $ 46.93 $ 45.96 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.98% 3.48% 13.72% 16.68% 3.59% 7.67% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,322,828 $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 0.59% (b) 0.60% 0.61% 0.61% 0.61% 0.61% Ratio of net expenses to average net assets 0.59% (b) 0.60% 0.61% 0.61% 0.61% 0.61% Ratio of net investment income (loss) to average net assets 1.43% (b) 1.29% 1.17% 1.21% 1.43% 1.25% Portfolio turnover rate (c) 50% 102% 87% 90% 109% 91%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 69.86 $ 69.63 $ 59.91 $ 52.80 $ 52.97 $ 50.65 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.52 0.63 0.61 0.56 0.56 0.51 Net realized and unrealized gain (loss) 0.69 0.16 9.71 7.12 (0.21) 2.31 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.21 0.79 10.32 7.68 0.35 2.82 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.68) (0.56) (0.60) (0.57) (0.52) (0.50) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 70.39 $ 69.86 $ 69.63 $ 59.91 $ 52.80 $ 52.97 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.74% 1.22% 17.30% 14.61% 0.76% 5.55% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 858,773 $ 887,176 $ 901,732 $ 697,995 $ 644,144 $1,016,952 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% (b) 0.61% 0.62% 0.63% 0.63% 0.62% Ratio of net expenses to average net assets 0.60% (b) 0.61% 0.62% 0.63% 0.63% 0.62% Ratio of net investment income (loss) to average net assets 1.48% (b) 0.94% 0.94% 1.00% 1.10% 0.97% Portfolio turnover rate (c) 57% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 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 SMALL CAP CORE ALPHADEX(R) FUND (FYX)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 61.84 $ 66.80 $ 56.23 $ 48.91 $ 48.24 $ 46.07 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.35 0.60 0.52 0.41 0.39 0.35 Net realized and unrealized gain (loss) (0.13) (4.98) 10.53 7.40 0.64 2.17 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.22 (4.38) 11.05 7.81 1.03 2.52 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.48) (0.58) (0.48) (0.49) (0.36) (0.35) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 61.58 $ 61.84 $ 66.80 $ 56.23 $ 48.91 $ 48.24 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.34% (6.52)% 19.72%(d) 16.03% 2.20% 5.45% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 535,747 $ 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% (b) 0.62% 0.63% 0.63% 0.64% 0.63% Ratio of net expenses to average net assets 0.62% (b) 0.62% 0.63% 0.63% 0.64% 0.63% Ratio of net investment income (loss) to average net assets 1.12% (b) 0.96% 0.87% 0.78% 0.86% 0.73% Portfolio turnover rate (c) 59% 117% 116% 111% 126% 97%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 52.79 $ 54.07 $ 50.94 $ 41.98 $ 41.61 $ 42.48 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.54 1.02 1.02 0.77 0.78 (e) 0.77 Net realized and unrealized gain (loss) 1.43 (1.43) 3.08 8.96 0.38 (0.87) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.97 (0.41) 4.10 9.73 1.16 (0.10) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.74) (0.87) (0.97) (0.77) (0.79) (0.77) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 54.02 $ 52.79 $ 54.07 $ 50.94 $ 41.98 $ 41.61 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.75% (0.65)% 8.12% 23.35% 2.94% (0.29)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,077,636 $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% (b) 0.60% 0.61% 0.62% 0.62% 0.62% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.61% 0.62% 0.62% 0.62% Ratio of net investment income (loss) to average net assets 1.97% (b) 1.99% 1.92% 1.63% 2.00% 1.77% Portfolio turnover rate (c) 42% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) 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. (e) Based on average shares outstanding. 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 LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 71.35 $ 66.91 $ 55.88 $ 51.56 $ 49.95 $ 42.86 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.25 0.37 0.23 0.33 0.35 0.32 Net realized and unrealized gain (loss) 2.93 4.39 11.03 4.33 1.60 7.09 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.18 4.76 11.26 4.66 1.95 7.41 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.26) (0.32) (0.23) (0.34) (0.34) (0.32) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 74.27 $ 71.35 $ 66.91 $ 55.88 $ 51.56 $ 49.95 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 4.45% 7.16% 20.19% 9.10% 3.96% 17.32% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,021,150 $1,041,726 $ 899,998 $ 650,949 $ 618,698 $ 681,765 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% (b) 0.61% 0.61% 0.62% 0.62% 0.63% Ratio of net expenses to average net assets 0.60% (b) 0.61% 0.61% 0.62% 0.62% 0.63% Ratio of net investment income (loss) to average net assets 0.69% (b) 0.56% 0.36% 0.63% 0.73% 0.68% Portfolio turnover rate (c) 79% 132% 119% 148% 149% 143%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 54.39 $ 57.35 $ 52.84 $ 44.91 $ 44.75 $ 45.71 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.51 0.92 0.96 0.73 0.70 0.64 Net realized and unrealized gain (loss) 0.67 (3.04) 4.45 7.96 0.13 (0.96) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.18 (2.12) 5.41 8.69 0.83 (0.32) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.70) (0.84) (0.90) (0.76) (0.67) (0.64) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 54.87 $ 54.39 $ 57.35 $ 52.84 $ 44.91 $ 44.75 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 2.16% (3.62)% 10.30% 19.46% 1.98% (0.74)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 82,301 $ 84,301 $ 91,766 $ 110,959 $ 103,296 $ 196,887 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.76% (b) 0.73% 0.70% 0.66% 0.68% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.66% 0.68% 0.70% Ratio of net investment income (loss) to average net assets 1.87% (b) 1.69% 1.67% 1.45% 1.61% 1.36% Portfolio turnover rate (c) 42% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 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 MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 75.90 $ 72.71 $ 59.33 $ 53.31 $ 52.16 $ 45.23 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.22 0.22 0.12 0.25 0.24 0.23 Net realized and unrealized gain (loss) 2.17 3.14 13.40 6.04 1.13 6.94 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.39 3.36 13.52 6.29 1.37 7.17 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.28) (0.17) (0.14) (0.27) (0.22) (0.24) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 78.01 $ 75.90 $ 72.71 $ 59.33 $ 53.31 $ 52.16 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.14% 4.65% 22.82% 11.85% 2.66% 15.89% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 183,315 $ 185,955 $ 192,685 $ 103,829 $ 85,293 $ 91,279 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.66% 0.69% 0.70% 0.70% 0.72% Ratio of net expenses to average net assets 0.63% (b) 0.66% 0.69% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.59% (b) 0.31% 0.18% 0.44% 0.50% 0.48% Portfolio turnover rate (c) 68% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. 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 MID CAP VALUE ALPHADEX(R) FUND (FNK)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 34.67 $ 36.71 $ 33.65 $ 29.47 $ 29.56 $ 30.20 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.38 0.51 0.58 0.44 0.43 0.39 Net realized and unrealized gain (loss) (0.44) (2.10) 3.04 4.17 (0.10) (0.64) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.06) (1.59) 3.62 4.61 0.33 (0.25) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.52) (0.45) (0.56) (0.43) (0.42) (0.39) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.09 $ 34.67 $ 36.71 $ 33.65 $ 29.47 $ 29.56 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (0.19)% (4.26)% 10.80% 15.72% 1.22% (0.87)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 51,140 $ 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% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 2.22% (b) 1.49% 1.61% 1.31% 1.49% 1.27% Portfolio turnover rate (c) 47% 113% 94% 95% 114% 88%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 46.59 $ 43.80 $ 35.07 $ 31.22 $ 31.31 $ 27.61 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.09 0.04 0.03 0.15 0.11 0.13 Net realized and unrealized gain (loss) 1.66 2.77 8.75 3.87 (0.11) 3.71 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.75 2.81 8.78 4.02 0.00 3.84 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.13) (0.02) (0.05) (0.17) (0.09) (0.14) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 48.21 $ 46.59 $ 43.80 $ 35.07 $ 31.22 $ 31.31 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.77% 6.43% 25.06% 12.94% 0.03% 13.91% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 320,588 $ 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% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.38% (b) 0.09% 0.02% 0.48% 0.35% 0.42% Portfolio turnover rate (c) 78% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 120 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 34.66 $ 38.98 $ 34.33 $ 30.19 $ 30.20 $ 31.06 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.25 0.57 0.48 0.41 0.26 0.28 Net realized and unrealized gain (loss) 0.36 (4.36) 4.60 4.23 (0.04) (0.85) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.61 (3.79) 5.08 4.64 0.22 (0.57) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.36) (0.53) (0.43) (0.50) (0.23) (0.29) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.91 $ 34.66 $ 38.98 $ 34.33 $ 30.19 $ 30.20 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.74% (9.69)% 14.86%(d) 15.41% 0.79% (1.89)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 64,593 $ 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% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.39% (b) 1.58% 1.28% 1.22% 0.89% 0.86% Portfolio turnover rate (c) 54% 120% 123% 110% 125% 96%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 46.87 $ 48.79 $ 38.83 $ 33.24 $ 32.18 $ 27.96 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.14 0.02 0.06 0.05 0.09 0.04 Net realized and unrealized gain (loss) (0.68) (1.93) 9.97 5.63 1.04 4.20 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.54) (1.91) 10.03 5.68 1.13 4.24 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.18) (0.01) (0.07) (0.09) (0.07) (0.02) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 46.15 $ 46.87 $ 48.79 $ 38.83 $ 33.24 $ 32.18 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (1.15)% (3.90)% 25.85%(e) 17.12% 3.54% 15.17% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 223,819 $ 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% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.59% (b) 0.04% 0.11% 0.12% 0.32% 0.09% Portfolio turnover rate (c) 76% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) 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. (e) 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 121 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)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2020 ------------------------------------------------------------------ (UNAUDITED) 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 36.12 $ 35.40 $ 30.99 $ 27.09 $ 27.48 $ 26.23 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.32 0.45 0.40 0.40 0.45 0.37 Net realized and unrealized gain (loss) 1.92 0.68 4.40 3.92 (0.42) 1.27 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.24 1.13 4.80 4.32 0.03 1.64 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.36) (0.41) (0.39) (0.42) (0.42) (0.39) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 38.00 $ 36.12 $ 35.40 $ 30.99 $ 27.09 $ 27.48 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 6.23% 3.24% 15.57% 16.10% 0.19% 6.29% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 24,700 $ 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% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.74% (b) 1.33% 1.21% 1.38% 1.69% 1.40% Portfolio turnover rate (c) 73% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 122 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) 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 Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Page 123 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) 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. Page 124 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) 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 January 31, 2020, 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 the Page 125 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) same manner as other dividend and interest income. At January 31, 2020, all the Funds except FTA, FTC and FMK had securities in the securities lending program. During the six months ended January 31, 2020, 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 six months ended January 31, 2020, 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 -- --
Page 126 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) 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 January 31, 2020, 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 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
Page 127 NOTES TO FINANCIAL STATEMENTS (CONTINUED) FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) 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. 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. 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. 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 (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. Page 128 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) The advisory fee waivers and expense reimbursements for the six months ended January 31, 2020 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 Expense Borne by First Trust Subject to Recovery ------------------------------------------------ Six Six Advisory Expense Months Year Year Months Fee Reim- Ended Ended Ended Ended Waivers bursements 1/31/2017 7/31/2018 7/31/2019 1/31/2020 Total --------- ---------- --------- --------- --------- --------- --------- First Trust Multi Cap Value AlphaDEX(R) Fund $ 26,816 $ -- $ -- $ -- $ 23,214 $ 26,816 $ 50,030
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, a defined-outcome 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 six months ended January 31, 2020, 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 $ 677,740,609 $ 677,333,492 First Trust Mid Cap Core AlphaDEX(R) Fund 490,854,448 492,004,170 First Trust Small Cap Core AlphaDEX(R) Fund 333,356,503 334,266,316 First Trust Large Cap Value AlphaDEX(R) Fund 467,193,474 470,118,800 First Trust Large Cap Growth AlphaDEX(R) Fund 821,393,099 822,590,004 First Trust Multi Cap Value AlphaDEX(R) Fund 35,371,184 35,509,309 First Trust Multi Cap Growth AlphaDEX(R) Fund 126,445,542 125,854,714 First Trust Mid Cap Value AlphaDEX(R) Fund 25,046,881 25,147,120 First Trust Mid Cap Growth AlphaDEX(R) Fund 238,803,928 239,280,867 First Trust Small Cap Value AlphaDEX(R) Fund 33,141,005 33,232,379 First Trust Small Cap Growth AlphaDEX(R) Fund 184,899,885 184,839,254 First Trust Mega Cap AlphaDEX(R) Fund 17,510,384 17,506,019
Page 129 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) For the six months ended January 31, 2020, 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 $ 230,986,512 $ 383,305,061 First Trust Mid Cap Core AlphaDEX(R) Fund 3,511,603 37,765,537 First Trust Small Cap Core AlphaDEX(R) Fund -- 63,600,096 First Trust Large Cap Value AlphaDEX(R) Fund 10,546,033 125,148,707 First Trust Large Cap Growth AlphaDEX(R) Fund 38,473,602 101,987,319 First Trust Multi Cap Value AlphaDEX(R) Fund -- 2,877,072 First Trust Multi Cap Growth AlphaDEX(R) Fund 38,487,465 46,931,876 First Trust Mid Cap Value AlphaDEX(R) Fund 3,536,845 6,738,127 First Trust Mid Cap Growth AlphaDEX(R) Fund 25,423,093 25,193,265 First Trust Small Cap Value AlphaDEX(R) Fund 8,966,920 4,988,506 First Trust Small Cap Growth AlphaDEX(R) Fund -- 49,190,879 First Trust Mega Cap AlphaDEX(R) Fund 9,501,802 9,479,750
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. 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 Creation Transaction Fee may increase or decrease with changes in each Fund's portfolio. 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. 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. The Redemption Transaction Fee may increase or decrease with changes in each Fund's portfolio. 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. Page 130 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there was the following subsequent event: The Board of Trustees of the Trust has approved a transaction to combine FMK with First Trust Dow 30 Equal Weight ETF ("EDOW"), an exchange-traded index fund that seeks investment results that correspond generally to the price and yield (before fees and expenses) of an equity index called the Dow Jones Industrial Average Equal Weight Index. Pursuant to this transaction, FMK shareholders will become shareholders of EDOW. In order for the transaction to occur, the shareholders of FMK and shareholders of EDOW must approve the transaction. If approved, shares of FMK would be exchanged, on a tax-free basis for federal income tax purposes, for shares of EDOW with an equal aggregate net asset value, and FMK shareholders will become shareholders of EDOW. A special meeting of shareholders of FMK for the purpose of voting on the transaction will be held. If the required approval is obtained, it is anticipated that the transaction will be consummated shortly after the special shareholder meeting. FMK will continue sales and redemptions of shares as described in FMK's prospectus. Holders of shares of FMK purchased after the record date set for the special meeting of shareholders will not be entitled to vote those shares at the special meeting. Page 131 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (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. 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. Page 132 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) 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. 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. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. In 2017, the United Kingdom's Financial Conduct Authority announced that LIBOR will cease to be available for use after 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to the fund. 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. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. The impact of this COVID-19 pandemic may be short term or may last for an extended period of time, and in either case could result in a substantial economic downturn or recession. Page 133 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2020 (UNAUDITED) 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 Page 134 This page is intentionally left blank. This page is intentionally left blank. -------------------------------------------------------------------------------- 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. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEMS 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 has 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. (a) Not applicable. (b) Not applicable. ITEM 13. EXHIBITS. (a)(1) Not applicable. (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. (a)(4) 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: April 7, 2020 --------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed 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 Date: April 7, 2020 --------------- By (Signature and Title) /s/ Donald P. Swade ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer Date: April 7, 2020 ---------------