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, 2015 ------------------ 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, 2015 -------------------------------------------------------------------------------- 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 JANUARY 31, 2015 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).................... 29 First Trust Energy AlphaDEX(R) Fund (FXN).............................. 31 First Trust Financials AlphaDEX(R) Fund (FXO).......................... 34 First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 38 First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 41 First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 44 First Trust Technology AlphaDEX(R) Fund (FXL).......................... 47 First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 50 Statements of Assets and Liabilities......................................... 52 Statements of Operations..................................................... 54 Statements of Changes in Net Assets.......................................... 56 Financial Highlights......................................................... 60 Notes to Financial Statements................................................ 65 Additional Information....................................................... 73 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund's portfolio and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2015 Dear Shareholders: Thank you for your investment in the Sector Funds of First Trust Exchange-Traded AlphaDEX(R) Fund. First Trust Advisors L.P. ("First Trust") is pleased to provide you with the semi-annual report which contains detailed information about your investment for the six months ended January 31, 2015, including a market overview and a performance analysis for the period. We encourage you to read this report and discuss it with your financial advisor. U.S. markets, fueled by accelerating growth and an accommodating Federal Reserve, enjoyed a prosperous year, with the S&P 500(R) Index (the "Index") posting a total return of 13.69% in 2014 (January - December). For the six months covered by this report, some economic and global factors, including the continued conflict in the Middle East and a sharp decline in oil prices, forced the market down but were not enough to halt the market rally. The Index still ended the period in positive territory with a return of 4.37% for the six months ended January 31, 2015. This was the Index's eighth consecutive quarter of positive returns, although past performance can never assure future results. As I have written previously, First Trust believes investors should maintain perspective about the markets and have realistic expectations about their investments. Markets will always go up and down, but we believe that having a long-term investment horizon and being invested in quality products can help you reach your goals. Thank you for giving First Trust the opportunity to be a part of your investment plan. We value the relationship and will continue to focus on our disciplined investment approach and long-term perspective. 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, 2015 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 20 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 current U.S. economic recovery is 67 months old as of January 31, 2015. From June 30, 2009 to December 31, 2014 (most recent GDP release was Q4 2014), GDP growth averaged 2.2%, according to the Bureau of Economic Analysis (BEA). The past three quarters (Q2 2014, Q3 2014 and Q4 2014), however, produced annualized GDP growth rates of 4.6%, 5.0% and 2.6%, respectively, according to the BEA. U.S. GDP forecasts from the World Bank and the International Monetary Fund call for a 3.1% to 3.2% growth rate, respectively, in 2015, which is stronger than the 2.2% average growth rate posted so far in the current economic recovery. The last time U.S. GDP growth was 3.0% or higher was in 2005 (3.3%), according to the BEA. Perhaps one of the biggest surprises in the economy in recent months has been the strengthening U.S. dollar. From June 30, 2014 through January 31, 2015, the U.S. Dollar Index rose by 18.8%, according to Bloomberg. The U.S. Dollar Index indicates the general international value of the dollar relative to a basket of major world currencies. It is no coincidence, in our opinion, that the plunge in the price of crude oil coincided with the surge in the relative value of the U.S. dollar. Crude oil, like most commodities, is priced in dollars for many who purchase it in the global marketplace. When the dollar appreciates, it can make it more costly to buy oil at the current exchange rate, resulting in buyers purchasing less. A strengthening dollar can also reflect a change in sentiment from foreign investors if they believe that the U.S. economy is improving at a time when global growth is softening, which has been the prevailing climate over the past 6-12 months, in our opinion. The current bull market in U.S. stocks has been broad-based. That means that the vast majority of stocks have participated in this bull market. Equity investors were a bit cautious in 2014. Three of the top four performing S&P 500(R) Index sectors (Utilities, Health Care and Consumer Staples) are characterized as defensive in nature. Investors also continued to funnel capital into bonds. The one event that some had predicted might happen in 2014, but did not, was the "great rotation" out of bond mutual funds into equities and other risk assets. While the Federal Reserve did end its monthly bond purchase program in October 2014, it did not raise rates. Perhaps 2015 will be the year. SECTOR INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end funds and ETFs. For the 12-month period ended January 31, 2015, U.S. Equity funds and ETFs reported net inflows totaling $63.9 billion, according to data from Morningstar. Investors clearly favored passive funds over actively managed funds. Passive U.S. Equity funds and ETFs reported net inflows totaling $175.0 billion, compared to net outflows totaling $111.1 billion for actively managed U.S. Equity funds and ETFs. For the 12-month period ended January 31, 2015, Sector Equity funds and ETFs reported net inflows totaling $71.4 billion, according to Morningstar. Passive Sector Equity funds and ETFs reported net inflows totaling $48.5 billion, compared to net inflows totaling $22.9 billion for actively managed Sector Equity funds and ETFs. Using Morningstar fund categories, some of the major sectors reporting the highest net inflows over the past 12 months were Health, Energy, Utilities and Consumer Defensive. 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 in common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange") under the ticker symbol "FXD." The Consumer Discretionary Index is a modified equal-dollar weighted index designed by NYSE Group, Inc. or its affiliates ("NYSE") to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Consumer Discretionary Index using the Russell Global Sectors (the "RGS") sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 7.79% 14.43% 19.68% 8.08% 145.54% 82.38% Market Price 7.79% 14.43% 19.68% 8.08% 145.54% 82.38% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index 8.15% 15.20% 20.55% 8.90% 154.63% 93.31% Russell 1000(R) Index 4.35% 13.76% 15.84% 6.16% 108.62% 58.79% S&P 500(R) Consumer Discretionary Index 7.10% 13.01% 21.34% 9.55% 163.01% 102.42% Russell 1000(R) Consumer Discretionary Index(1) 6.82% 12.38% 20.94% NA 158.71% NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Consumer Discretionary 92.37% Consumer Staples 3.08 Industrials 2.92 Financials 1.39 Information Technology 0.24 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Graham Holdings Co., Class B 1.43% Outfront Media, Inc. 1.39 Domino's Pizza, Inc. 1.39 GameStop Corp., Class A 1.37 Ulta Salon, Cosmetics & Fragrance, Inc. 1.36 Whirlpool Corp. 1.35 Lear Corp. 1.35 Murphy USA, Inc. 1.34 Dollar Tree, Inc. 1.33 Costco Wholesale Corp. 1.33 ------- Total 13.64% ======= ----------------------------- (1) On or about September 18, 2008, Russell Investment Group ("Russell") began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell changed the name of the Russell 1000(R) Consumer Discretionary and Services Index to the Russell 1000(R) Consumer Discretionary Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Consumer Discretionary Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Consumer Discretionary Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Discretionary AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Discretionary Index in connection with the trading of the Fund. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2015 First Trust Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Discretionary Index Index Discretionary Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 9415 9439 9674 9418 1/31/08 8296 8349 9261 8326 7/31/08 7133 7194 8647 7355 1/31/09 4347 4406 5911 5679 7/31/09 6482 6601 6903 6667 1/31/10 7427 7592 7611 7697 7/31/10 8108 8319 7904 8410 1/31/11 9984 10281 9387 10051 7/31/11 10925 11302 9539 10806 1/31/12 10699 11120 9757 11372 7/31/12 10591 11024 10298 12091 1/31/13 12657 13228 11419 14063 7/31/13 15057 15791 12998 16770 1/31/14 15938 16781 13957 17911 7/31/14 16920 17876 15216 18899 1/31/15 18238 19332 15878 20241
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 175 0 0 0 8/1/10 - 7/31/11 224 0 0 0 8/1/11 - 7/31/12 130 0 0 0 8/1/12 - 7/31/13 178 0 0 0 8/1/13 - 7/31/14 213 0 0 0 8/1/14 - 1/31/15 109 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/09 - 7/31/10 76 0 0 0 8/1/10 - 7/31/11 28 0 0 0 8/1/11 - 7/31/12 123 0 0 0 8/1/12 - 7/31/13 72 0 0 0 8/1/13 - 7/31/14 39 0 0 0 8/1/14 - 1/31/15 17 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 in common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXG." The Consumer Staples Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Consumer Staples Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 13.12% 25.68% 20.64% 11.58% 155.58% 133.42% Market Price 13.18% 25.71% 20.65% 11.59% 155.65% 133.46% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index 13.39% 26.48% 21.63% 12.45% 166.20% 147.85% Russell 1000(R) Index 4.35% 13.76% 15.84% 6.16% 108.62% 58.79% S&P 500(R) Consumer Staples Index 12.69% 20.90% 16.08% 10.71% 110.72% 119.72% Russell 1000(R) Consumer Staples Index(1) 12.36% 21.77% 16.73% NA 116.77% NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Consumer Staples 97.59% Consumer Discretionary 2.41 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Constellation Brands, Inc., Class A 5.47% Monster Beverage Corp. 5.24 Kroger (The) Co. 5.23 CVS Health Corp. 4.95 Walgreens Boots Alliance, Inc. 4.70 Rite Aid Corp. 4.51 Hain Celestial Group (The), Inc. 4.40 Dr Pepper Snapple Group, Inc. 4.19 Whole Foods Market, Inc. 4.02 Pilgrim's Pride Corp. 3.81 ------- Total 46.52% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Consumer Staples Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Consumer Staples Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Staples AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Staples Index in connection with the trading of the Fund. Page 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2015 First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Staples Index Index Staples Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 9555 9574 9674 9747 1/31/08 8917 8971 9261 10285 7/31/08 9091 9180 8647 10386 1/31/09 7142 7224 5646 8404 7/31/09 8442 8577 6903 9587 1/31/10 9133 9311 7611 10426 7/31/10 9790 10017 7904 10865 1/31/11 10958 11264 9387 11840 7/31/11 12844 13250 9539 12790 1/31/12 12410 12853 9757 13505 7/31/12 12455 12989 10298 15305 1/31/13 14509 15186 11419 16073 7/31/13 17921 18842 12998 18201 1/31/14 18572 19596 13957 18172 7/31/14 20635 21857 15216 19497 1/31/15 23342 24784 15878 21971
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 167 0 0 0 8/1/10 - 7/31/11 194 0 0 0 8/1/11 - 7/31/12 158 0 0 0 8/1/12 - 7/31/13 155 0 0 0 8/1/13 - 7/31/14 213 0 0 0 8/1/14 - 1/31/15 99 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% 8/1/09 - 7/31/10 84 0 0 0 8/1/10 - 7/31/11 58 0 0 0 8/1/11 - 7/31/12 94 1 0 0 8/1/12 - 7/31/13 95 0 0 0 8/1/13 - 7/31/14 39 0 0 0 8/1/14 - 1/31/15 27 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXN." The Energy Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Energy Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV -28.06% -14.84% 5.70% 0.71% 31.92% 5.61% Market Price -28.03% -14.87% 5.71% 0.71% 31.98% 5.66% INDEX PERFORMANCE StrataQuant(R) Energy Index -27.96% -14.45% 6.42% 1.39% 36.47% 11.25% Russell 1000(R) Index 4.35% 13.76% 15.84% 6.16% 108.62% 58.79% S&P 500(R) Energy Index -19.64% -6.32% 8.69% 3.58% 51.70% 31.31% Russell 1000(R) Energy Index(1) -20.75% -7.24% 8.33% NA 49.17% NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Energy 97.30% Information Technology 2.18 Industrials 0.52 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Tesoro Corp. 3.23% Valero Energy Corp. 3.14 Atwood Oceanics, Inc. 2.96 Occidental Petroleum Corp. 2.91 Hess Corp. 2.68 Chevron Corp. 2.68 ConocoPhillips 2.68 Seadrill Ltd. 2.64 Murphy Oil Corp. 2.61 Helmerich & Payne, Inc. 2.59 ------- Total 28.12% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell combined the Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index into one index, the Russell 1000(R) Energy Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Energy Index because this index did not exist until on or about September 18, 2008. The StrataQuant(R) Energy Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P. The First Trust Energy AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Energy Index in connection with the trading of the Fund. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2015 First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Energy Index Index Energy Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 10370 10387 9674 10743 1/31/08 10594 10638 9261 10891 7/31/08 11990 12080 8647 11455 1/31/09 4831 4864 6047 7332 7/31/09 6865 6965 6903 8138 1/31/10 8005 8153 7611 8656 7/31/10 8119 8301 7904 8601 1/31/11 11422 11720 9387 11719 7/31/11 12073 12437 9539 12248 1/31/12 10110 10453 9757 11606 7/31/12 9477 9838 10298 11633 1/31/13 11278 11755 11419 12874 7/31/13 11715 12244 12998 13799 1/31/14 12399 13006 13957 14020 7/31/14 14678 15444 15216 16343 1/31/15 10559 11126 15878 13133
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 162 1 0 0 8/1/10 - 7/31/11 190 0 0 0 8/1/11 - 7/31/12 156 0 0 0 8/1/12 - 7/31/13 178 0 0 0 8/1/13 - 7/31/14 223 0 0 0 8/1/14 - 1/31/15 90 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% 8/1/09 - 7/31/10 86 2 0 0 8/1/10 - 7/31/11 62 0 0 0 8/1/11 - 7/31/12 96 1 0 0 8/1/12 - 7/31/13 72 0 0 0 8/1/13 - 7/31/14 29 0 0 0 8/1/14 - 1/31/15 36 0 0 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO." The Financials Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Financials Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 4.27% 9.48% 14.68% 3.19% 98.32% 27.51% Market Price 4.27% 9.43% 14.69% 3.20% 98.41% 27.55% INDEX PERFORMANCE StrataQuant(R) Financials Index 4.64% 10.27% 15.59% 4.11% 106.33% 36.55% Russell 1000(R) Index 4.35% 13.76% 15.84% 6.16% 108.62% 58.79% S&P 500(R) Financials Index 3.67% 11.27% 12.06% -4.14% 76.72% -27.88% Russell 1000(R) Financial Services Index(1) 5.17% 12.36% 12.97% NA 84.02% NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Financials 90.54% Information Technology 8.42 Industrials 0.84 Consumer Discretionary 0.20 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Forest City Enterprises, Inc., Class A 1.20% Extra Space Storage, Inc. 1.18 Healthcare Trust of America, Inc., Class A 1.14 Health Care REIT, Inc. 1.13 Global Payments, Inc. 1.13 Equity LifeStyle Properties, Inc. 1.11 Two Harbors Investment Corp. 1.08 Endurance Specialty Holdings Ltd. 1.07 Allied World Assurance Co. Holdings AG 1.07 Everest Re Group, Ltd. 1.05 ------- Total 11.16% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Financial Services Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Financials Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P. The First Trust Financials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Financials Index in connection with the trading of the Fund. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2015 First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Financials Index Index Financials Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 8955 8986 9674 8883 1/31/08 7939 8017 9261 7875 7/31/08 6363 6450 8647 5950 1/31/09 3908 3976 5646 3444 7/31/09 5412 5550 6903 3713 1/31/10 6429 6618 7611 4081 7/31/10 6856 7086 7904 4253 1/31/11 7898 8199 9387 4772 7/31/11 7558 7878 9539 4336 1/31/12 7621 7979 9757 4162 7/31/12 7904 8307 10298 4385 1/31/13 9367 9886 11419 5255 7/31/13 11021 11675 12998 6245 1/31/14 11646 12384 13957 6482 7/31/14 12228 13050 15216 6957 1/31/15 12750 13656 15878 7213
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 175 0 0 0 8/1/10 - 7/31/11 164 0 0 0 8/1/11 - 7/31/12 151 0 0 0 8/1/12 - 7/31/13 189 0 0 0 8/1/13 - 7/31/14 219 0 0 0 8/1/14 - 1/31/15 91 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% 8/1/09 - 7/31/10 76 0 0 0 8/1/10 - 7/31/11 88 0 0 0 8/1/11 - 7/31/12 102 0 0 0 8/1/12 - 7/31/13 61 0 0 0 8/1/13 - 7/31/14 33 0 0 0 8/1/14 - 1/31/15 35 0 0 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXH." The Health Care Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Health Care Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 15.17% 22.38% 23.43% 15.66% 186.51% 208.00% Market Price 15.21% 22.37% 23.44% 15.66% 186.60% 208.10% INDEX PERFORMANCE StrataQuant(R) Health Care Index 15.54% 23.14% 24.32% 16.53% 197.01% 226.52% Russell 1000(R) Index 4.35% 13.76% 15.84% 6.16% 108.62% 58.79% S&P 500(R) Health Care Index 14.56% 25.70% 19.55% 10.79% 144.24% 120.83% Russell 1000(R) Health Care Index(1) 15.22% 26.02% 20.41% NA 153.10% NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Incyte Corp. 2.44% BioMarin Pharmaceutical, Inc. 2.40 AmerisourceBergen Corp. 2.36 Centene Corp. 2.35 Patterson Cos., Inc. 2.33 Aetna, Inc. 2.31 Allergan, Inc. 2.31 McKesson Corp. 2.29 Regeneron Pharmaceuticals, Inc. 2.27 Henry Schein, Inc. 2.27 ------- Total 23.33% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Health Care Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Health Care Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P. The First Trust Health Care AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Health Care Index in connection with the trading of the Fund. Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2015 First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund (FXH) Health Care Index Index Health Care Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 9740 9764 9674 9222 1/31/08 9645 9702 9261 9269 7/31/08 9465 9573 8647 8940 1/31/09 7330 7443 5646 7696 7/31/09 8830 9001 6903 7974 1/31/10 10750 10993 7611 9042 7/31/10 10780 11068 7904 8318 1/31/11 13190 13601 9387 9306 7/31/11 14302 14805 9539 10142 1/31/12 14342 14909 9757 10762 7/31/12 15042 15667 10298 11706 1/31/13 17867 18682 11419 13226 7/31/13 21434 22504 12998 15877 1/31/14 25169 26517 13957 17571 7/31/14 26745 28259 15216 19279 1/31/15 30802 32650 15878 22086
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 161 0 0 0 8/1/10 - 7/31/11 203 0 0 0 8/1/11 - 7/31/12 135 0 0 0 8/1/12 - 7/31/13 187 0 0 0 8/1/13 - 7/31/14 217 0 0 0 8/1/14 - 1/31/15 114 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% 8/1/09 - 7/31/10 90 0 0 0 8/1/10 - 7/31/11 49 0 0 0 8/1/11 - 7/31/12 118 0 0 0 8/1/12 - 7/31/13 63 0 0 0 8/1/13 - 7/31/14 35 0 0 0 8/1/14 - 1/31/15 12 0 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXR." The Industrials Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Industrials Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 0.34% 6.51% 16.54% 5.87% 114.94% 55.50% Market Price 0.41% 6.51% 16.54% 5.88% 115.01% 55.55% INDEX PERFORMANCE StrataQuant(R) Industrials Index 0.68% 7.28% 17.42% 6.68% 123.25% 64.86% Russell 1000(R) Index 4.35% 13.76% 15.84% 6.16% 108.62% 58.79% S&P 500(R) Industrials Index 6.07% 10.81% 16.96% 6.55% 118.91% 63.39% Russell 1000(R) Producer Durables Index(1) 5.91% 10.56% 17.26% NA 121.73% NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Industrials 87.63% Information Technology 7.65 Energy 1.56 Health Care 1.39 Financials 1.07 Materials 0.70 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Alaska Air Group, Inc. 1.96% Orbital ATK, Inc. 1.94 Southwest Airlines Co. 1.84 Spirit AeroSystems Holdings, Inc., Class A 1.81 Copa Holdings SA, Class A 1.79 United Continental Holdings, Inc. 1.79 Robert Half International, Inc. 1.72 SPX Corp. 1.68 Lexmark International, Inc., Class A 1.67 Delta Air Lines, Inc. 1.66 ------- Total 17.86% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Producer Durables Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Industrials Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Industrials Index in connection with the trading of the Fund. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2015 First Trust Industrials/ Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Industrials Index Index Industrials Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 9435 9457 9674 10400 1/31/08 8770 8820 9261 9935 7/31/08 8792 8874 8647 9138 1/31/09 4967 5030 5646 5934 7/31/09 6081 6182 6903 6422 1/31/10 7233 7384 7611 7464 7/31/10 7854 8048 7904 8263 1/31/11 9675 9954 9387 9982 7/31/11 9243 9542 9539 9618 1/31/12 9549 9904 9757 10177 7/31/12 9177 9552 10298 10257 1/31/13 10955 11446 11419 11594 7/31/13 12656 13270 12998 13198 1/31/14 14598 15368 13957 14747 7/31/14 15496 16375 15216 15405 1/31/15 15548 16486 15878 16340
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 163 0 0 0 8/1/10 - 7/31/11 210 0 0 0 8/1/11 - 7/31/12 111 0 0 0 8/1/12 - 7/31/13 177 0 0 0 8/1/13 - 7/31/14 217 0 0 0 8/1/14 - 1/31/15 89 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% 8/1/09 - 7/31/10 88 0 0 0 8/1/10 - 7/31/11 42 0 0 0 8/1/11 - 7/31/12 142 0 0 0 8/1/12 - 7/31/13 73 0 0 0 8/1/13 - 7/31/14 35 0 0 0 8/1/14 - 1/31/15 37 0 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXZ." The Materials Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Materials Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV -7.17% -2.55% 12.46% 6.82% 79.85% 66.63% Market Price -7.14% -2.55% 12.45% 6.83% 79.81% 66.68% INDEX PERFORMANCE StrataQuant(R) Materials Index -6.92% -1.95% 13.30% 7.64% 86.66% 76.75% Russell 1000(R) Index 4.35% 13.76% 15.84% 6.16% 108.62% 58.79% S&P 500(R) Materials Index -1.57% 9.91% 12.82% 4.85% 82.78% 44.20% Russell 1000(R) Materials and Processing Index(1) -1.84% 7.13% 13.62% NA 89.33% NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Materials 84.57% Industrials 15.43 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- CF Industries Holdings, Inc. 3.58% Sherwin-Williams (The) Co. 3.30 Packaging Corp. of America 3.11 Cabot Corp. 3.09 Domtar Corp. 3.04 Westlake Chemical Corp. 3.00 Celanese Corp., Series A 2.87 Owens Corning, Inc. 2.86 Reliance Steel & Aluminum Co. 2.73 Rock-Tenn Co., Class A 2.72 ------- Total 30.30% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Materials and Processing Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Materials Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P. The First Trust Materials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Materials Index in connection with the trading of the Fund. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2015 First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Materials Index Index Materials Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 10085 10104 9674 9956 1/31/08 10310 10362 9261 10271 7/31/08 11037 11128 8647 10387 1/31/09 5255 5323 5646 5394 7/31/09 7814 7950 6903 7499 1/31/10 9265 9468 7611 7890 7/31/10 10371 10617 7904 8450 1/31/11 12736 13090 9387 10544 7/31/11 12769 13180 9539 10572 1/31/12 12616 13091 9757 10586 7/31/12 12159 12665 10298 10021 1/31/13 14771 15454 11419 11369 7/31/13 15248 16011 12998 11899 1/31/14 17100 18026 13957 13120 7/31/14 17952 18987 15216 14650 1/31/15 16665 17673 15878 14420
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 172 0 0 0 8/1/10 - 7/31/11 200 0 0 0 8/1/11 - 7/31/12 119 0 0 0 8/1/12 - 7/31/13 162 0 0 0 8/1/13 - 7/31/14 200 1 0 0 8/1/14 - 1/31/15 75 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% 8/1/09 - 7/31/10 79 0 0 0 8/1/10 - 7/31/11 52 0 0 0 8/1/11 - 7/31/12 134 0 0 0 8/1/12 - 7/31/13 87 1 0 0 8/1/13 - 7/31/14 49 2 0 0 8/1/14 - 1/31/15 51 0 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL." The Technology Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Technology Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 5.59% 12.41% 15.46% 7.03% 105.16% 69.16% Market Price 5.52% 12.34% 15.45% 7.03% 105.10% 69.11% INDEX PERFORMANCE StrataQuant(R) Technology Index 5.92% 13.17% 16.36% 7.93% 113.35% 80.45% Russell 1000(R) Index 4.35% 13.76% 15.84% 6.16% 108.62% 58.79% S&P 500(R) Information Technology Index 4.49% 18.47% 15.98% 8.79% 109.89% 91.87% Russell 1000(R) Technology Index(1) 3.85% 18.15% 15.39% NA 104.56% NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Information Technology 98.20% Consumer Discretionary 1.40 Telecommunication Services 0.40 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Freescale Semiconductor Ltd. 2.57% Electronic Arts, Inc. 2.36 Skyworks Solutions, Inc. 2.31 Corning, Inc. 2.09 Palo Alto Networks, Inc. 2.08 DST Systems, Inc. 2.07 Avago Technologies Ltd. 2.07 Fortinet, Inc. 1.97 CDW Corp. 1.97 Avnet, Inc. 1.95 ------- Total 21.44% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Technology Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Technology Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P. The First Trust Technology AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Technology Index in connection with the trading of the Fund. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2015 First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information AlphaDEX(R) Fund Technology Index Index Technology Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 10235 10252 9674 10160 1/31/08 9030 9078 9261 9501 7/31/08 8815 8895 8647 9320 1/31/09 5205 5295 5646 6101 7/31/09 7236 7397 6903 8416 1/31/10 8246 8457 7611 9142 7/31/10 9060 9330 7904 9570 1/31/11 11868 12273 9387 11466 7/31/11 10908 11328 9539 11407 1/31/12 11048 11523 9757 12125 7/31/12 10493 10986 10298 12896 1/31/13 11488 12077 11419 13111 7/31/13 13069 13792 12998 14332 1/31/14 15047 15945 13957 16195 7/31/14 16021 17035 15216 18362 1/31/15 16916 18044 15878 19186
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 163 0 0 0 8/1/10 - 7/31/11 197 0 0 0 8/1/11 - 7/31/12 161 0 0 0 8/1/12 - 7/31/13 136 0 0 0 8/1/13 - 7/31/14 218 0 0 0 8/1/14 - 1/31/15 84 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% 8/1/09 - 7/31/10 87 1 0 0 8/1/10 - 7/31/11 55 0 0 0 8/1/11 - 7/31/12 92 0 0 0 8/1/12 - 7/31/13 114 0 0 0 8/1/13 - 7/31/14 34 0 0 0 8/1/14 - 1/31/15 42 0 0 0 Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXU." The Utilities Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Utilities Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 12.85% 24.09% 14.64% 6.18% 98.01% 59.06% Market Price 12.85% 24.03% 14.66% 6.18% 98.14% 59.04% INDEX PERFORMANCE StrataQuant(R) Utilities Index 13.20% 24.98% 15.66% 7.13% 106.99% 70.33% Russell 1000(R) Index 4.35% 13.76% 15.84% 6.16% 108.62% 58.79% S&P 500(R) Utilities Index 19.38% 28.20% 15.03% 5.97% 101.42% 56.62% Russell 1000(R) Utilities Index(1) 7.41% 17.13% 14.28% NA 94.95% NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Utilities 74.69% Telecommunication Services 22.02 Energy 3.29 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Great Plains Energy, Inc. 4.30% Sprint Corp. 4.28 Public Service Enterprise Group, Inc. 4.26 AT&T, Inc. 4.05 Exelon Corp. 4.02 MDU Resources Group, Inc. 3.97 CenturyLink, Inc. 3.88 Telephone & Data Systems, Inc. 3.80 PG&E Corp. 3.65 Consolidated Edison, Inc. 3.47 ------- Total 39.68% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Utilities Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Utilities Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P. The First Trust Utilities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Utilities Index in connection with the trading of the Fund. Page 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JANUARY 31, 2015 First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Utilities Index Index Utilities Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 9185 9205 9674 9034 1/31/08 8789 8856 9261 9588 7/31/08 8506 8601 8647 9394 1/31/09 6660 6760 5646 7262 7/31/09 7440 7593 6903 7463 1/31/10 8033 8229 7611 7777 7/31/10 8616 8863 7904 8170 1/31/11 9597 9912 9387 8727 7/31/11 10083 10456 9539 9322 1/31/12 10008 10420 9757 9970 7/31/12 10753 11245 10298 11120 1/31/13 11197 11750 11419 10990 7/31/13 12464 13196 12998 12011 1/31/14 12818 13628 13957 12220 7/31/14 14094 15046 15216 13123 1/31/15 15908 17032 15878 15666
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 165 0 0 0 8/1/10 - 7/31/11 220 0 0 0 8/1/11 - 7/31/12 157 0 0 0 8/1/12 - 7/31/13 141 0 0 0 8/1/13 - 7/31/14 193 0 0 0 8/1/14 - 1/31/15 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% 8/1/09 - 7/31/10 85 1 0 0 8/1/10 - 7/31/11 32 0 0 0 8/1/11 - 7/31/12 96 0 0 0 8/1/12 - 7/31/13 109 0 0 0 8/1/13 - 7/31/14 59 0 0 0 8/1/14 - 1/31/15 53 0 0 0 Page 21 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. 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 the 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 the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all dividend distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 22 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES JANUARY 31, 2015 (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, 2015. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
---------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2014 JANUARY 31, 2015 PERIOD (a) PERIOD (b) ---------------------------------------------------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) Actual $1,000.00 $1,077.90 0.63% $3.30 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) Actual $1,000.00 $1,131.20 0.62% $3.33 Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) Actual $1,000.00 $ 719.40 0.65% $2.82 Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.65% $3.31 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) Actual $1,000.00 $1,042.70 0.64% $3.30 Hypothetical (5% return before expenses) $1,000.00 $1,021.98 0.64% $3.26 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) Actual $1,000.00 $1,151.70 0.62% $3.36 Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16
Page 23 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2015 (UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2014 JANUARY 31, 2015 PERIOD (a) PERIOD (b) ---------------------------------------------------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) Actual $1,000.00 $1,003.40 0.63% $3.18 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) Actual $1,000.00 $ 928.30 0.65% $3.16 Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.65% $3.31 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) Actual $1,000.00 $1,055.90 0.63% $3.26 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) Actual $1,000.00 $1,128.50 0.70% $3.76 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in the 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, 2014 through January 31, 2015), multiplied by 184/365 (to reflect the one-half year period). Page 24 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 5.0% 956,034 Gentex Corp. $ 15,956,208 302,256 Goodyear Tire & Rubber (The) Co. 7,326,686 86,011 Johnson Controls, Inc. 3,996,931 220,112 Lear Corp. 22,088,239 167,925 TRW Automotive Holdings Corp. (a) 17,324,822 161,621 Visteon Corp. (a) 15,669,156 --------------- 82,362,042 --------------- AUTOMOBILES -- 2.3% 835,683 Ford Motor Co. 12,292,897 371,039 General Motors Co. 12,103,292 18,696 Tesla Motors, Inc. (a) (b) 3,806,505 154,559 Thor Industries, Inc. 8,709,400 --------------- 36,912,094 --------------- BUILDING PRODUCTS -- 0.5% 190,755 Fortune Brands Home & Security, Inc. 8,543,916 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.8% 373,823 KAR Auction Services, Inc. 12,751,103 --------------- DISTRIBUTORS -- 1.4% 202,573 Genuine Parts Co. 18,827,135 147,855 LKQ Corp. (a) 3,816,137 --------------- 22,643,272 --------------- DIVERSIFIED CONSUMER SERVICES -- 3.7% 379,748 Apollo Education Group, Inc. (a) 9,592,435 363,827 DeVry Education Group, Inc. 15,429,903 25,000 Graham Holdings Co., Class B 23,383,000 570,616 Service Corp. International 12,913,040 --------------- 61,318,378 --------------- FOOD & STAPLES RETAILING -- 2.1% 152,299 Costco Wholesale Corp. 21,777,234 150,831 Wal-Mart Stores, Inc. 12,817,618 --------------- 34,594,852 --------------- HOTELS, RESTAURANTS & LEISURE -- 10.6% 693,048 Aramark 21,706,263 294,269 Brinker International, Inc. 17,194,138 285,749 Carnival Corp. 12,561,526 12,613 Chipotle Mexican Grill, Inc. (a) 8,953,212 229,247 Domino's Pizza, Inc. 22,706,915 159,359 Hilton Worldwide Holdings, Inc. (a) 4,138,553 69,054 Hyatt Hotels Corp., Class A (a) 3,884,978 500,607 International Game Technology 8,470,271 221,334 Marriott International, Inc., Class A 16,489,383 194,473 MGM Resorts International (a) 3,788,334 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 461,684 Norwegian Cruise Line Holdings Ltd. (a) $ 20,203,292 49,399 Panera Bread Co., Class A (a) 8,489,712 50,438 Royal Caribbean Cruises Ltd. 3,810,591 96,357 Six Flags Entertainment Corp. 4,139,497 50,677 Starbucks Corp. 4,435,758 460,441 Wendy's (The) Co. 4,853,048 100,689 Wyndham Worldwide Corp. 8,436,731 --------------- 174,262,202 --------------- HOUSEHOLD DURABLES -- 10.5% 682,907 D.R. Horton, Inc. 16,744,880 161,847 Harman International Industries, Inc. 20,980,227 450,888 Jarden Corp. (a) 21,651,642 506,653 Leggett & Platt, Inc. 21,598,617 385,425 Lennar Corp., Class A 17,309,437 55,585 Mohawk Industries, Inc. (a) 9,173,748 226,712 Newell Rubbermaid, Inc. 8,358,871 13,540 NVR, Inc. (a) 16,982,274 402,398 PulteGroup, Inc. 8,285,375 75,719 Tempur Sealy International, Inc. (a) 4,166,817 121,322 Toll Brothers, Inc. (a) 4,200,168 111,432 Whirlpool Corp. 22,183,882 --------------- 171,635,938 --------------- INTERNET & CATALOG RETAIL -- 0.8% 101,164 Expedia, Inc. 8,693,022 141,321 Liberty Interactive Corp., Class A (a) 3,866,543 --------------- 12,559,565 --------------- INTERNET SOFTWARE & SERVICES -- 0.2% 74,085 eBay, Inc. (a) 3,926,505 --------------- LEISURE PRODUCTS -- 1.5% 75,610 Hasbro, Inc. (b) 4,152,501 418,586 Mattel, Inc. 11,259,963 57,094 Polaris Industries, Inc. 8,255,222 --------------- 23,667,686 --------------- MACHINERY -- 0.5% 82,413 WABCO Holdings, Inc. (a) 7,843,245 --------------- MEDIA -- 10.1% 65,200 AMC Networks, Inc., Class A (a) 4,348,840 836,763 Cablevision Systems Corp., Class A 15,831,556 51,828 Charter Communications, Inc., Class A (a) 7,831,988 223,289 Comcast Corp., Class A 11,866,694 47,959 DIRECTV (a) 4,089,944 177,707 DISH Network Corp., Class A (a) 12,501,687 270,447 Gannett Co., Inc. 8,386,562 623,647 Interpublic Group of Cos. (The), Inc. 12,435,521 See Notes to Financial Statements Page 25 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 244,837 Liberty Media Corp., Class A (a) $ 8,336,700 246,516 Liberty Media Corp., Class C (a) 8,411,126 661,465 Live Nation Entertainment, Inc. (a) 15,723,023 55,251 Madison Square Garden (The) Co., Class A (a) 4,185,263 825,561 News Corp., Class A (a) 12,292,603 111,469 Omnicom Group, Inc. 8,114,943 194,654 Regal Entertainment Group, Class A (b) 4,118,879 290,758 Starz, Class A (a) 8,583,176 27,343 Time Warner Cable, Inc. 3,722,203 48,671 Time Warner, Inc. 3,792,931 224,852 Twenty-First Century Fox, Inc., Class A 7,456,092 44,145 Walt Disney (The) Co. 4,015,429 --------------- 166,045,160 --------------- MULTILINE RETAIL -- 9.1% 323,662 Big Lots, Inc. 14,859,322 137,968 Dillard's, Inc., Class A 15,673,165 244,280 Dollar General Corp. (a) 16,381,417 306,746 Dollar Tree, Inc. (a) 21,809,641 109,017 Family Dollar Stores, Inc. 8,296,194 282,940 Kohl's Corp. 16,897,177 197,002 Macy's, Inc. 12,584,488 271,932 Nordstrom, Inc. 20,721,218 284,397 Target Corp. 20,934,463 --------------- 148,157,085 --------------- PERSONAL PRODUCTS -- 1.0% 835,951 Coty, Inc., Class A 15,899,788 --------------- REAL ESTATE INVESTMENT TRUSTS -- 1.4% 804,342 Outfront Media, Inc. 22,803,096 --------------- ROAD & RAIL -- 1.1% 325,469 Avis Budget Group, Inc. (a) 18,652,628 --------------- SPECIALTY RETAIL -- 32.0% 564,954 Aaron's, Inc. 17,886,444 603,032 Abercrombie & Fitch Co., Class A 15,389,377 135,535 Advance Auto Parts, Inc. 21,550,065 1,718,828 Ascena Retail Group, Inc. (a) 19,869,652 285,890 AutoNation, Inc. (a) 17,044,762 27,892 AutoZone, Inc. (a) 16,650,408 170,056 Bed Bath & Beyond, Inc. (a) 12,715,087 443,071 Best Buy Co., Inc. 15,596,099 78,885 Cabela's, Inc. (a) 4,334,731 324,249 CarMax, Inc. (a) 20,135,863 799,079 Chico's FAS, Inc. 13,328,638 396,029 CST Brands, Inc. 17,068,850 260,888 Dick's Sporting Goods, Inc. 13,474,865 231,513 DSW, Inc., Class A 8,232,602 230,565 Foot Locker, Inc. 12,270,669 638,716 GameStop Corp., Class A (b) 22,514,739 164,530 Home Depot (The), Inc. 17,180,223 249,435 L Brands, Inc. 21,109,684 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 313,787 Lowe's Cos., Inc. $ 21,262,207 313,516 Murphy USA, Inc. (a) 21,886,552 112,074 O'Reilly Automotive, Inc. (a) 20,998,185 351,960 Penske Automotive Group, Inc. 17,017,266 159,338 PetSmart, Inc. 13,018,711 229,030 Ross Stores, Inc. 21,004,341 280,916 Sally Beauty Holdings, Inc. (a) 8,730,869 164,079 Signet Jewelers Ltd. 19,871,608 714,849 Staples, Inc. 12,188,175 38,907 Tiffany & Co. 3,370,903 188,877 TJX (The) Cos., Inc. 12,454,549 219,119 Tractor Supply Co. 17,785,889 168,874 Ulta Salon, Cosmetics & Fragrance, Inc. (a) 22,281,236 368,718 Urban Outfitters, Inc. (a) 12,853,509 171,155 Williams-Sonoma, Inc. 13,392,879 --------------- 524,469,637 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 5.4% 197,808 Carter's, Inc. 16,119,374 45,667 Deckers Outdoor Corp. (a) 3,016,305 77,975 Fossil Group, Inc. (a) 7,625,955 116,049 Hanesbrands, Inc. 12,925,538 129,887 Kate Spade & Co. (a) 4,095,337 134,722 NIKE, Inc., Class B 12,428,104 32,437 PVH Corp. 3,576,504 46,635 Ralph Lauren Corp. 7,782,915 127,182 Under Armour, Inc., Class A (a) 9,167,279 172,939 VF Corp. 11,996,778 --------------- 88,734,089 --------------- TOTAL COMMON STOCKS -- 100.0% 1,637,782,281 (Cost $1,601,427,797) --------------- MONEY MARKET FUNDS -- 0.4% 6,114,673 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 6,114,673 (Cost $6,114,673) --------------- PRINCIPAL VALUE ----------- REPURCHASE AGREEMENTS -- 1.2% $ 6,260,703 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $6,260,729. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $6,419,888. (d) 6,260,703 Page 26 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE ----------------------------------------------------------- REPURCHASE AGREEMENTS (CONTINUED) $13,390,190 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $13,390,246. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $13,698,788. (d) $ 13,390,190 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.2% 19,650,893 (Cost $19,650,893) --------------- TOTAL INVESTMENTS -- 101.6% 1,663,547,847 (Cost $1,627,193,363) (e) NET OTHER ASSETS AND LIABILITIES -- (1.6)% (25,632,254) --------------- NET ASSETS -- 100.0% $ 1,637,915,593 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $24,711,604 and the total value of the collateral held by the Fund is $25,765,566. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $72,877,849 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $36,523,365. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $1,637,782,281 $ -- $ -- Money Market Funds 6,114,673 -- -- Repurchase Agreements -- 19,650,893 -- ---------------------------------------- Total Investments $1,643,896,954 $19,650,893 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. See Notes to Financial Statements Page 27 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (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) $ 24,711,604 Non-cash Collateral(2) (24,711,604) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) At January 31, 2015, 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) $ 19,650,893 Non-cash Collateral(4) (19,650,893) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 28 See Notes to Financial Statements FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.3% BEVERAGES -- 16.8% 1,134,961 Constellation Brands, Inc., Class A (a) $ 125,356,442 1,243,514 Dr Pepper Snapple Group, Inc. 96,086,327 598,064 Molson Coors Brewing Co., Class B 45,411,000 1,028,324 Monster Beverage Corp. (a) 120,262,492 --------------- 387,116,261 --------------- FOOD & STAPLES RETAILING -- 28.5% 1,156,880 CVS Health Corp. 113,559,341 1,735,230 Kroger (The) Co. 119,817,631 14,816,367 Rite Aid Corp. (a) 103,418,242 1,721,453 Sprouts Farmers Market, Inc. (a) 62,678,104 1,473,794 Sysco Corp. 57,728,511 1,462,193 Walgreens Boots Alliance, Inc. 107,836,734 1,767,854 Whole Foods Market, Inc. 92,096,354 --------------- 657,134,917 --------------- FOOD PRODUCTS -- 39.8% 1,714,142 Archer-Daniels-Midland Co. 79,930,441 643,440 Bunge Ltd. 57,607,183 1,012,899 Campbell Soup Co. 46,330,000 1,911,463 Hain Celestial Group (The), Inc. (a) 100,867,903 187,609 Hershey (The) Co. 19,175,516 855,424 Hormel Foods Corp. 43,814,817 1,050,625 Ingredion, Inc. 84,722,400 579,275 JM Smucker (The) Co. 59,752,216 893,872 Kellogg Co. 58,620,126 336,623 Keurig Green Mountain, Inc. 41,256,515 311,175 Kraft Foods Group, Inc. 20,332,175 262,426 McCormick & Co., Inc. 18,734,592 3,220,285 Pilgrim's Pride Corp. (b) 87,430,738 1,657,083 Pinnacle Foods, Inc. 59,605,276 2,223,381 Tyson Foods, Inc., Class A 86,800,794 1,671,763 WhiteWave Foods (The) Co. (a) 55,118,026 --------------- 920,098,718 --------------- HOUSEHOLD PRODUCTS -- 8.0% 565,506 Church & Dwight Co., Inc. 45,760,745 187,107 Clorox (The) Co. 19,966,188 168,758 Kimberly-Clark Corp. 18,219,114 214,054 Procter & Gamble (The) Co. 18,042,612 931,595 Spectrum Brands Holdings, Inc. 83,545,439 --------------- 185,534,098 --------------- SPECIALTY RETAIL -- 2.4% 1,245,633 GNC Holdings, Inc., Class A 55,231,367 --------------- TOBACCO -- 3.8% 904,559 Altria Group, Inc. 48,032,083 239,389 Philip Morris International, Inc. 19,208,573 303,380 Reynolds American, Inc. 20,614,671 --------------- 87,855,327 --------------- TOTAL COMMON STOCKS -- 99.3% 2,292,970,688 (Cost $2,138,523,259) --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- RIGHTS -- 0.0% FOOD & STAPLES RETAILING -- 0.0% 5,760 Safeway Casa Ley, SA CVR (a) $ 5,846 5,760 Safeway PDC, LLC CVR (a) 281 --------------- TOTAL RIGHTS -- 0.0% 6,127 (Cost $5,976) --------------- MONEY MARKET FUNDS -- 0.6% 14,079,508 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 14,079,508 1,052,323 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 1,052,323 --------------- TOTAL MONEY MARKET FUNDS -- 0.6% 15,131,831 (Cost $15,131,831) --------------- PRINCIPAL VALUE ----------- REPURCHASE AGREEMENTS -- 2.0% $14,415,751 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a value of $14,415,811. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $14,782,288. (d) 14,415,751 30,831,946 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a value of $30,832,074. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $31,542,516. (d) 30,831,946 --------------- TOTAL REPURCHASE AGREEMENTS -- 2.0% 45,247,697 (Cost $45,247,697) --------------- TOTAL INVESTMENTS -- 101.9% 2,353,356,343 (Cost $2,198,908,763) (e) NET OTHER ASSETS AND LIABILITIES -- (1.9)% (44,372,453) --------------- NET ASSETS -- 100.0% $ 2,308,983,890 =============== See Notes to Financial Statements Page 29 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $54,147,960 and the total value of the collateral held by the Fund is $59,327,205. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $175,489,343 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $21,041,763. CVR - Contingent Value Rights ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $2,292,970,688 $ -- $ -- Rights* -- 6,127 -- Money Market Funds 15,131,831 -- -- Repurchase Agreements -- 45,247,697 -- ---------------------------------------- Total Investments $2,308,102,519 $45,253,824 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. ----------------------------- 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) $ 54,147,960 Non-cash Collateral(2) (54,147,960) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) At January 31, 2015, 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) $ 45,247,697 Non-cash Collateral(4) (45,247,697) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. Page 30 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% ENERGY EQUIPMENT & SERVICES -- 30.4% 236,981 Atwood Oceanics, Inc. $ 6,772,917 71,941 Baker Hughes, Inc. 4,171,859 53,837 Cameron International Corp. (a) 2,410,821 146,515 Diamond Offshore Drilling, Inc. (b) 4,619,618 15,171 Dresser-Rand Group, Inc. (a) 1,214,894 26,501 FMC Technologies, Inc. (a) 993,257 323,417 Frank's International N.V. 5,294,336 99,715 Helmerich & Payne, Inc. 5,939,025 414,362 Nabors Industries Ltd. 4,769,307 102,596 National Oilwell Varco, Inc. 5,584,300 82,490 Oil States International, Inc. (a) 3,387,864 243,152 Patterson-UTI Energy, Inc. 4,172,488 172,975 Rowan Cos. PLC, Class A 3,653,232 563,075 Seadrill Ltd. (b) 6,047,426 497,090 Seventy Seven Energy, Inc. (a) 1,963,505 133,463 Superior Energy Services, Inc. 2,669,260 197,159 Unit Corp. (a) 5,871,395 --------------- 69,535,504 --------------- OIL, GAS & CONSUMABLE FUELS -- 66.9% 15,048 Anadarko Petroleum Corp. 1,230,174 42,907 Apache Corp. 2,684,691 206,123 Chesapeake Energy Corp. 3,953,439 59,934 Chevron Corp. 6,145,033 50,745 Cimarex Energy Co. 5,236,884 97,350 ConocoPhillips 6,131,103 79,536 CONSOL Energy, Inc. 2,302,567 32,064 CVR Energy, Inc. 1,228,692 661,560 Denbury Resources, Inc. 4,564,764 87,872 Devon Energy Corp. 5,296,045 13,482 EOG Resources, Inc. 1,200,302 386,382 EP Energy Corp., Class A (a) (b) 3,999,054 16,400 EQT Corp. 1,220,816 58,177 Exxon Mobil Corp. 5,085,833 96,642 Gulfport Energy Corp. (a) 3,719,751 91,077 Hess Corp. 6,146,787 143,506 HollyFrontier Corp. 5,154,736 63,565 Kinder Morgan, Inc. 2,609,343 519,657 Laredo Petroleum, Inc. (a) (b) 5,097,835 190,117 Marathon Oil Corp. 5,057,112 44,690 Marathon Petroleum Corp. 4,137,847 149,150 Memorial Resource Development Corp. (a) 2,856,223 133,077 Murphy Oil Corp. 5,976,488 148,746 Newfield Exploration Co. (a) 4,429,656 85,045 Noble Energy, Inc. 4,060,048 75,045 Oasis Petroleum, Inc. (a) 1,008,605 83,401 Occidental Petroleum Corp. 6,672,080 24,930 ONEOK, Inc. 1,097,668 201,898 PBF Energy, Inc., Class A 5,673,334 56,263 Phillips 66 3,956,414 133,001 QEP Resources, Inc. 2,689,280 59,184 Rice Energy, Inc. (a) 1,010,863 1,477,599 SandRidge Energy, Inc. (a) (b) 2,083,415 SHARES DESCRIPTION VALUE ----------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 34,189 Spectra Energy Corp. $ 1,143,280 11,703 Targa Resources Corp. 1,016,171 90,426 Tesoro Corp. 7,390,517 204,346 Ultra Petroleum Corp. (a) (b) 2,605,412 135,819 Valero Energy Corp. 7,182,109 162,987 Whiting Petroleum Corp. (a) 4,892,870 57,301 World Fuel Services Corp. 2,806,030 231,235 WPX Energy, Inc. (a) 2,464,965 --------------- 153,218,236 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.2% 90,455 First Solar, Inc. (a) 3,828,056 48,054 SunPower Corp. (a) (b) 1,159,062 --------------- 4,987,118 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 48,243 NOW, Inc. (a) (b) 1,203,663 --------------- TOTAL COMMON STOCKS -- 100.0% 228,944,521 (Cost $303,924,055) --------------- MONEY MARKET FUNDS -- 1.9% 4,199,877 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 4,199,877 219,206 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 219,206 --------------- TOTAL MONEY MARKET FUNDS -- 1.9% 4,419,083 (Cost $4,419,083) --------------- PRINCIPAL VALUE ----------- REPURCHASE AGREEMENTS -- 5.9% $ 4,300,178 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $4,300,195. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $4,409,514. (d) 4,300,178 See Notes to Financial Statements Page 31 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE ----------------------------------------------------------- REPURCHASE AGREEMENTS (CONTINUED) $ 9,197,081 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $9,197,120. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $9,409,042. (d) $ 9,197,081 --------------- TOTAL REPURCHASE AGREEMENTS -- 5.9% 13,497,259 (Cost $13,497,259) --------------- TOTAL INVESTMENTS -- 107.8% 246,860,863 (Cost $321,840,397) (e) NET OTHER ASSETS AND LIABILITIES -- (7.8)% (17,777,259) --------------- NET ASSETS -- 100.0% $ 229,083,604 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $18,005,670 and the total value of the collateral held by the Fund is $17,697,136. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,560,362 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $78,539,896. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 228,944,521 $ -- $ -- Money Market Funds 4,419,083 -- -- Repurchase Agreements -- 13,497,259 -- ---------------------------------------- Total Investments $ 233,363,604 $13,497,259 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. Page 32 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (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) $ 18,005,670 Non-cash Collateral(2) (17,697,136) ------------ Net Amount $ 308,534 ============ (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On January 30, 2015, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day, however, market movement from January 29 to January 30 reduced the collateral value below the value of the related securities loaned. See Note 2E - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 13,497,259 Non-cash Collateral(4) (13,497,259) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 33 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% BANKS -- 13.7% 218,202 Associated Banc-Corp. $ 3,667,976 75,743 Bank of America Corp. 1,147,506 22,847 Bank of Hawaii Corp. 1,289,942 93,547 BankUnited, Inc. 2,587,510 104,530 BB&T Corp. 3,688,864 141,649 CIT Group, Inc. 6,207,059 75,127 Citigroup, Inc. 3,527,213 54,506 Citizens Financial Group, Inc. 1,302,693 16,768 City National Corp. 1,453,618 86,787 Comerica, Inc. 3,601,660 31,159 Commerce Bancshares, Inc. 1,246,360 19,182 Cullen/Frost Bankers, Inc. 1,195,039 70,010 East West Bancorp, Inc. 2,532,962 266,019 Fifth Third Bancorp 4,602,129 199,563 First Horizon National Corp. 2,592,323 25,997 First Republic Bank 1,323,767 328,893 Fulton Financial Corp. 3,667,157 386,417 Huntington Bancshares, Inc. 3,871,898 86,611 JPMorgan Chase & Co. 4,709,906 194,969 KeyCorp 2,532,647 21,574 M&T Bank Corp. 2,441,314 59,412 PNC Financial Services Group (The), Inc. 5,022,690 384,951 Regions Financial Corp. 3,349,074 21,515 Signature Bank (a) 2,520,052 97,019 SunTrust Banks, Inc. 3,727,470 11,675 SVB Financial Group (a) 1,318,108 50,020 Synovus Financial Corp. 1,289,015 341,104 TCF Financial Corp. 5,014,229 60,289 U.S. Bancorp 2,526,712 49,436 Wells Fargo & Co. 2,566,717 95,055 Zions Bancorporation 2,277,518 --------------- 88,801,128 --------------- CAPITAL MARKETS -- 8.2% 6,385 Affiliated Managers Group, Inc. (a) 1,312,245 40,982 Ameriprise Financial, Inc. 5,120,291 100,200 Bank of New York Mellon (The) Corp. 3,607,200 7,579 BlackRock, Inc. 2,580,725 89,768 Charles Schwab (The) Corp. 2,332,173 55,866 E*TRADE Financial Corp. (a) 1,287,711 33,106 Eaton Vance Corp. 1,332,517 41,148 Federated Investors, Inc., Class B 1,300,688 97,890 Franklin Resources, Inc. 5,044,272 27,964 Goldman Sachs Group (The), Inc. 4,821,273 68,574 Invesco Ltd. 2,518,723 27,086 Lazard Ltd., Class A (b) 1,240,539 50,780 Legg Mason, Inc. 2,815,243 30,417 LPL Financial Holdings, Inc. 1,251,660 69,847 Morgan Stanley 2,361,527 23,654 Raymond James Financial, Inc. 1,244,673 135,370 SEI Investments Co. 5,437,813 34,524 State Street Corp. 2,468,811 SHARES DESCRIPTION VALUE ----------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 15,782 T. Rowe Price Group, Inc. $ 1,242,359 113,615 TD Ameritrade Holding Corp. 3,679,990 --------------- 53,000,433 --------------- CONSUMER FINANCE -- 3.9% 286,840 Ally Financial, Inc. (a) 5,366,776 14,564 American Express Co. 1,175,169 65,658 Capital One Financial Corp. 4,806,822 41,382 Discover Financial Services 2,250,353 188,113 Navient Corp. 3,713,351 276,397 Santander Consumer USA Holdings, Inc. 4,933,687 91,097 Synchrony Financial (a) 2,811,254 --------------- 25,057,412 --------------- DIVERSIFIED FINANCIAL SERVICES -- 5.3% 36,098 Berkshire Hathaway, Inc., Class B (a) 5,194,863 85,464 CBOE Holdings, Inc. 5,509,864 15,286 CME Group, Inc. 1,303,896 18,537 Intercontinental Exchange, Inc. 3,813,617 60,438 Leucadia National Corp. 1,370,129 15,229 McGraw Hill Financial, Inc. 1,362,082 28,285 Moody's Corp. 2,583,269 28,563 MSCI, Inc. 1,537,261 113,014 NASDAQ OMX Group (The), Inc. 5,153,438 159,866 Voya Financial, Inc. 6,236,373 --------------- 34,064,792 --------------- INSURANCE -- 32.8% 47,181 ACE Ltd. 5,093,661 88,722 Aflac, Inc. 5,064,252 14,618 Alleghany Corp. (a) 6,462,472 178,670 Allied World Assurance Co. Holdings AG 6,909,169 77,154 Allstate (The) Corp. 5,384,578 89,266 American Financial Group, Inc. 5,180,999 120,963 American International Group, Inc. 5,911,462 14,288 Aon PLC 1,286,634 114,639 Arch Capital Group Ltd. (a) 6,645,623 57,563 Arthur J. Gallagher & Co. 2,557,524 154,790 Aspen Insurance Holdings Ltd. 6,705,503 99,009 Assurant, Inc. 6,288,061 260,684 Assured Guaranty Ltd. 6,365,903 132,612 Axis Capital Holdings Ltd. 6,749,951 123,522 Brown & Brown, Inc. 3,810,654 52,384 Chubb (The) Corp. 5,128,393 52,287 Cincinnati Financial Corp. 2,641,016 113,220 Endurance Specialty Holdings Ltd. 6,920,006 39,782 Everest Re Group, Ltd. 6,817,839 75,996 Hanover Insurance Group (The), Inc. 5,243,724 97,507 Hartford Financial Services Group (The), Inc. 3,793,022 126,593 HCC Insurance Holdings, Inc. 6,752,471 Page 34 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 93,987 Lincoln National Corp. $ 4,697,470 71,019 Marsh & McLennan Cos., Inc. 3,818,692 710,184 MBIA, Inc. (a) 5,695,676 100,206 MetLife, Inc. 4,659,579 463,101 Old Republic International Corp. 6,501,938 59,364 PartnerRe Ltd. 6,791,242 52,179 Principal Financial Group, Inc. 2,448,760 150,059 ProAssurance Corp. 6,658,118 200,821 Progressive (The) Corp. (a) 5,211,305 29,957 Prudential Financial, Inc. 2,273,137 61,860 Reinsurance Group of America, Inc. 5,122,627 69,688 RenaissanceRe Holdings Ltd. 6,664,263 77,584 StanCorp Financial Group, Inc. 4,813,311 75,043 Torchmark Corp. 3,757,403 64,007 Travelers (The) Cos., Inc. 6,581,200 155,394 Unum Group 4,826,538 163,022 Validus Holdings Ltd. 6,463,822 132,173 W. R. Berkley Corp. 6,475,155 39,424 XL Group PLC 1,359,734 --------------- 212,532,887 --------------- INTERNET SOFTWARE & SERVICES -- 0.2% 12,797 Zillow, Inc., Class A (a) (c) 1,240,285 --------------- IT SERVICES -- 7.4% 14,209 Alliance Data Systems Corp. (a) 4,103,985 88,028 Broadridge Financial Solutions, Inc. 4,224,464 65,353 Fidelity National Information Services, Inc. 4,079,988 57,277 Fiserv, Inc. (a) 4,154,301 27,336 FleetCor Technologies, Inc. (a) 3,840,708 83,925 Global Payments, Inc. 7,327,492 21,805 Jack Henry & Associates, Inc. 1,338,173 47,181 MasterCard, Inc., Class A 3,870,257 119,702 Total System Services, Inc. 4,233,860 79,897 Vantiv, Inc., Class A (a) 2,747,658 20,673 Visa, Inc., Class A 5,269,754 151,316 Western Union (The) Co. 2,572,372 --------------- 47,763,012 --------------- MEDIA -- 0.2% 33,590 Thomson Reuters Corp. 1,289,856 --------------- PROFESSIONAL SERVICES -- 0.8% 22,403 Dun & Bradstreet (The) Corp. 2,578,809 33,510 Equifax, Inc. 2,830,255 --------------- 5,409,064 --------------- REAL ESTATE INVESTMENT TRUSTS -- 21.6% 41,126 American Tower Corp. 3,987,166 376,051 Annaly Capital Management, Inc. 3,971,099 145,898 Apartment Investment & Management Co., Class A 5,815,494 31,589 Boston Properties, Inc. 4,384,553 SHARES DESCRIPTION VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 2,130,555 Chimera Investment Corp. $ 6,689,943 111,864 Corrections Corp. of America 4,398,493 17,217 Crown Castle International Corp. 1,489,443 158,361 Equity Commonwealth (a) 4,172,812 131,429 Equity LifeStyle Properties, Inc. 7,193,109 115,537 Extra Space Storage, Inc. 7,625,442 30,457 Federal Realty Investment Trust 4,378,803 30,775 HCP, Inc. 1,455,350 89,535 Health Care REIT, Inc. 7,337,393 251,492 Healthcare Trust of America, Inc., Class A 7,408,954 847,954 MFA Financial, Inc. 6,647,959 138,730 OMEGA Healthcare Investors, Inc. 6,084,698 92,225 Post Properties, Inc. 5,602,669 14,662 Public Storage 2,944,716 145,494 Rayonier, Inc. 4,270,249 61,287 Senior Housing Properties Trust 1,427,374 14,880 Simon Property Group, Inc. 2,956,061 174,920 Starwood Property Trust, Inc. 4,185,836 73,324 Tanger Factory Outlet Centers, Inc. 2,885,299 53,195 Taubman Centers, Inc. 4,359,330 676,165 Two Harbors Investment Corp. 6,978,023 75,594 Ventas, Inc. 6,033,157 25,419 Vornado Realty Trust 2,807,274 38,803 Weingarten Realty Investors 1,454,336 113,264 Weyerhaeuser Co. 4,060,514 19,331 WP Carey, Inc. 1,388,159 314,758 WP GLIMCHER, Inc. 5,564,922 --------------- 139,958,630 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 4.1% 197,815 CBRE Group, Inc., Class A (a) 6,397,337 318,085 Forest City Enterprises, Inc., Class A (a) 7,793,083 45,188 Jones Lang LaSalle, Inc. 6,646,251 121,826 Realogy Holdings Corp. (a) 5,664,909 --------------- 26,501,580 --------------- SOFTWARE -- 0.8% 38,510 FactSet Research Systems, Inc. 5,529,651 --------------- THRIFTS & MORTGAGE FINANCE -- 1.0% 48,067 Nationstar Mortgage Holdings, Inc. (a) (c) 1,235,803 169,379 New York Community Bancorp, Inc. 2,616,905 178,529 People's United Financial, Inc. 2,511,903 --------------- 6,364,611 --------------- TOTAL COMMON STOCKS -- 100.0% 647,513,341 (Cost $674,019,577) --------------- See Notes to Financial Statements Page 35 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- MONEY MARKET FUNDS -- 0.2% 455,158 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (d) (e) $ 455,158 921,216 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (d) 921,216 --------------- TOTAL MONEY MARKET FUNDS -- 0.2% 1,376,374 (Cost $1,376,374) --------------- PRINCIPAL VALUE ----------- REPURCHASE AGREEMENTS -- 0.2% $ 466,027 JPMorgan Chase & Co., 0.05% (d), dated 01/31/15, due 02/02/15, with a maturity value of $466,030. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $477,877. (e) 466,027 996,725 RBC Capital Markets LLC, 0.05% (d), dated 01/31/15, due 02/02/15, with a maturity value of $996,729. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $1,019,696. (e) 996,725 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.2% 1,462,752 (Cost $1,462,752) --------------- TOTAL INVESTMENTS -- 100.4% 650,352,467 (Cost $676,858,703) (f) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (2,826,417) --------------- NET ASSETS -- 100.0% $ 647,526,050 =============== (a) Non-income producing security. (b) Master Limited Partnership ("MLP"). (c) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $1,865,684 and the total value of the collateral held by the Fund is $1,917,910. (d) Interest rate shown reflects yield as of January 31, 2015. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,301,442 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $35,807,678. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 647,513,341 $ -- $ -- Money Market Funds 1,376,374 -- -- Repurchase Agreements -- 1,462,752 -- ---------------------------------------- Total Investments $ 648,889,715 $ 1,462,752 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. Page 36 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (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) $ 1,865,684 Non-cash Collateral(2) (1,865,684) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) At January 31, 2015, 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) $ 1,462,752 Non-cash Collateral(4) (1,462,752) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 37 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% BIOTECHNOLOGY -- 21.1% 267,644 Alexion Pharmaceuticals, Inc. (a) $ 49,043,087 634,264 Alkermes PLC (a) 45,825,574 255,279 Alnylam Pharmaceuticals, Inc. (a) 23,952,829 310,899 Amgen, Inc. 47,337,482 36,469 Biogen Idec, Inc. (a) 14,192,276 684,784 BioMarin Pharmaceutical, Inc. (a) 66,533,613 442,732 Celgene Corp. (a) 52,755,945 262,697 Gilead Sciences, Inc. (a) 27,538,526 846,735 Incyte Corp. (a) 67,493,247 372,888 Medivation, Inc. (a) 40,577,672 726,995 Myriad Genetics, Inc. (a) (b) 27,204,153 202,541 Pharmacyclics, Inc. (a) 34,178,794 150,902 Regeneron Pharmaceuticals, Inc. (a) 62,874,827 191,224 United Therapeutics Corp. (a) 26,987,443 --------------- 586,495,468 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 14.5% 355,877 Becton, Dickinson and Co. 49,139,496 934,398 Boston Scientific Corp. (a) 13,838,434 222,917 C. R. Bard, Inc. 38,125,494 152,772 Cooper (The) Cos., Inc. 24,084,506 232,424 DENTSPLY International, Inc. 11,627,011 485,975 Edwards Lifesciences Corp. (a) 60,916,966 271,399 Hill-Rom Holdings, Inc. 12,962,016 463,008 Hologic, Inc. (a) 14,059,238 334,014 IDEXX Laboratories, Inc. (a) 52,914,498 46,820 Intuitive Surgical, Inc. (a) 23,151,554 220,854 ResMed, Inc. (b) 13,796,749 283,416 Sirona Dental Systems, Inc. (a) 25,569,792 190,385 St. Jude Medical, Inc. 12,540,660 393,757 Stryker Corp. 35,851,575 109,151 Zimmer Holdings, Inc. 12,235,827 --------------- 400,813,816 --------------- HEALTH CARE PROVIDERS & SERVICES -- 39.5% 696,881 Aetna, Inc. 63,987,613 686,607 AmerisourceBergen Corp. 65,261,995 295,553 Anthem, Inc. 39,887,833 1,688,139 Brookdale Senior Living, Inc. (a) 56,974,691 460,087 Cardinal Health, Inc. 38,274,638 1,196,212 Catamaran Corp. (a) 59,702,941 596,094 Centene Corp. (a) 65,069,621 481,227 Cigna Corp. 51,409,480 688,841 Community Health Systems, Inc. (a) 32,423,746 490,391 DaVita HealthCare Partners, Inc. (a) 36,808,749 584,906 Express Scripts Holding Co. (a) 47,207,763 843,497 HCA Holdings, Inc. (a) 59,719,588 454,679 Henry Schein, Inc. (a) 62,777,530 86,198 Humana, Inc. 12,622,835 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 229,482 Laboratory Corp. of America Holdings (a) $ 26,339,944 688,683 LifePoint Hospitals, Inc. (a) 44,929,679 298,216 McKesson Corp. 63,415,632 749,110 MEDNAX, Inc. (a) 50,857,078 1,286,999 Patterson Cos., Inc. 64,465,780 553,865 Quest Diagnostics, Inc. 39,363,186 977,375 Tenet Healthcare Corp. (a) 41,323,415 244,941 UnitedHealth Group, Inc. 26,024,981 445,110 Universal Health Services, Inc., Class B 45,637,128 --------------- 1,094,485,846 --------------- HEALTH CARE TECHNOLOGY -- 2.2% 169,957 athenahealth, Inc. (a) (b) 23,744,692 574,428 Cerner Corp. (a) 38,113,298 --------------- 61,857,990 --------------- LIFE SCIENCES TOOLS & SERVICES -- 8.3% 302,418 Agilent Technologies, Inc. 11,422,328 102,688 Bio-Rad Laboratories, Inc., Class A (a) 11,754,695 583,632 Charles River Laboratories International, Inc. (a) 40,474,879 476,913 Covance, Inc. (a) 50,652,930 201,225 Illumina, Inc. (a) 39,277,108 283,112 PerkinElmer, Inc. 12,941,050 527,734 QIAGEN N.V. (a) 12,100,941 630,918 Quintiles Transnational Holdings, Inc. (a) 38,170,539 98,816 Thermo Fisher Scientific, Inc. 12,372,751 --------------- 229,167,221 --------------- PHARMACEUTICALS -- 14.3% 378,394 AbbVie, Inc. 22,836,078 192,386 Actavis PLC (a) 51,278,564 291,183 Allergan, Inc. 63,844,785 209,730 Bristol-Myers Squibb Co. 12,640,427 151,237 Jazz Pharmaceuticals PLC (a) 25,610,474 236,789 Johnson & Johnson 23,712,050 500,086 Mallinckrodt PLC (a) 53,004,115 878,547 Mylan, Inc. (a) 46,694,773 148,122 Perrigo Co. PLC 22,476,032 1,192,376 Pfizer, Inc. 37,261,750 863,182 Zoetis, Inc. 36,883,767 --------------- 396,242,815 --------------- TOTAL COMMON STOCKS -- 99.9% 2,769,063,156 (Cost $2,469,016,521) --------------- MONEY MARKET FUNDS -- 0.5% 9,421,129 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 9,421,129 Page 38 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- MONEY MARKET FUNDS (CONTINUED) 5,008,457 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) $ 5,008,457 --------------- TOTAL MONEY MARKET FUNDS -- 0.5% 14,429,586 (Cost $14,429,586) --------------- PRINCIPAL VALUE ----------- REPURCHASE AGREEMENTS -- 1.1% $ 9,646,122 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $9,646,162. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $9,891,386. (d) 9,646,122 20,630,816 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $20,630,902. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $21,106,286. (d) 20,630,816 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.1% 30,276,938 (Cost $30,276,938) --------------- TOTAL INVESTMENTS -- 101.5% 2,813,769,680 (Cost $2,513,723,045) (e) NET OTHER ASSETS AND LIABILITIES -- (1.5)% (41,622,487) --------------- NET ASSETS -- 100.0% $ 2,772,147,193 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $38,047,280 and the total value of the collateral held by the Fund is $39,698,067. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $314,102,405 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $14,055,770. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $2,769,063,156 $ -- $ -- Money Market Funds 14,429,586 -- -- Repurchase Agreements -- 30,276,938 -- ----------------------------------------- Total Investments $2,783,492,742 $ 30,276,938 $ -- ========================================= * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. See Notes to Financial Statements Page 39 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (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) $ 38,047,280 Non-cash Collateral(2) (38,047,280) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) At January 31, 2015, 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) $ 30,276,938 Non-cash Collateral(4) (30,276,938) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, 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 INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 14.5% 316,389 Exelis, Inc. $ 5,413,416 9,583 General Dynamics Corp. 1,276,551 13,223 Honeywell International, Inc. 1,292,680 49,357 Huntington Ingalls Industries, Inc. 5,755,026 21,961 L-3 Communications Holdings, Inc. 2,703,838 14,437 Lockheed Martin Corp. 2,719,498 28,189 Northrop Grumman Corp. 4,424,264 59,621 Orbital ATK, Inc. 7,769,213 25,663 Raytheon Co. 2,567,583 32,862 Rockwell Collins, Inc. 2,813,644 161,049 Spirit AeroSystems Holdings, Inc., Class A (a) 7,253,647 31,363 Textron, Inc. 1,334,809 21,189 TransDigm Group, Inc. 4,354,975 103,142 Triumph Group, Inc. 5,885,283 24,078 United Technologies Corp. 2,763,673 --------------- 58,328,100 --------------- AIR FREIGHT & LOGISTICS -- 3.3% 92,538 C.H. Robinson Worldwide, Inc. 6,590,556 29,563 Expeditors International of Washington, Inc. 1,291,312 23,965 FedEx Corp. 4,052,721 11,901 United Parcel Service, Inc., Class B 1,176,295 --------------- 13,110,884 --------------- AIRLINES -- 12.0% 115,995 Alaska Air Group, Inc. 7,872,581 129,281 American Airlines Group, Inc. 6,345,111 66,923 Copa Holdings SA, Class A 7,194,892 140,938 Delta Air Lines, Inc. 6,667,777 163,785 Southwest Airlines Co. 7,399,806 73,365 Spirit Airlines, Inc. (a) 5,439,281 103,633 United Continental Holdings, Inc. (a) 7,189,021 --------------- 48,108,469 --------------- BUILDING PRODUCTS -- 1.4% 73,758 A.O. Smith Corp. 4,381,963 23,790 Allegion PLC 1,284,898 --------------- 5,666,861 --------------- COMMERCIAL SERVICES & SUPPLIES -- 6.0% 153,047 ADT (The) Corp. (b) 5,264,817 53,011 Cintas Corp. 4,171,966 60,018 Covanta Holding Corp. 1,226,768 78,551 R.R. Donnelley & Sons Co. 1,293,735 137,805 Republic Services, Inc. 5,468,102 21,148 Stericycle, Inc. (a) 2,776,521 63,068 Waste Connections, Inc. 2,725,799 25,712 Waste Management, Inc. 1,322,368 --------------- 24,250,076 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CONSTRUCTION & ENGINEERING -- 4.9% 182,634 AECOM (a) $ 4,642,556 91,439 Fluor Corp. 4,900,216 93,089 Jacobs Engineering Group, Inc. (a) 3,546,691 244,201 Quanta Services, Inc. (a) 6,466,443 --------------- 19,555,906 --------------- CONTAINERS & PACKAGING -- 0.7% 53,487 Avery Dennison Corp. 2,795,765 --------------- ELECTRICAL EQUIPMENT -- 3.8% 228,810 Babcock & Wilcox (The) Co. 6,230,496 61,189 Eaton Corp. PLC 3,860,414 21,368 Emerson Electric Co. 1,216,694 25,989 Hubbell, Inc., Class B 2,755,874 17,544 Regal-Beloit Corp. 1,207,904 --------------- 15,271,382 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7% 35,856 Zebra Technologies Corp., Class A (a) 2,992,542 --------------- ENERGY EQUIPMENT & SERVICES -- 1.6% 213,894 Tidewater, Inc. 6,258,538 --------------- INDUSTRIAL CONGLOMERATES -- 2.0% 16,912 3M Co. 2,744,817 14,659 Carlisle Cos., Inc. 1,314,619 15,410 Danaher Corp. 1,269,476 109,747 General Electric Co. 2,621,856 --------------- 7,950,768 --------------- INTERNET SOFTWARE & SERVICES -- 0.7% 15,092 CoStar Group, Inc. (a) 2,784,625 --------------- IT SERVICES -- 4.5% 31,040 Accenture PLC, Class A 2,608,291 209,081 Booz Allen Hamilton Holding Corp. 6,086,348 146,460 Genpact Ltd. (a) 2,939,452 500,198 Xerox Corp. 6,587,608 --------------- 18,221,699 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.4% 13,754 Mettler-Toledo International, Inc. (a) 4,180,528 11,687 Waters Corp. (a) 1,391,338 --------------- 5,571,866 --------------- MACHINERY -- 22.1% 153,353 AGCO Corp. 6,646,319 122,729 Allison Transmission Holdings, Inc. 3,843,872 45,477 Caterpillar, Inc. 3,636,796 22,474 Crane Co. 1,369,790 9,196 Cummins, Inc. 1,282,474 47,016 Deere & Co. 4,005,293 See Notes to Financial Statements Page 41 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 77,357 Dover Corp. $ 5,418,084 13,910 Illinois Tool Works, Inc. 1,294,882 119,213 Joy Global, Inc. 4,999,793 154,963 Kennametal, Inc. 4,868,937 19,114 Lincoln Electric Holdings, Inc. 1,298,032 55,962 Middleby (The) Corp. (a) 5,317,509 113,987 Oshkosh Corp. 4,884,343 81,538 PACCAR, Inc. 4,901,249 41,113 Pall Corp. 3,978,094 21,529 Parker Hannifin Corp. 2,507,267 30,388 Snap-on, Inc. 4,032,792 80,710 SPX Corp. 6,744,935 28,858 Stanley Black & Decker, Inc. 2,702,552 198,964 Terex Corp. 4,472,711 247,519 Trinity Industries, Inc. 6,551,828 31,922 Wabtec Corp. 2,663,891 34,703 Xylem, Inc. 1,183,372 --------------- 88,604,815 --------------- PROFESSIONAL SERVICES -- 3.5% 81,342 ManpowerGroup, Inc. 5,928,205 118,734 Robert Half International, Inc. 6,893,696 11,688 Towers Watson & Co., Class A 1,385,028 --------------- 14,206,929 --------------- REAL ESTATE INVESTMENT TRUSTS -- 1.1% 107,628 Iron Mountain, Inc. 4,287,900 --------------- ROAD & RAIL -- 8.8% 84,562 Con-way, Inc. 3,464,505 76,582 CSX Corp. 2,550,181 30,857 Genesee & Wyoming, Inc., Class A (a) 2,544,160 49,362 J.B. Hunt Transport Services, Inc. 3,929,709 76,477 Landstar System, Inc. 4,900,646 37,950 Norfolk Southern Corp. 3,869,761 89,261 Old Dominion Freight Line, Inc. (a) 6,258,981 44,790 Ryder System, Inc. 3,708,164 34,914 Union Pacific Corp. 4,092,270 --------------- 35,318,377 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.7% 167,972 Lexmark International, Inc., Class A 6,703,763 --------------- TRADING COMPANIES & DISTRIBUTORS -- 5.3% 161,631 Air Lease Corp. 5,647,387 96,388 GATX Corp. 5,508,575 141,046 HD Supply Holdings, Inc. (a) 4,066,356 12,954 United Rentals, Inc. (a) 1,073,239 72,737 WESCO International, Inc. (a) 4,855,922 --------------- 21,151,479 --------------- TOTAL COMMON STOCKS --100.0% 401,140,744 (Cost $433,224,288) --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 114,999 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) $ 114,999 517,811 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 517,811 --------------- TOTAL MONEY MARKET FUNDS -- 0.1% 632,810 (Cost $632,810) --------------- PRINCIPAL VALUE ----------- REPURCHASE AGREEMENTS -- 0.1% $ 117,746 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $117,746. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $120,739. (d) 117,746 251,830 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $251,831. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $257,634. (d) 251,830 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.1% 369,576 (Cost $369,576) --------------- TOTAL INVESTMENTS -- 100.2% 402,143,130 (Cost $434,226,674) (e) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (945,291) --------------- NET ASSETS -- 100.0% $ 401,197,839 =============== Page 42 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $469,560 and the total value of the collateral held by the Fund is $484,575. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $17,554,902 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $49,638,446. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 401,140,744 $ -- $ -- Money Market Funds 632,810 -- -- Repurchase Agreements -- 369,576 -- ---------------------------------------- Total Investments $ 401,773,554 $ 369,576 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. ----------------------------- 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) $ 469,560 Non-cash Collateral(2) (469,560) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) At January 31, 2015, 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) $ 369,576 Non-cash Collateral(4) (369,576) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 43 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.7% 28,488 Hexcel Corp. $ 1,260,024 --------------- BUILDING PRODUCTS -- 6.8% 37,299 Lennox International, Inc. 3,666,865 93,810 Masco Corp. 2,330,240 132,035 Owens Corning, Inc. 5,288,002 42,228 USG Corp. (a) 1,285,843 --------------- 12,570,950 --------------- CHEMICALS -- 42.8% 8,196 Air Products & Chemicals, Inc. 1,193,419 10,261 Airgas, Inc. 1,155,799 78,634 Albemarle Corp. 3,794,877 134,751 Cabot Corp. 5,714,790 98,570 Celanese Corp., Series A 5,299,123 21,685 CF Industries Holdings, Inc. 6,622,165 102,408 Cytec Industries, Inc. 4,914,560 103,666 Dow Chemical (The) Co. 4,681,557 15,986 E.I. du Pont de Nemours & Co. 1,138,363 62,325 Eastman Chemical Co. 4,418,219 155,673 Huntsman Corp. 3,418,579 11,662 International Flavors & Fragrances, Inc. 1,237,455 77,685 Mosaic (The) Co. 3,782,483 2,926 NewMarket Corp. 1,315,734 20,455 PPG Industries, Inc. 4,559,010 106,013 Rayonier Advanced Materials, Inc. (b) 1,814,943 69,930 RPM International, Inc. 3,346,850 37,934 Scotts Miracle-Gro (The) Co., Class A 2,406,154 22,471 Sherwin-Williams (The) Co. 6,095,708 17,221 Sigma-Aldrich Corp. 2,368,232 54,674 Valspar (The) Corp. 4,561,452 96,749 Westlake Chemical Corp. 5,544,685 --------------- 79,384,157 --------------- CONSTRUCTION MATERIALS -- 0.6% 10,718 Martin Marietta Materials, Inc. 1,154,757 --------------- CONTAINERS & PACKAGING -- 20.6% 35,372 AptarGroup, Inc. 2,232,327 34,677 Ball Corp. 2,196,094 52,289 Bemis Co., Inc. 2,316,403 69,668 Crown Holdings, Inc. (a) 3,086,989 79,888 MeadWestvaco Corp. 4,016,769 87,595 Owens-Illinois, Inc. (a) 2,045,343 75,722 Packaging Corp. of America 5,743,514 77,540 Rock-Tenn Co., Class A 5,032,346 111,433 Sealed Air Corp. 4,513,036 66,156 Silgan Holdings, Inc. 3,401,080 81,151 Sonoco Products Co. 3,586,874 --------------- 38,170,775 --------------- ELECTRICAL EQUIPMENT -- 2.0% 25,318 Acuity Brands, Inc. 3,794,915 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- MACHINERY -- 3.6% 18,650 Ingersoll-Rand PLC $ 1,238,360 55,389 Timken (The) Co. 2,105,336 27,924 Valmont Industries, Inc. 3,354,231 --------------- 6,697,927 --------------- METALS & MINING -- 16.1% 48,003 Carpenter Technology Corp. 1,821,234 13,612 Compass Minerals International, Inc. 1,189,689 253,011 Freeport-McMoRan, Inc. 4,253,115 62,546 Newmont Mining Corp. 1,573,032 72,297 Nucor Corp. 3,155,764 96,462 Reliance Steel & Aluminum Co. 5,051,715 239,522 Steel Dynamics, Inc. 4,081,455 159,609 TimkenSteel Corp. 4,309,443 176,822 United States Steel Corp. (b) 4,321,529 --------------- 29,756,976 --------------- PAPER & FOREST PRODUCTS -- 4.3% 146,949 Domtar Corp. 5,628,147 44,122 International Paper Co. 2,323,464 --------------- 7,951,611 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.3% 390,118 MRC Global, Inc. (a) 4,217,176 --------------- TOTAL COMMON STOCKS -- 99.8% 184,959,268 (Cost $206,562,805) --------------- MONEY MARKET FUNDS -- 0.8% 1,016,499 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 1,016,499 553,162 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 553,162 --------------- TOTAL MONEY MARKET FUNDS -- 0.8% 1,569,661 (Cost $1,569,661) --------------- PRINCIPAL VALUE ----------- REPURCHASE AGREEMENTS -- 1.8% $ 1,040,775 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $1,040,779. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $1,067,238. (d) 1,040,775 Page 44 See Notes to Financial Statements FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE ----------------------------------------------------------- REPURCHASE AGREEMENTS (CONTINUED) $ 2,225,976 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $2,225,985. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $2,277,277. (d) $ 2,225,976 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.8% 3,266,751 (Cost $3,266,751) --------------- TOTAL INVESTMENTS -- 102.4% 189,795,680 (Cost $211,399,217) (e) NET OTHER ASSETS AND LIABILITIES -- (2.4)% (4,527,824) --------------- NET ASSETS -- 100.0% $ 185,267,856 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $4,350,120 and the total value of the collateral held by the Fund is $4,283,250. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $6,474,757 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $28,078,294. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 184,959,268 $ -- $ -- Money Market Funds 1,569,661 -- -- Repurchase Agreements -- 3,266,751 -- ---------------------------------------- Total Investments $ 186,528,929 $ 3,266,751 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. See Notes to Financial Statements Page 45 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (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) $ 4,350,120 Non-cash Collateral(2) (4,283,250) ------------ Net Amount $ 66,870 ============ (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On January 30, 2015, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day, however, market movement from January 29 to January 30 reduced the collateral value below the value of the related securities loaned. See Note 2E - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 3,266,751 Non-cash Collateral(4) (3,266,751) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 46 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.1% COMMUNICATIONS EQUIPMENT -- 10.9% 581,605 ARRIS Group, Inc. (a) $ 15,249,683 741,510 Brocade Communications Systems, Inc. 8,245,591 473,451 Cisco Systems, Inc. 12,482,536 384,566 CommScope Holding Co., Inc. (a) 10,808,227 134,594 F5 Networks, Inc. (a) 15,023,382 183,373 Harris Corp. 12,309,830 786,682 Juniper Networks, Inc. 17,881,282 179,069 Palo Alto Networks, Inc. (a) 22,632,531 203,129 Riverbed Technology, Inc. (a) 4,180,395 --------------- 118,813,457 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 15.5% 244,737 Amphenol Corp., Class A 13,144,824 379,136 Arrow Electronics, Inc. (a) 20,867,645 510,205 Avnet, Inc. 21,234,732 624,105 CDW Corp. 21,381,837 957,196 Corning, Inc. 22,752,549 203,612 Dolby Laboratories, Inc., Class A 7,900,146 476,459 Ingram Micro, Inc., Class A (a) 11,997,238 55,337 IPG Photonics Corp. (a) (b) 4,130,354 402,181 Jabil Circuit, Inc. 8,288,950 277,720 Tech Data Corp. (a) 15,857,812 1,551,129 Vishay Intertechnology, Inc. 21,126,377 --------------- 168,682,464 --------------- INTERNET & CATALOG RETAIL -- 1.4% 2,125,774 Groupon, Inc. (a) 15,220,542 --------------- INTERNET SOFTWARE & SERVICES -- 9.5% 139,440 Akamai Technologies, Inc. (a) 8,109,133 285,230 AOL, Inc. (a) 12,336,197 38,711 Equinix, Inc. 8,394,867 112,532 Facebook, Inc., Class A (a) 8,542,304 144,427 IAC/InterActiveCorp 8,802,826 57,328 LinkedIn Corp., Class A (a) 12,883,895 468,884 Rackspace Hosting, Inc. (a) 21,081,025 72,741 VeriSign, Inc. (a) 3,962,930 434,530 Yahoo!, Inc. (a) 19,114,975 --------------- 103,228,152 --------------- IT SERVICES -- 10.8% 376,355 Amdocs Ltd. 18,132,784 250,077 Cognizant Technology Solutions Corp., Class A (a) 13,536,668 348,122 Computer Sciences Corp. 21,124,043 233,122 DST Systems, Inc. 22,542,897 208,507 Gartner, Inc. (a) 17,560,460 301,490 Teradata Corp. (a) 13,434,394 354,016 VeriFone Systems, Inc. (a) 11,112,562 --------------- 117,443,808 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 23.8% 1,552,755 Advanced Micro Devices, Inc. (a) (b) $ 3,990,580 112,223 Altera Corp. 3,694,942 74,680 Analog Devices, Inc. 3,891,201 704,605 Applied Materials, Inc. 16,093,178 493,884 Atmel Corp. (a) 4,114,054 218,196 Avago Technologies Ltd. 22,448,004 272,510 Cree, Inc. (a) (b) 9,635,954 869,937 Freescale Semiconductor Ltd. (a) (b) 27,916,278 483,845 Intel Corp. 15,986,239 58,967 KLA-Tencor Corp. 3,624,702 221,314 Lam Research Corp. 16,917,242 1,210,960 Marvell Technology Group Ltd. 18,757,770 130,091 Maxim Integrated Products, Inc. 4,304,711 626,926 Micron Technology, Inc. (a) 18,346,989 656,821 NVIDIA Corp. 12,614,247 1,733,348 ON Semiconductor Corp. (a) 17,350,814 301,874 Skyworks Solutions, Inc. 25,070,636 449,993 SunEdison, Inc. (a) (b) 8,428,369 887,266 Teradyne, Inc. 16,059,515 164,204 Texas Instruments, Inc. 8,776,704 --------------- 258,022,129 --------------- SOFTWARE -- 20.6% 435,700 Activision Blizzard, Inc. 9,103,952 50,567 ANSYS, Inc. (a) 4,079,240 69,028 Autodesk, Inc. (a) 3,727,857 576,654 CA, Inc. 17,472,616 462,811 Cadence Design Systems, Inc. (a) 8,325,970 466,842 Electronic Arts, Inc. (a) 25,610,952 715,859 Fortinet, Inc. (a) 21,400,605 108,715 Informatica Corp. (a) 4,531,785 44,969 Intuit, Inc. 3,904,209 189,001 Microsoft Corp. 7,635,640 120,623 NetSuite, Inc. (a) 11,872,922 195,232 Oracle Corp. 8,178,268 253,960 Red Hat, Inc. (a) 16,200,108 69,893 salesforce.com, inc. (a) 3,945,460 194,090 ServiceNow, Inc. (a) 14,149,161 440,444 SolarWinds, Inc. (a) 21,207,379 70,328 Splunk, Inc. (a) 3,632,441 513,308 Symantec Corp. 12,714,639 201,961 Synopsys, Inc. (a) 8,682,303 207,156 Tableau Software, Inc., Class A (a) 16,729,919 --------------- 223,105,426 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 7.2% 119,302 Apple, Inc. 13,977,422 119,688 Diebold, Inc. 3,734,266 295,197 EMC Corp. 7,654,458 328,162 Hewlett-Packard Co. 11,856,493 451,925 NCR Corp. (a) 11,478,895 See Notes to Financial Statements Page 47 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 100,029 NetApp, Inc. $ 3,781,096 134,396 SanDisk Corp. 10,202,001 158,626 Western Digital Corp. 15,423,206 --------------- 78,107,837 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 37,413 SBA Communications Corp., Class A (a) 4,366,097 --------------- TOTAL COMMON STOCKS -- 100.1% 1,086,989,912 (Cost $1,026,755,728) --------------- MONEY MARKET FUNDS -- 0.6% 6,206,025 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 6,206,025 (Cost $6,206,025) --------------- PRINCIPAL VALUE ----------- REPURCHASE AGREEMENTS -- 1.8% $ 6,354,235 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $6,354,262. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $6,515,799. (d) 6,354,235 13,590,234 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $13,590,291. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $13,903,442. (d) 13,590,234 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.8% 19,944,469 (Cost $19,944,469) --------------- TOTAL INVESTMENTS -- 102.5% 1,113,140,406 (Cost $1,052,906,222) (e) NET OTHER ASSETS AND LIABILITIES -- (2.5)% (27,233,454) --------------- NET ASSETS -- 100.0% $ 1,085,906,952 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $25,201,714 and the total value of the collateral held by the Fund is $26,150,494. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $81,577,272 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $21,343,088. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $1,086,989,912 $ -- $ -- Money Market Funds 6,206,025 -- -- Repurchase Agreements -- 19,944,469 -- ---------------------------------------- Total Investments $1,093,195,937 $19,944,469 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. Page 48 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (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) $ 25,201,714 Non-cash Collateral(2) (25,201,714) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) At January 31, 2015, 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) $ 19,944,469 Non-cash Collateral(4) (19,944,469) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 49 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% DIVERSIFIED TELECOMMUNICATION SERVICES -- 12.1% 1,003,049 AT&T, Inc. $ 33,020,373 851,263 CenturyLink, Inc. 31,641,446 3,030,776 Frontier Communications Corp. 20,351,661 272,903 Level 3 Communications, Inc. (a) 13,574,195 --------------- 98,587,675 --------------- ELECTRIC UTILITIES -- 34.6% 443,905 American Electric Power Co., Inc. 27,881,673 242,000 Duke Energy Corp. 21,087,880 308,706 Edison International 21,038,314 308,089 Entergy Corp. 26,960,868 908,643 Exelon Corp. 32,747,494 518,439 FirstEnergy Corp. 20,908,645 1,185,934 Great Plains Energy, Inc. 35,068,068 333,333 ITC Holdings Corp. 14,179,986 168,795 OGE Energy Corp. 5,938,208 500,454 Pepco Holdings, Inc. 13,737,462 295,959 Pinnacle West Capital Corp. 20,770,403 653,577 Westar Energy, Inc. 27,920,809 375,164 Xcel Energy, Inc. 14,079,905 --------------- 282,319,715 --------------- GAS UTILITIES -- 8.6% 494,499 AGL Resources, Inc. 27,879,854 107,453 Atmos Energy Corp. 6,115,150 387,619 National Fuel Gas Co. 24,586,673 236,937 Questar Corp. 6,148,515 157,688 UGI Corp. 5,832,879 --------------- 70,563,071 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 3.7% 434,968 AES (The) Corp. 5,315,309 608,948 Calpine Corp. (a) 12,714,834 500,055 NRG Energy, Inc. 12,331,356 --------------- 30,361,499 --------------- MULTI-UTILITIES -- 27.7% 90,210 Alliant Energy Corp. 6,189,308 438,210 Ameren Corp. 19,842,149 255,660 CenterPoint Energy, Inc. 5,903,189 408,308 Consolidated Edison, Inc. 28,287,578 234,084 DTE Energy Co. 20,987,971 173,118 Integrys Energy Group, Inc. 14,039,870 1,433,673 MDU Resources Group, Inc. 32,415,346 506,285 PG&E Corp. 29,774,621 813,629 Public Service Enterprise Group, Inc. 34,725,686 334,680 SCANA Corp. 21,342,544 292,320 TECO Energy, Inc. 6,235,186 129,561 Vectren Corp. 6,208,563 --------------- 225,952,011 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS -- 3.3% 422,707 Energen Corp. $ 26,808,078 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 9.9% 8,118,512 Sprint Corp. (a) 34,909,602 1,334,350 Telephone & Data Systems, Inc. 31,023,638 500,219 T-Mobile US, Inc. (a) 15,096,609 --------------- 81,029,849 --------------- TOTAL COMMON STOCKS -- 99.9% 815,621,898 (Cost $803,432,262) MONEY MARKET FUNDS -- 0.1% 761,507 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 761,507 (Cost $761,507) --------------- TOTAL INVESTMENTS -- 100.0% 816,383,405 (Cost $804,193,769) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 183,236 --------------- NET ASSETS -- 100.0% $ 816,566,641 =============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of January 31, 2015. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $26,786,953 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $14,597,317. Page 50 See Notes to Financial Statements FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 815,621,898 $ -- $ -- Money Market Funds 761,507 -- -- ---------------------------------------- Total Investments $ 816,383,405 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. See Notes to Financial Statements Page 51 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF ASSETS AND LIABILITIES JANUARY 31, 2015 (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............................................... $1,663,547,847 $2,353,356,343 $ 246,860,863 Cash................................................................ -- 78,843 86,470 Receivables: Capital shares sold........................................... 13,957,672 -- 4,867,388 Investment securities sold.................................... 1,365,862 43,965,262 -- Dividends..................................................... 443,099 16,622,050 89,579 Securities lending income..................................... 63,959 127,726 119,010 Interest...................................................... 15 8 11 Prepaid expenses.................................................... 17,932 18,199 8,715 -------------- -------------- -------------- TOTAL ASSETS.................................................. 1,679,396,386 2,414,168,431 252,032,036 -------------- -------------- -------------- LIABILITIES: Due to investment advisor........................................... 780,425 939,826 92,348 Due to custodian.................................................... 113,375 -- -- Payables: Capital shares redeemed....................................... -- -- -- Investment securities purchased............................... 14,018,514 43,888,921 4,865,733 Collateral for securities on loan............................. 25,765,566 59,327,205 17,697,136 Licensing fees................................................ 190,284 271,184 38,587 Printing fees................................................. 28,978 31,369 21,329 Audit and tax fees............................................ 14,481 14,481 14,481 Trustees' fees................................................ 1,363 3,518 184 Other liabilities................................................... 567,807 708,037 218,634 -------------- -------------- -------------- TOTAL LIABILITIES............................................. 41,480,793 105,184,541 22,948,432 -------------- -------------- -------------- NET ASSETS.......................................................... $1,637,915,593 $2,308,983,890 $ 229,083,604 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $1,685,283,522 $2,161,168,973 $ 399,386,538 Par value........................................................... 473,000 544,000 114,500 Accumulated net investment income (loss)............................ (365,697) 15,724,892 219,946 Accumulated net realized gain (loss) on investments................. (83,829,716) (22,901,555) (95,657,846) Net unrealized appreciation (depreciation) on investments........... 36,354,484 154,447,580 (74,979,534) -------------- -------------- -------------- NET ASSETS.......................................................... $1,637,915,593 $2,308,983,890 $ 229,083,604 ============== ============== ============== NET ASSET VALUE, per share.......................................... $ 34.63 $ 42.44 $ 20.01 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).......................... 47,300,002 54,400,002 11,450,002 ============== ============== ============== Investments, at cost................................................ $1,627,193,363 $2,198,908,763 $ 321,840,397 ============== ============== ============== Securities on loan, at value........................................ $ 24,711,604 $ 54,147,960 $ 18,005,670 ============== ============== ==============
Page 52 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) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 650,352,467 $2,813,769,680 $ 402,143,130 $ 189,795,680 $1,113,140,406 $ 816,383,405 -- 19,956 83,005 -- -- -- -- 15,352,114 -- -- -- 2,531,272 15,060,943 -- -- -- 3,338,756 6,287,958 406,376 311,854 160,151 122,274 76,424 823,773 3,435 146,831 1,100 5,137 5,459 2,331 3 81 8 10 4 13 12,092 30,693 14,241 8,871 10,801 3,541 -------------- -------------- -------------- -------------- -------------- -------------- 665,835,316 2,829,631,209 402,401,635 189,931,972 1,116,571,850 826,032,293 -------------- -------------- -------------- -------------- -------------- -------------- 405,776 1,146,013 206,717 82,533 453,569 365,994 1,868 -- -- -- 90,576 -- 12,362,143 -- -- -- 3,335,549 6,294,178 3,040,572 15,334,591 -- -- -- 2,529,206 1,917,910 39,698,067 484,575 4,283,250 26,150,494 -- 117,094 335,573 92,894 42,521 150,465 55,150 25,716 57,215 19,016 20,694 22,944 15,113 14,481 14,481 14,481 14,481 14,481 14,481 1,382 2,754 -- 493 2,280 801 422,324 895,322 386,113 220,144 444,540 190,729 -------------- -------------- -------------- -------------- -------------- -------------- 18,309,266 57,484,016 1,203,796 4,664,116 30,664,898 9,465,652 -------------- -------------- -------------- -------------- -------------- -------------- $ 647,526,050 $2,772,147,193 $ 401,197,839 $ 185,267,856 $1,085,906,952 $ 816,566,641 ============== ============== ============== ============== ============== ============== $ 663,144,039 $2,347,500,177 $ 485,525,526 $ 306,459,103 $1,050,189,022 $ 830,072,038 289,500 453,000 137,500 62,000 325,550 325,500 (195,490) (512,468) 1,894 57,956 (277,170) 343,489 10,794,237 124,659,849 (52,383,537) (99,707,666) (24,564,634) (26,364,022) (26,506,236) 300,046,635 (32,083,544) (21,603,537) 60,234,184 12,189,636 -------------- -------------- -------------- -------------- -------------- -------------- $ 647,526,050 $2,772,147,193 $ 401,197,839 $ 185,267,856 $1,085,906,952 $ 816,566,641 ============== ============== ============== ============== ============== ============== $ 22.37 $ 61.20 $ 29.18 $ 29.88 $ 33.36 $ 25.09 ============== ============== ============== ============== ============== ============== 28,950,002 45,300,002 13,750,002 6,200,002 32,555,000 32,550,002 ============== ============== ============== ============== ============== ============== $ 676,858,703 $2,513,723,045 $ 434,226,674 $ 211,399,217 $1,052,906,222 $ 804,193,769 ============== ============== ============== ============== ============== ============== $ 1,865,684 $ 38,047,280 $ 469,560 $ 4,350,120 $ 25,201,714 $ -- ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 53 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2015 (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........................................................... $ 8,718,322 $ 29,476,623 $ 4,925,794 Securities lending income (net of fees)............................. 179,007 400,107 732,456 Interest............................................................ 81 140 70 Foreign tax withholding............................................. (11,193) -- (10,555) -------------- -------------- -------------- Total investment income....................................... 8,886,217 29,876,870 5,647,765 -------------- -------------- -------------- EXPENSES: Investment advisory fees............................................ 3,475,726 4,500,801 1,115,280 Accounting and administration fees.................................. 329,896 411,324 112,508 Licensing fees...................................................... 278,058 360,064 89,222 Custodian fees...................................................... 88,847 125,070 38,452 Transfer agent fees................................................. 29,964 35,107 11,153 Expenses previously waived or reimbursed............................ 29,589 -- -- Legal fees.......................................................... 28,772 55,913 12,973 Printing fees....................................................... 23,728 32,119 30,617 Registration and filing fees........................................ 23,061 (20,852) 1,855 Audit and tax fees.................................................. 12,090 12,090 12,090 Trustees' fees and expenses......................................... 11,015 16,156 4,970 Listing fees........................................................ 4,822 4,822 4,090 Other expenses...................................................... 18,406 18,003 8,348 -------------- -------------- -------------- Total expenses................................................ 4,353,974 5,550,617 1,441,558 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 4,532,243 24,326,253 4,206,207 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (42,285,937) (41,318,664) (37,091,052) In-kind redemptions........................................... 82,818,801 66,076,766 (15,432,542) -------------- -------------- -------------- Net realized gain (loss)............................................ 40,532,864 24,758,102 (52,523,594) -------------- -------------- -------------- Net change in unrealized appreciation (depreciation) on investments................................................... (7,013,963) 161,441,523 (83,354,423) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 33,518,901 186,199,625 (135,878,017) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ 38,051,144 $ 210,525,878 $ (131,671,810) ============== ============== ==============
Page 54 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) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 10,381,376 $ 5,716,348 $ 6,832,520 $ 4,174,520 $ 8,066,460 $ 5,359,831 87,951 1,254,354 20,246 354,739 44,818 97,007 130 209 67 68 59 51 (7,998) -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 10,461,459 6,970,911 6,852,833 4,529,327 8,111,337 5,456,889 -------------- -------------- -------------- -------------- -------------- -------------- 2,213,029 6,078,764 2,062,754 1,090,789 2,560,314 901,680 221,290 535,621 204,718 110,061 252,566 91,077 177,042 486,301 165,020 87,263 204,825 72,134 99,200 156,773 82,577 44,962 86,072 46,689 21,682 42,997 19,902 10,908 24,431 9,017 -- -- -- 6,073 -- 73,308 17,996 60,835 10,746 6,917 37,151 13,715 29,588 66,534 17,650 24,377 28,311 26,353 4,750 (9,099) (14,143) 567 4,358 3,295 12,090 12,090 12,090 12,090 12,090 12,090 7,295 18,455 6,992 4,221 10,168 4,096 4,822 4,822 4,822 4,090 4,090 4,090 11,808 29,286 12,533 9,011 10,475 4,807 -------------- -------------- -------------- -------------- -------------- -------------- 2,820,592 7,483,379 2,585,661 1,411,329 3,234,851 1,262,351 -------------- -------------- -------------- -------------- -------------- -------------- 7,640,867 (512,468) 4,267,172 3,117,998 4,876,486 4,194,538 -------------- -------------- -------------- -------------- -------------- -------------- (15,548,554) (40,659,433) (31,959,647) (23,994,670) (20,820,698) (11,747,660) 52,352,129 230,212,544 7,486,309 (7,851,765) 64,499,433 3,603,177 -------------- -------------- -------------- -------------- -------------- -------------- 36,803,575 189,553,111 (24,473,338) (31,846,435) 43,678,735 (8,144,483) -------------- -------------- -------------- -------------- -------------- -------------- (34,749,630) 128,231,663 (3,474,969) (6,665,668) 30,717,823 22,925,836 -------------- -------------- -------------- -------------- -------------- -------------- 2,053,945 317,784,774 (27,948,307) (38,512,103) 74,396,558 14,781,353 -------------- -------------- -------------- -------------- -------------- -------------- $ 9,694,812 $ 317,272,306 $ (23,681,135) $ (35,394,105) $ 79,273,044 $ 18,975,891 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 55 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST CONSUMER DISCRETIONARY CONSUMER STAPLES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) ---------------------------------- ---------------------------------- For the For the Six Months Ended For the Six Months Ended For the 1/31/2015 Year Ended 1/31/2015 Year Ended (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)......................... $ 4,532,243 $ 3,790,985 $ 24,326,253 $ 14,130,238 Net realized gain (loss)............................. 40,532,864 148,984,383 24,758,102 177,261,206 Net change in unrealized appreciation (depreciation). (7,013,963) (68,204,279) 161,441,523 (103,182,973) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations................................... 38,051,144 84,571,089 210,525,878 88,208,471 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................ (4,897,940) (3,883,480) (9,227,256) (14,344,261) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................ 1,454,368,902 1,040,900,674 1,645,503,197 1,566,304,476 Cost of shares redeemed.............................. (792,666,216) (915,977,666) (597,546,189) (1,238,199,805) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions..................... 661,702,686 124,923,008 1,047,957,008 328,104,671 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets.............. 694,855,890 205,610,617 1,249,255,630 401,968,881 NET ASSETS: Beginning of period.................................. 943,059,703 737,449,086 1,059,728,260 657,759,379 -------------- -------------- -------------- -------------- End of period........................................ $1,637,915,593 $ 943,059,703 $2,308,983,890 $1,059,728,260 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period.................................. $ (365,697) $ -- $ 15,724,892 $ 625,895 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............. 29,250,002 25,600,002 28,100,002 19,800,002 Shares sold.......................................... 42,450,000 33,100,000 40,700,000 41,650,000 Shares redeemed...................................... (24,400,000) (29,450,000) (14,400,000) (33,350,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period.................... 47,300,002 29,250,002 54,400,002 28,100,002 ============== ============== ============== ==============
Page 56 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST ENERGY FINANCIALS HEALTH CARE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXN) (FXO) (FXH) ---------------------------------- ---------------------------------- ---------------------------------- For the For the For the Six Months Ended For the Six Months Ended For the Six Months Ended For the 1/31/2015 Year Ended 1/31/2015 Year Ended 1/31/2015 Year Ended (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 4,206,207 $ 4,908,060 $ 7,640,867 $ 11,428,474 $ (512,468) $ (218,572) (52,523,594) 86,810,065 36,803,575 93,303,018 189,553,111 288,012,505 (83,354,423) (5,890,870) (34,749,630) (36,042,445) 128,231,663 31,591,086 -------------- -------------- -------------- -------------- -------------- -------------- (131,671,810) 85,827,255 9,694,812 68,689,047 317,272,306 319,385,019 -------------- -------------- -------------- -------------- -------------- -------------- (4,556,630) (4,410,821) (9,420,125) (10,277,236) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 111,714,808 1,307,915,710 750,144,496 1,079,948,000 1,633,819,961 2,307,072,087 (560,327,971) (766,542,117) (1,007,341,518) (632,731,226) (1,330,852,143) (1,456,115,787) -------------- -------------- -------------- -------------- -------------- -------------- (448,613,163) 541,373,593 (257,197,022) 447,216,774 302,967,818 850,956,300 -------------- -------------- -------------- -------------- -------------- -------------- (584,841,603) 622,790,027 (256,922,335) 505,628,585 620,240,124 1,170,341,319 813,925,207 191,135,180 904,448,385 398,819,800 2,151,907,069 981,565,750 -------------- -------------- -------------- -------------- -------------- -------------- $ 229,083,604 $ 813,925,207 $ 647,526,050 $ 904,448,385 $2,772,147,193 $2,151,907,069 ============== ============== ============== ============== ============== ============== $ 219,946 $ 570,369 $ (195,490) $ 1,583,768 $ (512,468) $ -- ============== ============== ============== ============== ============== ============== 29,000,002 8,450,002 41,800,002 20,150,002 40,500,002 23,050,002 4,750,000 50,200,000 32,600,000 50,850,000 28,150,000 46,450,000 (22,300,000) (29,650,000) (45,450,000) (29,200,000) (23,350,000) (29,000,000) -------------- -------------- -------------- -------------- -------------- -------------- 11,450,002 29,000,002 28,950,002 41,800,002 45,300,002 40,500,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 57 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST INDUSTRIALS/PRODUCER DURABLES MATERIALS ALPHADEX(R) FUND ALPHADEX(R) FUND (FXR) (FXZ) ---------------------------------- ---------------------------------- For the For the Six Months Ended For the Six Months Ended For the 1/31/2015 Year Ended 1/31/2015 Year Ended (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)........................... $ 4,267,172 $ 6,744,219 $ 3,117,998 $ 6,580,566 Net realized gain (loss)............................... (24,473,338) 129,713,855 (31,846,435) 101,658,145 Net change in unrealized appreciation (depreciation)... (3,474,969) (54,351,889) (6,665,668) (31,451,875) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations..................................... (23,681,135) 82,106,185 (35,394,105) 76,786,836 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.................................. (4,499,510) (6,616,946) (3,772,156) (5,962,686) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.............................. 521,088,541 1,715,307,246 360,187,225 1,148,478,312 Cost of shares redeemed................................ (972,747,564) (1,141,171,984) (842,176,615) (764,227,555) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions....................... (451,659,023) 574,135,262 (481,989,390) 384,250,757 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................ (479,839,668) 649,624,501 (521,155,651) 455,074,907 NET ASSETS: Beginning of period.................................... 881,037,507 231,413,006 706,423,507 251,348,600 -------------- -------------- -------------- -------------- End of period.......................................... $ 401,197,839 $ 881,037,507 $ 185,267,856 $ 706,423,507 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period.................................... $ 1,894 $ 234,232 $ 57,956 $ 712,114 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................ 30,100,002 9,600,002 21,700,002 9,000,002 Shares sold............................................ 17,500,000 60,050,000 11,550,000 35,800,000 Shares redeemed........................................ (33,850,000) (39,550,000) (27,050,000) (23,100,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period...................... 13,750,002 30,100,002 6,200,002 21,700,002 ============== ============== ============== ==============
Page 58 See Notes to Financial Statements
FIRST TRUST FIRST TRUST TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXL) (FXU) ---------------------------------- ---------------------------------- For the For the Six Months Ended For the Six Months Ended For the 1/31/2015 Year Ended 1/31/2015 Year Ended (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 ---------------- ---------------- ---------------- ---------------- $ 4,876,486 $ 1,678,290 $ 4,194,538 $ 4,859,744 43,678,735 107,612,553 (8,144,483) 14,250,580 30,717,823 (3,025,670) 22,925,836 (16,291,583) -------------- -------------- -------------- -------------- 79,273,044 106,265,173 18,975,891 2,818,741 -------------- -------------- -------------- -------------- (5,153,656) (2,038,763) (4,380,181) (4,647,816) -------------- -------------- -------------- -------------- 563,295,983 1,119,758,790 706,703,426 888,980,450 (386,475,776) (673,560,847) (539,583,728) (457,854,587) -------------- -------------- -------------- -------------- 176,820,207 446,197,943 167,119,698 431,125,863 -------------- -------------- -------------- -------------- 250,939,595 550,424,353 181,715,408 429,296,788 834,967,357 284,543,004 634,851,233 205,554,445 -------------- -------------- -------------- -------------- $1,085,906,952 $ 834,967,357 $ 816,566,641 $ 634,851,233 ============== ============== ============== ============== $ (277,170) $ -- $ 343,489 $ 529,132 ============== ============== ============== ============== 26,305,000 10,955,000 28,100,002 10,000,002 17,800,000 37,100,000 28,100,000 39,900,000 (11,550,000) (21,750,000) (23,650,000) (21,800,000) -------------- -------------- -------------- -------------- 32,555,000 26,305,000 32,550,002 28,100,002 ============== ============== ============== ==============
See Notes to Financial Statements Page 59 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)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 32.24 $ 28.81 $ 20.52 $ 21.35 $ 15.91 $ 12.77 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.11 0.13 0.29 0.18 0.08 0.06 Net realized and unrealized gain (loss) 2.40 3.43 8.29 (0.84) 5.44 3.14 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.51 3.56 8.58 (0.66) 5.52 3.20 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.12) (0.13) (0.29) (0.17) (0.08) (0.06) Return of capital -- -- -- -- -- (0.00) (a) ---------- ---------- ---------- ---------- ---------- ---------- Total distributions (0.12) (0.13) (0.29) (0.17) (0.08) (0.06) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.63 $ 32.24 $ 28.81 $ 20.52 $ 21.35 $ 15.91 ========== ========== ========== ========== ========== ========== TOTAL RETURN (b) 7.79% 12.37% 42.17% (3.06)% 34.75% 25.08% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,637,916 $ 943,060 $ 737,449 $ 424,739 $ 625,596 $ 136,855 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (c) 0.70% 0.72% 0.72% 0.73% 0.86% Ratio of net expenses to average net assets 0.63% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.65% (c) 0.42% 1.20% 0.84% 0.44% 0.47% Portfolio turnover rate (d) 69% 100% 99% 98% 90% 114%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 37.71 $ 33.22 $ 23.50 $ 24.49 $ 18.82 $ 16.39 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.48 0.51 0.35 0.42 0.17 0.18 Net realized and unrealized gain (loss) 4.46 4.51 9.85 (1.16) 5.68 2.43 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.94 5.02 10.20 (0.74) 5.85 2.61 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.21) (0.53) (0.48) (0.25) (0.18) (0.18) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 42.44 $ 37.71 $ 33.22 $ 23.50 $ 24.49 $ 18.82 ========== ========== ========== ========== ========== ========== TOTAL RETURN (b) 13.12% 15.14% 43.89% (3.03)% 31.21% 15.97% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,308,984 $1,059,728 $ 657,759 $ 347,740 $ 249,781 $ 25,406 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% (c) 0.69% 0.71% 0.74% 0.79% 0.98% Ratio of net expenses to average net assets 0.62% (c) 0.69% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 2.70% (c) 1.59% 1.37% 1.97% 0.80% 1.18% Portfolio turnover rate (d) 48% 100% 107% 126% 108% 95%
(a) Amount represents less than $0.01 per share. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 60 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)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 28.07 $ 22.62 $ 18.51 $ 23.75 $ 16.05 $ 13.62 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.22 0.27 0.23 0.14 0.10 0.06 Net realized and unrealized gain (loss) (8.06) 5.43 4.12 (5.25) 7.71 2.42 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (7.84) 5.70 4.35 (5.11) 7.81 2.48 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.22) (0.25) (0.24) (0.13) (0.11) (0.05) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 20.01 $ 28.07 $ 22.62 $ 18.51 $ 23.75 $ 16.05 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (28.06)% 25.30% 23.62% (21.50)% 48.70% 18.26% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 229,084 $ 813,925 $ 191,135 $ 123,065 $ 168,610 $ 44,149 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (b) 0.70% 0.74% 0.76% 0.75% 0.89% Ratio of net expenses to average net assets 0.65% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.89% (b) 1.10% 0.82% 0.63% 0.42% 0.36% Portfolio turnover rate (c) 35% 72% 93% 90% 101% 103%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 21.64 $ 19.79 $ 14.47 $ 14.04 $ 13.02 $ 10.37 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.21 (d) 0.33 0.32 0.21 0.30 0.11 Net realized and unrealized gain (loss) 0.72 1.83 5.32 0.42 1.05 2.65 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.93 2.16 5.64 0.63 1.35 2.76 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.20) (0.31) (0.32) (0.20) (0.33) (0.11) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 22.37 $ 21.64 $ 19.79 $ 14.47 $ 14.04 $ 13.02 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 4.27% 10.95% 39.45% 4.57% 10.25% 26.68% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 647,526 $ 904,448 $ 398,820 $ 208,369 $ 100,380 $ 126,257 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% (b) 0.69% 0.72% 0.74% 0.74% 0.87% Ratio of net expenses to average net assets 0.64% (b) 0.69% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.73% (b) 1.61% 1.92% 1.61% 1.68% 1.43% Portfolio turnover rate (c) 40% 55% 65% 93% 62% 89%
(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. (d) Based on average shares outstanding. See Notes to Financial Statements Page 61 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)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 53.13 $ 42.58 $ 30.00 $ 28.54 $ 21.56 $ 17.66 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.01) (0.01) 0.13 0.02 0.01 (0.03) Net realized and unrealized gain (loss) 8.08 10.56 12.58 1.46 7.03 3.93 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 8.07 10.55 12.71 1.48 7.04 3.90 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- (0.13) (0.02) (0.06) -- ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 61.20 $ 53.13 $ 42.58 $ 30.00 $ 28.54 $ 21.56 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 15.17% 24.78% 42.49% 5.17% 32.67% 22.08% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,772,147 $2,151,907 $ 981,566 $ 532,448 $ 241,135 $ 47,439 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% (b) 0.67% 0.71% 0.73% 0.75% 0.87% Ratio of net expenses to average net assets 0.62% (b) 0.67% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets (0.04)% (b) (0.01)% 0.36% 0.07% 0.01% (0.19)% Portfolio turnover rate (c) 52% 81% 96% 109% 116% 87%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 29.27 $ 24.11 $ 17.76 $ 18.06 $ 15.42 $ 12.03 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.19 0.24 0.32 0.16 0.08 0.11 Net realized and unrealized gain (loss) (0.08) 5.16 6.34 (0.29) 2.65 3.39 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.11 5.40 6.66 (0.13) 2.73 3.50 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.20) (0.24) (0.31) (0.17) (0.09) (0.11) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.18 $ 29.27 $ 24.11 $ 17.76 $ 18.06 $ 15.42 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.34% 22.44% 37.92% (0.72)% 17.68% 29.16% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 401,198 $ 881,038 $ 231,413 $ 103,876 $ 65,913 $ 30,845 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.69% 0.74% 0.78% 0.79% 0.99% Ratio of net expenses to average net assets 0.63% (b) 0.69% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.03% (b) 0.99% 1.65% 0.77% 0.47% 0.95% Portfolio turnover rate (c) 53% 95% 110% 97% 102% 95%
(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 redemption and in-kind transactions. Page 62 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)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 32.55 $ 27.93 $ 22.79 $ 24.22 $ 19.98 $ 15.26 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.33 0.35 0.57 0.29 0.22 0.25 Net realized and unrealized gain (loss) (2.64) 4.60 5.17 (1.45) 4.40 4.72 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.31) 4.95 5.74 (1.16) 4.62 4.97 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.36) (0.33) (0.60) (0.27) (0.38) (0.25) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.88 $ 32.55 $ 27.93 $ 22.79 $ 24.22 $ 19.98 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (7.17)% 17.73% 25.39% (4.78)% 23.12% 32.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 185,268 $ 706,424 $ 251,349 $ 144,689 $ 588,549 $ 148,839 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (b) 0.70% 0.73% 0.73% 0.73% 0.84% Ratio of net expenses to average net assets 0.65% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.43% (b) 1.16% 1.75% 1.14% 0.77% 1.15% Portfolio turnover rate (c) 51% 76% 82% 92% 116% 90%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 31.74 $ 25.97 $ 20.97 $ 21.81 $ 18.12 $ 14.47 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.16 0.08 0.13 (0.01) (0.02) (0.04) Net realized and unrealized gain (loss) 1.62 5.78 5.00 (0.82) 3.72 3.69 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.78 5.86 5.13 (0.83) 3.70 3.65 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.16) (0.09) (0.13) (0.01) (0.01) -- ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 33.36 $ 31.74 $ 25.97 $ 20.97 $ 21.81 $ 18.12 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 5.59% 22.59% 24.54% (3.80)% 20.40% 25.22% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,085,907 $ 834,967 $ 284,543 $ 216,060 $ 197,529 $ 59,875 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.70% 0.72% 0.74% 0.74% 0.90% Ratio of net expenses to average net assets 0.63% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.95% (b) 0.28% 0.53% (0.06)% (0.14)% (0.40)% Portfolio turnover rate (c) 43% 85% 82% 101% 109% 112%
(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 63 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)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 22.59 $ 20.56 $ 18.34 $ 17.65 $ 15.42 $ 13.66 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.37 0.59 0.64 0.45 0.39 0.38 Net realized and unrealized gain (loss) 2.51 2.04 2.22 0.70 2.22 1.76 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.88 2.63 2.86 1.15 2.61 2.14 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.38) (0.60) (0.64) (0.46) (0.38) (0.38) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 25.09 $ 22.59 $ 20.56 $ 18.34 $ 17.65 $ 15.42 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 12.85% 13.08% 15.91% 6.65% 17.03% 15.80% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 816,567 $ 634,851 $ 205,554 $ 147,658 $ 87,366 $ 30,837 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.73% 0.72% 0.79% 0.92% 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 2.33% (b) 2.31% 3.53% 2.83% 2.77% 2.97% Portfolio turnover rate (c) 52% 83% 74% 72% 66% 60%
(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 64 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (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, each type having a separate report. This report covers the nine Sector Funds listed below. The shares of each Sector Fund are listed and traded on the NYSE Arca, Inc. First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD") First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG") First Trust Energy AlphaDEX(R) Fund - (ticker "FXN") First Trust Financials AlphaDEX(R) Fund - (ticker "FXO") First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH") First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker "FXR") First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ") First Trust Technology AlphaDEX(R) Fund - (ticker "FXL") First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU") Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Creation Units are issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index (1) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index (1) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index (1) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index (1) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index (1) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index (1) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index (1) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index (1) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index (1)
(1) This index is developed, maintained and sponsored by NYSE Group, Inc. or its affiliates ("NYSE Group"), and licensed to First Trust Portfolios L.P. ("FTP"), the distributor of the Trust, by Archipelago Holdings, Inc. ("Archipelago"), an affiliate of NYSE Group. Prior to the acquisition of the American Stock Exchange LLC (the "AMEX") by NYSE Group, the index was developed, maintained and sponsored by AMEX. 2. SIGNIFICANT ACCOUNTING POLICIES The 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. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. 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 Page 65 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (UNAUDITED) 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(R) Stock Market, LLC ("NASDAQ") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for NASDAQ and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Securities traded in an over-the-counter market are 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 fair valued at cost. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. 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, 2015, is included with each Fund's Portfolio of Investments. Page 66 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (UNAUDITED) B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Accounting Standards Update No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11") requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the 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. In addition, Accounting Standards Update No. 2013-1 "Clarifying the Scope of Offsetting Assets and Liabilities" ("ASU 2013-1"), specifies exactly which transactions are subject to offsetting disclosures. The scope of the disclosure requirements is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. 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. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund's costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of bankruptcy of the seller, a Fund could suffer additional losses if a court determines that the Fund's interest in the collateral is not enforceable. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the six months ended January 31, 2015, were received as collateral for lending securities. E. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the 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, Page 67 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (UNAUDITED) which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At January 31, 2015, all the Funds except FXU have securities in the securities lending program. During the six months ended January 31, 2015, all the Funds participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. F. DIVIDENDS AND DISTRIBUTION TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2014 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 $ 3,883,480 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 14,344,261 -- -- First Trust Energy AlphaDEX(R) Fund 4,410,821 -- -- First Trust Financials AlphaDEX(R) Fund 10,277,236 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 6,616,946 -- -- First Trust Materials AlphaDEX(R) Fund 5,962,686 -- -- First Trust Technology AlphaDEX(R) Fund 2,038,763 -- -- First Trust Utilities AlphaDEX(R) Fund 4,647,816 -- --
As of July 31, 2014, 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 $ -- $ (118,317,748) $ 37,323,615 First Trust Consumer Staples AlphaDEX(R) Fund 625,895 (44,030,733) (10,622,867) First Trust Energy AlphaDEX(R) Fund 570,369 (38,264,390) 3,505,027 First Trust Financials AlphaDEX(R) Fund 1,524,762 (20,184,451) 2,477,513 First Trust Health Care AlphaDEX(R) Fund -- (47,611,432) 154,533,142 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 234,232 (23,332,341) (33,186,433) First Trust Materials AlphaDEX(R) Fund 712,114 (64,599,728) (18,199,372) First Trust Technology AlphaDEX(R) Fund -- (63,464,534) 24,737,526 First Trust Utilities AlphaDEX(R) Fund 529,132 (15,034,887) (13,920,852)
Page 68 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (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 the Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2011, 2012, 2013 and 2014 remain open to federal and state audit. As of January 31, 2015, 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 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, 2014, the Funds had pre-enactment and post-enactment net capital losses for federal income tax purposes as shown in the following table. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to Fund shareholders. The Funds are subject to certain limitations, under U.S. tax rules, on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership.
Capital Loss Capital Loss Capital Loss Capital Loss Capital Loss Post Total Available Available Available Available Available Enactment - Capital through through through through through No Loss 7/31/2015 7/31/2016 7/31/2017 7/31/2018 7/31/2019 Expiration Available ------------- ------------- ------------- ------------- ------------- ------------- ------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,058 $ 64,889 $ 783,283 $ 1,138,594 $ 9,617,858 $ 106,711,066 $ 118,317,748 First Trust Consumer Staples AlphaDEX(R) Fund -- 63,580 422,511 1,058,131 -- 42,486,511 44,030,733 First Trust Energy AlphaDEX(R) Fund -- 73,845 2,326,320 2,084,336 3,349,453 30,430,436 38,264,390 First Trust Financials AlphaDEX(R) Fund 2,757 13,300 671,958 1,630,337 3,464,108 14,401,991 20,184,451 First Trust Health Care AlphaDEX(R) Fund 18,355 28,397 774,570 2,582,977 1,764,162 42,442,971 47,611,432 First Trust Industrials/ Producer Durables AlphaDEX(R) Fund 23,631 183,210 798,398 1,325,584 1,133,736 19,867,782 23,332,341 First Trust Materials AlphaDEX(R) Fund 4,424 13,424 1,265,429 886,622 7,397,299 55,032,530 64,599,728 First Trust Technology AlphaDEX(R) Fund 12,398 22,456 1,608,491 2,508,150 2,516,610 56,796,429 63,464,534 First Trust Utilities AlphaDEX(R) Fund -- -- 557,777 1,956,482 -- 12,520,628 15,034,887
H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. FTP has entered into licensing agreements with Archipelago for each of the Funds. The license agreements allow for the use by FTP of certain trademarks and trade names of Archipelago and certain trademarks and trade names of NYSE Group, Inc. The Funds and the Advisor are sub-licensees to the license agreement. The Funds are required to pay licensing fees, which are shown on the Statements of Operations. I. ACCOUNTING PRONOUNCEMENT In June 2014, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. A repurchase-to-maturity transaction is one where the repurchase agreement settles at the same time as the maturity of the transferred financial asset. These transactions, unlike other repurchase agreements, were accounted for as sales and purchases instead of being treated as secured Page 69 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (UNAUDITED) borrowings. This ASU changes that accounting practice and treats all repurchase agreements as secured borrowings. The ASU additionally requires two new disclosures which are intended to: a) disclose information on transferred assets accounted for as sales in transactions that are economically similar to repurchase agreements, and b) provide increased transparency about the types of collateral pledged in repurchase agreements and similar transactions accounted for as secured borrowings. The ASU impacts all entities that enter into repurchase-to-maturity transactions, entities that account for these transactions as a sale and a purchase, and entities that engage in repurchase agreements and securities lending transactions. The ASU is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds' financial statement disclosures. 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 these services, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least November 30, 2015. Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses were reimbursed or fees waived by First Trust. These amounts are included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the six months ended January 31, 2015 and the fees waived or expenses borne by the Advisor subject to recovery from each Fund for the periods indicated were as follows:
Fees Waived or Expenses Borne by Advisor Subject to Recovery ------------------------------------------------------------------- Advisory Expense Year Year Year Six Months Fee Reim- Ended Ended Ended Ended Waivers bursements 7/31/2012 7/31/2013 7/31/2014 1/31/2015 Total ---------- ---------- ------------- ------------- ------------- ---------- ---------- First Trust Utilities AlphaDEX(R) Fund $ -- $ -- $ -- $ 12,902 $ -- $ -- $ 12,902
During the six months ended January 31, 2015, the Advisor recovered fees that were previously waived from First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund and First Trust Utilities AlphaDEX(R) Fund of $29,589, $6,073 and $73,308, respectively. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the servicing agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for the Trust. As custodian, BNYM is responsible for custody of the Trust's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Trust's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for the Trust. 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 pro rata among each fund in the First Trust Fund Complex based on net assets. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund or is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. Page 70 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (UNAUDITED) 4. PURCHASES AND SALES OF SECURITIES For the six months ended January 31, 2015, 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 $ 950,928,986 $ 949,469,424 First Trust Consumer Staples AlphaDEX(R) Fund 849,604,620 879,754,024 First Trust Energy AlphaDEX(R) Fund 152,559,408 152,755,960 First Trust Financials AlphaDEX(R) Fund 326,383,699 326,861,701 First Trust Health Care AlphaDEX(R) Fund 1,266,807,452 1,271,968,732 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 426,303,127 423,649,805 First Trust Materials AlphaDEX(R) Fund 212,228,473 208,236,524 First Trust Technology AlphaDEX(R) Fund 439,285,010 438,842,643 First Trust Utilities AlphaDEX(R) Fund 240,708,486 240,466,380
For the six months ended January 31, 2015, 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 $ 1,452,108,928 $ 792,319,410 First Trust Consumer Staples AlphaDEX(R) Fund 1,644,973,457 567,468,964 First Trust Energy AlphaDEX(R) Fund 111,592,158 560,129,660 First Trust Financials AlphaDEX(R) Fund 748,803,733 1,005,791,643 First Trust Health Care AlphaDEX(R) Fund 1,632,654,418 1,328,125,978 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 520,768,726 975,343,936 First Trust Materials AlphaDEX(R) Fund 354,858,272 841,794,794 First Trust Technology AlphaDEX(R) Fund 563,456,460 386,496,097 First Trust Utilities AlphaDEX(R) Fund 705,196,422 539,016,483
5. CREATION, REDEMPTION & TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares. 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. Purchasers of Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: NUMBER OF SECURITIES CREATION IN A CREATION UNIT TRANSACTION FEE ------------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per Share of a Fund on the transaction date times the number of Shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes. Parties redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: NUMBER OF SECURITIES REDEMPTION IN A CREATION UNIT TRANSACTION FEE ------------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 Page 71 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (UNAUDITED) The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, the Funds will not pay 12b-1 fees any time before December 31, 2015. 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: On March 9, 2015, the Board of Trustees of the Funds approved the continuation of the Recovery Agreement to November 30, 2016, and the Distribution and Service Plan to December 31, 2016. Page 72 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Funds' website located at http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. PORTFOLIO HOLDINGS The Trust files its complete schedule of each Fund's portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by calling (800) 988-5891; (2) on the Funds' website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND. The following summarizes some of the risks that should be considered for the Funds. Each Fund's shares will change in value, and you could lose money by investing in a Fund. Shares are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates and perceived trends in stock prices. Overall stock values could decline generally or could underperform other investments. Overall stock market values could decline generally or could underperform other investments. An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the Fund shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase ETF shares directly from a Fund and individual ETF shares are not redeemable. However, specified large blocks of ETF shares called creation units can be purchased from, or redeemed to, a Fund. Each Fund is subject to index tracking risk. You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index. Each Fund's return may not match the return of the index it seeks to track for a number of reasons. While First Trust seeks to have a correlation of 0.95 or better, before expenses, between a Fund's performance and the performance of its corresponding index, there can be no assurance that a Fund will be able to achieve such a correlation. Accordingly, each Fund's performance may correlate to a lesser extent and may possibly vary substantially from the performance of its corresponding index. Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. As a result, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from the index the Fund seeks to track. Each Fund relies on a license and related sublicense from an index provider that permits it to use its corresponding index and associated trade names, trademarks and service marks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. There is no guarantee the index provider has all the rights to license such intellectual property on behalf of the Fund. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund. Each Fund is subject to issuer specific change risk. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. Page 73 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (UNAUDITED) Each Fund may be concentrated in stocks of companies in an individual industry if the Fund's corresponding index is concentrated in such industry. A concentration makes a Fund more susceptible to any single occurrence affecting the industry and may subject a Fund to greater market risk than more diversified funds. Each Fund is considered to be non-diversified. As a result, each Fund is exposed to additional market risk. A non-diversified fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, changes in the market value of a single portfolio security could cause greater fluctuations in share price than would occur in a diversified fund. Furthermore, non-diversified funds are more susceptible to any single political, regulatory or economic occurrence. Each Fund is not actively managed. A Fund may be affected by a general decline in certain market segments relating to a Fund's corresponding index. A Fund invests in securities included in or representative of its corresponding index regardless of its investment merit. A Fund generally will not attempt to take defensive positions in declining markets. The First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R) Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund and the First Trust Utilities AlphaDEX(R) Fund may invest in small capitalization and/or mid capitalization companies. Such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies. The First Trust Consumer Discretionary AlphaDEX(R) Fund invests in the securities of companies in the consumer discretionary sector. Companies in the consumer discretionary sector manufacture products and provide discretionary services directly to the consumer, and the success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace. The First Trust Consumer Staples AlphaDEX(R) Fund invests in the securities of companies in the consumer staples sector. Companies in the consumer staples sector provide products directly to the consumer that are typically considered non-discretionary items based on consumer purchasing habits and may be affected by a variety of factors which could impact company profitability. For instance, government regulations may affect the permissibility of using various food additives and the production methods of companies that manufacture food products. The First Trust Energy AlphaDEX(R) Fund invests in the securities of companies in the energy sector. The companies in the energy sector include integrated oil companies that are involved in the exploration, production and refining process, gas distributors and pipeline-related companies and other energy companies involved with mining, producing and delivering energy-related services and drilling. General problems of issuers in the energy sector include volatile fluctuations in price and supply of energy fuels, international politics, terrorist attacks, reduced demand, the success of exploration projects, clean-up and litigation costs relating to oil spills and environmental damage, and tax and other regulatory policies of various governments. Natural disasters such as hurricanes in the Gulf of Mexico will also impact the petroleum industry. Oil production and refining companies are subject to extensive federal, state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials. In addition, oil prices have been extremely volatile. The First Trust Financials AlphaDEX(R) Fund invests in the securities of companies in the financials sector. Banks, thrifts and their holding companies are especially subject to the adverse effects of economic recession; decreases in the availability of capital; volatile interest rates; portfolio concentrations in geographic markets and in commercial and residential real estate loans; and competition from new entrants in their fields of business. In addition, the Fund may invest in companies that may be significantly affected by the downturn in the U.S. and world economies that began with the significant decline in the subprime mortgage lending market in the United States. The First Trust Health Care AlphaDEX(R) Fund invests in the securities of companies in the health care sector. Companies in the health care sector are involved in medical services or health care, including biotechnology research and production, drugs and pharmaceuticals and health care facilities and services, and are subject to extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation. Research and development costs of bringing new drugs to market are substantial, and there is no guarantee that the product will ever come to market. Health care facility operators may be affected by the demand for services, efforts by government or insurers to limit rates, restriction of government financial assistance and competition from other providers. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund invests in the securities of companies in the industrials and producer durables sectors. Many companies in these sectors convert unfinished goods into finished durables used to manufacture other goods or provide services. Some industries included in these sectors are electrical equipment and components, industrial products, manufactured housing and telecommunications equipment. General risks of these companies include the general state of the economy, intense Page 74 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2015 (UNAUDITED) competition, consolidation, domestic and international politics, excess capacity and consumer demand and spending trends. In addition, they may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, government regulations and e-commerce initiatives. The First Trust Materials AlphaDEX(R) Fund invests in the securities of companies in the materials sector. Companies in the materials sector are involved in the extracting or processing of raw materials. General risks of these companies include the general state of the economy, consolidation, domestic and international politics and excess capacity. In addition, materials companies may also be significantly affected by volatility of commodity prices, import controls, worldwide competition, liability for environmental damage, depletion of resources, and mandated expenditures for safety and pollution control devices. The First Trust Technology AlphaDEX(R) Fund invests in the securities of companies in the technology sector. General risks of technology companies include the risks of rapidly changing technologies, short product life cycles, fierce competition, aggressive pricing and reduced profit margins, loss of patent, copyright and trademark protections, cyclical market patterns, evolving industry standards, and frequent new product introductions. Technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel. The First Trust Utilities AlphaDEX(R) Fund invests in the securities of companies in the utilities sector. General problems of issuers in the utilities sector include the imposition of rate caps, increased competition due to deregulation, the difficulty in obtaining an adequate return on invested capital or in financing large construction projects, the limitations on operations and increased costs and delays attributable to environmental considerations, and the capital market's ability to absorb utility debt. In addition, taxes, government regulation, international politics, price and supply fluctuations, volatile interest rates and energy conservation may cause difficulties for utilities. All of such issuers have been experiencing certain of these problems in varying degrees. Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of a Fund's assets can decline as can the value of a Fund's distributions. Common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. The Funds may invest in non-U.S. securities publicly traded in the United States. Securities issued by non-U.S. companies present risks beyond those of securities of U.S. issuers. Risks of investing in non-U.S. securities include: different accounting standards; expropriation, nationalization or other adverse political or economic developments; currency devaluation, blockages or transfer restrictions; changes in non-U.S. currency exchange rates; taxes; restrictions on non-U.S. investments and exchange of securities; and less government supervision and regulation of issuers in non-U.S. countries. Prices of non-U.S. securities also may be more volatile. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 75 This page is intentionally left blank. -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 101 Barclay Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603 [BLANK BACK COVER] -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Semi-Annual Report January 31, 2015 -------------------------------------------------------------------------------- AlphaDEX(R) Sector 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 JANUARY 31, 2015 Shareholder Letter.......................................................... 2 Market Overview............................................................. 3 Fund Performance Overview First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 4 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 6 First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 8 First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 10 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 12 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 14 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 16 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 18 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 20 First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 22 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 24 First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 26 Notes to Fund Performance Overview.......................................... 28 Understanding Your Fund Expenses............................................ 29 Portfolio of Investments First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 31 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 37 First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 43 First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 51 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 55 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 59 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 68 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 76 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 81 First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 85 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 90 First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 94 Statements of Assets and Liabilities........................................ 96 Statements of Operations.................................................... 99 Statements of Changes in Net Assets......................................... 102 Financial Highlights........................................................ 106 Notes to Financial Statements............................................... 113 Additional Information...................................................... 122 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of other risks in investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund's portfolio and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2015 Dear Shareholders: Thank you for your investment in the Style Funds of First Trust Exchange-Traded AlphaDEX(R) Fund. First Trust Advisors L.P. ("First Trust") is pleased to provide you with the semi-annual report which contains detailed information about your investment for the six months ended January 31, 2015, including a market overview and a performance analysis for the period. We encourage you to read this report and discuss it with your financial advisor. U.S. markets, fueled by accelerating growth and an accommodating Federal Reserve, enjoyed a prosperous year, with the S&P 500(R) Index (the "Index") posting a total return of 13.69% in 2014 (January - December). For the six months covered by this report, some economic and global factors, including the continued conflict in the Middle East and a sharp decline in oil prices, forced the market down but were not enough to halt the market rally. The Index still ended the period in positive territory with a return of 4.37% for the six months ended January 31, 2015. This was the Index's eighth consecutive quarter of positive returns, although past performance can never assure future results. As I have written previously, First Trust believes investors should maintain perspective about the markets and have realistic expectations about their investments. Markets will always go up and down, but we believe that having a long-term investment horizon and being invested in quality products can help you reach your goals. Thank you for giving First Trust the opportunity to be a part of your investment plan. We value the relationship and will continue to focus on our disciplined investment approach and long-term perspective. 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, 2015 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 20 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 current U.S. economic recovery is 67 months old as of January 31, 2015. From June 30, 2009 to December 31, 2014 (most recent GDP release was Q4 2014), GDP growth averaged 2.2%, according to the Bureau of Economic Analysis (BEA). The past three quarters (Q2 2014, Q3 2014 and Q4 2014), however, produced annualized GDP growth rates of 4.6%, 5.0% and 2.6%, respectively, according to the BEA. U.S. GDP forecasts from the World Bank and the International Monetary Fund call for a 3.1% to 3.2% growth rate, respectively, in 2015, which is stronger than the 2.2% average growth rate posted so far in the current economic recovery. The last time U.S. GDP growth was 3.0% or higher was in 2005 (3.3%), according to the BEA. Perhaps one of the biggest surprises in the economy in recent months has been the strengthening U.S. dollar. From June 30, 2014 through January 31, 2015, the U.S. Dollar Index rose by 18.8%, according to Bloomberg. The U.S. Dollar Index indicates the general international value of the dollar relative to a basket of major world currencies. It is no coincidence, in our opinion, that the plunge in the price of crude oil coincided with the surge in the relative value of the U.S. dollar. Crude oil, like most commodities, is priced in dollars for many who purchase it in the global marketplace. When the dollar appreciates, it can make it more costly to buy oil at the current exchange rate, resulting in buyers purchasing less. A strengthening dollar can also reflect a change in sentiment from foreign investors if they believe that the U.S. economy is improving at a time when global growth is softening, which has been the prevailing climate over the past 6-12 months, in our opinion. The current bull market in U.S. stocks has been broad-based. That means that the vast majority of stocks have participated in this bull market. Equity investors were a bit cautious in 2014. Three of the top four performing S&P 500(R) Index sectors (Utilities, Health Care and Consumer Staples) are characterized as defensive in nature. Investors also continued to funnel capital into bonds. The one event that some had predicted might happen in 2014, but did not, was the "great rotation" out of bond mutual funds into equities and other risk assets. While the Federal Reserve did end its monthly bond purchase program in October 2014, it did not raise rates. Perhaps 2015 will be the year. STYLE/MARKET CAP INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end funds and ETFs. For the 12-month period ended January 31, 2015, U.S. Equity funds and ETFs reported net inflows totaling $63.9 billion, according to data from Morningstar. Investors clearly favored passive funds over actively managed funds. Passive U.S. Equity funds and ETFs reported net inflows totaling $175.0 billion, compared to net outflows totaling $111.1 billion for actively managed U.S. Equity funds and ETFs. For the 12-month period ended January 31, 2015, Morningstar reported the following net flows to these nine Style/Market Cap fund categories: $107.3 billion (Large Blend); $19.8 billion (Large Value); -$43.6 billion (Large Growth); $11.6 billion (Mid-Cap Blend); -$1.6 billion (Mid-Cap Value); -$16.0 billion (Mid-Cap Growth); -$261.0 million (Small Blend); $301.0 million (Small Value); and -$13.6 billion (Small Growth). 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 Defined Large Cap Core Index (the "Large Cap Core Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FEX." The Large Cap Core Index is a modified equal-dollar weighted index designed by S&P Dow Jones Indices LLC ("S&P") to objectively identify and select stocks from the S&P 500(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 3.92% 13.93% 16.38% 6.49% 113.52% 62.65% Market Price 3.94% 13.92% 16.39% 6.50% 113.56% 62.71% INDEX PERFORMANCE Defined Large Cap Core Index 4.25% 14.68% 17.22% 7.28% 121.27% 72.21% S&P 500(R) Index 4.37% 14.22% 15.60% 5.95% 106.41% 56.38% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Consumer Discretionary 18.66% Energy 13.68 Financials 12.17 Health Care 12.14 Industrials 12.11 Information Technology 11.71 Utilities 8.61 Materials 5.37 Consumer Staples 4.12 Telecommunication Services 1.43 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Electronic Arts, Inc. 0.53% CF Industries Holdings, Inc. 0.51 Newfield Exploration Co. 0.50 Health Care REIT, Inc. 0.50 Monster Beverage Corp. 0.49 Kroger (The) Co. 0.49 Valero Energy Corp. 0.49 Southwest Airlines Co. 0.49 AmerisourceBergen Corp. 0.48 UnitedHealth Group, Inc. 0.48 ------- Total 4.96% ======= ----------------------------- The Defined Large Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Core Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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 MAY 8, 2007 - JANUARY 31, 2015 First Trust Large Cap Core Defined Large Cap S&P 500(R) AlphaDEX(R) Fund Core Index Index 5/8/07 $10000 $10000 $10000 7/31/07 9560 9579 9690 1/31/08 9022 9071 9271 7/31/08 8304 8383 8615 1/31/09 5325 5398 5690 7/31/09 6711 6830 6896 1/31/10 7618 7783 7576 7/31/10 8205 8410 7850 1/31/11 9765 10049 9257 7/31/11 9891 10216 9393 1/31/12 9963 10335 9647 7/31/12 10109 10520 10250 1/31/13 11623 12141 11266 7/31/13 13283 13921 12813 1/31/14 14276 15018 13690 7/31/14 15651 16520 14983 1/31/15 16264 17222 15637
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 151 0 0 0 8/1/10 - 7/31/11 211 0 0 0 8/1/11 - 7/31/12 190 2 0 0 8/1/12 - 7/31/13 149 0 0 0 8/1/13 - 7/31/14 236 0 0 0 8/1/14 - 1/31/15 105 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% 8/1/09 - 7/31/10 100 0 0 0 8/1/10 - 7/31/11 41 0 0 0 8/1/11 - 7/31/12 61 0 0 0 8/1/12 - 7/31/13 101 0 0 0 8/1/13 - 7/31/14 16 0 0 0 8/1/14 - 1/31/15 21 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 Defined Mid Cap Core Index (the "Mid Cap Core Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Mid Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNX." The Mid Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P MidCap 400(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 1.72% 5.71% 16.24% 7.92% 112.21% 80.35% Market Price 1.76% 5.75% 16.24% 7.93% 112.20% 80.49% INDEX PERFORMANCE Defined Mid Cap Core Index 2.06% 6.44% 17.09% 8.72% 120.05% 90.87% S&P MidCap 400(R) Index 5.47% 10.89% 17.04% 7.93% 119.62% 80.42% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Financials 17.38% Industrials 16.42 Consumer Discretionary 15.92 Information Technology 15.32 Energy 9.53 Materials 9.34 Health Care 6.94 Utilities 5.83 Consumer Staples 2.89 Telecommunication Services 0.43 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Skyworks Solutions, Inc. 0.66% Alaska Air Group, Inc. 0.66 Orbital ATK, Inc. 0.65 Qorvo, Inc. 0.64 Graham Holdings Co., Class B 0.63 VCA, Inc. 0.62 JetBlue Airways Corp. 0.61 Domino's Pizza, Inc. 0.61 Centene Corp. 0.61 Patterson-UTI Energy, Inc. 0.60 ------- Total 6.29% ======= ----------------------------- The Defined Mid Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mid Cap Core Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Mid Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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 MAY 8, 2007 - JANUARY 31, 2015 First Trust Mid Cap Core Defined Mid Cap S&P MidCap AlphaDEX(R) Fund Core Index 400(R) Index 5/8/07 $10000 $10000 $10000 7/31/07 9527 9540 9615 1/31/08 8872 8911 9091 7/31/08 8812 8889 9138 1/31/09 5561 5625 5731 7/31/09 7453 7576 7288 1/31/10 8498 8674 8215 7/31/10 9236 9464 8951 1/31/11 11339 11665 10964 7/31/11 11693 12072 11256 1/31/12 11880 12312 11260 7/31/12 11771 12248 11391 1/31/13 13743 14352 13350 7/31/13 15621 16366 15151 1/31/14 17060 17932 16269 7/31/14 17728 18701 17103 1/31/15 18039 19086 18033
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 184 2 0 0 8/1/10 - 7/31/11 217 0 0 0 8/1/11 - 7/31/12 151 0 0 0 8/1/12 - 7/31/13 177 0 0 0 8/1/13 - 7/31/14 214 0 0 0 8/1/14 - 1/31/15 88 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% 8/1/09 - 7/31/10 65 0 0 0 8/1/10 - 7/31/11 35 0 0 0 8/1/11 - 7/31/12 102 0 0 0 8/1/12 - 7/31/13 73 0 0 0 8/1/13 - 7/31/14 38 0 0 0 8/1/14 - 1/31/15 38 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 Defined Small Cap Core Index (the "Small Cap Core Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Small Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYX." The Small Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600(R) Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 2.35% 2.27% 15.81% 6.49% 108.34% 62.61% Market Price 2.48% 2.29% 15.78% 6.49% 108.07% 62.68% INDEX PERFORMANCE Defined Small Cap Core Index 2.71% 2.97% 16.68% 7.34% 116.22% 72.99% S&P SmallCap 600(R) Index 4.63% 6.15% 17.25% 7.17% 121.56% 70.86% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Information Technology 17.45% Consumer Discretionary 17.28 Industrials 16.17 Financials 15.19 Health Care 11.01 Energy 8.70 Materials 6.86 Consumer Staples 3.21 Utilities 2.70 Telecommunication Services 1.43 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- ABIOMED, Inc. 0.52% Ebix, Inc. 0.52 MarineMax, Inc. 0.49 II-VI, Inc. 0.49 Sturm, Ruger & Co., Inc. 0.45 Papa John's International, Inc. 0.44 Universal Insurance Holdings, Inc. 0.44 Northern Oil and Gas, Inc. 0.43 Select Comfort Corp. 0.43 Cynosure, Inc., Class A 0.43 ------- Total 4.64% ======= ----------------------------- The Defined Small Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Small Cap Core Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Small Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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 MAY 8, 2007 - JANUARY 31, 2015 First Trust Small Cap Core Defined Small Cap S&P SmallCap AlphaDEX(R) Fund Core Index 600(R) Index 5/8/07 $10000 $10000 $10000 7/31/07 9433 9454 9535 1/31/08 8476 8534 8771 7/31/08 8288 8382 8746 1/31/09 5043 5124 5550 7/31/09 6981 7125 7060 1/31/10 7805 8001 7712 7/31/10 8421 8667 8414 1/31/11 10106 10442 10097 7/31/11 10460 10846 10494 1/31/12 10881 11315 10855 7/31/12 10608 11080 10914 1/31/13 12343 12944 12533 7/31/13 14489 15242 14709 1/31/14 15900 16802 16098 7/31/14 15888 16844 16333 1/31/15 16261 17300 17089
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 112 0 0 0 8/1/10 - 7/31/11 195 0 0 0 8/1/11 - 7/31/12 146 0 0 0 8/1/12 - 7/31/13 190 0 0 0 8/1/13 - 7/31/14 184 1 0 0 8/1/14 - 1/31/15 91 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% 8/1/09 - 7/31/10 139 0 0 0 8/1/10 - 7/31/11 57 0 0 0 8/1/11 - 7/31/12 106 1 0 0 8/1/12 - 7/31/13 60 0 0 0 8/1/13 - 7/31/14 67 0 0 0 8/1/14 - 1/31/15 35 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 Defined Large Cap Value Index (the "Large Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTA." The Large Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500(R) Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 0.85% 12.18% 15.72% 6.36% 107.53% 61.16% Market Price 0.80% 12.15% 15.74% 6.36% 107.71% 61.15% INDEX PERFORMANCE Defined Large Cap Value Index 1.17% 12.93% 16.57% 7.19% 115.29% 71.08% S&P 500(R) Index 4.37% 14.22% 15.60% 5.95% 106.41% 56.38% S&P 500(R) Value Index 1.94% 11.85% 14.29% 3.79% 94.96% 33.34% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Energy 25.82% Utilities 12.70 Industrials 12.66 Consumer Discretionary 12.57 Financials 12.12 Information Technology 10.14 Materials 6.61 Consumer Staples 2.59 Health Care 2.54 Telecommunication Services 2.25 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- CF Industries Holdings, Inc. 1.00% Newfield Exploration Co. 0.98 Valero Energy Corp. 0.95 GameStop Corp., Class A 0.93 Corning, Inc. 0.92 Baker Hughes, Inc. 0.92 Marathon Petroleum Corp. 0.91 Halliburton Co. 0.90 Noble Energy, Inc. 0.89 LyondellBasell Industries N.V., Class A 0.89 ------- Total 9.29% ======= ----------------------------- The Defined Large Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Value Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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 MAY 8, 2007 - JANUARY 31, 2015 First Trust Large Cap Value Defined Large Cap S&P 500(R) S&P 500(R) AlphaDEX(R) Fund Value Index Index Value Index 5/8/07 $10000 $10000 $10000 #10000 7/31/07 9450 9462 9690 9586 1/31/08 8821 8870 9271 9148 7/31/08 7858 7933 8615 8066 1/31/09 4993 5064 5690 5060 7/31/09 6661 6790 6896 6157 1/31/10 7765 7947 7576 6840 7/31/10 8228 8447 7850 7079 1/31/11 9688 9988 9257 8294 7/31/11 9733 10072 9393 8153 1/31/12 10072 10465 9647 8388 7/31/12 10216 10655 10250 8784 1/31/13 11957 12519 11266 10021 7/31/13 13602 14296 12813 11446 1/31/14 14364 15152 13690 11922 7/31/14 15977 16912 14983 13081 1/31/15 16113 17110 15637 13335
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 155 0 0 0 8/1/10 - 7/31/11 228 0 0 0 8/1/11 - 7/31/12 193 0 0 0 8/1/12 - 7/31/13 201 0 0 0 8/1/13 - 7/31/14 231 0 0 0 8/1/14 - 1/31/15 98 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% 8/1/09 - 7/31/10 96 0 0 0 8/1/10 - 7/31/11 24 0 0 0 8/1/11 - 7/31/12 60 0 0 0 8/1/12 - 7/31/13 49 0 0 0 8/1/13 - 7/31/14 21 0 0 0 8/1/14 - 1/31/15 28 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 Defined Large Cap Growth Index (the "Large Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Large Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTC." The Large Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500(R) Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 7.37% 16.22% 16.85% 6.32% 117.82% 60.59% Market Price 7.34% 16.25% 16.86% 6.32% 117.92% 60.65% INDEX PERFORMANCE Defined Large Cap Growth Index 7.74% 17.03% 17.72% 7.10% 126.10% 69.98% S&P 500(R) Index 4.37% 14.22% 15.60% 5.95% 106.41% 56.38% S&P 500(R) Growth Index 6.62% 16.41% 16.89% 8.05% 118.20% 81.99% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Consumer Discretionary 25.42% Health Care 22.74 Information Technology 13.70 Financials 12.29 Industrials 11.85 Consumer Staples 5.52 Materials 3.69 Utilities 3.50 Energy 0.73 Telecommunication Services 0.56 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Electronic Arts, Inc. 1.09% Health Care REIT, Inc. 1.01 Monster Beverage Corp. 1.01 Kroger (The) Co. 1.01 Southwest Airlines Co. 1.00 AmerisourceBergen Corp. 0.99 UnitedHealth Group, Inc. 0.98 Integrys Energy Group, Inc. 0.98 Patterson Cos., Inc. 0.98 Hospira, Inc. 0.97 ------- Total 10.02% ======= ----------------------------- The Defined Large Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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 MAY 8, 2007 - JANUARY 31, 2015 First Trust Large Cap Growth Defined Large Cap S&P 500(R) S&P 500(R) AlphaDEX(R) Fund Growth Index Index Growth Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 9740 9757 9690 9802 1/31/08 9341 9388 9271 9410 7/31/08 8900 8982 8615 9185 1/31/09 5737 5807 5690 6357 7/31/09 6730 6840 6896 7675 1/31/10 7373 7518 7576 8341 7/31/10 8090 8282 7850 8651 1/31/11 9790 10064 9257 10272 7/31/11 9985 10309 9393 10740 1/31/12 9674 10028 9647 11023 7/31/12 9797 10191 10250 11854 1/31/13 10970 11446 11266 12612 7/31/13 12582 13178 12813 14284 1/31/14 13817 14525 13690 15633 7/31/14 14957 15778 14983 17068 1/31/15 16060 16999 15637 18198
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 146 0 0 0 8/1/10 - 7/31/11 193 0 0 0 8/1/11 - 7/31/12 153 0 0 0 8/1/12 - 7/31/13 102 0 0 0 8/1/13 - 7/31/14 206 0 0 0 8/1/14 - 1/31/15 103 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% 8/1/09 - 7/31/10 105 0 0 0 8/1/10 - 7/31/11 59 0 0 0 8/1/11 - 7/31/12 100 0 0 0 8/1/12 - 7/31/13 148 0 0 0 8/1/13 - 7/31/14 46 0 0 0 8/1/14 - 1/31/15 23 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 Defined Multi Cap Value Index (the "Multi Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Multi Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAB." The Multi Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500(R) Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV -0.01% 7.69% 15.76% 6.95% 107.87% 68.09% Market Price 0.01% 7.54% 15.76% 6.94% 107.87% 68.00% INDEX PERFORMANCE Defined Multi Cap Value Index 0.37% 8.52% 16.67% 7.81% 116.15% 78.85% S&P Composite 1500(R) Index 4.47% 13.66% 15.78% 6.16% 108.06% 58.74% S&P Composite 1500(R) Value Index 2.07% 11.49% 14.52% 4.13% 97.00% 36.75% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Energy 21.22% Industrials 15.41 Financials 14.03 Consumer Discretionary 13.12 Information Technology 11.97 Utilities 9.39 Materials 8.56 Health Care 2.35 Consumer Staples 2.31 Telecommunication Services 1.64 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- CF Industries Holdings, Inc. 0.50% Newfield Exploration Co. 0.49 Valero Energy Corp. 0.48 GameStop Corp., Class A 0.47 Corning, Inc. 0.47 Baker Hughes, Inc. 0.46 Marathon Petroleum Corp. 0.46 Halliburton Co. 0.46 Noble Energy, Inc. 0.45 LyondellBasell Industries N.V., Class A 0.45 ------- Total 4.69% ======= ----------------------------- The Defined Multi Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Value Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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 MAY 8, 2007 - JANUARY 31, 2015 First Trust Multi Cap Value Defined Multi Cap S&P Composite S&P Composite AlphaDEX(R) Fund Value Index 1500(R) Index 1500(R) Value Index 5/8/07 $10000 $10000 $10000 #10000 7/31/07 9317 9334 9678 9567 1/31/08 8603 8655 9241 9092 7/31/08 7870 7948 8661 8123 1/31/09 4973 5045 5446 5336 7/31/09 6964 7099 6931 6238 1/31/10 8086 8275 7629 6942 7/31/10 8611 8845 7953 7218 1/31/11 10279 10602 9414 8479 7/31/11 10345 10707 9571 8355 1/31/12 10799 11224 9811 8592 7/31/12 10720 11185 10362 8955 1/31/13 12639 13242 11467 10254 7/31/13 14571 15324 13054 11730 1/31/14 15610 16484 13966 12266 7/31/14 16812 17824 15195 13398 1/31/15 16811 17885 15875 13675
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 113 0 0 0 8/1/10 - 7/31/11 168 0 0 0 8/1/11 - 7/31/12 141 0 0 0 8/1/12 - 7/31/13 165 1 0 0 8/1/13 - 7/31/14 224 0 0 0 8/1/14 - 1/31/15 56 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% 8/1/09 - 7/31/10 138 0 0 0 8/1/10 - 7/31/11 84 0 0 0 8/1/11 - 7/31/12 111 1 0 0 8/1/12 - 7/31/13 84 0 0 0 8/1/13 - 7/31/14 28 0 0 0 8/1/14 - 1/31/15 70 0 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Growth Index (the "Multi Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Multi Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAD." The Multi Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500(R) Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/8/07) Ended (5/8/07) 1/31/15 1/31/15 1/31/15 to 1/31/15 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 6.42% 10.64% 16.56% 6.64% 115.14% 64.40% Market Price 6.44% 10.39% 16.58% 6.64% 115.36% 64.43% INDEX PERFORMANCE Defined Multi Cap Growth Index 6.84% 11.51% 17.47% 7.46% 123.67% 74.51% S&P Composite 1500(R) Index 4.47% 13.66% 15.78% 6.16% 108.06% 58.74% S&P Composite 1500(R) Growth Index 6.70% 15.67% 17.03% 8.15% 119.56% 83.33% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Consumer Discretionary 22.47% Health Care 19.75 Information Technology 16.28 Financials 14.81 Industrials 12.97 Consumer Staples 4.89 Materials 4.50 Utilities 3.27 Telecommunication Services 0.58 Energy 0.48 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Electronic Arts, Inc. 0.55% Health Care REIT, Inc. 0.51 Monster Beverage Corp. 0.51 Kroger (The) Co. 0.51 Southwest Airlines Co. 0.50 AmerisourceBergen Corp. 0.50 UnitedHealth Group, Inc. 0.50 Integrys Energy Group, Inc. 0.49 Patterson Cos., Inc. 0.49 Hospira, Inc. 0.49 ------- Total 5.05% ======= ----------------------------- The Defined Multi Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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 MAY 8, 2007 - JANUARY 31, 2015 First Trust Multi Cap Growth Defined Multi Cap S&P Composite S&P Composite AlphaDEX(R) Fund Growth Index 1500(R) Index 1500(R) Growth Index 5/8/07 $10000 $10000 $10000 $10000 7/31/07 9797 9818 9678 9796 1/31/08 9217 9265 9241 9396 7/31/08 9224 9309 8661 9223 1/31/09 5782 5854 5689 6307 7/31/09 6961 7078 6931 7669 1/31/10 7641 7801 7629 8350 7/31/10 8399 8608 7953 8725 1/31/11 10221 10518 9414 10412 7/31/11 10644 10997 9571 10907 1/31/12 10438 10827 9811 11155 7/31/12 10528 10963 10362 11916 1/31/13 11853 12387 11467 12794 7/31/13 13476 14136 13054 14496 1/31/14 14858 15648 13966 15849 7/31/14 15448 16332 15195 17180 1/31/15 16440 17449 15875 18331
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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, 2009 through January 31, 2015. 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% 8/1/09 - 7/31/10 128 0 0 0 8/1/10 - 7/31/11 176 0 0 0 8/1/11 - 7/31/12 156 0 0 0 8/1/12 - 7/31/13 111 0 0 0 8/1/13 - 7/31/14 196 0 0 0 8/1/14 - 1/31/15 94 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/09 - 7/31/10 122 1 0 0 8/1/10 - 7/31/11 76 0 0 0 8/1/11 - 7/31/12 97 0 0 0 8/1/12 - 7/31/13 139 0 0 0 8/1/13 - 7/31/14 56 0 0 0 8/1/14 - 1/31/15 32 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 Defined Mid Cap Value Index (the "Mid Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Mid Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNK." The Mid Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P MidCap 400(R) Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (4/19/11) Inception (4/19/11) 1/31/15 1/31/15 to 1/31/15 to 1/31/15 FUND PERFORMANCE NAV -1.82% 3.74% 11.70% 52.06% Market Price -1.95% 3.56% 11.69% 52.00% INDEX PERFORMANCE Defined Mid Cap Value Index -1.51% 4.44% 12.54% 56.43% S&P MidCap 400(R) Value Index 3.30% 10.56% 12.87% 58.17% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Industrials 18.07% Energy 16.81 Financials 16.32 Consumer Discretionary 13.27 Information Technology 12.61 Materials 12.22 Utilities 7.99 Consumer Staples 0.99 Health Care 0.96 Telecommunication Services 0.76 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Orbital ATK, Inc. 1.16% Graham Holdings Co., Class B 1.12 Patterson-UTI Energy, Inc. 1.07 DST Systems, Inc. 1.06 Atwood Oceanics, Inc. 1.04 Everest Re Group, Ltd. 1.04 Aspen Insurance Holdings Ltd. 1.02 SM Energy Co. 1.01 SPX Corp. 1.01 Avnet, Inc. 1.00 ------- Total 10.53% ======= ----------------------------- The Defined Mid Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mid Cap Value Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Mid Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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, 2015 First Trust Mid Cap Value Defined Mid Cap S&P MidCap 400(R) AlphaDEX(R) Fund Value Index Value Index 4/19/11 $10000 $10000 $10000 7/31/11 9625 9646 9581 1/31/12 9982 10041 9720 7/31/12 9935 10036 9869 1/31/13 11765 11928 11640 7/31/13 13549 13787 13358 1/31/14 14657 14977 14305 7/31/14 15487 15880 15311 1/31/15 15205 15640 15816
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period April 20, 2011 (commencement of trading) through January 31, 2015. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 4/20/11 - 7/31/11 66 0 0 0 8/1/11 - 7/31/12 198 0 0 0 8/1/12 - 7/31/13 157 2 0 0 8/1/13 - 7/31/14 211 1 0 0 8/1/14 - 1/31/15 93 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 4/20/11 - 7/31/11 4 0 0 0 8/1/11 - 7/31/12 55 0 0 0 8/1/12 - 7/31/13 91 0 0 0 8/1/13 - 7/31/14 40 0 0 0 8/1/14 - 1/31/15 33 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 Defined Mid Cap Growth Index (the "Mid Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Mid Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNY." The Mid Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P MidCap 400(R) Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (4/19/11) Inception (4/19/11) 1/31/15 1/31/15 to 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 5.94% 7.59% 10.60% 46.44% Market Price 6.16% 7.85% 10.65% 46.70% INDEX PERFORMANCE Defined Mid Cap Growth Index 6.36% 8.44% 11.45% 50.75% S&P MidCap 400(R) Growth Index 7.45% 11.03% 12.11% 54.14% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Financials 19.03% Consumer Discretionary 18.49 Information Technology 18.39 Health Care 14.78 Industrials 14.76 Materials 5.40 Consumer Staples 5.38 Utilities 3.51 Energy 0.26 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Skyworks Solutions, Inc. 1.56% Alaska Air Group, Inc. 1.55 Qorvo, Inc. 1.52 VCA, Inc. 1.46 JetBlue Airways Corp. 1.45 Domino's Pizza, Inc. 1.44 Centene Corp. 1.44 HSN, Inc. 1.40 STERIS Corp. 1.38 Jarden Corp. 1.37 ------- Total 14.57% ======= ----------------------------- The Defined Mid Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mid Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Mid Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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, 2015 First Trust Mid Cap Growth Defined Mid Cap S&P MidCap 400(R) AlphaDEX(R) Fund Growth Index Growth Index 4/19/11 $10000 $10000 $10000 7/31/11 9881 9903 9910 1/31/12 9804 9866 9779 7/31/12 9673 9765 9861 1/31/13 11050 11201 11485 7/31/13 12290 12507 12894 1/31/14 13612 13902 13883 7/31/14 13824 14174 14345 1/31/15 14646 15076 15414
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period April 20, 2011 (commencement of trading) through January 31, 2015. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 4/20/11 - 7/31/11 61 0 0 0 8/1/11 - 7/31/12 201 1 0 0 8/1/12 - 7/31/13 169 0 0 0 8/1/13 - 7/31/14 200 0 0 0 8/1/14 - 1/31/15 96 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 4/20/11 - 7/31/11 9 0 0 0 8/1/11 - 7/31/12 51 0 0 0 8/1/12 - 7/31/13 81 0 0 0 8/1/13 - 7/31/14 52 0 0 0 8/1/14 - 1/31/15 30 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 Defined Small Cap Value Index (the "Small Cap Value Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Small Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYT." The Small Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600(R) Value Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (4/19/11) Inception (4/19/11) 1/31/15 1/31/15 to 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 0.41% 2.70% 13.21% 59.96% Market Price 0.51% 2.70% 13.21% 59.96% INDEX PERFORMANCE Defined Small Cap Value Index 0.89% 3.58% 14.17% 65.17% S&P SmallCap 600(R) Value Index 2.74% 5.73% 13.50% 61.54% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Industrials 18.39% Energy 16.12 Information Technology 15.71 Financials 15.46 Consumer Discretionary 14.32 Materials 7.99 Health Care 4.00 Consumer Staples 3.58 Utilities 3.04 Telecommunication Services 1.39 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- Ebix, Inc. 0.95% II-VI, Inc. 0.89 Sturm, Ruger & Co., Inc. 0.83 Northern Oil and Gas, Inc. 0.79 Haverty Furniture Cos., Inc. 0.79 Bonanza Creek Energy, Inc. 0.77 National Presto Industries, Inc. 0.77 Era Group, Inc. 0.76 AAR Corp. 0.73 Contango Oil & Gas Co. 0.73 ------- Total 8.01% ======= ----------------------------- The Defined Small Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Small Cap Value Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Small Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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, 2015 First Trust Small Cap Value Defined Small Cap S&P SmallCap 600(R) AlphaDEX(R) Fund Value Index Value Index 4/19/11 $10000 $10000 $10000 7/31/11 9930 9950 9813 1/31/12 10692 10748 10331 7/31/12 10005 10103 10231 1/31/13 11945 12115 11945 7/31/13 14241 14499 14054 3/31/14 15577 15946 15278 7/31/14 15931 16372 15723 1/31/15 15996 16517 16154
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period April 20, 2011 (commencement of trading) through January 31, 2015. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 4/20/11 - 7/31/11 38 0 0 0 8/1/11 - 7/31/12 154 3 0 0 8/1/12 - 7/31/13 177 5 0 0 8/1/13 - 7/31/14 167 0 0 0 8/1/14 - 1/31/15 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% 4/20/11 - 7/31/11 32 0 0 0 8/1/11 - 7/31/12 95 1 0 0 8/1/12 - 7/31/13 67 1 0 0 8/1/13 - 7/31/14 84 0 1 0 8/1/14 - 1/31/15 57 0 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 Defined Small Cap Growth Index (the "Small Cap Growth Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Small Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYC." The Small Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600(R) Growth Index that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (4/19/11) Inception (4/19/11) 1/31/15 1/31/15 to 1/31/15 to 1/31/15 FUND PERFORMANCE NAV 4.61% 1.55% 10.59% 46.38% Market Price 4.61% 1.52% 10.58% 46.33% INDEX PERFORMANCE Defined Small Cap Growth Index 5.05% 2.47% 11.47% 50.87% S&P SmallCap 600(R) Growth Index 6.48% 6.39% 13.35% 60.73% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Consumer Discretionary 20.96% Information Technology 19.66 Health Care 19.62 Financials 14.88 Industrials 13.10 Materials 5.22 Consumer Staples 2.59 Utilities 2.31 Telecommunication Services 1.50 Energy 0.16 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- ABIOMED, Inc. 1.19% Papa John's International, Inc. 0.99 Universal Insurance Holdings, Inc. 0.99 Select Comfort Corp. 0.96 Cynosure, Inc., Class A 0.96 Boise Cascade Co. 0.95 General Communication, Inc., Class A 0.93 Take-Two Interactive Software, Inc. 0.92 Super Micro Computer, Inc. 0.91 New Jersey Resources Corp. 0.91 ------- Total 9.71% ======= ----------------------------- The Defined Small Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Small Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Small Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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, 2015 First Trust Small Cap Growth Defined Small Cap S&P SmallCap 600(R) AlphaDEX(R) Fund Growth Index Growth Index 4/19/11 $10000 $10000 $10000 7/31/11 9920 9942 9982 1/31/12 9826 9878 10155 7/31/12 10157 10253 10362 1/31/13 11338 11488 11710 7/31/13 13014 13244 13710 1/31/14 14413 14723 15107 7/31/14 13992 14362 15093 1/31/15 14637 15088 16071
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period April 20, 2011 (commencement of trading) through January 31, 2015. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 4/20/11 - 7/31/11 61 0 0 0 8/1/11 - 7/31/12 145 1 0 0 8/1/12 - 7/31/13 126 3 0 0 8/1/13 - 7/31/14 164 0 0 0 8/1/14 - 1/31/15 100 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 4/20/11 - 7/31/11 9 0 0 0 8/1/11 - 7/31/12 105 2 0 0 8/1/12 - 7/31/13 116 5 0 0 8/1/13 - 7/31/14 87 1 0 0 8/1/14 - 1/31/15 26 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 Defined Mega Cap Index (the "Mega Cap Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Mega Cap Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FMK." The Mega Cap Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P(R) US BMI universe that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months Ended 1 Year Ended Inception (5/11/11) Inception (5/11/11) 1/31/15 1/31/15 to 1/31/15 to 1/31/15 FUND PERFORMANCE NAV -1.09% 9.04% 8.77% 36.79% Market Price -1.05% 9.12% 8.78% 36.84% INDEX PERFORMANCE Defined Mega Cap Index -0.75% 9.89% 9.65% 40.97% S&P 100(R) Index 3.08% 13.40% 13.44% 59.99% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- PORTFOLIO SECTOR ALLOCATION AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECTOR LONG-TERM INVESTMENTS ----------------------------------- --------------------- Energy 19.78% Consumer Discretionary 18.67 Health Care 18.38 Information Technology 13.27 Financials 10.56 Consumer Staples 10.41 Telecommunication Services 2.72 Industrials 2.70 Materials 2.06 Utilities 1.45 ------- Total 100.00% ======= ---------------------------------------------------------- TOP TEN PORTFOLIO HOLDINGS AS OF JANUARY 31, 2015 ---------------------------------------------------------- % OF TOTAL SECURITY LONG-TERM INVESTMENTS ----------------------------------- --------------------- UnitedHealth Group, Inc. 3.65% McKesson Corp. 3.56 CVS Health Corp. 3.54 Costco Wholesale Corp. 3.50 Occidental Petroleum Corp. 3.45 Lowe's Cos., Inc. 3.42 Exxon Mobil Corp. 3.28 Chevron Corp. 3.17 ConocoPhillips 3.17 Yahoo!, Inc. 3.02 ------- Total 33.76% ======= ----------------------------- The Defined Mega Cap Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mega Cap Index. STANDARD & POOR'S and S&P are trademarks of Standard & Poor's Financial Services LLC and have been licensed to S&P Dow Jones Indices LLC and have been sub-licensed for use by First Trust Portfolios L.P. The First Trust Mega Cap AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P does not make any representation regarding the advisability of investing in 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, 2015 First Trust Mega Cap Defined S&P 100(R) AlphaDEX(R) Fund Mega Cap Index Index 5/11/11 $10000 $10000 $10000 7/31/11 9612 9632 9761 1/31/12 9571 9631 10120 7/31/12 9248 9349 10960 1/31/13 10467 10619 11784 7/31/13 11969 12192 13341 1/31/14 12545 12827 14108 7/31/14 13829 14201 15520 1/31/15 13679 14095 15998
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2015 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 May 12, 2011 (commencement of trading) through January 31, 2015. 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% 5/12/11 - 7/31/11 33 0 0 0 8/1/11 - 7/31/12 183 0 0 0 8/1/12 - 7/31/13 128 0 0 0 8/1/13 - 7/31/14 158 0 0 0 8/1/14 - 1/31/15 89 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% 5/12/11 - 7/31/11 21 0 0 0 8/1/11 - 7/31/12 70 0 0 0 8/1/12 - 7/31/13 122 0 0 0 8/1/13 - 7/31/14 94 0 0 0 8/1/14 - 1/31/15 37 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 the 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 the Fund is used as a proxy for the secondary market trading price at inception to calculate market returns. NAV and market returns assume that all dividend distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 28 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES JANUARY 31, 2015 (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, 2015. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
---------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2014 JANUARY 31, 2015 PERIOD (a) PERIOD (b) ---------------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $1,039.20 0.61% $3.14 Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $1,017.20 0.62% $3.15 Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $1,023.50 0.63% $3.21 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $1,008.50 0.62% $3.14 Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $1,073.70 0.62% $3.24 Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16
Page 29 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2015 (UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2014 JANUARY 31, 2015 PERIOD (a) PERIOD (b) ---------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $ 999.90 0.70% $3.53 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $1,064.20 0.70% $3.64 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $ 981.80 0.70% $3.50 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $1,059.40 0.70% $3.63 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $1,004.10 0.70% $3.54 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $1,046.10 0.70% $3.61 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) Actual $1,000.00 $ 989.10 0.70% $3.51 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
(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, 2014 through January 31, 2015), multiplied by 184/365 (to reflect the one-half year period) Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.1% 31,680 General Dynamics Corp. $ 4,220,093 14,354 Honeywell International, Inc. 1,403,247 23,030 L-3 Communications Holdings, Inc. 2,835,453 15,094 Lockheed Martin Corp. 2,843,257 29,579 Northrop Grumman Corp. 4,642,424 12,069 Precision Castparts Corp. 2,415,007 40,305 Raytheon Co. 4,032,515 34,408 Rockwell Collins, Inc. 2,946,013 138,060 Textron, Inc. 5,875,834 25,273 United Technologies Corp. 2,900,835 -------------- 34,114,678 -------------- AIR FREIGHT & LOGISTICS -- 0.9% 97,042 C.H. Robinson Worldwide, Inc. 6,911,331 32,153 Expeditors International of Washington, Inc. 1,404,443 25,107 FedEx Corp. 4,245,845 12,901 United Parcel Service, Inc., Class B 1,275,135 -------------- 13,836,754 -------------- AIRLINES -- 0.9% 147,742 Delta Air Lines, Inc. 6,989,674 171,731 Southwest Airlines Co. 7,758,807 -------------- 14,748,481 -------------- AUTO COMPONENTS -- 0.6% 79,351 BorgWarner, Inc. 4,285,748 39,975 Delphi Automotive PLC 2,747,482 50,201 Goodyear Tire & Rubber (The) Co. 1,216,872 29,677 Johnson Controls, Inc. 1,379,090 -------------- 9,629,192 -------------- AUTOMOBILES -- 0.8% 375,087 Ford Motor Co. 5,517,530 166,537 General Motors Co. 5,432,437 21,757 Harley-Davidson, Inc. 1,342,407 -------------- 12,292,374 -------------- BANKS -- 1.8% 74,752 BB&T Corp. 2,637,998 26,507 Citigroup, Inc. 1,244,504 62,062 Comerica, Inc. 2,575,573 142,675 Fifth Third Bancorp 2,468,277 276,327 Huntington Bancshares, Inc. 2,768,797 69,683 JPMorgan Chase & Co. 3,789,362 103,197 KeyCorp 1,340,529 11,418 M&T Bank Corp. 1,292,061 47,797 PNC Financial Services Group (The), Inc. 4,040,758 275,285 Regions Financial Corp. 2,394,979 69,376 SunTrust Banks, Inc. 2,665,426 26,169 Wells Fargo & Co. 1,358,694 -------------- 28,576,958 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ BEVERAGES -- 1.3% 32,432 Coca-Cola Enterprises, Inc. $ 1,365,387 59,224 Constellation Brands, Inc., Class A (a) 6,541,291 60,830 Dr Pepper Snapple Group, Inc. 4,700,334 67,074 Monster Beverage Corp. (a) 7,844,304 -------------- 20,451,316 -------------- BIOTECHNOLOGY -- 1.8% 31,421 Alexion Pharmaceuticals, Inc. (a) 5,757,584 36,497 Amgen, Inc. 5,557,033 4,227 Biogen Idec, Inc. (a) 1,644,980 51,977 Celgene Corp. (a) 6,193,579 15,213 Gilead Sciences, Inc. (a) 1,594,779 17,717 Regeneron Pharmaceuticals, Inc. (a) 7,381,965 -------------- 28,129,920 -------------- BUILDING PRODUCTS -- 0.3% 25,860 Allegion PLC 1,396,699 115,361 Masco Corp. 2,865,567 -------------- 4,262,266 -------------- CAPITAL MARKETS -- 1.5% 21,983 Ameriprise Financial, Inc. 2,746,556 71,649 Bank of New York Mellon (The) Corp. 2,579,364 4,016 BlackRock, Inc. 1,367,488 59,139 E*TRADE Financial Corp. (a) 1,363,154 105,000 Franklin Resources, Inc. 5,410,650 22,502 Goldman Sachs Group (The), Inc. 3,879,570 36,296 Invesco Ltd. 1,333,152 26,880 Legg Mason, Inc. 1,490,227 36,971 Morgan Stanley 1,249,990 33,852 T. Rowe Price Group, Inc. 2,664,829 -------------- 24,084,980 -------------- CHEMICALS -- 3.4% 20,152 Air Products & Chemicals, Inc. 2,934,333 26,661 CF Industries Holdings, Inc. 8,141,736 127,476 Dow Chemical (The) Co. 5,756,816 95,798 Eastman Chemical Co. 6,791,120 25,148 FMC Corp. 1,446,010 91,538 LyondellBasell Industries N.V., Class A 7,239,740 127,354 Mosaic (The) Co. 6,200,866 25,149 PPG Industries, Inc. 5,605,209 11,077 Praxair, Inc. 1,335,776 27,632 Sherwin-Williams (The) Co. 7,495,733 10,454 Sigma-Aldrich Corp. 1,437,634 -------------- 54,384,973 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.3% 160,475 ADT (The) Corp. 5,520,340 55,591 Cintas Corp. 4,375,012 144,441 Republic Services, Inc. 5,731,419 22,176 Stericycle, Inc. (a) 2,911,487 27,947 Waste Management, Inc. 1,437,314 -------------- 19,975,572 -------------- See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT -- 1.2% 104,506 Cisco Systems, Inc. $ 2,755,301 44,558 F5 Networks, Inc. (a) 4,973,564 80,947 Harris Corp. 5,433,972 260,482 Juniper Networks, Inc. 5,920,756 -------------- 19,083,593 -------------- CONSTRUCTION & ENGINEERING -- 1.0% 95,888 Fluor Corp. 5,138,638 97,575 Jacobs Engineering Group, Inc. (a) 3,717,608 255,990 Quanta Services, Inc. (a) 6,778,615 -------------- 15,634,861 -------------- CONSTRUCTION MATERIALS -- 0.1% 21,827 Vulcan Materials Co. 1,539,022 -------------- CONSUMER FINANCE -- 0.4% 52,822 Capital One Financial Corp. 3,867,099 21,906 Discover Financial Services 1,191,248 66,375 Navient Corp. 1,310,242 -------------- 6,368,589 -------------- CONTAINERS & PACKAGING -- 1.1% 42,646 Ball Corp. 2,700,771 98,235 MeadWestvaco Corp. 4,939,256 107,707 Owens-Illinois, Inc. (a) 2,514,958 171,281 Sealed Air Corp. 6,936,881 -------------- 17,091,866 -------------- DISTRIBUTORS -- 0.4% 68,199 Genuine Parts Co. 6,338,415 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 19,359 Berkshire Hathaway, Inc., Class B (a) 2,785,954 13,261 Intercontinental Exchange, Inc. 2,728,185 60,613 NASDAQ OMX Group (The), Inc. 2,763,953 -------------- 8,278,092 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 216,356 AT&T, Inc. 7,122,439 146,893 CenturyLink, Inc. 5,460,013 653,743 Frontier Communications Corp. 4,389,884 88,308 Level 3 Communications, Inc. (a) 4,392,440 30,662 Verizon Communications, Inc. 1,401,560 -------------- 22,766,336 -------------- ELECTRIC UTILITIES -- 3.8% 95,748 American Electric Power Co., Inc. 6,013,932 52,195 Duke Energy Corp. 4,548,272 88,785 Edison International 6,050,698 66,459 Entergy Corp. 5,815,827 156,799 Exelon Corp. 5,651,036 149,115 FirstEnergy Corp. 6,013,808 SHARES DESCRIPTION VALUE ------------------------------------------------------------ ELECTRIC UTILITIES (CONTINUED) 27,346 NextEra Energy, Inc. $ 2,987,277 54,314 Northeast Utilities 3,018,772 161,920 Pepco Holdings, Inc. 4,444,704 85,108 Pinnacle West Capital Corp. 5,972,879 80,015 PPL Corp. 2,840,533 59,194 Southern (The) Co. 3,002,320 121,393 Xcel Energy, Inc. 4,555,879 -------------- 60,915,937 -------------- ELECTRICAL EQUIPMENT -- 0.4% 64,163 Eaton Corp. PLC 4,048,044 23,241 Emerson Electric Co. 1,323,342 12,898 Rockwell Automation, Inc. 1,404,850 -------------- 6,776,236 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.0% 54,027 Amphenol Corp., Class A 2,901,790 316,939 Corning, Inc. 7,533,640 91,923 TE Connectivity Ltd. 6,102,768 -------------- 16,538,198 -------------- ENERGY EQUIPMENT & SERVICES -- 4.4% 129,618 Baker Hughes, Inc. 7,516,548 116,394 Cameron International Corp. (a) 5,212,123 197,964 Diamond Offshore Drilling, Inc. 6,241,805 242,653 Ensco PLC, Class A 6,803,990 93,088 FMC Technologies, Inc. (a) 3,488,938 184,782 Halliburton Co. 7,389,432 107,793 Helmerich & Payne, Inc. 6,420,151 559,890 Nabors Industries Ltd. 6,444,334 110,898 National Oilwell Varco, Inc. 6,036,178 438,584 Noble Corp. PLC 7,113,833 85,086 Schlumberger Ltd. 7,010,236 -------------- 69,677,568 -------------- FOOD & STAPLES RETAILING -- 1.2% 75,462 CVS Health Corp. 7,407,350 113,187 Kroger (The) Co. 7,815,562 50,772 Wal-Mart Stores, Inc. 4,314,605 -------------- 19,537,517 -------------- FOOD PRODUCTS -- 1.5% 83,849 Archer-Daniels-Midland Co. 3,909,879 32,603 Campbell Soup Co. 1,491,261 80,123 ConAgra Foods, Inc. 2,838,758 27,536 Hormel Foods Corp. 1,410,394 28,784 JM Smucker (The) Co. 2,969,070 44,419 Kellogg Co. 2,912,998 10,832 Keurig Green Mountain, Inc. 1,327,570 22,890 Kraft Foods Group, Inc. 1,495,632 145,020 Tyson Foods, Inc., Class A 5,661,581 -------------- 24,017,143 -------------- GAS UTILITIES -- 0.4% 106,653 AGL Resources, Inc. 6,013,096 -------------- Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% 31,335 Becton, Dickinson and Co. $ 4,326,737 26,174 C. R. Bard, Inc. 4,476,539 122,476 CareFusion Corp. (a) 7,262,827 26,930 DENTSPLY International, Inc. 1,347,173 57,054 Edwards Lifesciences Corp. (a) 7,151,719 2,714 Intuitive Surgical, Inc. (a) 1,342,019 40,258 Medtronic PLC 2,874,421 46,228 Stryker Corp. 4,209,059 12,650 Zimmer Holdings, Inc. 1,418,065 -------------- 34,408,559 -------------- HEALTH CARE PROVIDERS & SERVICES -- 4.7% 81,817 Aetna, Inc. 7,512,437 80,607 AmerisourceBergen Corp. 7,661,695 34,702 Anthem, Inc. 4,683,382 56,494 Cigna Corp. 6,035,254 38,384 DaVita HealthCare Partners, Inc. (a) 2,881,103 68,664 Express Scripts Holding Co. (a) 5,541,871 9,987 Humana, Inc. 1,462,496 26,944 Laboratory Corp. of America Holdings (a) 3,092,632 35,010 McKesson Corp. 7,444,877 151,094 Patterson Cos., Inc. 7,568,298 65,022 Quest Diagnostics, Inc. 4,621,114 86,061 Tenet Healthcare Corp. (a) 3,638,659 71,894 UnitedHealth Group, Inc. 7,638,738 52,253 Universal Health Services, Inc., Class B 5,357,500 -------------- 75,140,056 -------------- HEALTH CARE TECHNOLOGY -- 0.2% 44,958 Cerner Corp. (a) 2,982,963 -------------- HOTELS, RESTAURANTS & LEISURE -- 1.6% 96,196 Carnival Corp. 4,228,776 4,247 Chipotle Mexican Grill, Inc. (a) 3,014,691 74,504 Marriott International, Inc., Class A 5,550,548 15,303 McDonald's Corp. 1,414,609 88,159 Royal Caribbean Cruises Ltd. 6,660,413 33,891 Wyndham Worldwide Corp. 2,839,727 19,694 Yum! Brands, Inc. 1,423,482 -------------- 25,132,246 -------------- HOUSEHOLD DURABLES -- 2.6% 229,890 D.R. Horton, Inc. 5,636,903 54,480 Harman International Industries, Inc. 7,062,242 170,558 Leggett & Platt, Inc. 7,270,888 129,749 Lennar Corp., Class A 5,827,028 37,417 Mohawk Industries, Inc. (a) 6,175,302 76,319 Newell Rubbermaid, Inc. 2,813,881 135,463 PulteGroup, Inc. 2,789,183 15,004 Whirlpool Corp. 2,986,996 -------------- 40,562,423 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 211,112 AES (The) Corp. $ 2,579,789 161,802 NRG Energy, Inc. 3,990,037 -------------- 6,569,826 -------------- INDUSTRIAL CONGLOMERATES -- 0.4% 17,694 3M Co. 2,871,736 16,730 Danaher Corp. 1,378,218 115,034 General Electric Co. 2,748,162 -------------- 6,998,116 -------------- INSURANCE -- 3.9% 50,610 ACE Ltd. 5,463,855 71,378 Aflac, Inc. 4,074,256 103,452 Allstate (The) Corp. 7,219,915 103,797 American International Group, Inc. 5,072,559 84,962 Assurant, Inc. 5,395,937 56,193 Chubb (The) Corp. 5,501,295 27,677 Cincinnati Financial Corp. 1,397,965 69,732 Hartford Financial Services Group (The), Inc. 2,712,575 75,611 Lincoln National Corp. 3,779,038 50,784 Marsh & McLennan Cos., Inc. 2,730,656 53,740 MetLife, Inc. 2,498,910 27,619 Principal Financial Group, Inc. 1,296,160 107,707 Progressive (The) Corp. (a) 2,794,997 26,478 Torchmark Corp. 1,325,753 54,927 Travelers (The) Cos., Inc. 5,647,594 166,678 Unum Group 5,177,019 -------------- 62,088,484 -------------- INTERNET & CATALOG RETAIL -- 0.2% 34,059 Expedia, Inc. 2,926,690 -------------- INTERNET SOFTWARE & SERVICES -- 0.4% 22,783 Akamai Technologies, Inc. (a) 1,324,945 37,257 Facebook, Inc., Class A (a) 2,828,179 57,557 Yahoo!, Inc. (a) 2,531,933 -------------- 6,685,057 -------------- IT SERVICES -- 3.0% 32,554 Accenture PLC, Class A 2,735,513 5,014 Alliance Data Systems Corp. (a) 1,448,194 55,199 Cognizant Technology Solutions Corp., Class A (a) 2,987,922 115,259 Computer Sciences Corp. 6,993,916 46,730 Fidelity National Information Services, Inc. 2,917,354 40,956 Fiserv, Inc. (a) 2,970,539 27,177 International Business Machines Corp. 4,166,506 33,736 MasterCard, Inc., Class A 2,767,364 99,829 Teradata Corp. (a) 4,448,380 85,601 Total System Services, Inc. 3,027,707 16,627 Visa, Inc., Class A 4,238,388 80,085 Western Union (The) Co. 1,361,445 524,338 Xerox Corp. 6,905,531 -------------- 46,968,759 -------------- See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) LEISURE PRODUCTS -- 0.4% 26,090 Hasbro, Inc. $ 1,432,863 187,877 Mattel, Inc. 5,053,891 -------------- 6,486,754 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.3% 32,801 PerkinElmer, Inc. 1,499,334 11,448 Thermo Fisher Scientific, Inc. 1,433,404 12,727 Waters Corp. (a) 1,515,149 -------------- 4,447,887 -------------- MACHINERY -- 3.0% 47,643 Caterpillar, Inc. 3,810,011 40,321 Cummins, Inc. 5,623,167 49,287 Deere & Co. 4,198,759 81,070 Dover Corp. 5,678,143 48,586 Flowserve Corp. 2,647,451 15,144 Illinois Tool Works, Inc. 1,409,755 156,223 Joy Global, Inc. 6,551,993 85,489 PACCAR, Inc. 5,138,744 43,079 Pall Corp. 4,168,324 22,548 Parker Hannifin Corp. 2,625,940 31,893 Snap-on, Inc. 4,232,520 14,930 Stanley Black & Decker, Inc. 1,398,194 -------------- 47,483,001 -------------- MEDIA -- 2.0% 75,164 Comcast Corp., Class A 3,994,591 16,542 DIRECTV (a) 1,410,702 136,559 Gannett Co., Inc. 4,234,694 209,939 Interpublic Group of Cos. (The), Inc. 4,186,184 370,549 News Corp., Class A (a) 5,517,475 37,529 Omnicom Group, Inc. 2,732,111 51,041 Time Warner, Inc. 3,977,625 75,692 Twenty-First Century Fox, Inc., Class A 2,509,947 19,065 Viacom, Inc., Class B 1,228,167 15,224 Walt Disney (The) Co. 1,384,775 -------------- 31,176,271 -------------- METALS & MINING -- 0.7% 311,107 Freeport-McMoRan, Inc. 5,229,709 75,888 Newmont Mining Corp. 1,908,583 88,904 Nucor Corp. 3,880,659 -------------- 11,018,951 -------------- MULTILINE RETAIL -- 2.2% 102,792 Dollar General Corp. (a) 6,893,231 103,264 Dollar Tree, Inc. (a) 7,342,070 36,695 Family Dollar Stores, Inc. 2,792,489 119,062 Kohl's Corp. 7,110,383 66,320 Macy's, Inc. 4,236,522 91,538 Nordstrom, Inc. 6,975,196 -------------- 35,349,891 -------------- MULTI-UTILITIES -- 4.0% 94,520 Ameren Corp. 4,279,866 186,109 CenterPoint Energy, Inc. 4,297,257 SHARES DESCRIPTION VALUE ------------------------------------------------------------ MULTI-UTILITIES (CONTINUED) 83,651 CMS Energy Corp. $ 3,156,152 88,072 Consolidated Edison, Inc. 6,101,628 50,489 DTE Energy Co. 4,526,844 93,354 Integrys Energy Group, Inc. 7,571,009 102,792 NiSource, Inc. 4,446,782 109,203 PG&E Corp. 6,422,229 140,403 Public Service Enterprise Group, Inc. 5,992,400 72,191 SCANA Corp. 4,603,620 12,880 Sempra Energy 1,441,530 212,807 TECO Energy, Inc. 4,539,173 110,233 Wisconsin Energy Corp. 6,147,694 -------------- 63,526,184 -------------- OIL, GAS & CONSUMABLE FUELS -- 9.3% 92,771 Apache Corp. 5,804,682 371,352 Chesapeake Energy Corp. 7,122,531 64,787 Chevron Corp. 6,642,611 68,560 Cimarex Energy Co. 7,075,392 105,228 ConocoPhillips 6,627,259 128,973 CONSOL Energy, Inc. 3,733,768 893,899 Denbury Resources, Inc. 6,167,903 118,725 Devon Energy Corp. 7,155,556 38,404 EQT Corp. 2,858,794 78,608 Exxon Mobil Corp. 6,871,911 98,449 Hess Corp. 6,644,323 103,055 Kinder Morgan, Inc. 4,230,408 256,892 Marathon Oil Corp. 6,833,327 80,519 Marathon Petroleum Corp. 7,455,254 143,846 Murphy Oil Corp. 6,460,124 267,968 Newfield Exploration Co. (a) 7,980,087 153,228 Noble Energy, Inc. 7,315,105 90,152 Occidental Petroleum Corp. 7,212,160 101,359 Phillips 66 7,127,565 287,536 QEP Resources, Inc. 5,813,978 266,303 Southwestern Energy Co. (a) 6,601,651 78,202 Tesoro Corp. 6,391,450 146,820 Valero Energy Corp. 7,763,842 -------------- 147,889,681 -------------- PAPER & FOREST PRODUCTS -- 0.1% 26,764 International Paper Co. 1,409,392 -------------- PHARMACEUTICALS -- 3.0% 44,419 AbbVie, Inc. 2,680,687 16,943 Actavis PLC (a) 4,515,987 34,186 Allergan, Inc. 7,495,623 118,649 Hospira, Inc. (a) 7,525,906 41,694 Johnson & Johnson 4,175,237 58,706 Mallinckrodt PLC (a) 6,222,249 103,133 Mylan, Inc. (a) 5,481,519 8,581 Perrigo Co. PLC 1,302,081 139,981 Pfizer, Inc. 4,374,406 101,336 Zoetis, Inc. 4,330,087 -------------- 48,103,782 -------------- Page 34 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 0.6% 11,863 Dun & Bradstreet (The) Corp. $ 1,365,550 17,738 Equifax, Inc. 1,498,151 124,480 Robert Half International, Inc. 7,227,309 -------------- 10,091,010 -------------- REAL ESTATE INVESTMENT TRUSTS -- 3.6% 14,507 American Tower Corp. 1,406,454 78,254 Apartment Investment & Management Co., Class A 3,119,204 35,585 AvalonBay Communities, Inc. 6,155,849 22,593 Boston Properties, Inc. 3,135,908 80,924 Equity Residential 6,280,512 28,136 Essex Property Trust, Inc. 6,360,143 155,009 General Growth Properties, Inc. 4,678,172 96,046 Health Care REIT, Inc. 7,870,970 112,790 Iron Mountain, Inc. 4,493,554 57,056 Kimco Realty Corp. 1,577,598 52,275 Macerich (The) Co. 4,496,173 7,761 Public Storage 1,558,719 7,876 Simon Property Group, Inc. 1,564,646 40,546 Ventas, Inc. 3,235,976 39,966 Weyerhaeuser Co. 1,432,781 -------------- 57,366,659 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 212,184 CBRE Group, Inc., Class A (a) 6,862,031 -------------- ROAD & RAIL -- 1.0% 120,359 CSX Corp. 4,007,955 39,785 Norfolk Southern Corp. 4,056,876 46,965 Ryder System, Inc. 3,888,232 36,599 Union Pacific Corp. 4,289,769 -------------- 16,242,832 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.8% 233,306 Applied Materials, Inc. 5,328,709 72,245 Avago Technologies Ltd. 7,432,566 67,089 Broadcom Corp., Class A 2,846,922 162,961 First Solar, Inc. (a) 6,896,509 80,101 Intel Corp. 2,646,537 20,403 KLA-Tencor Corp. 1,254,172 73,283 Lam Research Corp. 5,601,753 31,802 Microchip Technology, Inc. 1,434,270 124,543 Micron Technology, Inc. (a) 3,644,751 217,483 NVIDIA Corp. 4,176,761 26,833 Texas Instruments, Inc. 1,434,224 67,150 Xilinx, Inc. 2,590,311 -------------- 45,287,485 -------------- SOFTWARE -- 1.8% 190,928 CA, Inc. 5,785,118 154,570 Electronic Arts, Inc. (a) 8,479,710 15,561 Intuit, Inc. 1,351,006 30,877 Microsoft Corp. 1,247,431 64,648 Oracle Corp. 2,708,105 84,092 Red Hat, Inc. (a) 5,364,229 169,964 Symantec Corp. 4,210,008 -------------- 29,145,607 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ SPECIALTY RETAIL -- 6.5% 96,243 AutoNation, Inc. (a) $ 5,738,008 9,389 AutoZone, Inc. (a) 5,604,858 76,329 Bed Bath & Beyond, Inc. (a) 5,707,119 149,152 Best Buy Co., Inc. 5,250,150 109,154 CarMax, Inc. (a) 6,778,463 215,010 GameStop Corp., Class A 7,579,103 138,060 Gap (The), Inc. 5,686,691 55,392 Home Depot (The), Inc. 5,784,033 83,972 L Brands, Inc. 7,106,550 105,631 Lowe's Cos., Inc. 7,157,557 37,731 O'Reilly Automotive, Inc. (a) 7,069,280 53,636 PetSmart, Inc. 4,382,329 77,100 Ross Stores, Inc. 7,070,841 320,852 Staples, Inc. 5,470,527 13,425 Tiffany & Co. 1,163,142 63,581 TJX (The) Cos., Inc. 4,192,531 73,758 Tractor Supply Co. 5,986,937 165,500 Urban Outfitters, Inc. (a) 5,769,330 -------------- 103,497,449 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.4% 39,500 Apple, Inc. 4,627,820 97,747 EMC Corp. 2,534,580 144,878 Hewlett-Packard Co. 5,234,442 34,599 NetApp, Inc. 1,307,842 65,572 Seagate Technology PLC 3,700,883 52,525 Western Digital Corp. 5,107,006 -------------- 22,512,573 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.5% 154,792 Coach, Inc. 5,756,715 39,374 Fossil Group, Inc. (a) 3,850,777 45,356 NIKE, Inc., Class B 4,184,091 15,700 Ralph Lauren Corp. 2,620,173 42,813 Under Armour, Inc., Class A (a) 3,085,961 58,222 VF Corp. 4,038,860 -------------- 23,536,577 -------------- TOBACCO -- 0.1% 29,115 Altria Group, Inc. 1,546,006 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 14,065 United Rentals, Inc. (a) 1,165,285 5,629 W.W. Grainger, Inc. 1,327,544 -------------- 2,492,829 -------------- TOTAL INVESTMENTS -- 100.0% 1,590,999,964 (Cost $1,519,080,013) (b) NET OTHER ASSETS AND LIABILITIES -- 0.0% 32,405 -------------- NET ASSETS -- 100.0% $1,591,032,369 ============== See Notes to Financial Statements Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $131,388,058 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $59,468,107. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $1,590,999,964 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. Page 36 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.4% 51,437 B/E Aerospace, Inc. (a) $ 3,000,320 36,280 Esterline Technologies Corp. (a) 4,066,625 226,992 Exelis, Inc. 3,883,833 35,383 Huntington Ingalls Industries, Inc. 4,125,658 120,581 KLX, Inc. (a) 4,740,039 42,787 Orbital ATK, Inc. (a) 5,575,574 73,995 Triumph Group, Inc. 4,222,155 -------------- 29,614,204 -------------- AIRLINES -- 1.3% 83,232 Alaska Air Group, Inc. 5,648,956 313,616 JetBlue Airways Corp. (a) 5,265,612 -------------- 10,914,568 -------------- AUTO COMPONENTS -- 0.4% 220,269 Gentex Corp. 3,676,290 -------------- AUTOMOBILES -- 0.3% 53,416 Thor Industries, Inc. 3,009,992 -------------- BANKS -- 2.7% 106,795 Associated Banc-Corp. 1,795,224 44,193 BancorpSouth, Inc. 877,231 38,874 Cathay General Bancorp 928,700 51,397 East West Bancorp, Inc. 1,859,543 73,254 First Horizon National Corp. 951,569 105,325 FirstMerit Corp. 1,725,750 160,969 Fulton Financial Corp. 1,794,804 64,807 Hancock Holding Co. 1,692,111 112,448 International Bancshares Corp. 2,531,205 21,883 PacWest Bancorp 935,608 35,939 Prosperity Bancshares, Inc. 1,645,647 7,898 Signature Bank (a) 925,093 125,210 TCF Financial Corp. 1,840,587 81,075 Trustmark Corp. 1,731,762 102,450 Valley National Bancorp 930,246 30,581 Webster Financial Corp. 933,638 -------------- 23,098,718 -------------- BIOTECHNOLOGY -- 0.3% 15,365 United Therapeutics Corp. (a) 2,168,462 -------------- BUILDING PRODUCTS -- 1.0% 52,905 A.O. Smith Corp. 3,143,086 43,949 Fortune Brands Home & Security, Inc. 1,968,476 31,391 Lennox International, Inc. 3,086,049 -------------- 8,197,611 -------------- CAPITAL MARKETS -- 1.1% 24,305 Eaton Vance Corp. 978,276 185,020 Janus Capital Group, Inc. 3,245,251 34,728 Raymond James Financial, Inc. 1,827,388 49,690 SEI Investments Co. 1,996,047 39,935 Waddell & Reed Financial, Inc., Class A 1,785,494 -------------- 9,832,456 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ CHEMICALS -- 3.3% 66,176 Albemarle Corp. $ 3,193,654 24,920 Ashland, Inc. 2,953,518 113,405 Cabot Corp. 4,809,506 57,295 Minerals Technologies, Inc. 3,743,082 174,755 Olin Corp. 4,381,108 26,241 PolyOne Corp. 933,917 39,235 RPM International, Inc. 1,877,787 15,963 Scotts Miracle-Gro (The) Co., Class A 1,012,533 32,973 Sensient Technologies Corp. 2,011,353 46,013 Valspar (The) Corp. 3,838,865 -------------- 28,755,323 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.3% 31,961 Deluxe Corp. 2,075,228 97,414 HNI Corp. 4,797,639 59,196 R.R. Donnelley & Sons Co. 974,958 30,054 Rollins, Inc. 993,285 45,228 Waste Connections, Inc. 1,954,754 -------------- 10,795,864 -------------- COMMUNICATIONS EQUIPMENT -- 1.2% 98,853 ARRIS Group, Inc. (a) 2,591,926 94,026 InterDigital, Inc. 4,699,419 37,525 Plantronics, Inc. 1,719,771 48,740 Riverbed Technology, Inc. (a) 1,003,069 -------------- 10,014,185 -------------- CONSTRUCTION & ENGINEERING -- 0.4% 131,023 AECOM (a) 3,330,605 -------------- CONTAINERS & PACKAGING -- 2.2% 29,766 AptarGroup, Inc. 1,878,532 44,008 Bemis Co., Inc. 1,949,554 63,188 Greif, Inc., Class A 2,413,782 63,728 Packaging Corp. of America 4,833,769 65,254 Rock-Tenn Co., Class A 4,234,985 18,560 Silgan Holdings, Inc. 954,170 68,292 Sonoco Products Co. 3,018,506 -------------- 19,283,298 -------------- DISTRIBUTORS -- 0.1% 35,377 LKQ Corp. (a) 913,080 -------------- DIVERSIFIED CONSUMER SERVICES -- 1.6% 87,493 Apollo Education Group, Inc. (a) 2,210,073 83,825 DeVry Education Group, Inc. 3,555,018 5,759 Graham Holdings Co., Class B 5,386,508 131,470 Service Corp. International 2,975,166 -------------- 14,126,765 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 31,372 CBOE Holdings, Inc. 2,022,553 -------------- See Notes to Financial Statements Page 37 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 2.3% 36,479 Cleco Corp. $ 1,982,998 140,062 Great Plains Energy, Inc. 4,141,633 29,713 Hawaiian Electric Industries, Inc. 1,019,156 60,117 IDACORP, Inc. 4,082,545 56,076 OGE Energy Corp. 1,972,754 100,721 PNM Resources, Inc. 3,071,991 72,366 Westar Energy, Inc. 3,091,476 -------------- 19,362,553 -------------- ELECTRICAL EQUIPMENT -- 0.8% 21,306 Acuity Brands, Inc. 3,193,556 18,624 Hubbell, Inc., Class B 1,974,889 26,457 Regal-Beloit Corp. 1,821,565 -------------- 6,990,010 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.6% 85,921 Arrow Electronics, Inc. (a) 4,729,092 115,620 Avnet, Inc. 4,812,104 37,868 Belden, Inc. 3,140,772 24,069 Cognex Corp. (a) 884,536 107,973 Ingram Micro, Inc., Class A (a) 2,718,760 13,278 IPG Photonics Corp. (a) 991,070 45,570 Jabil Circuit, Inc. 939,198 58,916 Keysight Technologies, Inc. (a) 1,967,205 62,932 Tech Data Corp. (a) 3,593,417 351,516 Vishay Intertechnology, Inc. 4,787,648 25,702 Zebra Technologies Corp., Class A (a) 2,145,089 -------------- 30,708,891 -------------- ENERGY EQUIPMENT & SERVICES -- 5.5% 175,324 Atwood Oceanics, Inc. 5,010,760 124,194 CARBO Ceramics, Inc. (b) 4,071,079 12,161 Dresser-Rand Group, Inc. (a) 973,853 51,859 Dril-Quip, Inc. (a) 3,849,494 229,215 Helix Energy Solutions Group, Inc. (a) 4,302,365 67,661 Oceaneering International, Inc. 3,542,730 81,374 Oil States International, Inc. (a) 3,342,030 299,816 Patterson-UTI Energy, Inc. 5,144,843 213,291 Rowan Cos. PLC, Class A 4,504,706 197,477 Superior Energy Services, Inc. 3,949,540 153,470 Tidewater, Inc. 4,490,532 145,864 Unit Corp. (a) 4,343,830 -------------- 47,525,762 -------------- FOOD & STAPLES RETAILING -- 0.5% 410,223 SUPERVALU, Inc. (a) 3,995,572 -------------- FOOD PRODUCTS -- 2.3% 103,678 Flowers Foods, Inc. 2,027,942 85,331 Hain Celestial Group (The), Inc. (a) 4,502,917 35,176 Ingredion, Inc. 2,836,592 71,243 Post Holdings, Inc. (a) 3,366,232 46,524 TreeHouse Foods, Inc. (a) 4,219,727 SHARES DESCRIPTION VALUE ------------------------------------------------------------ FOOD PRODUCTS (CONTINUED) 85,292 WhiteWave Foods (The) Co. (a) $ 2,812,077 -------------- 19,765,487 -------------- GAS UTILITIES -- 2.0% 53,541 Atmos Energy Corp. 3,047,018 42,922 National Fuel Gas Co. 2,722,543 96,535 ONE Gas, Inc. 4,265,882 78,702 Questar Corp. 2,042,317 130,962 UGI Corp. 4,844,284 -------------- 16,922,044 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.1% 12,275 Cooper (The) Cos., Inc. 1,935,154 43,756 Halyard Health, Inc. (a) 1,950,205 21,806 Hill-Rom Holdings, Inc. 1,041,454 26,837 IDEXX Laboratories, Inc. (a) 4,251,517 17,745 ResMed, Inc. (b) 1,108,530 11,386 Sirona Dental Systems, Inc. (a) 1,027,245 76,699 STERIS Corp. 5,002,309 17,328 Teleflex, Inc. 1,898,456 -------------- 18,214,870 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.4% 47,896 Centene Corp. (a) 5,228,327 36,899 Community Health Systems, Inc. (a) 1,736,836 29,226 Henry Schein, Inc. (a) 4,035,234 69,169 LifePoint Hospitals, Inc. (a) 4,512,585 60,190 MEDNAX, Inc. (a) 4,086,299 54,561 Omnicare, Inc. 4,090,984 101,988 VCA, Inc. (a) 5,313,575 -------------- 29,003,840 -------------- HOTELS, RESTAURANTS & LEISURE -- 2.5% 67,800 Brinker International, Inc. 3,961,554 19,773 Cheesecake Factory (The), Inc. 1,038,280 52,819 Domino's Pizza, Inc. 5,231,722 115,338 International Game Technology 1,951,519 94,293 International Speedway Corp., Class A 2,742,983 70,278 Life Time Fitness, Inc. (a) 3,842,098 11,382 Panera Bread Co., Class A (a) 1,956,111 110,165 Wendy's (The) Co. 1,161,139 -------------- 21,885,406 -------------- HOUSEHOLD DURABLES -- 1.8% 103,884 Jarden Corp. (a) 4,988,510 60,108 KB Home (b) 748,946 75,164 M.D.C. Holdings, Inc. (b) 1,879,100 3,900 NVR, Inc. (a) 4,891,497 18,117 Tempur Sealy International, Inc. (a) 996,978 29,028 Toll Brothers, Inc. (a) 1,004,949 15,790 Tupperware Brands Corp. 1,067,562 -------------- 15,577,542 -------------- Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HOUSEHOLD PRODUCTS -- 0.1% 12,623 Church & Dwight Co., Inc. $ 1,021,453 -------------- INDUSTRIAL CONGLOMERATES -- 0.1% 11,024 Carlisle Cos., Inc. 988,632 -------------- INSURANCE -- 5.7% 10,731 Alleghany Corp. (a) 4,744,068 49,150 American Financial Group, Inc. 2,852,666 21,130 Arthur J. Gallagher & Co. 938,806 113,638 Aspen Insurance Holdings Ltd. 4,922,798 60,455 Brown & Brown, Inc. 1,865,037 29,207 Everest Re Group, Ltd. 5,005,496 58,690 First American Financial Corp. 1,996,634 41,845 Hanover Insurance Group (The), Inc. 2,887,305 74,349 HCC Insurance Holdings, Inc. 3,965,776 27,549 Kemper Corp. 961,735 52,662 Mercury General Corp. 3,009,633 271,987 Old Republic International Corp. 3,818,697 55,001 Primerica, Inc. 2,730,250 34,060 Reinsurance Group of America, Inc. 2,820,508 42,719 StanCorp Financial Group, Inc. 2,650,287 77,627 W. R. Berkley Corp. 3,802,947 -------------- 48,972,643 -------------- INTERNET & CATALOG RETAIL -- 0.6% 65,447 HSN, Inc. 5,068,216 -------------- INTERNET SOFTWARE & SERVICES -- 1.0% 64,639 AOL, Inc. (a) 2,795,637 4,388 Equinix, Inc. 951,581 106,258 Rackspace Hosting, Inc. (a) 4,777,360 -------------- 8,524,578 -------------- IT SERVICES -- 2.8% 43,083 Broadridge Financial Solutions, Inc. 2,067,553 97,672 Convergys Corp. 1,871,396 52,830 DST Systems, Inc. 5,108,661 35,440 Gartner, Inc. (a) 2,984,757 49,290 Global Payments, Inc. 4,303,510 16,009 Jack Henry & Associates, Inc. 982,472 178,919 NeuStar, Inc., Class A (a) (b) 4,703,781 53,483 VeriFone Systems, Inc. (a) 1,678,831 -------------- 23,700,961 -------------- LEISURE PRODUCTS -- 0.7% 77,627 Brunswick Corp. 4,213,594 13,155 Polaris Industries, Inc. 1,902,081 -------------- 6,115,675 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.2% 8,251 Bio-Rad Laboratories, Inc., Class A (a) 944,492 31,263 Charles River Laboratories International, Inc. (a) 2,168,089 SHARES DESCRIPTION VALUE ------------------------------------------------------------ LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 38,320 Covance, Inc. (a) $ 4,069,967 9,867 Mettler-Toledo International, Inc. (a) 2,999,075 -------------- 10,181,623 -------------- MACHINERY -- 3.7% 110,043 AGCO Corp. 4,769,264 14,928 CLARCOR, Inc. 933,448 16,947 Crane Co. 1,032,920 12,780 IDEX Corp. 924,633 111,181 Kennametal, Inc. 3,493,307 14,398 Lincoln Electric Holdings, Inc. 977,768 81,792 Oshkosh Corp. 3,504,787 57,891 SPX Corp. 4,837,951 178,406 Terex Corp. 4,010,567 23,308 Timken (The) Co. 885,937 23,499 Valmont Industries, Inc. 2,822,700 22,898 Wabtec Corp. 1,910,838 40,414 Woodward, Inc. 1,802,868 -------------- 31,906,988 -------------- MARINE -- 0.4% 49,284 Kirby Corp. (a) 3,572,597 -------------- MEDIA -- 0.9% 15,600 AMC Networks, Inc., Class A (a) 1,040,520 16,793 John Wiley & Sons, Inc., Class A 1,040,494 152,400 Live Nation Entertainment, Inc. (a) 3,622,548 18,314 Meredith Corp. 953,427 40,422 Time, Inc. 1,012,167 -------------- 7,669,156 -------------- METALS & MINING -- 3.2% 60,596 Carpenter Technology Corp. 2,299,012 244,270 Commercial Metals Co. 3,278,104 34,370 Compass Minerals International, Inc. 3,003,938 81,181 Reliance Steel & Aluminum Co. 4,251,449 201,579 Steel Dynamics, Inc. 3,434,906 134,322 TimkenSteel Corp. 3,626,694 148,809 United States Steel Corp. (b) 3,636,892 132,242 Worthington Industries, Inc. 3,958,003 -------------- 27,488,998 -------------- MULTILINE RETAIL -- 0.4% 74,572 Big Lots, Inc. 3,423,600 -------------- MULTI-UTILITIES -- 1.6% 29,955 Alliant Energy Corp. 2,055,213 56,266 Black Hills Corp. 2,822,303 211,658 MDU Resources Group, Inc. 4,785,587 86,073 Vectren Corp. 4,124,618 -------------- 13,787,721 -------------- See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS -- 4.0% 902,714 California Resources Corp. (a) $ 4,621,896 46,806 Energen Corp. 2,968,437 95,332 Gulfport Energy Corp. (a) 3,669,329 132,710 HollyFrontier Corp. 4,766,943 222,947 Rosetta Resources, Inc. (a) 3,805,705 128,926 SM Energy Co. 4,875,981 105,325 Western Refining, Inc. 3,910,717 42,395 World Fuel Services Corp. 2,076,083 342,147 WPX Energy, Inc. (a) 3,647,287 -------------- 34,342,378 -------------- PAPER & FOREST PRODUCTS -- 0.6% 123,669 Domtar Corp. 4,736,523 -------------- PROFESSIONAL SERVICES -- 1.0% 27,431 Corporate Executive Board (The) Co. 1,879,572 25,752 FTI Consulting, Inc. (a) 1,047,334 58,371 ManpowerGroup, Inc. 4,254,078 8,790 Towers Watson & Co., Class A 1,041,615 -------------- 8,222,599 -------------- REAL ESTATE INVESTMENT TRUSTS -- 6.6% 44,841 Alexandria Real Estate Equities, Inc. 4,372,894 72,156 American Campus Communities, Inc. 3,171,978 54,749 Corrections Corp. of America 2,152,731 147,741 Duke Realty Corp. 3,225,186 39,227 Equity One, Inc. 1,068,544 67,858 Extra Space Storage, Inc. 4,478,628 7,454 Federal Realty Investment Trust 1,071,662 44,932 Highwoods Properties, Inc. 2,111,804 64,180 Hospitality Properties Trust 2,091,626 43,208 Kilroy Realty Corp. 3,203,873 98,324 LaSalle Hotel Properties 3,978,189 39,962 Mid-America Apartment Communities, Inc. 3,169,786 50,535 National Retail Properties, Inc. 2,164,919 76,385 OMEGA Healthcare Investors, Inc. 3,350,246 35,605 Rayonier, Inc. 1,045,007 62,552 Realty Income Corp. 3,397,199 46,792 Regency Centers Corp. 3,208,060 25,075 SL Green Realty Corp. 3,159,450 26,915 Tanger Factory Outlet Centers, Inc. 1,059,105 26,035 Taubman Centers, Inc. 2,133,568 64,555 UDR, Inc. 2,147,099 28,488 Weingarten Realty Investors 1,067,730 -------------- 56,829,284 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6% 33,175 Jones Lang LaSalle, Inc. 4,879,379 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ ROAD & RAIL -- 2.4% 60,683 Con-way, Inc. $ 2,486,182 22,126 Genesee & Wyoming, Inc., Class A (a) 1,824,289 47,230 J.B. Hunt Transport Services, Inc. 3,759,980 54,862 Landstar System, Inc. 3,515,557 64,064 Old Dominion Freight Line, Inc. (a) 4,492,168 159,678 Werner Enterprises, Inc. 4,555,613 -------------- 20,633,789 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.9% 61,750 Cree, Inc. (a) (b) 2,183,480 208,990 Cypress Semiconductor Corp. (b) 3,078,423 203,019 Integrated Device Technology, Inc. (a) 3,713,217 74,954 Qorvo, Inc. (a) 5,536,852 68,408 Skyworks Solutions, Inc. 5,681,284 50,989 SunEdison, Inc. (a) (b) 955,024 201,069 Teradyne, Inc. 3,639,349 -------------- 24,787,629 -------------- SOFTWARE -- 3.1% 49,320 ACI Worldwide, Inc. (a) 910,940 104,880 Cadence Design Systems, Inc. (a) 1,886,791 21,203 FactSet Research Systems, Inc. 3,044,539 41,278 Fair Isaac Corp. 2,945,185 162,229 Fortinet, Inc. (a) 4,849,836 136,148 Mentor Graphics Corp. 3,132,766 99,818 SolarWinds, Inc. (a) 4,806,237 45,769 Synopsys, Inc. (a) 1,967,609 27,269 Tyler Technologies, Inc. (a) 2,892,696 -------------- 26,436,599 -------------- SPECIALTY RETAIL -- 5.4% 130,166 Aaron's, Inc. 4,121,056 138,937 Abercrombie & Fitch Co., Class A 3,545,672 31,228 Advance Auto Parts, Inc. 4,965,252 81,808 ANN, Inc. (a) 2,707,845 396,016 Ascena Retail Group, Inc. (a) 4,577,945 18,873 Cabela's, Inc. (a) 1,037,071 184,107 Chico's FAS, Inc. 3,070,905 60,108 Dick's Sporting Goods, Inc. 3,104,578 53,122 Foot Locker, Inc. 2,827,153 235,956 Guess?, Inc. 4,431,254 14,447 Murphy USA, Inc. (a) 1,008,545 109,558 Rent-A-Center, Inc. 3,755,648 37,805 Signet Jewelers Ltd. 4,578,564 39,434 Williams-Sonoma, Inc. 3,085,710 -------------- 46,817,198 -------------- Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 120,522 Lexmark International, Inc., Class A $ 4,810,033 102,415 NCR Corp. (a) 2,601,341 -------------- 7,411,374 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 45,575 Carter's, Inc. 3,713,907 10,927 Deckers Outdoor Corp. (a) 721,728 35,649 Hanesbrands, Inc. 3,970,586 -------------- 8,406,221 -------------- THRIFTS & MORTGAGE FINANCE -- 0.4% 74,460 Astoria Financial Corp. 910,646 62,174 New York Community Bancorp, Inc. 960,588 89,823 Washington Federal, Inc. 1,783,885 -------------- 3,655,119 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.7% 51,866 GATX Corp. 2,964,142 12,244 MSC Industrial Direct Co., Inc., Class A 919,157 77,325 NOW, Inc. (a) (b) 1,929,259 -------------- 5,812,558 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 157,591 Telephone & Data Systems, Inc. 3,663,991 -------------- TOTAL COMMON STOCKS -- 100.0% 858,763,433 (Cost $819,770,861) -------------- MONEY MARKET FUNDS -- 0.6% 4,402,998 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 4,402,998 595,363 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 595,363 -------------- TOTAL MONEY MARKET FUNDS -- 0.6% 4,998,361 (Cost $4,998,361) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 1.6% $ 4,508,150 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $4,508,169. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $4,622,775. (d) $ 4,508,150 9,641,886 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $9,641,926. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $9,864,098. (d) 9,641,886 -------------- TOTAL REPURCHASE AGREEMENTS -- 1.6% 14,150,036 (Cost $14,150,036) -------------- TOTAL INVESTMENTS -- 102.2% 877,911,830 (Cost $838,919,258) (e) NET OTHER ASSETS AND LIABILITIES -- (2.2)% (19,048,068) -------------- NET ASSETS -- 100.0% $ 858,863,762 ============== (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $18,069,631 and the total value of the collateral held by the Fund is $18,553,034. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $79,455,052 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $40,462,480. See Notes to Financial Statements Page 41 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 858,763,433 $ -- $ -- Money Market Funds 4,998,361 -- -- Repurchase Agreements -- 14,150,036 -- ---------------------------------------- Total Investments $ 863,761,794 $ 14,150,036 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. ----------------------------- 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) $ 18,069,631 Non-cash Collateral(2) (18,069,631) -------------- Net Amount $ -- ============== (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) At January 31, 2015, 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) $ 14,150,036 Non-cash Collateral(4) (14,150,036) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. Page 42 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.5% 83,108 AAR Corp. $ 2,381,875 26,318 Cubic Corp. 1,376,168 13,085 Curtiss-Wright Corp. 870,545 32,364 Engility Holdings, Inc. (a) 1,291,324 75,697 GenCorp, Inc. (a) 1,271,710 12,474 Moog, Inc., Class A (a) 876,922 39,781 National Presto Industries, Inc. (b) 2,506,203 34,343 Orbital Sciences Corp. (a) 964,695 87,188 TASER International, Inc. (a) (b) 2,354,948 13,483 Teledyne Technologies, Inc. (a) 1,281,424 -------------- 15,175,814 -------------- AIR FREIGHT & LOGISTICS -- 0.5% 46,829 Atlas Air Worldwide Holdings, Inc. (a) 2,116,671 18,334 Forward Air Corp. 823,196 -------------- 2,939,867 -------------- AIRLINES -- 0.7% 12,285 Allegiant Travel Co. 2,226,902 139,085 SkyWest, Inc. 1,745,517 -------------- 3,972,419 -------------- AUTO COMPONENTS -- 0.7% 9,568 Dorman Products, Inc. (a) 437,545 18,082 Drew Industries, Inc. (a) 909,163 36,339 Standard Motor Products, Inc. 1,324,920 70,000 Superior Industries International, Inc. 1,277,500 -------------- 3,949,128 -------------- BANKS -- 3.0% 36,532 Bank of the Ozarks, Inc. 1,184,733 21,469 Banner Corp. 866,918 64,223 BBCN Bancorp, Inc. 831,688 23,287 Cardinal Financial Corp. 414,741 9,923 City Holding Co. 420,041 16,725 Columbia Banking System, Inc. 425,317 12,112 Community Bank System, Inc. 407,327 34,664 F.N.B. Corp. 415,968 235,990 First BanCorp (a) 1,295,585 100,162 First Commonwealth Financial Corp. 790,278 21,170 Hanmi Financial Corp. 420,436 10,784 Independent Bank Corp. 407,959 28,106 MB Financial, Inc. 798,491 87,742 National Penn Bancshares, Inc. 851,097 35,153 NBT Bancorp, Inc. 808,871 110,933 OFG Bancorp 1,786,021 62,062 Old National Bancorp 832,251 13,823 PrivateBancorp, Inc. 419,390 15,490 S&T Bancorp, Inc. 425,820 11,361 Simmons First National Corp., Class A 425,129 68,766 Susquehanna Bancshares, Inc. 867,139 8,351 Tompkins Financial Corp. 428,156 36,992 United Bankshares, Inc. 1,250,700 SHARES DESCRIPTION VALUE ------------------------------------------------------------ BANKS (CONTINUED) 45,581 Wilshire Bancorp, Inc. $ 414,787 19,751 Wintrust Financial Corp. 858,576 -------------- 18,047,419 -------------- BEVERAGES -- 0.4% 7,972 Boston Beer (The) Co., Inc., Class A (a) 2,507,353 -------------- BIOTECHNOLOGY -- 0.7% 45,193 Acorda Therapeutics, Inc. (a) 1,877,769 84,789 Emergent Biosolutions, Inc. (a) 2,376,636 -------------- 4,254,405 -------------- BUILDING PRODUCTS -- 1.5% 20,622 AAON, Inc. 449,766 34,256 American Woodmark Corp. (a) 1,408,949 32,696 Apogee Enterprises, Inc. 1,414,429 85,193 Gibraltar Industries, Inc. (a) 1,289,822 69,435 Griffon Corp. 1,020,000 95,902 PGT, Inc. (a) 823,798 24,589 Quanex Building Products Corp. 463,011 13,348 Simpson Manufacturing Co., Inc. 435,679 34,720 Universal Forest Products, Inc. 1,738,083 -------------- 9,043,537 -------------- CAPITAL MARKETS -- 1.3% 138,666 Calamos Asset Management, Inc., Class A 1,740,258 38,566 HFF, Inc., Class A 1,310,087 66,536 Investment Technology Group, Inc. (a) 1,380,622 39,742 Piper Jaffray Cos. (a) 2,028,829 9,052 Stifel Financial Corp. (a) 426,802 8,125 Virtus Investment Partners, Inc. 1,101,994 -------------- 7,988,592 -------------- CHEMICALS -- 3.5% 22,787 A. Schulman, Inc. 794,127 27,716 Balchem Corp. 1,468,116 66,661 Calgon Carbon Corp. (a) 1,315,221 177,325 FutureFuel Corp. 1,948,802 21,314 Hawkins, Inc. 820,802 23,698 Innophos Holdings, Inc. 1,410,979 33,268 Intrepid Potash, Inc. (a) (b) 442,797 88,843 Kraton Performance Polymers, Inc. (a) 1,718,224 73,434 LSB Industries, Inc. (a) 2,294,078 61,980 OM Group, Inc. 1,735,440 20,068 Quaker Chemical Corp. 1,583,767 41,413 Rayonier Advanced Materials, Inc. 708,991 57,605 Stepan Co. 2,212,032 61,592 Tredegar Corp. 1,317,453 60,958 Zep, Inc. 976,547 -------------- 20,747,376 -------------- See Notes to Financial Statements Page 43 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES -- 2.1% 48,350 ABM Industries, Inc. $ 1,395,865 18,914 Brink's (The) Co. 423,863 26,071 G&K Services, Inc., Class A 1,827,577 14,930 Healthcare Services Group, Inc. 470,444 28,462 Matthews International Corp., Class A 1,318,644 69,175 Tetra Tech, Inc. 1,593,100 11,407 UniFirst Corp. 1,324,695 43,807 United Stationers, Inc. 1,765,860 86,601 Viad Corp. 2,336,495 -------------- 12,456,543 -------------- COMMUNICATIONS EQUIPMENT -- 1.0% 21,179 ADTRAN, Inc. 468,267 67,558 Bel Fuse, Inc., Class B 1,588,964 58,600 Comtech Telecommunications Corp. 1,936,144 51,910 NETGEAR, Inc. (a) 1,753,001 7,327 ViaSat, Inc. (a) 411,924 -------------- 6,158,300 -------------- CONSTRUCTION & ENGINEERING -- 0.8% 74,436 Aegion Corp. (a) 1,140,359 39,475 Dycom Industries, Inc. (a) 1,216,225 31,139 EMCOR Group, Inc. 1,256,770 125,366 Orion Marine Group, Inc. (a) 1,144,592 -------------- 4,757,946 -------------- CONSTRUCTION MATERIALS -- 0.3% 123,216 Headwaters, Inc. (a) 1,734,881 -------------- CONSUMER FINANCE -- 1.6% 102,069 Cash America International, Inc. 2,123,035 31,201 Encore Capital Group, Inc. (a) 1,161,301 196,494 EZCORP, Inc., Class A (a) 2,025,853 8,296 First Cash Financial Services, Inc. (a) 412,477 67,606 Green Dot Corp., Class A (a) 1,030,992 7,969 PRA Group, Inc. (a) 394,625 29,057 World Acceptance Corp. (a) (b) 2,134,237 -------------- 9,282,520 -------------- DISTRIBUTORS -- 0.2% 21,836 Pool Corp. 1,358,418 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 37,572 American Public Education, Inc. (a) 1,261,292 18,000 Capella Education Co. 1,223,820 18,647 Strayer Education, Inc. (a) 1,249,349 46,928 Universal Technical Institute, Inc. 383,402 -------------- 4,117,863 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ DIVERSIFIED FINANCIAL SERVICES -- 0.2% 12,880 MarketAxess Holdings, Inc. $ 978,494 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 100,820 8x8, Inc. (a) 777,322 27,329 Atlantic Tele-Network, Inc. 1,815,465 33,186 Consolidated Communications Holdings, Inc. 772,570 167,911 General Communication, Inc., Class A (a) 2,464,934 27,452 Lumos Networks Corp. 440,056 -------------- 6,270,347 -------------- ELECTRIC UTILITIES -- 0.7% 25,123 ALLETE, Inc. 1,423,218 34,579 El Paso Electric Co. 1,385,235 31,815 UIL Holdings Corp. 1,463,490 -------------- 4,271,943 -------------- ELECTRICAL EQUIPMENT -- 0.9% 9,843 AZZ, Inc. 415,276 49,479 Encore Wire Corp. 1,515,542 22,443 EnerSys 1,310,223 12,301 Franklin Electric Co., Inc. 420,817 9,410 Powell Industries, Inc. 367,084 114,486 Vicor Corp. (a) 1,233,014 -------------- 5,261,956 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.2% 10,439 Anixter International, Inc. (a) 786,683 15,559 Badger Meter, Inc. 931,362 90,752 Benchmark Electronics, Inc. (a) 2,198,921 15,210 Coherent, Inc. (a) 941,195 51,796 CTS Corp. 828,736 36,909 Daktronics, Inc. 456,933 75,084 DTS, Inc. (a) 2,081,329 130,143 Fabrinet (a) 2,125,235 22,101 FARO Technologies, Inc. (a) 1,223,290 169,142 II-VI, Inc. (a) 2,907,551 71,342 Insight Enterprises, Inc. (a) 1,688,665 9,555 Littelfuse, Inc. 943,461 12,648 Methode Electronics, Inc. 457,478 72,487 Newport Corp. (a) 1,342,459 19,574 OSI Systems, Inc. (a) 1,369,789 44,817 Plexus Corp. (a) 1,698,116 16,049 Rofin-Sinar Technologies, Inc. (a) 432,039 28,351 Rogers Corp. (a) 2,094,005 98,119 Sanmina Corp. (a) 2,078,160 45,991 ScanSource, Inc. (a) 1,585,770 11,818 SYNNEX Corp. 876,777 245,290 TTM Technologies, Inc. (a) 1,704,766 -------------- 30,752,720 -------------- ENERGY EQUIPMENT & SERVICES -- 4.7% 263,482 Basic Energy Services, Inc. (a) 1,549,274 28,077 Bristow Group, Inc. 1,564,170 Page 44 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 174,774 C&J Energy Services, Inc. (a) $ 1,800,172 87,331 Era Group, Inc. (a) 1,966,694 56,691 Exterran Holdings, Inc. 1,536,893 87,124 Geospace Technologies Corp. (a) 2,089,234 119,072 Gulf Island Fabrication, Inc. 1,973,023 94,543 GulfMark Offshore, Inc., Class A (b) 1,865,333 92,462 Hornbeck Offshore Services, Inc. (a) 2,052,657 839,553 ION Geophysical Corp. (a) 1,888,994 62,062 Matrix Service Co. (a) 1,191,590 242,011 Newpark Resources, Inc. (a) 2,090,975 333,399 Pioneer Energy Services Corp. (a) 1,380,272 31,279 SEACOR Holdings, Inc. (a) 2,250,524 180,092 Tesco Corp. 1,844,142 207,373 TETRA Technologies, Inc. (a) 1,024,423 -------------- 28,068,370 -------------- FOOD & STAPLES RETAILING -- 0.6% 34,758 Andersons (The), Inc. 1,563,415 70,658 SpartanNash Co. 1,820,150 -------------- 3,383,565 -------------- FOOD PRODUCTS -- 1.3% 48,810 Calavo Growers, Inc. 1,957,769 11,833 Cal-Maine Foods, Inc. (b) 414,747 25,427 Darling Ingredients, Inc. (a) 431,750 8,488 J&J Snack Foods Corp. 832,842 27,476 Sanderson Farms, Inc. (b) 2,196,981 51,250 Seneca Foods Corp., Class A (a) 1,326,350 30,229 Snyder's-Lance, Inc. 879,362 -------------- 8,039,801 -------------- GAS UTILITIES -- 1.2% 17,358 Laclede Group (The), Inc. 933,166 37,727 New Jersey Resources Corp. 2,410,001 18,508 Northwest Natural Gas Co. 923,734 23,432 Piedmont Natural Gas Co., Inc. (b) 934,703 7,836 South Jersey Industries, Inc. 456,447 22,411 Southwest Gas Corp. 1,377,380 -------------- 7,035,431 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.5% 8,125 Abaxis, Inc. 499,525 60,662 ABIOMED, Inc. (a) 3,138,652 10,915 Analogic Corp. 889,900 42,695 Cantel Medical Corp. 1,732,136 10,268 CONMED Corp. 489,167 81,511 CryoLife, Inc. 917,814 84,198 Cynosure, Inc., Class A (a) 2,544,463 18,734 Greatbatch, Inc. (a) 909,723 11,274 ICU Medical, Inc. (a) 942,281 SHARES DESCRIPTION VALUE ------------------------------------------------------------ HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 17,029 Integra LifeSciences Holdings Corp. (a) $ 948,856 17,530 Masimo Corp. (a) 447,366 28,051 Meridian Bioscience, Inc. 485,282 26,645 Merit Medical Systems, Inc. (a) 408,468 38,435 Natus Medical, Inc. (a) 1,445,156 27,934 Neogen Corp. (a) 1,287,757 48,958 NuVasive, Inc. (a) 2,267,735 20,893 SurModics, Inc. (a) 478,868 17,345 West Pharmaceutical Services, Inc. 855,282 -------------- 20,688,431 -------------- HEALTH CARE PROVIDERS & SERVICES -- 5.0% 20,977 Air Methods Corp. (a) 871,594 15,951 Almost Family, Inc. (a) 484,272 78,665 Amedisys, Inc. (a) 2,216,780 117,796 AMN Healthcare Services, Inc. (a) 2,216,921 25,313 AmSurg Corp. (a) 1,396,771 57,484 Bio-Reference Laboratories, Inc. (a) (b) 1,927,439 4,369 Chemed Corp. 441,881 12,407 CorVel Corp. (a) 408,687 184,996 Cross Country Healthcare, Inc. (a) 1,892,509 52,012 Ensign Group (The), Inc. 2,158,498 55,515 ExamWorks Group, Inc. (a) 2,051,834 121,195 Gentiva Health Services, Inc. (a) 2,353,607 105,423 Hanger, Inc. (a) 2,275,028 10,064 IPC Healthcare, Inc. (a) 406,183 50,798 Kindred Healthcare, Inc. 937,731 14,808 LHC Group, Inc. (a) 440,094 30,768 Magellan Health, Inc. (a) 1,849,772 43,131 Molina Healthcare, Inc. (a) 2,195,799 10,872 MWI Veterinary Supply, Inc. (a) 2,062,092 22,297 PharMerica Corp. (a) 513,054 25,344 Providence Service (The) Corp. (a) 988,416 -------------- 30,088,962 -------------- HEALTH CARE TECHNOLOGY -- 0.6% 7,601 Computer Programs & Systems, Inc. 374,425 31,325 HealthStream, Inc. (a) 885,244 23,368 MedAssets, Inc. (a) 432,542 55,770 Omnicell, Inc. (a) 1,775,159 -------------- 3,467,370 -------------- HOTELS, RESTAURANTS & LEISURE -- 4.7% 3,469 Biglari Holdings, Inc. (a) 1,436,062 45,982 BJ's Restaurants, Inc. (a) 2,036,543 10,238 Buffalo Wild Wings, Inc. (a) 1,825,640 16,404 Cracker Barrel Old Country Store, Inc. 2,206,502 See Notes to Financial Statements Page 45 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 13,368 DineEquity, Inc. $ 1,427,034 44,208 Interval Leisure Group, Inc. 1,020,321 17,323 Jack in the Box, Inc. 1,468,817 99,786 Marcus (The) Corp. 1,881,964 24,781 Marriott Vacations Worldwide Corp. 1,895,746 111,332 Monarch Casino & Resort, Inc. (a) 1,926,044 41,376 Papa John's International, Inc. 2,625,721 20,755 Pinnacle Entertainment, Inc. (a) 438,968 11,996 Red Robin Gourmet Burgers, Inc. (a) 929,690 92,353 Ruth's Hospitality Group, Inc. 1,340,966 145,091 Scientific Games Corp., Class A (a) (b) 1,713,525 50,871 Sonic Corp. 1,539,865 68,387 Texas Roadhouse, Inc. 2,297,119 -------------- 28,010,527 -------------- HOUSEHOLD DURABLES -- 1.4% 29,818 Ethan Allen Interiors, Inc. 811,646 21,293 Helen of Troy Ltd. (a) 1,601,660 17,205 La-Z-Boy, Inc. 459,201 100,557 M/I Homes, Inc. (a) 2,075,497 23,949 Ryland Group (The), Inc. 961,552 35,504 Universal Electronics, Inc. (a) 2,263,025 -------------- 8,172,581 -------------- HOUSEHOLD PRODUCTS -- 0.4% 145,054 Central Garden & Pet Co., Class A (a) 1,319,992 10,856 WD-40 Co. 890,843 -------------- 2,210,835 -------------- INSURANCE -- 3.7% 79,093 American Equity Investment Life Holding Co. 2,017,662 21,802 AMERISAFE, Inc. 887,341 78,562 Employers Holdings, Inc. 1,634,090 21,357 HCI Group, Inc. 986,907 41,748 Horace Mann Educators Corp. 1,272,062 17,932 Infinity Property & Casualty Corp. 1,260,082 64,456 Montpelier Re Holdings Ltd. 2,264,339 25,184 Navigators Group (The), Inc. (a) 1,869,156 40,908 ProAssurance Corp. 1,815,088 9,348 RLI Corp. 438,515 21,640 Safety Insurance Group, Inc. 1,340,598 67,982 Selective Insurance Group, Inc. 1,755,295 24,932 Stewart Information Services Corp. 892,566 46,593 United Fire Group, Inc. 1,301,808 112,896 Universal Insurance Holdings, Inc. 2,622,574 -------------- 22,358,083 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ INTERNET & CATALOG RETAIL -- 0.6% 38,467 Blue Nile, Inc. (a) $ 1,195,555 13,260 FTD Cos., Inc. (a) 454,155 94,477 Nutrisystem, Inc. 1,683,580 32,136 PetMed Express, Inc. (b) 504,535 -------------- 3,837,825 -------------- INTERNET SOFTWARE & SERVICES -- 3.1% 166,697 Blucora, Inc. (a) 2,253,743 39,783 comScore, Inc. (a) 1,653,382 230,647 Dice Holdings, Inc. (a) 1,907,451 74,687 Digital River, Inc. (a) 1,906,759 29,789 j2 Global, Inc. 1,711,080 282,594 Liquidity Services, Inc. (a) 2,187,278 32,749 LivePerson, Inc. (a) 350,414 18,719 LogMeIn, Inc. (a) 890,089 199,894 Monster Worldwide, Inc. (a) 825,562 49,570 Perficient, Inc. (a) 892,260 76,069 QuinStreet, Inc. (a) 389,473 38,490 Stamps.com, Inc. (a) 1,753,989 101,427 XO Group, Inc. (a) 1,667,460 -------------- 18,388,940 -------------- IT SERVICES -- 2.3% 21,430 CACI International, Inc., Class A (a) 1,812,764 11,968 Cardtronics, Inc. (a) 402,244 36,837 CSG Systems International, Inc. 903,243 48,250 ExlService Holdings, Inc. (a) 1,417,585 34,237 Heartland Payment Systems, Inc. 1,703,976 11,696 iGATE Corp. (a) 414,038 42,101 MAXIMUS, Inc. 2,345,868 78,698 Sykes Enterprises, Inc. (a) 1,772,279 77,999 TeleTech Holdings, Inc. (a) 1,720,658 33,244 Virtusa Corp. (a) 1,245,320 -------------- 13,737,975 -------------- LEISURE PRODUCTS -- 0.7% 52,030 Arctic Cat, Inc. 1,749,248 66,667 Sturm, Ruger & Co., Inc. (b) 2,693,347 -------------- 4,442,595 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 140,353 Affymetrix, Inc. (a) 1,549,497 64,072 Cambrex Corp. (a) 1,437,135 8,312 PAREXEL International Corp. (a) 506,700 -------------- 3,493,332 -------------- MACHINERY -- 2.9% 84,758 Actuant Corp., Class A 1,958,757 12,155 Albany International Corp., Class A 414,850 23,491 Astec Industries, Inc. 835,340 49,904 Barnes Group, Inc. 1,714,202 67,838 Briggs & Stratton Corp. 1,248,898 Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 15,319 CIRCOR International, Inc. $ 756,606 25,030 ESCO Technologies, Inc. 901,581 89,718 Federal Signal Corp. 1,369,994 26,766 Hillenbrand, Inc. 840,720 28,106 John Bean Technologies Corp. 848,520 10,769 Lindsay Corp. 930,657 70,347 Lydall, Inc. (a) 1,938,060 54,101 Mueller Industries, Inc. 1,698,230 11,953 Standex International Corp. 837,786 86,878 Titan International, Inc. 776,689 -------------- 17,070,890 -------------- MARINE -- 0.4% 66,881 Matson, Inc. 2,324,115 -------------- MEDIA -- 0.6% 20,658 E.W. Scripps (The) Co., Class A (a) 407,582 178,977 Harte-Hanks, Inc. 1,301,163 50,716 Scholastic Corp. 1,865,335 -------------- 3,574,080 -------------- METALS & MINING -- 1.4% 94,624 Century Aluminum Co. (a) 2,186,761 32,321 Kaiser Aluminum Corp. 2,240,168 52,425 Materion Corp. 1,727,404 103,882 Olympic Steel, Inc. 1,424,222 36,561 RTI International Metals, Inc. (a) 815,310 -------------- 8,393,865 -------------- MULTILINE RETAIL -- 0.2% 63,835 Tuesday Morning Corp. (a) 1,129,879 -------------- MULTI-UTILITIES -- 0.6% 52,251 Avista Corp. 1,940,079 32,647 NorthWestern Corp. 1,885,691 -------------- 3,825,770 -------------- OIL, GAS & CONSUMABLE FUELS -- 4.0% 361,308 Approach Resources, Inc. (a) (b) 2,265,401 162,159 Bill Barrett Corp. (a) 1,654,022 96,200 Bonanza Creek Energy, Inc. (a) 2,508,896 251,500 Cloud Peak Energy, Inc. (a) 1,707,685 271,223 Comstock Resources, Inc. (b) 1,095,741 63,169 Contango Oil & Gas Co. (a) 1,899,492 93,172 Green Plains, Inc. 2,181,156 408,634 Northern Oil and Gas, Inc. (a) (b) 2,566,221 44,754 PDC Energy, Inc. (a) 2,055,999 276,502 Penn Virginia Corp. (a) (b) 1,349,330 452,700 Rex Energy Corp. (a) (b) 1,602,558 109,422 Stone Energy Corp. (a) 1,540,662 456,052 Swift Energy Co. (a) (b) 971,391 36,823 Synergy Resources Corp. (a) 450,345 -------------- 23,848,899 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ PAPER & FOREST PRODUCTS -- 1.7% 62,149 Boise Cascade Co. (a) $ 2,513,306 26,944 Clearwater Paper Corp. (a) 1,994,395 6,753 Deltic Timber Corp. 422,062 15,754 KapStone Paper & Packaging Corp. 470,572 30,648 Neenah Paper, Inc. 1,758,582 72,232 P.H. Glatfelter Co. 1,651,946 21,833 Schweitzer-Mauduit International, Inc. 848,430 40,612 Wausau Paper Corp. 412,618 -------------- 10,071,911 -------------- PERSONAL PRODUCTS -- 0.1% 27,525 Medifast, Inc. (a) 872,267 -------------- PHARMACEUTICALS -- 0.6% 25,509 Akorn, Inc. (a) 1,086,173 85,990 Depomed, Inc. (a) 1,571,037 29,152 Impax Laboratories, Inc. (a) 1,069,004 -------------- 3,726,214 -------------- PROFESSIONAL SERVICES -- 1.5% 78,220 CDI Corp. 1,328,958 5,597 Exponent, Inc. 448,544 81,388 Kelly Services, Inc., Class A 1,375,457 48,168 Korn/Ferry International (a) 1,372,788 27,827 On Assignment, Inc. (a) 977,562 28,073 Resources Connection, Inc. 468,819 62,259 TrueBlue, Inc. (a) 1,373,434 28,607 WageWorks, Inc. (a) 1,574,529 -------------- 8,920,091 -------------- REAL ESTATE INVESTMENT TRUSTS -- 4.6% 43,248 Acadia Realty Trust 1,565,145 14,850 Agree Realty Corp. 514,404 11,601 American Assets Trust, Inc. 514,852 79,577 Associated Estates Realty Corp. 1,982,263 53,568 Aviv REIT, Inc. 2,106,829 150,408 Capstead Mortgage Corp. 1,807,904 125,817 Cedar Realty Trust, Inc. 1,001,503 62,046 Chesapeake Lodging Trust 2,278,329 35,476 CoreSite Realty Corp. 1,554,204 31,052 DiamondRock Hospitality Co. 451,186 37,859 Education Realty Trust, Inc. 1,309,921 8,015 EPR Properties 521,456 22,881 Geo Group (The), Inc. 995,781 25,358 Getty Realty Corp. 469,884 33,803 Healthcare Realty Trust, Inc. 1,017,132 42,169 Inland Real Estate Corp. 479,883 42,056 Lexington Realty Trust 479,859 21,391 LTC Properties, Inc. 1,003,666 33,509 Medical Properties Trust, Inc. 515,033 39,365 Pennsylvania Real Estate Investment Trust 942,004 7,857 Post Properties, Inc. 477,313 55,006 Retail Opportunity Investments Corp. 971,956 45,615 Sabra Health Care REIT, Inc. 1,491,611 See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 16,150 Saul Centers, Inc. $ 922,004 15,885 Sovran Self Storage, Inc. 1,505,104 9,597 Universal Health Realty Income Trust 515,647 -------------- 27,394,873 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 149,919 Forestar Group, Inc. (a) 1,989,425 -------------- ROAD & RAIL -- 1.7% 49,790 ArcBest Corp. 1,855,175 81,400 Celadon Group, Inc. 1,939,762 68,382 Heartland Express, Inc. 1,756,734 54,873 Knight Transportation, Inc. 1,563,332 59,328 Roadrunner Transportation Systems, Inc. (a) 1,205,545 41,704 Saia, Inc. (a) 1,756,155 -------------- 10,076,703 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.2% 97,419 Advanced Energy Industries, Inc. (a) 2,338,056 9,756 Cabot Microelectronics Corp. (a) 482,044 76,367 CEVA, Inc. (a) 1,398,280 19,590 Cirrus Logic, Inc. (a) 519,135 66,995 Diodes, Inc. (a) 1,770,678 84,957 DSP Group, Inc. (a) 933,677 127,734 Kulicke & Soffa Industries, Inc. (a) 1,937,725 95,470 Micrel, Inc. 1,343,263 32,540 Microsemi Corp. (a) 906,564 37,849 MKS Instruments, Inc. 1,325,094 27,852 Monolithic Power Systems, Inc. 1,322,691 136,412 Pericom Semiconductor Corp. (a) 1,992,979 8,924 Power Integrations, Inc. 460,300 64,562 Tessera Technologies, Inc. 2,393,959 -------------- 19,124,445 -------------- SOFTWARE -- 2.3% 21,348 Blackbaud, Inc. 933,121 135,890 Ebix, Inc. (b) 3,105,087 54,070 EPIQ Systems, Inc. 943,521 45,361 Manhattan Associates, Inc. (a) 2,024,915 8,532 MicroStrategy, Inc., Class A (a) 1,378,771 22,063 Synchronoss Technologies, Inc. (a) 937,016 82,367 Take-Two Interactive Software, Inc. (a) 2,447,947 81,841 VASCO Data Security International, Inc. (a) (b) 1,759,582 -------------- 13,529,960 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ SPECIALTY RETAIL -- 6.0% 19,885 Barnes & Noble, Inc. (a) $ 467,099 126,249 Big 5 Sporting Goods Corp. 1,503,626 43,089 Brown Shoe Co., Inc. 1,223,297 17,583 Buckle (The), Inc. (b) 893,041 43,787 Cato (The) Corp., Class A 1,856,569 24,305 Children's Place (The), Inc. 1,457,085 404,340 Christopher & Banks Corp. (a) 2,106,611 94,973 Finish Line (The), Inc., Class A 2,241,363 27,651 Francesca's Holdings Corp. (a) 438,545 18,079 Genesco, Inc. (a) 1,291,744 25,760 Group 1 Automotive, Inc. 2,070,846 83,915 Haverty Furniture Cos., Inc. 2,050,043 19,069 Hibbett Sports, Inc. (a) 897,006 19,533 Kirkland's, Inc. (a) 454,533 21,307 Lithia Motors, Inc., Class A 1,804,703 115,149 MarineMax, Inc. (a) 2,937,451 15,978 Monro Muffler Brake, Inc. 912,983 24,557 Outerwall, Inc. (a) 1,524,498 141,064 Pep Boys-Manny, Moe & Jack (The) (a) 1,189,169 85,414 Select Comfort Corp. (a) 2,548,754 51,232 Sonic Automotive, Inc., Class A 1,261,844 66,919 Stage Stores, Inc. 1,338,380 31,582 Stein Mart, Inc. 434,568 19,011 Vitamin Shoppe, Inc. (a) 803,595 59,765 Zumiez, Inc. (a) 2,228,637 -------------- 35,935,990 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 66,194 Super Micro Computer, Inc. (a) 2,420,715 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.4% 22,857 G-III Apparel Group Ltd. (a) 2,221,700 81,379 Movado Group, Inc. 1,955,537 16,728 Oxford Industries, Inc. 935,764 33,432 Skechers U.S.A., Inc., Class A (a) 2,017,621 29,013 Steven Madden Ltd. (a) 996,307 15,670 Wolverine World Wide, Inc. 441,111 -------------- 8,568,040 -------------- THRIFTS & MORTGAGE FINANCE -- 0.4% 46,036 Brookline Bancorp, Inc. 441,946 28,365 Dime Community Bancshares, Inc. 418,667 36,852 Northwest Bancshares, Inc. 434,854 29,984 Oritani Financial Corp. 423,074 51,134 Provident Financial Services, Inc. 887,686 -------------- 2,606,227 -------------- TOBACCO -- 0.4% 52,498 Universal Corp. 2,108,320 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.7% 21,280 Aceto Corp. 412,832 30,387 Applied Industrial Technologies, Inc. 1,228,547 36,553 DXP Enterprises, Inc. (a) 1,499,404 Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 34,554 Kaman Corp. $ 1,313,743 -------------- 4,454,526 -------------- WATER UTILITIES -- 0.2% 24,525 American States Water Co. 972,171 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 132,996 Spok Holdings, Inc. 2,276,891 -------------- TOTAL COMMON STOCKS -- 100.0% 596,668,731 (Cost $570,503,543) -------------- RIGHTS -- 0.0% HEALTH CARE PROVIDERS & SERVICES -- 0.0% 1,721 Providence Service (The) Corp., expiring 03/05/15 (a) (e) 0 (Cost $0) -------------- MONEY MARKET FUNDS -- 1.0% 5,741,296 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 5,741,296 399,415 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 399,415 -------------- TOTAL MONEY MARKET FUNDS -- 1.0% 6,140,711 (Cost $6,140,711) -------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 3.1% $ 5,878,408 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $5,878,433. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $6,027,873. (d) 5,878,408 PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS (CONTINUED) $ 12,572,550 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $12,572,603. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $12,862,304. (d) $ 12,572,550 -------------- TOTAL REPURCHASE AGREEMENTS -- 3.1% 18,450,958 (Cost $18,450,958) -------------- TOTAL INVESTMENTS -- 104.1% 621,260,400 (Cost $595,095,212) (f) NET OTHER ASSETS AND LIABILITIES -- (4.1)% (24,508,463) -------------- NET ASSETS -- 100.0% $ 596,751,937 ============== (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $23,339,868 and the total value of the collateral held by the Fund is $24,192,254. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) This security is fair valued by the Advisor's Pricing Committee in accordance with provisions of the Investment Company Act of 1940, as amended. At January 31, 2015, securities noted as such are valued at $0, or 0.0% of net assets. (f) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $60,602,395 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $34,437,207. See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 596,668,731 $ -- $ -- Money Market Funds 6,140,711 -- -- Repurchase Agreements -- 18,450,958 -- Rights* -- --** -- ---------------------------------------- Total Investments $ 602,809,442 $ 18,450,958 $ -- ======================================== * See Portfolio of Investments for industry breakout. ** Investment is valued at $0. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. ----------------------------- 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) $ 23,339,868 Non-cash Collateral(2) (23,339,868) -------------- Net Amount $ -- ============== (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) At January 31, 2015, 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) $ 18,450,958 Non-cash Collateral(4) (18,450,958) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 50 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.1% 20,360 Honeywell International, Inc. $ 1,990,394 33,065 L-3 Communications Holdings, Inc. 4,070,963 42,470 Northrop Grumman Corp. 6,665,666 17,328 Precision Castparts Corp. 3,467,333 38,579 Raytheon Co. 3,859,829 36,286 United Technologies Corp. 4,164,907 -------------- 24,219,092 -------------- AIR FREIGHT & LOGISTICS -- 0.5% 36,049 FedEx Corp. 6,096,246 -------------- AUTO COMPONENTS -- 1.2% 113,921 BorgWarner, Inc. 6,152,873 57,387 Delphi Automotive PLC 3,944,209 71,208 Goodyear Tire & Rubber (The) Co. 1,726,082 42,088 Johnson Controls, Inc. 1,955,829 -------------- 13,778,993 -------------- AUTOMOBILES -- 1.5% 538,485 Ford Motor Co. 7,921,115 239,089 General Motors Co. 7,799,083 30,866 Harley-Davidson, Inc. 1,904,432 -------------- 17,624,630 -------------- BANKS -- 3.2% 107,311 BB&T Corp. 3,787,005 37,599 Citigroup, Inc. 1,765,273 43,431 Comerica, Inc. 1,802,387 204,825 Fifth Third Bancorp 3,543,473 396,701 Huntington Bancshares, Inc. 3,974,944 100,030 JPMorgan Chase & Co. 5,439,631 146,363 KeyCorp 1,901,255 68,618 PNC Financial Services Group (The), Inc. 5,800,966 395,193 Regions Financial Corp. 3,438,179 99,602 SunTrust Banks, Inc. 3,826,709 37,113 Wells Fargo & Co. 1,926,907 -------------- 37,206,729 -------------- BEVERAGES -- 0.2% 46,010 Coca-Cola Enterprises, Inc. 1,937,021 -------------- BUILDING PRODUCTS -- 0.3% 165,608 Masco Corp. 4,113,703 -------------- CAPITAL MARKETS -- 1.8% 102,867 Bank of New York Mellon (The) Corp. 3,703,212 150,739 Franklin Resources, Inc. 7,767,581 32,299 Goldman Sachs Group (The), Inc. 5,568,670 52,434 Morgan Stanley 1,772,793 23,694 T. Rowe Price Group, Inc. 1,865,192 -------------- 20,677,448 -------------- CHEMICALS -- 4.5% 38,283 CF Industries Holdings, Inc. 11,690,862 182,998 Dow Chemical (The) Co. 8,264,190 SHARES DESCRIPTION VALUE ------------------------------------------------------------ CHEMICALS (CONTINUED) 137,530 Eastman Chemical Co. $ 9,749,502 35,670 FMC Corp. 2,051,025 131,415 LyondellBasell Industries N.V., Class A 10,393,612 182,836 Mosaic (The) Co. 8,902,285 15,706 Praxair, Inc. 1,893,987 -------------- 52,945,463 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 230,374 ADT (The) Corp. 7,924,865 207,366 Republic Services, Inc. 8,228,283 -------------- 16,153,148 -------------- COMMUNICATIONS EQUIPMENT -- 1.7% 150,038 Cisco Systems, Inc. 3,955,752 116,216 Harris Corp. 7,801,580 373,950 Juniper Networks, Inc. 8,499,883 -------------- 20,257,215 -------------- CONSTRUCTION & ENGINEERING -- 1.9% 137,664 Fluor Corp. 7,377,414 140,075 Jacobs Engineering Group, Inc. (a) 5,336,857 367,491 Quanta Services, Inc. (a) 9,731,162 -------------- 22,445,433 -------------- CONSUMER FINANCE -- 0.6% 75,833 Capital One Financial Corp. 5,551,734 31,067 Discover Financial Services 1,689,423 -------------- 7,241,157 -------------- CONTAINERS & PACKAGING -- 0.8% 141,021 MeadWestvaco Corp. 7,090,536 75,379 Owens-Illinois, Inc. (a) 1,760,099 -------------- 8,850,635 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.7% 27,796 Berkshire Hathaway, Inc., Class B (a) 4,000,122 87,017 NASDAQ OMX Group (The), Inc. 3,967,975 -------------- 7,968,097 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.2% 310,600 AT&T, Inc. 10,224,952 210,879 CenturyLink, Inc. 7,838,372 938,516 Frontier Communications Corp. 6,302,135 43,488 Verizon Communications, Inc. 1,987,837 -------------- 26,353,296 -------------- ELECTRIC UTILITIES -- 5.6% 137,457 American Electric Power Co., Inc. 8,633,674 74,933 Duke Energy Corp. 6,529,662 95,408 Entergy Corp. 8,349,154 225,095 Exelon Corp. 8,112,424 See Notes to Financial Statements Page 51 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 160,553 FirstEnergy Corp. $ 6,475,102 38,011 Northeast Utilities 2,112,651 232,453 Pepco Holdings, Inc. 6,380,835 91,638 Pinnacle West Capital Corp. 6,431,155 56,002 PPL Corp. 1,988,071 84,976 Southern (The) Co. 4,309,983 174,273 Xcel Energy, Inc. 6,540,466 -------------- 65,863,177 -------------- ELECTRICAL EQUIPMENT -- 0.8% 92,109 Eaton Corp. PLC 5,811,157 32,954 Emerson Electric Co. 1,876,401 18,296 Rockwell Automation, Inc. 1,992,800 -------------- 9,680,358 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.7% 455,000 Corning, Inc. 10,815,350 131,959 TE Connectivity Ltd. 8,760,758 -------------- 19,576,108 -------------- ENERGY EQUIPMENT & SERVICES -- 8.4% 186,077 Baker Hughes, Inc. 10,790,605 167,098 Cameron International Corp. (a) 7,482,649 284,204 Diamond Offshore Drilling, Inc. 8,960,952 348,352 Ensco PLC, Class A 9,767,790 89,098 FMC Technologies, Inc. (a) 3,339,393 265,272 Halliburton Co. 10,608,227 154,748 Helmerich & Payne, Inc. 9,216,791 803,784 Nabors Industries Ltd. 9,251,554 159,212 National Oilwell Varco, Inc. 8,665,909 629,640 Noble Corp. PLC 10,212,761 122,154 Schlumberger Ltd. 10,064,268 -------------- 98,360,899 -------------- FOOD & STAPLES RETAILING -- 0.4% 48,593 Wal-Mart Stores, Inc. 4,129,433 -------------- FOOD PRODUCTS -- 2.1% 120,381 Archer-Daniels-Midland Co. 5,613,366 41,326 JM Smucker (The) Co. 4,262,777 63,775 Kellogg Co. 4,182,365 32,466 Kraft Foods Group, Inc. 2,121,328 208,198 Tyson Foods, Inc., Class A 8,128,050 -------------- 24,307,886 -------------- GAS UTILITIES -- 0.7% 153,119 AGL Resources, Inc. 8,632,849 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.2% 17,941 Zimmer Holdings, Inc. 2,011,186 -------------- HEALTH CARE PROVIDERS & SERVICES -- 1.1% 33,209 Anthem, Inc. 4,481,887 38,677 Laboratory Corp. of America Holdings (a) 4,439,346 62,228 Quest Diagnostics, Inc. 4,422,544 -------------- 13,343,777 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE -- 0.7% 138,095 Carnival Corp. $ 6,070,656 21,715 McDonald's Corp. 2,007,335 -------------- 8,077,991 -------------- HOUSEHOLD DURABLES -- 0.5% 194,466 PulteGroup, Inc. 4,004,055 10,501 Whirlpool Corp. 2,090,539 -------------- 6,094,594 -------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.8% 303,070 AES (The) Corp. 3,703,515 232,278 NRG Energy, Inc. 5,727,976 -------------- 9,431,491 -------------- INDUSTRIAL CONGLOMERATES -- 0.5% 23,736 Danaher Corp. 1,955,372 165,145 General Electric Co. 3,945,314 -------------- 5,900,686 -------------- INSURANCE -- 5.9% 54,487 ACE Ltd. 5,882,417 102,471 Aflac, Inc. 5,849,045 149,021 American International Group, Inc. 7,282,656 121,969 Assurant, Inc. 7,746,251 80,666 Chubb (The) Corp. 7,897,201 100,103 Hartford Financial Services Group (The), Inc. 3,894,007 72,364 Lincoln National Corp. 3,616,753 77,151 MetLife, Inc. 3,587,521 39,168 Principal Financial Group, Inc. 1,838,154 154,620 Progressive (The) Corp. (a) 4,012,389 37,557 Torchmark Corp. 1,880,479 78,850 Travelers (The) Cos., Inc. 8,107,357 239,292 Unum Group 7,432,410 -------------- 69,026,640 -------------- IT SERVICES -- 2.9% 165,475 Computer Sciences Corp. 10,041,023 39,014 International Business Machines Corp. 5,981,236 143,313 Teradata Corp. (a) 6,386,027 113,596 Western Union (The) Co. 1,931,132 752,756 Xerox Corp. 9,913,797 -------------- 34,253,215 -------------- LEISURE PRODUCTS -- 0.8% 36,996 Hasbro, Inc. 2,031,820 269,721 Mattel, Inc. 7,255,495 -------------- 9,287,315 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 46,525 PerkinElmer, Inc. 2,126,658 -------------- MACHINERY -- 3.8% 68,390 Caterpillar, Inc. 5,469,148 43,417 Cummins, Inc. 6,054,935 70,757 Deere & Co. 6,027,789 116,379 Dover Corp. 8,151,185 Page 52 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 69,754 Flowserve Corp. $ 3,800,895 224,270 Joy Global, Inc. 9,405,884 32,360 Parker Hannifin Corp. 3,768,646 21,177 Stanley Black & Decker, Inc. 1,983,226 -------------- 44,661,708 -------------- MEDIA -- 1.7% 107,912 Comcast Corp., Class A 5,734,983 196,048 Gannett Co., Inc. 6,079,448 398,976 News Corp., Class A (a) 5,940,753 27,035 Viacom, Inc., Class B 1,741,595 -------------- 19,496,779 -------------- METALS & MINING -- 1.3% 446,623 Freeport-McMoRan, Inc. 7,507,733 107,642 Newmont Mining Corp. 2,707,196 127,622 Nucor Corp. 5,570,700 -------------- 15,785,629 -------------- MULTILINE RETAIL -- 0.9% 170,923 Kohl's Corp. 10,207,522 -------------- MULTI-UTILITIES -- 5.5% 135,703 Ameren Corp. 6,144,632 267,175 CenterPoint Energy, Inc. 6,169,071 120,094 CMS Energy Corp. 4,531,147 126,441 Consolidated Edison, Inc. 8,759,833 72,479 DTE Energy Co. 6,498,467 156,775 PG&E Corp. 9,219,938 201,561 Public Service Enterprise Group, Inc. 8,602,623 103,643 SCANA Corp. 6,609,314 18,270 Sempra Energy 2,044,778 305,513 TECO Energy, Inc. 6,516,592 -------------- 65,096,395 -------------- OIL, GAS & CONSUMABLE FUELS -- 17.4% 133,182 Apache Corp. 8,333,198 533,120 Chesapeake Energy Corp. 10,225,242 93,006 Chevron Corp. 9,535,905 98,427 Cimarex Energy Co. 10,157,666 151,074 ConocoPhillips 9,514,640 123,433 CONSOL Energy, Inc. 3,573,385 1,283,290 Denbury Resources, Inc. 8,854,701 170,449 Devon Energy Corp. 10,272,961 55,127 EQT Corp. 4,103,654 112,853 Exxon Mobil Corp. 9,865,609 141,330 Hess Corp. 9,538,362 368,793 Marathon Oil Corp. 9,809,894 115,591 Marathon Petroleum Corp. 10,702,571 206,518 Murphy Oil Corp. 9,274,723 384,701 Newfield Exploration Co. (a) 11,456,396 219,969 Noble Energy, Inc. 10,501,320 129,429 Occidental Petroleum Corp. 10,354,320 145,511 Phillips 66 10,232,334 412,788 QEP Resources, Inc. 8,346,573 382,310 Southwestern Energy Co. (a) 9,477,465 112,261 Tesoro Corp. 9,175,092 SHARES DESCRIPTION VALUE ------------------------------------------------------------ OIL, GAS & CONSUMABLE FUELS (CONTINUED) 210,771 Valero Energy Corp. $ 11,145,570 -------------- 204,451,581 -------------- PHARMACEUTICALS -- 1.0% 59,866 Johnson & Johnson 5,994,981 200,962 Pfizer, Inc. 6,280,063 -------------- 12,275,044 -------------- PROFESSIONAL SERVICES -- 0.2% 16,823 Dun & Bradstreet (The) Corp. 1,936,495 -------------- ROAD & RAIL -- 1.0% 57,113 Norfolk Southern Corp. 5,823,813 67,419 Ryder System, Inc. 5,581,619 -------------- 11,405,432 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.5% 233,954 First Solar, Inc. (a) 9,900,933 28,934 KLA-Tencor Corp. 1,778,573 45,097 Microchip Technology, Inc. 2,033,875 96,404 Xilinx, Inc. 3,718,784 -------------- 17,432,165 -------------- SOFTWARE -- 1.4% 274,105 CA, Inc. 8,305,382 92,800 Oracle Corp. 3,887,392 162,669 Symantec Corp. 4,029,311 -------------- 16,222,085 -------------- SPECIALTY RETAIL -- 4.3% 109,580 Bed Bath & Beyond, Inc. (a) 8,193,296 214,124 Best Buy Co., Inc. 7,537,165 308,675 GameStop Corp., Class A 10,880,794 198,210 Gap (The), Inc. 8,164,270 460,626 Staples, Inc. 7,853,673 237,588 Urban Outfitters, Inc. (a) 8,282,318 -------------- 50,911,516 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 68,406 EMC Corp. 1,773,768 207,987 Hewlett-Packard Co. 7,514,570 49,081 NetApp, Inc. 1,855,262 -------------- 11,143,600 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 222,219 Coach, Inc. 8,264,325 37,687 Fossil Group, Inc. (a) 3,685,788 -------------- 11,950,113 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 7,985 W.W. Grainger, Inc. 1,883,182 -------------- TOTAL INVESTMENTS -- 100.0% 1,172,831,815 (Cost $1,189,445,638) (b) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (263,250) -------------- NET ASSETS -- 100.0% $1,172,568,565 ============== See Notes to Financial Statements Page 53 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $62,459,138 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $79,072,961. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 1,172,831,815 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. Page 54 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.0% 20,020 General Dynamics Corp. $ 2,666,864 9,538 Lockheed Martin Corp. 1,796,673 21,743 Rockwell Collins, Inc. 1,861,636 87,239 Textron, Inc. 3,712,892 -------------- 10,038,065 -------------- AIR FREIGHT & LOGISTICS -- 1.2% 61,317 C.H. Robinson Worldwide, Inc. 4,366,997 20,031 Expeditors International of Washington, Inc. 874,954 8,038 United Parcel Service, Inc., Class B 794,476 -------------- 6,036,427 -------------- AIRLINES -- 1.9% 93,353 Delta Air Lines, Inc. 4,416,531 108,507 Southwest Airlines Co. 4,902,346 -------------- 9,318,877 -------------- BEVERAGES -- 2.5% 37,421 Constellation Brands, Inc., Class A (a) 4,133,150 38,438 Dr Pepper Snapple Group, Inc. 2,970,104 42,381 Monster Beverage Corp. (a) 4,956,458 -------------- 12,059,712 -------------- BIOTECHNOLOGY -- 3.6% 19,854 Alexion Pharmaceuticals, Inc. (a) 3,638,047 23,062 Amgen, Inc. 3,511,420 2,632 Biogen Idec, Inc. (a) 1,024,269 32,841 Celgene Corp. (a) 3,913,334 9,480 Gilead Sciences, Inc. (a) 993,789 11,193 Regeneron Pharmaceuticals, Inc. (a) 4,663,675 -------------- 17,744,534 -------------- BUILDING PRODUCTS -- 0.2% 16,112 Allegion PLC 870,209 -------------- CAPITAL MARKETS -- 1.0% 13,889 Ameriprise Financial, Inc. 1,735,292 2,499 BlackRock, Inc. 850,934 29,599 Charles Schwab (The) Corp. 768,982 36,841 E*TRADE Financial Corp. (a) 849,185 16,743 Legg Mason, Inc. 928,232 -------------- 5,132,625 -------------- CHEMICALS -- 2.2% 12,735 Air Products & Chemicals, Inc. 1,854,343 15,893 PPG Industries, Inc. 3,542,232 17,457 Sherwin-Williams (The) Co. 4,735,561 6,510 Sigma-Aldrich Corp. 895,255 -------------- 11,027,391 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 46,833 Cintas Corp. 3,685,757 14,013 Stericycle, Inc. (a) 1,839,767 35,791 Waste Management, Inc. 1,840,731 -------------- 7,366,255 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMUNICATIONS EQUIPMENT -- 0.6% 28,158 F5 Networks, Inc. (a) $ 3,142,996 -------------- CONSTRUCTION MATERIALS -- 0.2% 13,595 Vulcan Materials Co. 958,583 -------------- CONSUMER FINANCE -- 0.2% 41,350 Navient Corp. 816,249 -------------- CONTAINERS & PACKAGING -- 1.2% 26,945 Ball Corp. 1,706,427 108,226 Sealed Air Corp. 4,383,153 -------------- 6,089,580 -------------- DISTRIBUTORS -- 0.8% 43,089 Genuine Parts Co. 4,004,692 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 8,376 Intercontinental Exchange, Inc. 1,723,195 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 55,796 Level 3 Communications, Inc. (a) 2,775,293 -------------- ELECTRIC UTILITIES -- 1.2% 56,103 Edison International 3,823,420 17,281 NextEra Energy, Inc. 1,887,776 -------------- 5,711,196 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.6% 51,203 Amphenol Corp., Class A 2,750,113 -------------- FOOD & STAPLES RETAILING -- 2.0% 47,680 CVS Health Corp. 4,680,269 71,516 Kroger (The) Co. 4,938,180 -------------- 9,618,449 -------------- FOOD PRODUCTS -- 0.7% 50,629 ConAgra Foods, Inc. 1,793,786 17,151 Hormel Foods Corp. 878,474 6,749 Keurig Green Mountain, Inc. 827,157 -------------- 3,499,417 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.4% 26,398 Becton, Dickinson and Co. 3,645,036 16,536 C. R. Bard, Inc. 2,828,152 77,385 CareFusion Corp. (a) 4,588,931 16,775 DENTSPLY International, Inc. 839,169 36,050 Edwards Lifesciences Corp. (a) 4,518,868 1,689 Intuitive Surgical, Inc. (a) 835,177 25,441 Medtronic PLC 1,816,487 29,208 Stryker Corp. 2,659,388 -------------- 21,731,208 -------------- HEALTH CARE PROVIDERS & SERVICES -- 8.1% 51,694 Aetna, Inc. 4,746,543 50,932 AmerisourceBergen Corp. 4,841,087 35,697 Cigna Corp. 3,813,510 36,377 DaVita HealthCare Partners, Inc. (a) 2,730,458 See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 43,387 Express Scripts Holding Co. (a) $ 3,501,765 22,122 McKesson Corp. 4,704,243 95,468 Patterson Cos., Inc. 4,781,992 54,376 Tenet Healthcare Corp. (a) 2,299,017 45,425 UnitedHealth Group, Inc. 4,826,406 33,018 Universal Health Services, Inc., Class B 3,385,336 -------------- 39,630,357 -------------- HEALTH CARE TECHNOLOGY -- 0.6% 42,611 Cerner Corp. (a) 2,827,240 -------------- HOTELS, RESTAURANTS & LEISURE -- 2.7% 4,025 Chipotle Mexican Grill, Inc. (a) 2,857,106 47,079 Marriott International, Inc., Class A 3,507,386 55,708 Royal Caribbean Cruises Ltd. 4,208,739 10,891 Starbucks Corp. 953,289 21,418 Wyndham Worldwide Corp. 1,794,614 -------------- 13,321,134 -------------- HOUSEHOLD DURABLES -- 4.7% 145,260 D.R. Horton, Inc. 3,561,775 34,426 Harman International Industries, Inc. 4,462,642 107,769 Leggett & Platt, Inc. 4,594,192 81,982 Lennar Corp., Class A 3,681,812 23,646 Mohawk Industries, Inc. (a) 3,902,536 72,334 Newell Rubbermaid, Inc. 2,666,955 -------------- 22,869,912 -------------- HOUSEHOLD PRODUCTS -- 0.2% 8,575 Clorox (The) Co. 915,038 -------------- INDUSTRIAL CONGLOMERATES -- 0.5% 11,178 3M Co. 1,814,190 5,715 Roper Industries, Inc. 882,053 -------------- 2,696,243 -------------- INSURANCE -- 1.3% 65,367 Allstate (The) Corp. 4,561,963 32,090 Marsh & McLennan Cos., Inc. 1,725,479 -------------- 6,287,442 -------------- INTERNET & CATALOG RETAIL -- 0.4% 21,518 Expedia, Inc. 1,849,042 -------------- INTERNET SOFTWARE & SERVICES -- 0.9% 14,193 Akamai Technologies, Inc. (a) 825,394 23,543 Facebook, Inc., Class A (a) 1,787,149 36,365 Yahoo!, Inc. (a) 1,599,696 -------------- 4,212,239 -------------- IT SERVICES -- 3.2% 20,567 Accenture PLC, Class A 1,728,245 6,421 Alliance Data Systems Corp. (a) 1,854,578 34,880 Cognizant Technology Solutions Corp., Class A (a) 1,888,054 SHARES DESCRIPTION VALUE ------------------------------------------------------------ IT SERVICES (CONTINUED) 29,531 Fidelity National Information Services, Inc. $ 1,843,620 25,881 Fiserv, Inc. (a) 1,877,149 21,319 MasterCard, Inc., Class A 1,748,798 54,087 Total System Services, Inc. 1,913,057 10,508 Visa, Inc., Class A 2,678,594 -------------- 15,532,095 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.4% 7,132 Thermo Fisher Scientific, Inc. 892,998 7,927 Waters Corp. (a) 943,709 -------------- 1,836,707 -------------- MACHINERY -- 2.1% 9,436 Illinois Tool Works, Inc. 878,397 54,016 PACCAR, Inc. 3,246,902 27,223 Pall Corp. 2,634,097 26,866 Snap-on, Inc. 3,565,387 -------------- 10,324,783 -------------- MEDIA -- 2.3% 10,307 DIRECTV (a) 878,981 132,653 Interpublic Group of Cos. (The), Inc. 2,645,101 23,710 Omnicom Group, Inc. 1,726,088 32,255 Time Warner, Inc. 2,513,632 47,827 Twenty-First Century Fox, Inc., Class A 1,585,943 19,501 Walt Disney (The) Co. 1,773,811 -------------- 11,123,556 -------------- MULTILINE RETAIL -- 3.8% 64,951 Dollar General Corp. (a) 4,355,614 65,246 Dollar Tree, Inc. (a) 4,638,991 34,784 Family Dollar Stores, Inc. 2,647,062 41,904 Macy's, Inc. 2,676,828 57,841 Nordstrom, Inc. 4,407,484 -------------- 18,725,979 -------------- MULTI-UTILITIES -- 2.3% 58,985 Integrys Energy Group, Inc. 4,783,684 64,951 NiSource, Inc. 2,809,780 69,655 Wisconsin Energy Corp. 3,884,659 -------------- 11,478,123 -------------- OIL, GAS & CONSUMABLE FUELS -- 0.7% 86,826 Kinder Morgan, Inc. 3,564,207 -------------- PHARMACEUTICALS -- 5.6% 28,069 AbbVie, Inc. 1,693,964 14,271 Actavis PLC (a) 3,803,792 21,600 Allergan, Inc. 4,736,016 15,138 Bristol-Myers Squibb Co. 912,367 74,972 Hospira, Inc. (a) 4,755,474 37,096 Mallinckrodt PLC (a) 3,931,805 65,170 Mylan, Inc. (a) 3,463,786 10,988 Perrigo Co. PLC 1,667,319 64,030 Zoetis, Inc. 2,736,002 -------------- 27,700,525 -------------- Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 1.1% 11,050 Equifax, Inc. $ 933,283 78,657 Robert Half International, Inc. 4,566,825 -------------- 5,500,108 -------------- REAL ESTATE INVESTMENT TRUSTS -- 8.6% 18,582 American Tower Corp. 1,801,525 74,164 Apartment Investment & Management Co., Class A 2,956,177 22,484 AvalonBay Communities, Inc. 3,889,507 14,273 Boston Properties, Inc. 1,981,092 51,136 Equity Residential 3,968,665 17,781 Essex Property Trust, Inc. 4,019,395 97,946 General Growth Properties, Inc. 2,956,010 20,295 HCP, Inc. 959,750 60,685 Health Care REIT, Inc. 4,973,136 71,268 Iron Mountain, Inc. 2,839,317 35,544 Kimco Realty Corp. 982,792 33,032 Macerich (The) Co. 2,841,082 4,834 Public Storage 970,861 4,907 Simon Property Group, Inc. 974,825 38,427 Ventas, Inc. 3,066,859 8,382 Vornado Realty Trust 925,708 51,179 Weyerhaeuser Co. 1,834,767 -------------- 41,941,468 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.9% 134,073 CBRE Group, Inc., Class A (a) 4,335,921 -------------- ROAD & RAIL -- 1.1% 76,048 CSX Corp. 2,532,398 23,128 Union Pacific Corp. 2,710,833 -------------- 5,243,231 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.5% 147,416 Applied Materials, Inc. 3,366,981 45,651 Avago Technologies Ltd. 4,696,575 42,391 Broadcom Corp., Class A 1,798,862 50,615 Intel Corp. 1,672,320 46,302 Lam Research Corp. 3,539,325 78,698 Micron Technology, Inc. (a) 2,303,097 137,417 NVIDIA Corp. 2,639,093 34,355 Texas Instruments, Inc. 1,836,275 -------------- 21,852,528 -------------- SOFTWARE -- 2.3% 14,878 Autodesk, Inc. (a) 803,487 97,671 Electronic Arts, Inc. (a) 5,358,231 9,693 Intuit, Inc. 841,546 19,237 Microsoft Corp. 777,175 53,133 Red Hat, Inc. (a) 3,389,354 -------------- 11,169,793 -------------- SPECIALTY RETAIL -- 8.8% 60,811 AutoNation, Inc. (a) 3,625,552 5,934 AutoZone, Inc. (a) 3,542,361 68,970 CarMax, Inc. (a) 4,283,037 SHARES DESCRIPTION VALUE ------------------------------------------------------------ SPECIALTY RETAIL (CONTINUED) 34,997 Home Depot (The), Inc. $ 3,654,387 53,056 L Brands, Inc. 4,490,129 66,744 Lowe's Cos., Inc. 4,522,573 23,840 O'Reilly Automotive, Inc. (a) 4,466,662 33,892 PetSmart, Inc. 2,769,146 48,716 Ross Stores, Inc. 4,467,744 8,362 Tiffany & Co. 724,484 40,175 TJX (The) Cos., Inc. 2,649,140 46,608 Tractor Supply Co. 3,783,171 -------------- 42,978,386 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.7% 24,961 Apple, Inc. 2,924,431 41,432 Seagate Technology PLC 2,338,422 33,185 Western Digital Corp. 3,226,577 -------------- 8,489,430 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.0% 28,655 NIKE, Inc., Class B 2,643,424 9,920 Ralph Lauren Corp. 1,655,549 40,577 Under Armour, Inc., Class A (a) 2,924,790 36,785 VF Corp. 2,551,775 -------------- 9,775,538 -------------- TOBACCO -- 0.2% 18,136 Altria Group, Inc. 963,022 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.1% 8,760 United Rentals, Inc. (a) 725,766 -------------- TOTAL INVESTMENTS -- 100.0% 490,284,879 (Cost $444,016,212) (b) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (194,927) -------------- NET ASSETS -- 100.0% $ 490,089,952 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $50,806,745 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $4,538,078. See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 490,284,879 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. Page 58 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 3.3% 9,259 AAR Corp. $ 265,363 5,700 B/E Aerospace, Inc. (a) 332,481 2,932 Cubic Corp. 153,314 3,606 Engility Holdings, Inc. (a) 143,879 4,138 Esterline Technologies Corp. (a) 463,829 25,893 Exelis, Inc. 443,029 1,609 Honeywell International, Inc. 157,296 13,755 KLX, Inc. (a) 540,709 2,613 L-3 Communications Holdings, Inc. 321,713 1,390 Moog, Inc., Class A (a) 97,717 4,432 National Presto Industries, Inc. 279,216 3,356 Northrop Grumman Corp. 526,724 4,881 Orbital ATK, Inc. (a) 636,043 3,826 Orbital Sciences Corp. (a) 107,472 1,369 Precision Castparts Corp. 273,937 3,049 Raytheon Co. 305,053 1,502 Teledyne Technologies, Inc. (a) 142,750 8,441 Triumph Group, Inc. 481,644 2,867 United Technologies Corp. 329,074 -------------- 6,001,243 -------------- AIR FREIGHT & LOGISTICS -- 0.4% 5,217 Atlas Air Worldwide Holdings, Inc. (a) 235,809 2,848 FedEx Corp. 481,625 -------------- 717,434 -------------- AIRLINES -- 0.1% 15,495 SkyWest, Inc. 194,462 -------------- AUTO COMPONENTS -- 0.8% 9,002 BorgWarner, Inc. 486,198 4,535 Delphi Automotive PLC 311,691 1,045 Dorman Products, Inc. (a) 47,788 2,015 Drew Industries, Inc. (a) 101,314 5,627 Goodyear Tire & Rubber (The) Co. 136,398 3,326 Johnson Controls, Inc. 154,559 4,048 Standard Motor Products, Inc. 147,590 7,798 Superior Industries International, Inc. 142,314 -------------- 1,527,852 -------------- AUTOMOBILES -- 0.9% 42,550 Ford Motor Co. 625,910 18,892 General Motors Co. 616,257 2,439 Harley-Davidson, Inc. 150,486 5,919 Thor Industries, Inc. 333,536 -------------- 1,726,189 -------------- BANKS -- 3.6% 12,182 Associated Banc-Corp. 204,779 4,897 BancorpSouth, Inc. 97,206 2,392 Banner Corp. 96,589 8,479 BB&T Corp. 299,224 7,155 BBCN Bancorp, Inc. 92,657 4,308 Cathay General Bancorp 102,918 2,971 Citigroup, Inc. 139,489 SHARES DESCRIPTION VALUE ------------------------------------------------------------ BANKS (CONTINUED) 1,084 City Holding Co. $ 45,886 3,432 Comerica, Inc. 142,428 1,323 Community Bank System, Inc. 44,493 3,786 F.N.B. Corp. 45,432 16,185 Fifth Third Bancorp 280,001 26,291 First BanCorp (a) 144,338 11,159 First Commonwealth Financial Corp. 88,045 8,117 First Horizon National Corp. 105,440 12,014 FirstMerit Corp. 196,849 18,362 Fulton Financial Corp. 204,736 7,393 Hancock Holding Co. 193,031 2,312 Hanmi Financial Corp. 45,916 31,346 Huntington Bancshares, Inc. 314,087 12,461 International Bancshares Corp. 280,497 7,904 JPMorgan Chase & Co. 429,820 11,565 KeyCorp 150,229 9,775 National Penn Bancshares, Inc. 94,818 3,916 NBT Bancorp, Inc. 90,107 12,359 OFG Bancorp 198,980 6,914 Old National Bancorp 92,717 5,422 PNC Financial Services Group (The), Inc. 458,376 4,100 Prosperity Bancshares, Inc. 187,739 31,227 Regions Financial Corp. 271,675 1,692 S&T Bancorp, Inc. 46,513 7,870 SunTrust Banks, Inc. 302,365 7,661 Susquehanna Bancshares, Inc. 96,605 20,812 TCF Financial Corp. 305,936 912 Tompkins Financial Corp. 46,758 9,248 Trustmark Corp. 197,537 11,353 Valley National Bancorp 103,085 3,389 Webster Financial Corp. 103,466 2,932 Wells Fargo & Co. 152,229 4,979 Wilshire Bancorp, Inc. 45,309 2,200 Wintrust Financial Corp. 95,634 -------------- 6,633,939 -------------- BEVERAGES -- 0.1% 3,635 Coca-Cola Enterprises, Inc. 153,034 -------------- BUILDING PRODUCTS -- 0.5% 9,491 Gibraltar Industries, Inc. (a) 143,694 7,736 Griffon Corp. 113,642 13,086 Masco Corp. 325,056 2,686 Quanex Building Products Corp. 50,577 1,458 Simpson Manufacturing Co., Inc. 47,589 3,868 Universal Forest Products, Inc. 193,632 -------------- 874,190 -------------- CAPITAL MARKETS -- 1.3% 8,128 Bank of New York Mellon (The) Corp. 292,608 15,448 Calamos Asset Management, Inc., Class A 193,873 2,693 Eaton Vance Corp. 108,393 11,911 Franklin Resources, Inc. 613,774 See Notes to Financial Statements Page 59 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 2,552 Goldman Sachs Group (The), Inc. $ 439,990 7,412 Investment Technology Group, Inc. (a) 153,799 4,143 Morgan Stanley 140,075 989 Stifel Financial Corp. (a) 46,631 1,872 T. Rowe Price Group, Inc. 147,364 905 Virtus Investment Partners, Inc. 122,745 4,555 Waddell & Reed Financial, Inc., Class A 203,654 -------------- 2,462,906 -------------- CHEMICALS -- 4.1% 1,244 A. Schulman, Inc. 43,353 7,549 Albemarle Corp. 364,315 12,936 Cabot Corp. 548,616 7,427 Calgon Carbon Corp. (a) 146,535 3,025 CF Industries Holdings, Inc. 923,774 14,460 Dow Chemical (The) Co. 653,014 10,867 Eastman Chemical Co. 770,362 2,819 FMC Corp. 162,092 19,755 FutureFuel Corp. 217,107 2,374 Hawkins, Inc. 91,423 2,640 Innophos Holdings, Inc. 157,186 3,634 Intrepid Potash, Inc. (a) 48,369 9,898 Kraton Performance Polymers, Inc. (a) 191,427 8,181 LSB Industries, Inc. (a) 255,574 10,384 LyondellBasell Industries N.V., Class A 821,271 14,447 Mosaic (The) Co. 703,424 19,934 Olin Corp. 499,745 6,905 OM Group, Inc. 193,340 1,241 Praxair, Inc. 149,652 4,614 Rayonier Advanced Materials, Inc. 78,992 6,418 Stepan Co. 246,451 6,862 Tredegar Corp. 146,778 6,791 Zep, Inc. 108,792 -------------- 7,521,592 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 5,387 ABM Industries, Inc. 155,523 18,204 ADT (The) Corp. 626,218 2,066 Brink's (The) Co. 46,299 6,560 R.R. Donnelley & Sons Co. 108,043 16,386 Republic Services, Inc. 650,197 7,707 Tetra Tech, Inc. 177,492 1,271 UniFirst Corp. 147,601 4,881 United Stationers, Inc. 196,753 9,648 Viad Corp. 260,303 5,159 Waste Connections, Inc. 222,972 -------------- 2,591,401 -------------- COMMUNICATIONS EQUIPMENT -- 1.2% 2,313 ADTRAN, Inc. 51,140 11,856 Cisco Systems, Inc. 312,584 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMUNICATIONS EQUIPMENT (CONTINUED) 6,528 Comtech Telecommunications Corp. $ 215,685 9,183 Harris Corp. 616,455 29,548 Juniper Networks, Inc. 671,626 5,783 NETGEAR, Inc. (a) 195,292 4,281 Plantronics, Inc. 196,198 -------------- 2,258,980 -------------- CONSTRUCTION & ENGINEERING -- 1.4% 14,946 AECOM (a) 379,927 8,293 Aegion Corp. (a) 127,049 3,469 EMCOR Group, Inc. 140,009 10,878 Fluor Corp. 582,952 11,068 Jacobs Engineering Group, Inc. (a) 421,691 13,966 Orion Marine Group, Inc. (a) 127,510 29,038 Quanta Services, Inc. (a) 768,926 -------------- 2,548,064 -------------- CONSUMER FINANCE -- 0.9% 5,992 Capital One Financial Corp. 438,674 11,371 Cash America International, Inc. 236,517 2,455 Discover Financial Services 133,503 3,476 Encore Capital Group, Inc. (a) 129,377 21,891 EZCORP, Inc., Class A (a) 225,696 906 First Cash Financial Services, Inc. (a) 45,046 7,532 Green Dot Corp., Class A (a) 114,863 3,237 World Acceptance Corp. (a) 237,758 -------------- 1,561,434 -------------- CONTAINERS & PACKAGING -- 1.3% 3,395 AptarGroup, Inc. 214,258 5,020 Bemis Co., Inc. 222,386 7,002 Greif, Inc., Class A 267,476 11,143 MeadWestvaco Corp. 560,270 5,956 Owens-Illinois, Inc. (a) 139,073 7,444 Rock-Tenn Co., Class A 483,116 2,057 Silgan Holdings, Inc. 105,750 7,568 Sonoco Products Co. 334,506 -------------- 2,326,835 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 4,186 American Public Education, Inc. (a) 140,524 9,695 Apollo Education Group, Inc. (a) 244,896 9,562 DeVry Education Group, Inc. 405,525 657 Graham Holdings Co., Class B 614,505 5,125 Universal Technical Institute, Inc. 41,871 -------------- 1,447,321 -------------- Page 60 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES -- 0.3% 2,196 Berkshire Hathaway, Inc., Class B (a) $ 316,026 6,876 NASDAQ OMX Group (The), Inc. 313,546 -------------- 629,572 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3% 24,543 AT&T, Inc. 807,955 3,044 Atlantic Tele-Network, Inc. 202,213 16,663 CenturyLink, Inc. 619,364 74,159 Frontier Communications Corp. 497,978 2,998 Lumos Networks Corp. 48,058 3,436 Verizon Communications, Inc. 157,059 -------------- 2,332,627 -------------- ELECTRIC UTILITIES -- 4.1% 2,799 ALLETE, Inc. 158,563 10,862 American Electric Power Co., Inc. 682,242 4,161 Cleco Corp. 226,192 5,921 Duke Energy Corp. 515,956 3,852 El Paso Electric Co. 154,311 7,539 Entergy Corp. 659,738 17,786 Exelon Corp. 641,007 12,686 FirstEnergy Corp. 511,626 15,977 Great Plains Energy, Inc. 472,440 3,293 Hawaiian Electric Industries, Inc. 112,950 3,004 Northeast Utilities 166,962 9,321 OGE Energy Corp. 327,913 18,368 Pepco Holdings, Inc. 504,202 7,241 Pinnacle West Capital Corp. 508,173 11,161 PNM Resources, Inc. 340,410 4,425 PPL Corp. 157,088 6,715 Southern (The) Co. 340,585 3,545 UIL Holdings Corp. 163,070 8,019 Westar Energy, Inc. 342,572 13,771 Xcel Energy, Inc. 516,826 -------------- 7,502,826 -------------- ELECTRICAL EQUIPMENT -- 0.9% 7,278 Eaton Corp. PLC 459,169 2,604 Emerson Electric Co. 148,272 5,512 Encore Wire Corp. 168,833 2,500 EnerSys 145,950 1,344 Franklin Electric Co., Inc. 45,978 2,124 Hubbell, Inc., Class B 225,229 1,028 Powell Industries, Inc. 40,102 3,018 Regal-Beloit Corp. 207,789 1,446 Rockwell Automation, Inc. 157,498 -------------- 1,598,820 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.7% 1,163 Anixter International, Inc. (a) $ 87,644 9,801 Arrow Electronics, Inc. (a) 539,447 13,189 Avnet, Inc. 548,926 10,111 Benchmark Electronics, Inc. (a) 244,989 1,694 Coherent, Inc. (a) 104,825 35,953 Corning, Inc. 854,603 5,770 CTS Corp. 92,320 4,031 Daktronics, Inc. 49,904 14,499 Fabrinet (a) 236,769 18,843 II-VI, Inc. (a) 323,911 11,965 Ingram Micro, Inc., Class A (a) 301,279 7,948 Insight Enterprises, Inc. (a) 188,129 1,471 IPG Photonics Corp. (a) 109,795 5,050 Jabil Circuit, Inc. 104,080 6,721 Keysight Technologies, Inc. (a) 224,414 1,064 Littelfuse, Inc. 105,059 8,076 Newport Corp. (a) 149,567 4,993 Plexus Corp. (a) 189,185 1,753 Rofin-Sinar Technologies, Inc. (a) 47,191 10,931 Sanmina Corp. (a) 231,519 5,124 ScanSource, Inc. (a) 176,675 1,316 SYNNEX Corp. 97,634 10,427 TE Connectivity Ltd. 692,249 7,179 Tech Data Corp. (a) 409,921 27,327 TTM Technologies, Inc. (a) 189,923 40,098 Vishay Intertechnology, Inc. 546,135 -------------- 6,846,093 -------------- ENERGY EQUIPMENT & SERVICES -- 8.9% 19,999 Atwood Oceanics, Inc. 571,571 14,703 Baker Hughes, Inc. 852,627 29,354 Basic Energy Services, Inc. (a) 172,601 3,128 Bristow Group, Inc. 174,261 19,471 C&J Energy Services, Inc. (a) 200,551 13,204 Cameron International Corp. (a) 591,275 14,167 CARBO Ceramics, Inc. 464,394 22,457 Diamond Offshore Drilling, Inc. 708,069 5,916 Dril-Quip, Inc. (a) 439,145 27,526 Ensco PLC, Class A 771,829 12,161 Era Group, Inc. (a) 273,866 6,316 Exterran Holdings, Inc. 171,227 7,040 FMC Technologies, Inc. (a) 263,859 9,706 Geospace Technologies Corp. (a) 232,750 13,265 Gulf Island Fabrication, Inc. 219,801 10,533 GulfMark Offshore, Inc., Class A 207,816 20,961 Halliburton Co. 838,230 26,147 Helix Energy Solutions Group, Inc. (a) 490,779 12,228 Helmerich & Payne, Inc. 728,300 10,301 Hornbeck Offshore Services, Inc. (a) 228,682 93,532 ION Geophysical Corp. (a) 210,447 6,914 Matrix Service Co. (a) 132,749 See Notes to Financial Statements Page 61 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 63,513 Nabors Industries Ltd. $ 731,035 12,581 National Oilwell Varco, Inc. 684,784 26,962 Newpark Resources, Inc. (a) 232,952 49,753 Noble Corp. PLC 806,994 7,718 Oceaneering International, Inc. 404,114 9,282 Oil States International, Inc. (a) 381,212 34,200 Patterson-UTI Energy, Inc. 586,872 37,143 Pioneer Energy Services Corp. (a) 153,772 24,330 Rowan Cos. PLC, Class A 513,850 9,652 Schlumberger Ltd. 795,228 3,485 SEACOR Holdings, Inc. (a) 250,746 22,526 Superior Energy Services, Inc. 450,520 20,063 Tesco Corp. 205,445 23,103 TETRA Technologies, Inc. (a) 114,129 17,506 Tidewater, Inc. 512,226 16,639 Unit Corp. (a) 495,509 -------------- 16,264,217 -------------- FOOD & STAPLES RETAILING -- 0.4% 3,872 Andersons (The), Inc. 174,162 7,872 SpartanNash Co. 202,783 3,840 Wal-Mart Stores, Inc. 326,323 -------------- 703,268 -------------- FOOD PRODUCTS -- 1.6% 9,512 Archer-Daniels-Midland Co. 443,544 2,777 Darling Ingredients, Inc. (a) 47,153 11,827 Flowers Foods, Inc. 231,336 3,898 Ingredion, Inc. 314,335 3,266 JM Smucker (The) Co. 336,888 5,039 Kellogg Co. 330,458 2,566 Kraft Foods Group, Inc. 167,662 3,061 Sanderson Farms, Inc. 244,758 5,710 Seneca Foods Corp., Class A (a) 147,775 16,451 Tyson Foods, Inc., Class A 642,247 -------------- 2,906,156 -------------- GAS UTILITIES -- 1.3% 12,099 AGL Resources, Inc. 682,142 5,933 Atmos Energy Corp. 337,647 1,934 Laclede Group (The), Inc. 103,972 4,756 National Fuel Gas Co. 301,673 2,062 Northwest Natural Gas Co. 102,914 11,012 ONE Gas, Inc. 486,620 8,978 Questar Corp. 232,979 856 South Jersey Industries, Inc. 49,862 2,497 Southwest Gas Corp. 153,466 -------------- 2,451,275 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.5% 1,216 Analogic Corp. 99,141 9,081 CryoLife, Inc. 102,252 2,087 Greatbatch, Inc. (a) 101,345 4,991 Halyard Health, Inc. (a) 222,449 3,064 Meridian Bioscience, Inc. 53,007 2,910 Merit Medical Systems, Inc. (a) 44,610 SHARES DESCRIPTION VALUE ------------------------------------------------------------ HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 2,282 SurModics, Inc. (a) $ 52,303 1,417 Zimmer Holdings, Inc. 158,846 -------------- 833,953 -------------- HEALTH CARE PROVIDERS & SERVICES -- 1.2% 2,337 Air Methods Corp. (a) 97,102 1,742 Almost Family, Inc. (a) 52,887 2,624 Anthem, Inc. 354,135 4,209 Community Health Systems, Inc. (a) 198,118 1,355 CorVel Corp. (a) 44,634 11,745 Hanger, Inc. (a) 253,457 1,099 IPC Healthcare, Inc. (a) 44,356 5,659 Kindred Healthcare, Inc. 104,465 3,056 Laboratory Corp. of America Holdings (a) 350,768 1,618 LHC Group, Inc. (a) 48,087 3,428 Magellan Health, Inc. (a) 206,091 2,435 PharMerica Corp. (a) 56,029 4,917 Quest Diagnostics, Inc. 349,451 -------------- 2,159,580 -------------- HEALTH CARE TECHNOLOGY -- 0.0% 830 Computer Programs & Systems, Inc. 40,886 2,552 MedAssets, Inc. (a) 47,237 -------------- 88,123 -------------- HOTELS, RESTAURANTS & LEISURE -- 1.4% 386 Biglari Holdings, Inc. (a) 159,792 10,912 Carnival Corp. 479,692 13,157 International Game Technology 222,617 10,449 International Speedway Corp., Class A 303,961 4,925 Interval Leisure Group, Inc. 113,669 8,017 Life Time Fitness, Inc. (a) 438,289 11,117 Marcus (The) Corp. 209,667 1,716 McDonald's Corp. 158,627 12,403 Monarch Casino & Resort, Inc. (a) 214,572 1,337 Red Robin Gourmet Burgers, Inc. (a) 103,618 12,208 Wendy's (The) Co. 128,672 -------------- 2,533,176 -------------- HOUSEHOLD DURABLES -- 0.6% 3,322 Ethan Allen Interiors, Inc. 90,425 1,879 La-Z-Boy, Inc. 50,151 8,574 M.D.C. Holdings, Inc. 214,350 11,203 M/I Homes, Inc. (a) 231,230 15,366 PulteGroup, Inc. 316,386 1,750 Tupperware Brands Corp. 118,317 830 Whirlpool Corp. 165,236 -------------- 1,186,095 -------------- HOUSEHOLD PRODUCTS -- 0.1% 16,160 Central Garden & Pet Co., Class A (a) 147,056 -------------- Page 62 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 23,948 AES (The) Corp. $ 292,644 18,354 NRG Energy, Inc. 452,610 -------------- 745,254 -------------- INDUSTRIAL CONGLOMERATES -- 0.3% 1,222 Carlisle Cos., Inc. 109,589 1,876 Danaher Corp. 154,545 13,050 General Electric Co. 311,764 -------------- 575,898 -------------- INSURANCE -- 6.8% 4,306 ACE Ltd. 464,876 8,097 Aflac, Inc. 462,177 1,224 Alleghany Corp. (a) 541,118 5,446 American Financial Group, Inc. 316,086 11,775 American International Group, Inc. 575,444 2,429 AMERISAFE, Inc. 98,860 12,963 Aspen Insurance Holdings Ltd. 561,557 9,638 Assurant, Inc. 612,109 6,896 Brown & Brown, Inc. 212,742 6,374 Chubb (The) Corp. 624,015 8,752 Employers Holdings, Inc. 182,042 3,332 Everest Re Group, Ltd. 571,038 6,695 First American Financial Corp. 227,764 4,637 Hanover Insurance Group (The), Inc. 319,953 7,910 Hartford Financial Services Group (The), Inc. 307,699 8,481 HCC Insurance Holdings, Inc. 452,377 4,651 Horace Mann Educators Corp. 141,716 1,998 Infinity Property & Casualty Corp. 140,399 3,053 Kemper Corp. 106,580 5,718 Lincoln National Corp. 285,786 5,836 Mercury General Corp. 333,527 6,097 MetLife, Inc. 283,511 7,181 Montpelier Re Holdings Ltd. 252,269 2,806 Navigators Group (The), Inc. (a) 208,261 31,026 Old Republic International Corp. 435,605 3,095 Principal Financial Group, Inc. 145,248 5,697 ProAssurance Corp. 252,776 12,218 Progressive (The) Corp. (a) 317,057 3,774 Reinsurance Group of America, Inc. 312,525 2,411 Safety Insurance Group, Inc. 149,361 7,573 Selective Insurance Group, Inc. 195,535 4,734 StanCorp Financial Group, Inc. 293,697 2,778 Stewart Information Services Corp. 99,452 2,968 Torchmark Corp. 148,608 6,231 Travelers (The) Cos., Inc. 640,671 5,191 United Fire Group, Inc. 145,037 18,908 Unum Group 587,283 8,855 W. R. Berkley Corp. 433,806 -------------- 12,438,567 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ INTERNET & CATALOG RETAIL -- 0.0% 3,510 PetMed Express, Inc. $ 55,107 -------------- INTERNET SOFTWARE & SERVICES -- 0.5% 7,163 AOL, Inc. (a) 309,800 18,571 Blucora, Inc. (a) 251,080 31,483 Liquidity Services, Inc. (a) 243,678 22,270 Monster Worldwide, Inc. (a) 91,975 5,523 Perficient, Inc. (a) 99,414 -------------- 995,947 -------------- IT SERVICES -- 2.8% 2,388 CACI International, Inc., Class A (a) 202,001 13,075 Computer Sciences Corp. 793,391 11,142 Convergys Corp. 213,481 4,104 CSG Systems International, Inc. 100,630 6,026 DST Systems, Inc. 582,714 5,375 ExlService Holdings, Inc. (a) 157,918 3,083 International Business Machines Corp. 472,655 1,774 Jack Henry & Associates, Inc. 108,870 20,409 NeuStar, Inc., Class A (a) 536,553 2,226 Science Applications International Corp. 108,584 8,767 Sykes Enterprises, Inc. (a) 197,433 8,690 TeleTech Holdings, Inc. (a) 191,701 11,324 Teradata Corp. (a) 504,597 8,976 Western Union (The) Co. 152,592 59,481 Xerox Corp. 783,365 -------------- 5,106,485 -------------- LEISURE PRODUCTS -- 0.7% 5,796 Arctic Cat, Inc. 194,861 2,923 Hasbro, Inc. 160,531 21,313 Mattel, Inc. 573,320 7,427 Sturm, Ruger & Co., Inc. 300,051 -------------- 1,228,763 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 914 Bio-Rad Laboratories, Inc., Class A (a) 104,626 3,676 PerkinElmer, Inc. 168,030 -------------- 272,656 -------------- MACHINERY -- 4.5% 9,442 Actuant Corp., Class A 218,205 12,553 AGCO Corp. 544,047 1,328 Albany International Corp., Class A 45,325 2,617 Astec Industries, Inc. 93,061 5,560 Barnes Group, Inc. 190,986 7,558 Briggs & Stratton Corp. 139,143 5,404 Caterpillar, Inc. 432,158 1,707 CIRCOR International, Inc. 84,309 1,878 Crane Co. 114,464 3,431 Cummins, Inc. 478,487 5,591 Deere & Co. 476,297 See Notes to Financial Statements Page 63 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 2,854 Donaldson Co., Inc. $ 104,342 9,196 Dover Corp. 644,088 2,788 ESCO Technologies, Inc. 100,424 9,995 Federal Signal Corp. 152,624 5,512 Flowserve Corp. 300,349 1,416 IDEX Corp. 102,448 17,721 Joy Global, Inc. 743,219 12,682 Kennametal, Inc. 398,468 1,596 Lincoln Electric Holdings, Inc. 108,384 1,200 Lindsay Corp. 103,704 9,330 Oshkosh Corp. 399,791 2,557 Parker Hannifin Corp. 297,788 6,604 SPX Corp. 551,896 1,332 Standex International Corp. 93,360 1,673 Stanley Black & Decker, Inc. 156,676 20,351 Terex Corp. 457,490 5,318 Timken (The) Co. 202,137 9,679 Titan International, Inc. 86,530 2,604 Valmont Industries, Inc. 312,792 4,610 Woodward, Inc. 205,652 -------------- 8,338,644 -------------- MARINE -- 0.2% 5,622 Kirby Corp. (a) 407,539 -------------- MEDIA -- 1.2% 8,527 Comcast Corp., Class A 453,167 15,491 Gannett Co., Inc. 480,376 19,939 Harte-Hanks, Inc. 144,957 1,861 John Wiley & Sons, Inc., Class A 115,308 2,029 Meredith Corp. 105,630 31,526 News Corp., Class A (a) 469,422 5,650 Scholastic Corp. 207,807 4,479 Time, Inc. 112,154 2,136 Viacom, Inc., Class B 137,601 -------------- 2,226,422 -------------- METALS & MINING -- 2.8% 6,715 Carpenter Technology Corp. 254,767 27,864 Commercial Metals Co. 373,935 3,809 Compass Minerals International, Inc. 332,906 35,291 Freeport-McMoRan, Inc. 593,242 3,601 Kaiser Aluminum Corp. 249,585 5,841 Materion Corp. 192,461 8,506 Newmont Mining Corp. 213,926 10,084 Nucor Corp. 440,167 11,573 Olympic Steel, Inc. 158,666 9,260 Reliance Steel & Aluminum Co. 484,946 4,073 RTI International Metals, Inc. (a) 90,828 22,994 Steel Dynamics, Inc. 391,818 15,322 TimkenSteel Corp. 413,694 16,975 United States Steel Corp. 414,869 15,085 Worthington Industries, Inc. 451,494 -------------- 5,057,304 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ MULTILINE RETAIL -- 0.6% 8,263 Big Lots, Inc. $ 379,355 13,506 Kohl's Corp. 806,578 -------------- 1,185,933 -------------- MULTI-UTILITIES -- 3.6% 4,979 Alliant Energy Corp. 341,609 10,723 Ameren Corp. 485,537 5,821 Avista Corp. 216,134 6,235 Black Hills Corp. 312,748 21,111 CenterPoint Energy, Inc. 487,453 9,490 CMS Energy Corp. 358,058 9,991 Consolidated Edison, Inc. 692,176 5,727 DTE Energy Co. 513,483 24,144 MDU Resources Group, Inc. 545,896 12,388 PG&E Corp. 728,538 15,927 Public Service Enterprise Group, Inc. 679,764 8,189 SCANA Corp. 522,213 1,444 Sempra Energy 161,612 24,141 TECO Energy, Inc. 514,928 -------------- 6,560,149 -------------- OIL, GAS & CONSUMABLE FUELS -- 12.4% 10,524 Apache Corp. 658,487 40,253 Approach Resources, Inc. (a) 252,386 18,066 Bill Barrett Corp. (a) 184,273 10,717 Bonanza Creek Energy, Inc. (a) 279,499 102,973 California Resources Corp. (a) 527,222 42,126 Chesapeake Energy Corp. 807,977 7,349 Chevron Corp. 753,493 7,777 Cimarex Energy Co. 802,586 28,019 Cloud Peak Energy, Inc. (a) 190,249 30,216 Comstock Resources, Inc. 122,073 11,937 ConocoPhillips 751,792 9,753 CONSOL Energy, Inc. 282,349 8,797 Contango Oil & Gas Co. (a) 264,526 101,403 Denbury Resources, Inc. 699,681 13,468 Devon Energy Corp. 811,716 5,187 Energen Corp. 328,960 4,356 EQT Corp. 324,261 8,917 Exxon Mobil Corp. 779,524 10,380 Green Plains, Inc. 242,996 10,875 Gulfport Energy Corp. (a) 418,579 11,168 Hess Corp. 753,728 15,138 HollyFrontier Corp. 543,757 29,141 Marathon Oil Corp. 775,151 9,134 Marathon Petroleum Corp. 845,717 16,318 Murphy Oil Corp. 732,841 30,398 Newfield Exploration Co. (a) 905,252 17,381 Noble Energy, Inc. 829,769 45,525 Northern Oil and Gas, Inc. (a) 285,897 10,227 Occidental Petroleum Corp. 818,160 4,986 PDC Energy, Inc. (a) 229,057 30,804 Penn Virginia Corp. (a) 150,324 11,498 Phillips 66 808,539 32,617 QEP Resources, Inc. 659,516 50,434 Rex Energy Corp. (a) 178,536 Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 25,432 Rosetta Resources, Inc. (a) $ 434,124 14,707 SM Energy Co. 556,219 30,209 Southwestern Energy Co. (a) 748,881 12,190 Stone Energy Corp. (a) 171,635 50,808 Swift Energy Co. (a) 108,221 8,871 Tesoro Corp. 725,027 16,655 Valero Energy Corp. 880,716 12,014 Western Refining, Inc. 446,080 4,836 World Fuel Services Corp. 236,819 39,029 WPX Energy, Inc. (a) 416,049 -------------- 22,722,644 -------------- PAPER & FOREST PRODUCTS -- 0.4% 14,107 Domtar Corp. 540,298 8,047 P.H. Glatfelter Co. 184,035 2,432 Schweitzer-Mauduit International, Inc. 94,508 -------------- 818,841 -------------- PERSONAL PRODUCTS -- 0.1% 3,067 Medifast, Inc. (a) 97,193 -------------- PHARMACEUTICALS -- 0.5% 4,730 Johnson & Johnson 473,662 15,879 Pfizer, Inc. 496,219 -------------- 969,881 -------------- PROFESSIONAL SERVICES -- 0.8% 8,714 CDI Corp. 148,051 1,329 Dun & Bradstreet (The) Corp. 152,981 2,854 FTI Consulting, Inc. (a) 116,072 6,045 Kelly Services, Inc., Class A 102,161 5,366 Korn/Ferry International (a) 152,931 6,658 Manpowergroup, Inc. 485,235 3,066 Resources Connection, Inc. 51,202 974 Towers Watson & Co., Class A 115,419 6,936 TrueBlue, Inc. (a) 153,008 -------------- 1,477,060 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.6% 16,757 Capstead Mortgage Corp. 201,419 6,245 Corrections Corp. of America 245,553 875 EPR Properties 56,928 2,770 Getty Realty Corp. 51,328 2,633 Potlatch Corp. 104,951 3,945 Rayonier, Inc. 115,786 2,970 Taubman Centers, Inc. 243,392 6,402 WP GLIMCHER, Inc. 113,187 -------------- 1,132,544 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 16,702 Forestar Group, Inc. (a) 221,636 -------------- ROAD & RAIL -- 0.9% 9,069 Celadon Group, Inc. 216,114 6,724 Con-way, Inc. 275,482 SHARES DESCRIPTION VALUE ------------------------------------------------------------ ROAD & RAIL (CONTINUED) 2,524 Genesee & Wyoming, Inc., Class A (a) $ 208,104 4,513 Norfolk Southern Corp. 460,191 6,609 Roadrunner Transportation Systems, Inc. (a) 134,295 5,327 Ryder System, Inc. 441,022 -------------- 1,735,208 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6% 10,853 Advanced Energy Industries, Inc. (a) 260,472 1,066 Cabot Microelectronics Corp. (a) 52,671 2,140 Cirrus Logic, Inc. (a) 56,710 7,044 Cree, Inc. (a) 249,076 7,464 Diodes, Inc. (a) 197,274 18,486 First Solar, Inc. (a) 782,328 2,286 KLA-Tencor Corp. 140,520 14,230 Kulicke & Soffa Industries, Inc. (a) 215,869 3,564 Microchip Technology, Inc. 160,736 975 Power Integrations, Inc. 50,290 22,936 Teradyne, Inc. 415,142 7,617 Xilinx, Inc. 293,826 -------------- 2,874,914 -------------- SOFTWARE -- 1.2% 21,659 CA, Inc. 656,268 15,139 Ebix, Inc. 345,926 15,087 Mentor Graphics Corp. 347,152 7,333 Oracle Corp. 307,179 12,854 Symantec Corp. 318,393 5,221 Synopsys, Inc. (a) 224,451 -------------- 2,199,369 -------------- SPECIALTY RETAIL -- 5.2% 14,848 Aaron's, Inc. 470,088 15,849 Abercrombie & Fitch Co., Class A 404,466 9,065 ANN, Inc. (a) 300,051 45,174 Ascena Retail Group, Inc. (a) 522,211 2,172 Barnes & Noble, Inc. (a) 51,020 8,659 Bed Bath & Beyond, Inc. (a) 647,433 16,920 Best Buy Co., Inc. 595,584 14,065 Big 5 Sporting Goods Corp. 167,514 1,959 Buckle (The), Inc. 99,498 2,091 Cabela's, Inc. (a) 114,900 20,401 Chico's FAS, Inc. 340,289 2,708 Children's Place (The), Inc. 162,345 45,046 Christopher & Banks Corp. (a) 234,690 6,661 Dick's Sporting Goods, Inc. 344,041 10,581 Finish Line (The), Inc., Class A 249,712 24,391 GameStop Corp., Class A 859,783 15,662 Gap (The), Inc. 645,118 2,014 Genesco, Inc. (a) 143,900 26,916 Guess?, Inc. 505,482 11,686 Haverty Furniture Cos., Inc. 285,489 2,124 Hibbett Sports, Inc. (a) 99,913 See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 2,133 Kirkland's, Inc. (a) $ 49,635 1,601 Murphy USA, Inc. (a) 111,766 15,716 Pep Boys-Manny, Moe & Jack (The) (a) 132,486 12,497 Rent-A-Center, Inc. 428,397 5,707 Sonic Automotive, Inc., Class A 140,563 7,455 Stage Stores, Inc. 149,100 36,397 Staples, Inc. 620,569 3,450 Stein Mart, Inc. 47,472 18,774 Urban Outfitters, Inc. (a) 654,462 1,038 Vitamin Shoppe, Inc. (a) 43,876 -------------- 9,621,853 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 5,405 EMC Corp. 140,152 16,435 Hewlett-Packard Co. 593,796 13,748 Lexmark International, Inc., Class A 548,683 11,349 NCR Corp. (a) 288,265 3,878 NetApp, Inc. 146,588 -------------- 1,717,484 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 17,559 Coach, Inc. 653,019 2,978 Fossil Group, Inc. (a) 291,249 9,066 Movado Group, Inc. 217,856 1,864 Oxford Industries, Inc. 104,272 3,232 Steven Madden Ltd. (a) 110,987 -------------- 1,377,383 -------------- THRIFTS & MORTGAGE FINANCE -- 0.4% 8,251 Astoria Financial Corp. 100,910 5,028 Brookline Bancorp, Inc. 48,269 3,098 Dime Community Bancshares, Inc. 45,726 6,890 New York Community Bancorp, Inc. 106,450 4,025 Northwest Bancshares, Inc. 47,495 3,275 Oritani Financial Corp. 46,210 5,697 Provident Financial Services, Inc. 98,900 10,246 Washington Federal, Inc. 203,486 -------------- 697,446 -------------- TOBACCO -- 0.1% 5,848 Universal Corp. 234,856 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.7% 3,385 Applied Industrial Technologies, Inc. 136,856 4,072 DXP Enterprises, Inc. (a) 167,033 5,747 GATX Corp. 328,441 3,850 Kaman Corp. 146,377 1,357 MSC Industrial Direct Co., Inc., Class A 101,870 SHARES DESCRIPTION VALUE ------------------------------------------------------------ TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 8,821 NOW, Inc. (a) $ 220,084 631 W.W. Grainger, Inc. 148,815 -------------- 1,249,476 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 14,816 Spok Holdings, Inc. 253,650 17,976 Telephone & Data Systems, Inc. 417,942 -------------- 671,592 -------------- TOTAL INVESTMENTS -- 100.1% 183,743,761 (Cost $186,398,485) (b) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (125,008) -------------- NET ASSETS -- 100.0% $ 183,618,753 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,942,412 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $12,597,136. Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 183,743,761 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.7% 692 Curtiss-Wright Corp. $ 46,039 4,002 GenCorp, Inc. (a) 67,234 1,478 General Dynamics Corp. 196,884 2,004 Huntington Ingalls Industries, Inc. 233,666 704 Lockheed Martin Corp. 132,612 1,606 Rockwell Collins, Inc. 137,506 4,728 TASER International, Inc. (a) 127,703 6,442 Textron, Inc. 274,172 -------------- 1,215,816 -------------- AIR FREIGHT & LOGISTICS -- 0.7% 4,528 C.H. Robinson Worldwide, Inc. 322,484 1,479 Expeditors International of Washington, Inc. 64,603 969 Forward Air Corp. 43,508 594 United Parcel Service, Inc., Class B 58,711 -------------- 489,306 -------------- AIRLINES -- 2.0% 4,903 Alaska Air Group, Inc. 332,767 650 Allegiant Travel Co. 117,825 6,894 Delta Air Lines, Inc. 326,155 18,473 JetBlue Airways Corp. (a) 310,162 8,013 Southwest Airlines Co. 362,027 -------------- 1,448,936 -------------- AUTO COMPONENTS -- 0.3% 12,475 Gentex Corp. 208,208 -------------- BANKS -- 0.7% 1,932 Bank of the Ozarks, Inc. 62,655 1,231 Cardinal Financial Corp. 21,924 884 Columbia Banking System, Inc. 22,480 2,911 East West Bancorp, Inc. 105,320 570 Independent Bank Corp. 21,563 1,486 MB Financial, Inc. 42,217 1,239 PacWest Bancorp 52,974 731 PrivateBancorp, Inc. 22,179 447 Signature Bank (a) 52,357 601 Simmons First National Corp., Class A 22,489 1,956 United Bankshares, Inc. 66,132 -------------- 492,290 -------------- BEVERAGES -- 1.4% 337 Boston Beer (The) Co., Inc., Class A (a) 105,993 2,763 Constellation Brands, Inc., Class A (a) 305,173 2,838 Dr Pepper Snapple Group, Inc. 219,292 3,130 Monster Beverage Corp. (a) 366,054 -------------- 996,512 -------------- BIOTECHNOLOGY -- 2.3% 2,390 Acorda Therapeutics, Inc. (a) 99,304 1,466 Alexion Pharmaceuticals, Inc. (a) 268,630 1,703 Amgen, Inc. 259,299 SHARES DESCRIPTION VALUE ------------------------------------------------------------ BIOTECHNOLOGY (CONTINUED) 194 Biogen Idec, Inc. (a) $ 75,497 2,425 Celgene Corp. (a) 288,963 4,598 Emergent Biosolutions, Inc. (a) 128,882 700 Gilead Sciences, Inc. (a) 73,381 827 Regeneron Pharmaceuticals, Inc. (a) 344,578 870 United Therapeutics Corp. (a) 122,783 -------------- 1,661,317 -------------- BUILDING PRODUCTS -- 1.1% 3,116 A.O. Smith Corp. 185,122 1,090 AAON, Inc. 23,773 1,190 Allegion PLC 64,272 1,811 American Woodmark Corp. (a) 74,486 1,729 Apogee Enterprises, Inc. 74,797 2,489 Fortune Brands Home & Security, Inc. 111,482 1,849 Lennox International, Inc. 181,775 5,071 PGT, Inc. (a) 43,560 -------------- 759,267 -------------- CAPITAL MARKETS -- 1.3% 1,026 Ameriprise Financial, Inc. 128,188 185 BlackRock, Inc. 62,994 2,186 Charles Schwab (The) Corp. 56,792 2,721 E*TRADE Financial Corp. (a) 62,719 2,039 HFF, Inc., Class A 69,265 10,898 Janus Capital Group, Inc. 191,151 1,236 Legg Mason, Inc. 68,524 2,155 Piper Jaffray Cos. (a) 110,013 1,967 Raymond James Financial, Inc. 103,504 2,814 SEI Investments Co. 113,038 -------------- 966,188 -------------- CHEMICALS -- 2.6% 940 Air Products & Chemicals, Inc. 136,873 941 Ashland, Inc. 111,527 1,465 Balchem Corp. 77,601 3,245 Minerals Technologies, Inc. 211,996 1,486 PolyOne Corp. 52,887 1,174 PPG Industries, Inc. 261,661 1,061 Quaker Chemical Corp. 83,734 2,222 RPM International, Inc. 106,345 904 Scotts Miracle-Gro (The) Co., Class A 57,341 1,867 Sensient Technologies Corp. 113,887 1,289 Sherwin-Williams (The) Co. 349,667 481 Sigma-Aldrich Corp. 66,147 2,606 Valspar (The) Corp. 217,419 -------------- 1,847,085 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.7% 3,458 Cintas Corp. 272,145 1,810 Deluxe Corp. 117,523 1,378 G&K Services, Inc., Class A 96,598 789 Healthcare Services Group, Inc. 24,861 5,738 HNI Corp. 282,597 1,505 Matthews International Corp., Class A 69,727 Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 1,702 Rollins, Inc. $ 56,251 1,035 Stericycle, Inc. (a) 135,885 2,643 Waste Management, Inc. 135,929 -------------- 1,191,516 -------------- COMMUNICATIONS EQUIPMENT -- 1.1% 5,823 ARRIS Group, Inc. (a) 152,679 3,572 Bel Fuse, Inc., Class B 84,014 2,079 F5 Networks, Inc. (a) 232,058 5,538 InterDigital, Inc. 276,789 387 ViaSat, Inc. (a) 21,757 -------------- 767,297 -------------- CONSTRUCTION & ENGINEERING -- 0.1% 2,087 Dycom Industries, Inc. (a) 64,300 -------------- CONSTRUCTION MATERIALS -- 0.2% 6,515 Headwaters, Inc. (a) 91,731 1,004 Vulcan Materials Co. 70,792 -------------- 162,523 -------------- CONSUMER FINANCE -- 0.1% 3,054 Navient Corp. 60,286 421 PRA Group, Inc. (a) 20,848 -------------- 81,134 -------------- CONTAINERS & PACKAGING -- 1.0% 1,990 Ball Corp. 126,027 3,754 Packaging Corp. of America 284,741 7,992 Sealed Air Corp. 323,676 -------------- 734,444 -------------- DISTRIBUTORS -- 0.6% 3,182 Genuine Parts Co. 295,735 2,004 LKQ Corp. (a) 51,723 1,155 Pool Corp. 71,853 -------------- 419,311 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 952 Capella Education Co. 64,726 7,744 Service Corp. International 175,247 986 Strayer Education, Inc. (a) 66,062 -------------- 306,035 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 1,777 CBOE Holdings, Inc. 114,563 619 Intercontinental Exchange, Inc. 127,347 681 MarketAxess Holdings, Inc. 51,736 -------------- 293,646 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 5,331 8x8, Inc. (a) 41,102 1,755 Consolidated Communications Holdings, Inc. 40,856 SHARES DESCRIPTION VALUE ------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 9,106 General Communication, Inc., Class A (a) $ 133,676 4,120 Level 3 Communications, Inc. (a) 204,929 -------------- 420,563 -------------- ELECTRIC UTILITIES -- 0.9% 4,143 Edison International 282,345 3,405 IDACORP, Inc. 231,234 1,276 NextEra Energy, Inc. 139,390 -------------- 652,969 -------------- ELECTRICAL EQUIPMENT -- 0.4% 1,255 Acuity Brands, Inc. 188,112 520 AZZ, Inc. 21,939 6,053 Vicor Corp. (a) 65,191 -------------- 275,242 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.2% 3,781 Amphenol Corp., Class A 203,077 823 Badger Meter, Inc. 49,265 2,231 Belden, Inc. 185,039 4,072 DTS, Inc. (a) 112,876 1,169 FARO Technologies, Inc. (a) 64,704 669 Methode Electronics, Inc. 24,198 1,035 OSI Systems, Inc. (a) 72,429 1,537 Rogers Corp. (a) 113,523 728 Zebra Technologies Corp., Class A (a) 60,759 -------------- 885,870 -------------- ENERGY EQUIPMENT & SERVICES -- 0.1% 689 Dresser-Rand Group, Inc. (a) 55,175 -------------- FOOD & STAPLES RETAILING -- 1.3% 3,521 CVS Health Corp. 345,622 5,281 Kroger (The) Co. 364,653 23,234 SUPERVALU, Inc. (a) 226,299 -------------- 936,574 -------------- FOOD PRODUCTS -- 1.9% 2,647 Calavo Growers, Inc. 106,171 626 Cal-Maine Foods, Inc. 21,941 3,739 ConAgra Foods, Inc. 132,473 5,026 Hain Celestial Group (The), Inc. (a) 265,222 1,267 Hormel Foods Corp. 64,896 449 J&J Snack Foods Corp. 44,056 498 Keurig Green Mountain, Inc. 61,035 4,196 Post Holdings, Inc. (a) 198,261 1,598 Snyder's-Lance, Inc. 46,486 2,635 TreeHouse Foods, Inc. (a) 238,994 5,024 WhiteWave Foods (The) Co. (a) 165,641 -------------- 1,345,176 -------------- GAS UTILITIES -- 0.6% 2,046 New Jersey Resources Corp. 130,698 1,239 Piedmont Natural Gas Co., Inc. 49,424 See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) GAS UTILITIES (CONTINUED) 7,714 UGI Corp. $ 285,341 -------------- 465,463 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.8% 430 Abaxis, Inc. 26,436 3,290 ABIOMED, Inc. (a) 170,225 1,949 Becton, Dickinson and Co. 269,118 1,221 C. R. Bard, Inc. 208,828 2,258 Cantel Medical Corp. 91,607 5,714 CareFusion Corp. (a) 338,840 543 CONMED Corp. 25,868 695 Cooper (The) Cos., Inc. 109,567 4,566 Cynosure, Inc., Class A (a) 137,984 1,239 DENTSPLY International, Inc. 61,981 2,662 Edwards Lifesciences Corp. (a) 333,682 1,235 Hill-Rom Holdings, Inc. 58,984 596 ICU Medical, Inc. (a) 49,814 1,520 IDEXX Laboratories, Inc. (a) 240,798 900 Integra LifeSciences Holdings Corp. (a) 50,148 125 Intuitive Surgical, Inc. (a) 61,810 927 Masimo Corp. (a) 23,657 1,879 Medtronic PLC 134,161 2,032 Natus Medical, Inc. (a) 76,403 1,477 Neogen Corp. (a) 68,090 2,655 NuVasive, Inc. (a) 122,980 1,005 ResMed, Inc. 62,782 645 Sirona Dental Systems, Inc. (a) 58,192 4,518 STERIS Corp. 294,664 2,157 Stryker Corp. 196,395 981 Teleflex, Inc. 107,478 917 West Pharmaceutical Services, Inc. 45,217 -------------- 3,425,709 -------------- HEALTH CARE PROVIDERS & SERVICES -- 7.9% 3,817 Aetna, Inc. 350,477 4,266 Amedisys, Inc. (a) 120,216 3,761 AmerisourceBergen Corp. 357,483 6,388 AMN Healthcare Services, Inc. (a) 120,222 1,338 AmSurg Corp. (a) 73,831 3,040 Bio-Reference Laboratories, Inc. (a) 101,931 2,821 Centene Corp. (a) 307,940 231 Chemed Corp. 23,363 2,636 Cigna Corp. 281,604 10,032 Cross Country Healthcare, Inc. (a) 102,627 2,686 DaVita HealthCare Partners, Inc. (a) 201,611 2,821 Ensign Group (The), Inc. 117,072 3,010 ExamWorks Group, Inc. (a) 111,250 3,204 Express Scripts Holding Co. (a) 258,595 6,572 Gentiva Health Services, Inc. (a) 127,628 SHARES DESCRIPTION VALUE ------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 1,655 Henry Schein, Inc. (a) $ 228,506 4,074 LifePoint Hospitals, Inc. (a) 265,788 1,634 McKesson Corp. 347,470 3,409 MEDNAX, Inc. (a) 231,437 2,339 Molina Healthcare, Inc. (a) 119,078 575 MWI Veterinary Supply, Inc. (a) 109,060 3,090 Omnicare, Inc. 231,688 7,050 Patterson Cos., Inc. 353,135 1,340 Providence Service (The) Corp. (a) 52,260 4,015 Tenet Healthcare Corp. (a) 169,754 3,354 UnitedHealth Group, Inc. 356,363 2,438 Universal Health Services, Inc., Class B 249,968 6,007 VCA, Inc. (a) 312,965 -------------- 5,683,322 -------------- HEALTH CARE TECHNOLOGY -- 0.5% 3,147 Cerner Corp. (a) 208,803 1,656 HealthStream, Inc. (a) 46,799 2,949 Omnicell, Inc. (a) 93,867 -------------- 349,469 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.9% 2,494 BJ's Restaurants, Inc. (a) 110,459 3,840 Brinker International, Inc. 224,371 541 Buffalo Wild Wings, Inc. (a) 96,471 1,120 Cheesecake Factory (The), Inc. 58,811 297 Chipotle Mexican Grill, Inc. (a) 210,823 889 Cracker Barrel Old Country Store, Inc. 119,579 707 DineEquity, Inc. 75,472 3,111 Domino's Pizza, Inc. 308,145 916 Jack in the Box, Inc. 77,668 3,477 Marriott International, Inc., Class A 259,037 1,310 Marriott Vacations Worldwide Corp. 100,215 645 Panera Bread Co., Class A (a) 110,850 2,244 Papa John's International, Inc. 142,404 1,097 Pinnacle Entertainment, Inc. (a) 23,202 4,114 Royal Caribbean Cruises Ltd. 310,813 4,883 Ruth's Hospitality Group, Inc. 70,901 7,672 Scientific Games Corp., Class A (a) 90,606 2,690 Sonic Corp. 81,426 804 Starbucks Corp. 70,374 3,709 Texas Roadhouse, Inc. 124,585 1,582 Wyndham Worldwide Corp. 132,556 -------------- 2,798,768 -------------- HOUSEHOLD DURABLES -- 3.5% 10,727 D.R. Horton, Inc. 263,026 2,542 Harman International Industries, Inc. 329,519 1,126 Helen of Troy Ltd. (a) 84,698 6,119 Jarden Corp. (a) 293,834 Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 7,958 Leggett & Platt, Inc. $ 339,250 6,054 Lennar Corp., Class A 271,885 1,746 Mohawk Industries, Inc. (a) 288,160 5,342 Newell Rubbermaid, Inc. 196,960 177 NVR, Inc. (a) 221,999 1,266 Ryland Group (The), Inc. 50,830 1,644 Toll Brothers, Inc. (a) 56,915 1,925 Universal Electronics, Inc. (a) 122,699 -------------- 2,519,775 -------------- HOUSEHOLD PRODUCTS -- 0.2% 715 Church & Dwight Co., Inc. 57,858 633 Clorox (The) Co. 67,547 574 WD-40 Co. 47,103 -------------- 172,508 -------------- INDUSTRIAL CONGLOMERATES -- 0.3% 825 3M Co. 133,898 422 Roper Industries, Inc. 65,131 -------------- 199,029 -------------- INSURANCE -- 1.4% 4,827 Allstate (The) Corp. 336,876 4,289 American Equity Investment Life Holding Co. 109,412 1,197 Arthur J. Gallagher & Co. 53,183 1,129 HCI Group, Inc. 52,171 2,370 Marsh & McLennan Cos., Inc. 127,435 3,240 Primerica, Inc. 160,834 494 RLI Corp. 23,174 6,123 Universal Insurance Holdings, Inc. 142,237 -------------- 1,005,322 -------------- INTERNET & CATALOG RETAIL -- 0.8% 2,034 Blue Nile, Inc. (a) 63,217 1,589 Expedia, Inc. 136,543 701 FTD Cos., Inc. (a) 24,009 3,855 HSN, Inc. 298,531 4,995 Nutrisystem, Inc. 89,011 -------------- 611,311 -------------- INTERNET SOFTWARE & SERVICES -- 1.8% 1,048 Akamai Technologies, Inc. (a) 60,946 2,103 comScore, Inc. (a) 87,401 12,508 Dice Holdings, Inc. (a) 103,441 3,949 Digital River, Inc. (a) 100,818 249 Equinix, Inc. 53,998 1,739 Facebook, Inc., Class A (a) 132,007 1,575 j2 Global, Inc. 90,468 1,732 LivePerson, Inc. (a) 18,532 990 LogMeIn, Inc. (a) 47,075 4,022 QuinStreet, Inc. (a) 20,593 6,259 Rackspace Hosting, Inc. (a) 281,405 2,035 Stamps.com, Inc. (a) 92,735 5,363 XO Group, Inc. (a) 88,168 2,685 Yahoo!, Inc. (a) 118,113 -------------- 1,295,700 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ IT SERVICES -- 2.9% 1,519 Accenture PLC, Class A $ 127,642 474 Alliance Data Systems Corp. (a) 136,905 2,440 Broadridge Financial Solutions, Inc. 117,096 633 Cardtronics, Inc. (a) 21,275 2,576 Cognizant Technology Solutions Corp., Class A (a) 139,439 2,181 Fidelity National Information Services, Inc. 136,160 1,911 Fiserv, Inc. (a) 138,605 2,088 Gartner, Inc. (a) 175,851 2,792 Global Payments, Inc. 243,769 1,810 Heartland Payment Systems, Inc. 90,084 618 iGATE Corp. (a) 21,877 1,574 MasterCard, Inc., Class A 129,115 2,283 MAXIMUS, Inc. 127,209 3,994 Total System Services, Inc. 141,268 3,029 VeriFone Systems, Inc. (a) 95,080 1,758 Virtusa Corp. (a) 65,855 776 Visa, Inc., Class A 197,810 -------------- 2,105,040 -------------- LEISURE PRODUCTS -- 0.5% 4,397 Brunswick Corp. 238,669 745 Polaris Industries, Inc. 107,720 -------------- 346,389 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.2% 7,421 Affymetrix, Inc. (a) 81,928 3,388 Cambrex Corp. (a) 75,993 1,771 Charles River Laboratories International, Inc. (a) 122,819 2,170 Covance, Inc. (a) 230,476 581 Mettler-Toledo International, Inc. (a) 176,595 439 PAREXEL International Corp. (a) 26,761 527 Thermo Fisher Scientific, Inc. 65,985 585 Waters Corp. (a) 69,644 -------------- 850,201 -------------- MACHINERY -- 1.7% 845 CLARCOR, Inc. 52,838 1,415 Hillenbrand, Inc. 44,445 697 Illinois Tool Works, Inc. 64,884 1,486 John Bean Technologies Corp. 44,862 3,815 Lydall, Inc. (a) 105,103 2,861 Mueller Industries, Inc. 89,807 3,989 PACCAR, Inc. 239,779 2,010 Pall Corp. 194,487 1,984 Snap-on, Inc. 263,297 1,297 Wabtec Corp. 108,235 -------------- 1,207,737 -------------- MARINE -- 0.2% 3,627 Matson, Inc. 126,038 -------------- See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MEDIA -- 1.5% 884 AMC Networks, Inc., Class A (a) $ 58,963 761 DIRECTV (a) 64,898 1,092 E.W. Scripps (The) Co., Class A (a) 21,545 9,796 Interpublic Group of Cos. (The), Inc. 195,332 8,632 Live Nation Entertainment, Inc. (a) 205,183 1,751 Omnicom Group, Inc. 127,473 2,382 Time Warner, Inc. 185,629 3,532 Twenty-First Century Fox, Inc., Class A 117,121 1,440 Walt Disney (The) Co. 130,982 -------------- 1,107,126 -------------- METALS & MINING -- 0.1% 4,002 Century Aluminum Co. (a) 92,486 -------------- MULTILINE RETAIL -- 2.0% 4,796 Dollar General Corp. (a) 321,620 4,818 Dollar Tree, Inc. (a) 342,560 2,569 Family Dollar Stores, Inc. 195,501 3,094 Macy's, Inc. 197,645 4,271 Nordstrom, Inc. 325,450 3,375 Tuesday Morning Corp. (a) 59,737 -------------- 1,442,513 -------------- MULTI-UTILITIES -- 1.6% 4,356 Integrys Energy Group, Inc. 353,271 4,796 NiSource, Inc. 207,475 1,726 NorthWestern Corp. 99,694 4,875 Vectren Corp. 233,610 5,144 Wisconsin Energy Corp. 286,881 -------------- 1,180,931 -------------- OIL, GAS & CONSUMABLE FUELS -- 0.4% 6,412 Kinder Morgan, Inc. 263,212 1,947 Synergy Resources Corp. (a) 23,812 -------------- 287,024 -------------- PAPER & FOREST PRODUCTS -- 0.6% 3,370 Boise Cascade Co. (a) 136,283 1,425 Clearwater Paper Corp. (a) 105,478 357 Deltic Timber Corp. 22,312 833 KapStone Paper & Packaging Corp. 24,882 1,620 Neenah Paper, Inc. 92,956 2,147 Wausau Paper Corp. 21,814 -------------- 403,725 -------------- PHARMACEUTICALS -- 3.1% 2,073 AbbVie, Inc. 125,106 1,054 Actavis PLC (a) 280,933 1,349 Akorn, Inc. (a) 57,440 1,595 Allergan, Inc. 349,720 1,118 Bristol-Myers Squibb Co. 67,382 4,547 Depomed, Inc. (a) 83,074 SHARES DESCRIPTION VALUE ------------------------------------------------------------ PHARMACEUTICALS (CONTINUED) 5,536 Hospira, Inc. (a) $ 351,148 1,541 Impax Laboratories, Inc. (a) 56,508 2,739 Mallinckrodt PLC (a) 290,307 4,812 Mylan, Inc. (a) 255,758 811 Perrigo Co. PLC 123,061 4,728 Zoetis, Inc. 202,027 -------------- 2,242,464 -------------- PROFESSIONAL SERVICES -- 0.8% 777 Corporate Executive Board (The) Co. 53,240 816 Equifax, Inc. 68,919 296 Exponent, Inc. 23,722 1,471 On Assignment, Inc. (a) 51,676 5,808 Robert Half International, Inc. 337,213 1,134 WageWorks, Inc. (a) 62,415 -------------- 597,185 -------------- REAL ESTATE INVESTMENT TRUSTS -- 10.0% 2,287 Acadia Realty Trust 82,767 785 Agree Realty Corp. 27,193 2,540 Alexandria Real Estate Equities, Inc. 247,701 613 American Assets Trust, Inc. 27,205 4,250 American Campus Communities, Inc. 186,830 1,372 American Tower Corp. 133,016 5,477 Apartment Investment & Management Co., Class A 218,313 4,208 Associated Estates Realty Corp. 104,821 1,660 AvalonBay Communities, Inc. 287,163 2,832 Aviv REIT, Inc. 111,383 1,054 Boston Properties, Inc. 146,295 6,653 Cedar Realty Trust, Inc. 52,958 2,625 Chesapeake Lodging Trust 96,390 1,876 CoreSite Realty Corp. 82,188 1,642 DiamondRock Hospitality Co. 23,858 8,702 Duke Realty Corp. 189,965 2,002 Education Realty Trust, Inc. 69,269 2,222 Equity One, Inc. 60,527 3,776 Equity Residential 293,055 1,313 Essex Property Trust, Inc. 296,804 3,843 Extra Space Storage, Inc. 253,638 422 Federal Realty Investment Trust 60,671 7,233 General Growth Properties, Inc. 218,292 1,210 Geo Group (The) Inc. 52,659 1,499 HCP, Inc. 70,888 4,481 Health Care REIT, Inc. 367,218 1,787 Healthcare Realty Trust, Inc. 53,771 2,545 Highwoods Properties, Inc. 119,615 3,635 Hospitality Properties Trust 118,465 2,230 Inland Real Estate Corp. 25,377 5,263 Iron Mountain, Inc. 209,678 2,545 Kilroy Realty Corp. 188,712 2,625 Kimco Realty Corp. 72,581 5,569 LaSalle Hotel Properties 225,322 Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 2,224 Lexington Realty Trust $ 25,376 1,131 LTC Properties, Inc. 53,067 2,439 Macerich (The) Co. 209,778 1,772 Medical Properties Trust, Inc. 27,236 1,509 Mid-America Apartment Communities, Inc. 119,694 2,862 National Retail Properties, Inc. 122,608 2,884 OMEGA Healthcare Investors, Inc. 126,492 2,081 Pennsylvania Real Estate Investment Trust 49,798 415 Post Properties, Inc. 25,211 357 Public Storage 71,700 3,685 Realty Income Corp. 200,132 2,756 Regency Centers Corp. 188,951 2,908 Retail Opportunity Investments Corp. 51,384 2,412 Sabra Health Care REIT, Inc. 78,872 854 Saul Centers, Inc. 48,755 362 Simon Property Group, Inc. 71,915 1,477 SL Green Realty Corp. 186,102 840 Sovran Self Storage, Inc. 79,590 1,524 Tanger Factory Outlet Centers, Inc. 59,969 3,656 UDR, Inc. 121,599 507 Universal Health Realty Income Trust 27,241 2,838 Ventas, Inc. 226,501 619 Vornado Realty Trust 68,362 1,613 Weingarten Realty Investors 60,455 3,779 Weyerhaeuser Co. 135,477 -------------- 7,210,853 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 9,901 CBRE Group, Inc., Class A (a) 320,199 1,954 Jones Lang LaSalle, Inc. 287,394 -------------- 607,593 -------------- ROAD & RAIL -- 2.3% 2,700 ArcBest Corp. 100,602 5,616 CSX Corp. 187,013 3,616 Heartland Express, Inc. 92,895 2,675 J.B. Hunt Transport Services, Inc. 212,957 2,901 Knight Transportation, Inc. 82,649 3,107 Landstar System, Inc. 199,096 3,774 Old Dominion Freight Line, Inc. (a) 264,633 1,764 Saia, Inc. (a) 74,282 1,708 Union Pacific Corp. 200,195 9,405 Werner Enterprises, Inc. 268,325 -------------- 1,682,647 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.6% 10,886 Applied Materials, Inc. $ 248,636 3,371 Avago Technologies Ltd. 346,809 3,130 Broadcom Corp., Class A 132,822 4,038 CEVA, Inc. (a) 73,936 12,310 Cypress Semiconductor Corp. 181,326 4,492 DSP Group, Inc. (a) 49,367 11,498 Integrated Device Technology, Inc. (a) 210,298 3,738 Intel Corp. 123,504 3,419 Lam Research Corp. 261,348 5,048 Micrel, Inc. 71,025 5,811 Micron Technology, Inc. (a) 170,059 1,721 Microsemi Corp. (a) 47,947 2,001 MKS Instruments, Inc. 70,055 1,473 Monolithic Power Systems, Inc. 69,953 10,148 NVIDIA Corp. 194,892 7,213 Pericom Semiconductor Corp. (a) 105,382 4,415 Qorvo, Inc. (a) 326,136 4,029 Skyworks Solutions, Inc. 334,609 2,888 SunEdison, Inc. (a) 54,092 3,501 Tessera Technologies, Inc. 129,817 2,537 Texas Instruments, Inc. 135,603 -------------- 3,337,616 -------------- SOFTWARE -- 3.6% 2,793 ACI Worldwide, Inc. (a) 51,587 1,099 Autodesk, Inc. (a) 59,351 1,129 Blackbaud, Inc. 49,349 5,940 Cadence Design Systems, Inc. (a) 106,861 7,213 Electronic Arts, Inc. (a) 395,705 2,859 EPIQ Systems, Inc. 49,889 801 FactSet Research Systems, Inc. 115,016 2,431 Fair Isaac Corp. 173,452 9,556 Fortinet, Inc. (a) 285,677 716 Intuit, Inc. 62,163 2,398 Manhattan Associates, Inc. (a) 107,047 1,421 Microsoft Corp. 57,408 451 MicroStrategy, Inc., Class A (a) 72,882 3,924 Red Hat, Inc. (a) 250,312 5,880 SolarWinds, Inc. (a) 283,122 1,167 Synchronoss Technologies, Inc. (a) 49,562 4,467 Take-Two Interactive Software, Inc. (a) 132,759 1,606 Tyler Technologies, Inc. (a) 170,364 4,438 VASCO Data Security International, Inc. (a) 95,417 -------------- 2,567,923 -------------- SPECIALTY RETAIL -- 7.0% 1,839 Advance Auto Parts, Inc. 292,401 4,491 AutoNation, Inc. (a) 267,753 438 AutoZone, Inc. (a) 261,469 2,278 Brown Shoe Co., Inc. 64,672 5,093 CarMax, Inc. (a) 316,275 See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 2,315 Cato (The) Corp., Class A $ 98,156 3,129 Foot Locker, Inc. 166,525 2,924 Francesca's Holdings Corp. (a) 46,375 1,397 Group 1 Automotive, Inc. 112,305 2,584 Home Depot (The), Inc. 269,821 3,918 L Brands, Inc. 331,580 1,127 Lithia Motors, Inc., Class A 95,457 4,929 Lowe's Cos., Inc. 333,989 4,871 MarineMax, Inc. (a) 124,259 845 Monro Muffler Brake, Inc. 48,283 1,760 O'Reilly Automotive, Inc. (a) 329,754 1,298 Outerwall, Inc. (a) 80,580 2,503 PetSmart, Inc. 204,508 3,597 Ross Stores, Inc. 329,881 4,632 Select Comfort Corp. (a) 138,219 2,227 Signet Jewelers Ltd. 269,712 618 Tiffany & Co. 53,544 2,967 TJX (The) Cos., Inc. 195,644 3,442 Tractor Supply Co. 279,387 2,323 Williams-Sonoma, Inc. 181,775 3,241 Zumiez, Inc. (a) 120,857 -------------- 5,013,181 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.1% 1,843 Apple, Inc. 215,926 3,060 Seagate Technology PLC 172,706 3,590 Super Micro Computer, Inc. (a) 131,286 2,451 Western Digital Corp. 238,311 -------------- 758,229 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.9% 2,581 Carter's, Inc. 210,326 619 Deckers Outdoor Corp. (a) 40,885 1,240 G-III Apparel Group Ltd. (a) 120,528 1,575 Hanesbrands, Inc. 175,423 2,116 NIKE, Inc., Class B 195,201 733 Ralph Lauren Corp. 122,330 1,768 Skechers U.S.A., Inc., Class A (a) 106,699 2,996 Under Armour, Inc., Class A (a) 215,952 2,716 VF Corp. 188,409 828 Wolverine World Wide, Inc. 23,308 -------------- 1,399,061 -------------- TOBACCO -- 0.1% 1,339 Altria Group, Inc. 71,101 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.1% 1,125 Aceto Corp. 21,825 647 United Rentals, Inc. (a) 53,604 -------------- 75,429 -------------- WATER UTILITIES -- 0.1% 1,297 American States Water Co. 51,413 -------------- TOTAL COMMON STOCKS -- 100.0% 71,966,981 (Cost $64,714,753) SHARES DESCRIPTION VALUE ------------------------------------------------------------ RIGHTS -- 0.0% HEALTH CARE PROVIDERS & SERVICES -- 0.0% 95 Providence Service (The) Corp., expiring 03/05/15 (a) (b) $ 0 (Cost $0) -------------- TOTAL INVESTMENTS -- 100.0% 71,966,981 (Cost $64,714,753) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 13,240 -------------- NET ASSETS -- 100.0% $ 71,980,221 ============== (a) Non-income producing security. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with provisions of the Investment Company Act of 1940, as amended. At January 31, 2015, securities noted as such are valued at $0, or 0.0% of net assets. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,978,531 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $726,303. Page 74 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 71,966,981 $ -- $ -- Rights* -- --** -- ---------------------------------------- Total Investments $ 71,966,981 $ --** $ -- ======================================== * See Portfolio of Investments for industry breakout. ** Investment is valued at $0. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. See Notes to Financial Statements Page 75 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 5.3% 7,499 B/E Aerospace, Inc. (a) $ 437,417 5,444 Esterline Technologies Corp. (a) 610,218 34,065 Exelis, Inc. 582,852 18,096 KLX, Inc. (a) 711,354 6,421 Orbital ATK, Inc. 836,720 11,105 Triumph Group, Inc. 633,651 -------------- 3,812,212 -------------- AUTOMOBILES -- 0.6% 7,787 Thor Industries, Inc. 438,797 -------------- BANKS -- 4.2% 16,027 Associated Banc-Corp. 269,414 6,442 BancorpSouth, Inc. 127,874 5,668 Cathay General Bancorp 135,408 10,679 First Horizon National Corp. 138,720 15,807 FirstMerit Corp. 258,998 24,157 Fulton Financial Corp. 269,350 9,725 Hancock Holding Co. 253,920 16,394 International Bancshares Corp. 369,029 5,393 Prosperity Bancshares, Inc. 246,945 27,381 TCF Financial Corp. 402,501 12,167 Trustmark Corp. 259,887 14,936 Valley National Bancorp 135,619 4,458 Webster Financial Corp. 136,103 -------------- 3,003,768 -------------- CAPITAL MARKETS -- 0.6% 3,543 Eaton Vance Corp. 142,606 5,993 Waddell & Reed Financial, Inc., Class A 267,947 -------------- 410,553 -------------- CHEMICALS -- 2.6% 9,932 Albemarle Corp. 479,318 17,019 Cabot Corp. 721,776 26,226 Olin Corp. 657,486 -------------- 1,858,580 -------------- COMMERCIAL SERVICES & SUPPLIES -- 0.6% 8,630 R.R. Donnelley & Sons Co. 142,136 6,788 Waste Connections, Inc. 293,377 -------------- 435,513 -------------- COMMUNICATIONS EQUIPMENT -- 0.3% 5,632 Plantronics, Inc. 258,115 -------------- CONSTRUCTION & ENGINEERING -- 0.7% 19,663 AECOM (a) 499,833 -------------- CONTAINERS & PACKAGING -- 3.0% 4,467 AptarGroup, Inc. 281,912 6,605 Bemis Co., Inc. 292,602 9,212 Greif, Inc., Class A 351,898 9,793 Rock-Tenn Co., Class A 635,566 2,705 Silgan Holdings, Inc. 139,064 9,956 Sonoco Products Co. 440,055 -------------- 2,141,097 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ DIVERSIFIED CONSUMER SERVICES -- 2.3% 12,755 Apollo Education Group, Inc. (a) $ 322,191 12,580 DeVry Education Group, Inc. 533,518 865 Graham Holdings Co., Class B 809,052 -------------- 1,664,761 -------------- ELECTRIC UTILITIES -- 3.3% 5,475 Cleco Corp. 297,621 21,020 Great Plains Energy, Inc. 621,562 4,331 Hawaiian Electric Industries, Inc. 148,553 12,262 OGE Energy Corp. 431,377 14,684 PNM Resources, Inc. 447,862 10,550 Westar Energy, Inc. 450,696 -------------- 2,397,671 -------------- ELECTRICAL EQUIPMENT -- 0.8% 2,795 Hubbell, Inc., Class B 296,382 3,970 Regal-Beloit Corp. 273,334 -------------- 569,716 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.1% 12,894 Arrow Electronics, Inc. (a) 709,686 17,351 Avnet, Inc. 722,149 15,741 Ingram Micro, Inc., Class A (a) 396,358 1,935 IPG Photonics Corp. (a) 144,428 6,644 Jabil Circuit, Inc. 136,933 8,841 Keysight Technologies, Inc. (a) 295,201 9,445 Tech Data Corp. (a) 539,310 52,754 Vishay Intertechnology, Inc. 718,509 -------------- 3,662,574 -------------- ENERGY EQUIPMENT & SERVICES -- 9.7% 26,311 Atwood Oceanics, Inc. 751,968 18,638 CARBO Ceramics, Inc. (b) 610,954 7,783 Dril-Quip, Inc. (a) 577,732 34,399 Helix Energy Solutions Group, Inc. (a) 645,669 10,154 Oceaneering International, Inc. 531,664 12,212 Oil States International, Inc. (a) 501,547 44,994 Patterson-UTI Energy, Inc. 772,097 32,009 Rowan Cos. PLC, Class A 676,030 29,636 Superior Energy Services, Inc. 592,720 23,032 Tidewater, Inc. 673,916 21,890 Unit Corp. (a) 651,884 -------------- 6,986,181 -------------- FOOD PRODUCTS -- 1.0% 15,560 Flowers Foods, Inc. 304,354 5,129 Ingredion, Inc. 413,602 -------------- 717,956 -------------- GAS UTILITIES -- 2.5% 7,805 Atmos Energy Corp. 444,183 6,258 National Fuel Gas Co. 396,945 14,488 ONE Gas, Inc. 640,225 11,811 Questar Corp. 306,495 -------------- 1,787,848 -------------- Page 76 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES -- 0.4% 6,567 Halyard Health, Inc. (a) $ 292,691 -------------- HEALTH CARE PROVIDERS & SERVICES -- 0.3% 5,537 Community Health Systems, Inc. (a) 260,627 -------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 17,309 International Game Technology 292,868 13,747 International Speedway Corp., Class A 399,900 10,547 Life Time Fitness, Inc. (a) 576,605 16,061 Wendy's (The) Co. 169,283 -------------- 1,438,656 -------------- HOUSEHOLD DURABLES -- 0.6% 11,280 M.D.C. Holdings, Inc. (b) 282,000 2,302 Tupperware Brands Corp. 155,638 -------------- 437,638 -------------- INDUSTRIAL CONGLOMERATES -- 0.2% 1,607 Carlisle Cos., Inc. 144,116 -------------- INSURANCE -- 9.3% 1,611 Alleghany Corp. (a) 712,207 7,165 American Financial Group, Inc. 415,857 17,054 Aspen Insurance Holdings Ltd. 738,779 9,073 Brown & Brown, Inc. 279,902 4,383 Everest Re Group, Ltd. 751,158 8,808 First American Financial Corp. 299,648 6,100 Hanover Insurance Group (The), Inc. 420,900 11,158 HCC Insurance Holdings, Inc. 595,168 4,016 Kemper Corp. 140,199 7,678 Mercury General Corp. 438,798 40,818 Old Republic International Corp. 573,085 4,965 Reinsurance Group of America, Inc. 411,152 6,228 StanCorp Financial Group, Inc. 386,385 11,650 W. R. Berkley Corp. 570,733 -------------- 6,733,971 -------------- INTERNET SOFTWARE & SERVICES -- 0.6% 9,423 AOL, Inc. (a) 407,545 -------------- IT SERVICES -- 2.8% 14,658 Convergys Corp. 280,847 7,929 DST Systems, Inc. 766,734 2,334 Jack Henry & Associates, Inc. 143,238 26,851 NeuStar, Inc., Class A (a) (b) 705,913 2,928 Science Applications International Corp. 142,828 -------------- 2,039,560 -------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 1,203 Bio-Rad Laboratories, Inc., Class A (a) 137,707 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ MACHINERY -- 6.4% 16,514 AGCO Corp. $ 715,717 2,470 Crane Co. 150,546 3,755 Donaldson Co., Inc. 137,283 1,863 IDEX Corp. 134,788 16,686 Kennametal, Inc. 524,274 2,099 Lincoln Electric Holdings, Inc. 142,543 12,274 Oshkosh Corp. 525,941 8,688 SPX Corp. 726,056 26,773 Terex Corp. 601,857 6,996 Timken (The) Co. 265,918 3,426 Valmont Industries, Inc. 411,531 6,065 Woodward, Inc. 270,560 -------------- 4,607,014 -------------- MARINE -- 0.7% 7,396 Kirby Corp. (a) 536,136 -------------- MEDIA -- 0.6% 2,448 John Wiley & Sons, Inc., Class A 151,678 2,669 Meredith Corp. 138,948 5,893 Time, Inc. 147,561 -------------- 438,187 -------------- METALS & MINING -- 5.7% 8,834 Carpenter Technology Corp. 335,162 36,658 Commercial Metals Co. 491,950 5,010 Compass Minerals International, Inc. 437,874 12,183 Reliance Steel & Aluminum Co. 638,024 30,251 Steel Dynamics, Inc. 515,477 20,158 TimkenSteel Corp. 544,266 22,333 United States Steel Corp. (b) 545,818 19,846 Worthington Industries, Inc. 593,991 -------------- 4,102,562 -------------- MULTILINE RETAIL -- 0.7% 10,872 Big Lots, Inc. 499,134 -------------- MULTI-UTILITIES -- 2.2% 6,551 Alliant Energy Corp. 449,464 8,202 Black Hills Corp. 411,412 31,764 MDU Resources Group, Inc. 718,184 -------------- 1,579,060 -------------- OIL, GAS & CONSUMABLE FUELS -- 7.1% 135,473 California Resources Corp. (a) 693,622 6,823 Energen Corp. 432,715 14,307 Gulfport Energy Corp. (a) 550,676 19,916 HollyFrontier Corp. 715,383 33,459 Rosetta Resources, Inc. (a) 571,145 19,348 SM Energy Co. 731,741 15,807 Western Refining, Inc. 586,914 6,362 World Fuel Services Corp. 311,547 51,347 WPX Energy, Inc. (a) 547,359 -------------- 5,141,102 -------------- PAPER & FOREST PRODUCTS -- 1.0% 18,560 Domtar Corp. 710,848 -------------- See Notes to Financial Statements Page 77 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 1.3% 3,755 FTI Consulting, Inc. (a) $ 152,716 8,760 ManpowerGroup, Inc. 638,429 1,281 Towers Watson & Co., Class A 151,798 -------------- 942,943 -------------- REAL ESTATE INVESTMENT TRUSTS -- 1.5% 8,217 Corrections Corp. of America 323,092 3,464 Potlatch Corp. 138,075 5,191 Rayonier, Inc. 152,356 3,907 Taubman Centers, Inc. 320,179 8,422 WP GLIMCHER, Inc. 148,901 -------------- 1,082,603 -------------- ROAD & RAIL -- 0.9% 8,847 Con-way, Inc. 362,462 3,321 Genesee & Wyoming, Inc., Class A (a) 273,816 -------------- 636,278 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.2% 9,267 Cree, Inc. (a) (b) 327,681 30,175 Teradyne, Inc. 546,168 -------------- 873,849 -------------- SOFTWARE -- 1.0% 19,848 Mentor Graphics Corp. 456,703 6,869 Synopsys, Inc. (a) 295,298 -------------- 752,001 -------------- SPECIALTY RETAIL -- 6.5% 19,535 Aaron's, Inc. 618,478 20,851 Abercrombie & Fitch Co., Class A 532,117 11,926 ANN, INC. (a) 394,751 59,431 Ascena Retail Group, Inc. (a) 687,022 2,751 Cabela's, Inc. (a) 151,167 26,840 Chico's FAS, Inc. 447,691 8,763 Dick's Sporting Goods, Inc. 452,609 35,411 Guess?, Inc. 665,019 2,106 Murphy USA, Inc. (a) 147,020 16,442 Rent-A-Center, Inc. 563,632 -------------- 4,659,506 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.5% 18,087 Lexmark International, Inc., Class A 721,852 14,931 NCR Corp. (a) 379,248 -------------- 1,101,100 -------------- THRIFTS & MORTGAGE FINANCE -- 0.7% 10,856 Astoria Financial Corp. 132,769 9,064 New York Community Bancorp, Inc. 140,039 13,480 Washington Federal, Inc. 267,713 -------------- 540,521 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ TRADING COMPANIES & DISTRIBUTORS -- 1.2% 7,561 GATX Corp. $ 432,111 1,785 MSC Industrial Direct Co., Inc., Class A 134,000 11,605 NOW, Inc. (a) (b) 289,545 -------------- 855,656 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 23,650 Telephone & Data Systems, Inc. 549,863 -------------- TOTAL COMMON STOCKS -- 100.0% 72,146,049 (Cost $76,821,193) -------------- MONEY MARKET FUNDS -- 0.7% 488,691 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 488,691 (Cost $488,691) -------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 2.2% $ 500,362 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $500,364. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $513,084. (d) 500,362 1,070,159 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $1,070,163. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $1,094,822. (d) 1,070,159 -------------- TOTAL REPURCHASE AGREEMENTS -- 2.2% 1,570,521 (Cost $1,570,521) -------------- TOTAL INVESTMENTS -- 102.9% 74,205,261 (Cost $78,880,405) (e) NET OTHER ASSETS AND LIABILITIES -- (2.9)% (2,108,782) -------------- NET ASSETS -- 100.0% $ 72,096,479 ============== Page 78 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $2,021,373 and the total value of the collateral held by the Fund is $2,059,212. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,159,711 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $6,834,855. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 72,146,049 $ -- $ -- Money Market Funds 488,691 -- -- Repurchase Agreements -- 1,570,521 -- ---------------------------------------- Total Investments $ 72,634,740 $ 1,570,521 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. See Notes to Financial Statements Page 79 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (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) $ 2,021,373 Non-cash Collateral(2) (2,021,373) -------------- Net Amount $ -- ============== (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) At January 31, 2015, 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) $ 1,570,521 Non-cash Collateral(4) (1,570,521) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 80 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.1% 6,700 Huntington Ingalls Industries, Inc. $ 781,220 -------------- AIRLINES -- 3.0% 16,391 Alaska Air Group, Inc. 1,112,457 61,761 JetBlue Airways Corp. (a) 1,036,967 -------------- 2,149,424 -------------- AUTO COMPONENTS -- 1.0% 41,710 Gentex Corp. 696,140 -------------- BANKS -- 1.0% 9,732 East West Bancorp, Inc. 352,104 4,144 PacWest Bancorp 177,177 1,495 Signature Bank (a) 175,109 -------------- 704,390 -------------- BIOTECHNOLOGY -- 0.6% 2,909 United Therapeutics Corp. (a) 410,547 -------------- BUILDING PRODUCTS -- 2.2% 10,419 A.O. Smith Corp. 618,993 8,322 Fortune Brands Home & Security, Inc. 372,742 6,182 Lennox International, Inc. 607,753 -------------- 1,599,488 -------------- CAPITAL MARKETS -- 1.9% 36,437 Janus Capital Group, Inc. 639,105 6,576 Raymond James Financial, Inc. 346,029 9,409 SEI Investments Co. 377,960 -------------- 1,363,094 -------------- CHEMICALS -- 4.1% 3,146 Ashland, Inc. 372,864 10,849 Minerals Technologies, Inc. 708,765 4,969 PolyOne Corp. 176,847 7,429 RPM International, Inc. 355,552 3,023 Scotts Miracle-Gro (The) Co., Class A 191,749 6,244 Sensient Technologies Corp. 380,884 8,713 Valspar (The) Corp. 726,925 -------------- 2,913,586 -------------- COMMERCIAL SERVICES & SUPPLIES -- 2.1% 6,052 Deluxe Corp. 392,956 19,184 HNI Corp. 944,812 5,691 Rollins, Inc. 188,088 -------------- 1,525,856 -------------- COMMUNICATIONS EQUIPMENT -- 2.0% 19,467 ARRIS Group, Inc. (a) 510,425 18,517 InterDigital, Inc. 925,479 -------------- 1,435,904 -------------- CONTAINERS & PACKAGING -- 1.3% 12,550 Packaging Corp. of America 951,918 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ DISTRIBUTORS -- 0.2% 6,699 LKQ Corp. (a) $ 172,901 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 25,891 Service Corp. International 585,913 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 5,940 CBOE Holdings, Inc. 382,952 -------------- ELECTRIC UTILITIES -- 1.1% 11,384 IDACORP, Inc. 773,087 -------------- ELECTRICAL EQUIPMENT -- 0.9% 4,196 Acuity Brands, Inc. 628,938 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.1% 7,457 Belden, Inc. 618,484 2,433 Zebra Technologies Corp., Class A (a) 203,058 -------------- 821,542 -------------- ENERGY EQUIPMENT & SERVICES -- 0.3% 2,303 Dresser-Rand Group, Inc. (a) 184,424 -------------- FOOD & STAPLES RETAILING -- 1.1% 77,679 SUPERVALU, Inc. (a) 756,593 -------------- FOOD PRODUCTS -- 4.1% 16,805 Hain Celestial Group (The), Inc. (a) 886,800 14,030 Post Holdings, Inc. (a) 662,917 8,810 TreeHouse Foods, Inc. (a) 799,067 16,797 WhiteWave Foods (The) Co. (a) 553,797 -------------- 2,902,581 -------------- GAS UTILITIES -- 1.3% 25,791 UGI Corp. 954,009 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.4% 2,324 Cooper (The) Cos., Inc. 366,379 4,129 Hill-Rom Holdings, Inc. 197,201 5,082 IDEXX Laboratories, Inc. (a) 805,091 3,360 ResMed, Inc. (b) 209,899 2,156 Sirona Dental Systems, Inc. (a) 194,514 15,105 STERIS Corp. 985,148 3,281 Teleflex, Inc. 359,466 -------------- 3,117,698 -------------- HEALTH CARE PROVIDERS & SERVICES -- 7.4% 9,432 Centene Corp. (a) 1,029,597 5,534 Henry Schein, Inc. (a) 764,080 13,622 LifePoint Hospitals, Inc. (a) 888,699 11,398 MEDNAX, Inc. (a) 773,810 10,332 Omnicare, Inc. 774,693 20,085 VCA, Inc. (a) 1,046,429 -------------- 5,277,308 -------------- See Notes to Financial Statements Page 81 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 3.3% 12,838 Brinker International, Inc. $ 750,124 3,744 Cheesecake Factory (The), Inc. 196,598 10,402 Domino's Pizza, Inc. 1,030,318 2,155 Panera Bread Co., Class A (a) 370,358 -------------- 2,347,398 -------------- HOUSEHOLD DURABLES -- 2.7% 20,458 Jarden Corp. (a) 982,393 591 NVR, Inc. (a) 741,250 5,497 Toll Brothers, Inc. (a) 190,306 -------------- 1,913,949 -------------- HOUSEHOLD PRODUCTS -- 0.3% 2,390 Church & Dwight Co., Inc. 193,399 -------------- INSURANCE -- 1.0% 4,001 Arthur J. Gallagher & Co. 177,764 10,832 Primerica, Inc. 537,701 -------------- 715,465 -------------- INTERNET & CATALOG RETAIL -- 1.4% 12,889 HSN, Inc. 998,124 -------------- INTERNET SOFTWARE & SERVICES -- 1.6% 831 Equinix, Inc. 180,211 20,926 Rackspace Hosting, Inc. (a) 940,833 -------------- 1,121,044 -------------- IT SERVICES -- 2.9% 8,158 Broadridge Financial Solutions, Inc. 391,503 6,979 Gartner, Inc. (a) 587,771 9,333 Global Payments, Inc. 814,864 10,128 VeriFone Systems, Inc. (a) 317,918 -------------- 2,112,056 -------------- LEISURE PRODUCTS -- 1.6% 14,699 Brunswick Corp. 797,862 2,491 Polaris Industries, Inc. 360,173 -------------- 1,158,035 -------------- LIFE SCIENCES TOOLS & SERVICES -- 2.5% 5,920 Charles River Laboratories International, Inc. (a) 410,552 7,256 Covance, Inc. (a) 770,660 1,943 Mettler-Toledo International, Inc. (a) 590,575 -------------- 1,771,787 -------------- MACHINERY -- 0.7% 2,827 CLARCOR, Inc. 176,773 4,336 Wabtec Corp. 361,839 -------------- 538,612 -------------- MEDIA -- 1.2% 2,954 AMC Networks, Inc., Class A (a) 197,032 28,858 Live Nation Entertainment, Inc. (a) 685,955 -------------- 882,987 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ MULTI-UTILITIES -- 1.1% 16,299 Vectren Corp. $ 781,048 -------------- PROFESSIONAL SERVICES -- 0.2% 2,597 Corporate Executive Board (The) Co. 177,946 -------------- REAL ESTATE INVESTMENT TRUSTS -- 13.3% 8,491 Alexandria Real Estate Equities, Inc. 828,042 14,210 American Campus Communities, Inc. 624,672 29,095 Duke Realty Corp. 635,144 7,428 Equity One, Inc. 202,339 12,849 Extra Space Storage, Inc. 848,034 1,411 Federal Realty Investment Trust 202,860 8,508 Highwoods Properties, Inc. 399,876 12,153 Hospitality Properties Trust 396,066 8,509 Kilroy Realty Corp. 630,942 18,618 LaSalle Hotel Properties 753,284 5,045 Mid-America Apartment Communities, Inc. 400,170 9,569 National Retail Properties, Inc. 409,936 9,643 OMEGA Healthcare Investors, Inc. 422,942 12,319 Realty Income Corp. 669,045 9,215 Regency Centers Corp. 631,780 4,938 SL Green Realty Corp. 622,188 5,097 Tanger Factory Outlet Centers, Inc. 200,567 12,224 UDR, Inc. 406,570 5,394 Weingarten Realty Investors 202,167 -------------- 9,486,624 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.3% 6,533 Jones Lang LaSalle, Inc. 960,874 -------------- ROAD & RAIL -- 4.4% 8,943 J.B. Hunt Transport Services, Inc. 711,952 10,389 Landstar System, Inc. 665,727 12,616 Old Dominion Freight Line, Inc. (a) 884,634 31,446 Werner Enterprises, Inc. 897,155 -------------- 3,159,468 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.2% 41,157 Cypress Semiconductor Corp. (b) 606,243 38,443 Integrated Device Technology, Inc. (a) 703,122 14,761 Qorvo, Inc. (a) 1,090,395 13,472 Skyworks Solutions, Inc. 1,118,850 9,655 SunEdison, Inc. (a) (b) 180,838 -------------- 3,699,448 -------------- SOFTWARE -- 5.5% 9,339 ACI Worldwide, Inc. (a) 172,491 19,860 Cadence Design Systems, Inc. (a) 357,281 Page 82 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 2,677 FactSet Research Systems, Inc. $ 384,390 8,129 Fair Isaac Corp. 580,004 31,948 Fortinet, Inc. (a) 955,086 19,658 SolarWinds, Inc. (a) 946,533 5,370 Tyler Technologies, Inc. (a) 569,650 -------------- 3,965,435 -------------- SPECIALTY RETAIL -- 4.3% 6,150 Advance Auto Parts, Inc. 977,850 10,461 Foot Locker, Inc. 556,734 7,445 Signet Jewelers Ltd. 901,664 7,766 Williams-Sonoma, Inc. 607,690 -------------- 3,043,938 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.0% 8,630 Carter's, Inc. 703,259 2,069 Deckers Outdoor Corp. (a) 136,657 5,265 Hanesbrands, Inc. 586,416 -------------- 1,426,332 -------------- TOTAL COMMON STOCKS -- 100.0% 71,543,482 (Cost $66,433,166) -------------- MONEY MARKET FUNDS -- 0.2% 169,465 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 169,465 (Cost $169,465) -------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 0.8% $ 173,512 JPMorgan Chase & Co., 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $173,513. Collateralized by U.S. Treasury Notes, interest rates of 1.375% to 1.500%, due 07/31/18 to 05/31/19. The value of the collateral including accrued interest is $177,924. (d) 173,512 PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS (CONTINUED) $ 371,101 RBC Capital Markets LLC, 0.05% (c), dated 01/31/15, due 02/02/15, with a maturity value of $371,103. Collateralized by U.S. Treasury Notes, interest rates of 0.250% to 3.125%, due 05/15/16 to 05/15/19. The value of the collateral including accrued interest is $379,654. (d) $ 371,101 -------------- TOTAL REPURCHASE AGREEMENTS -- 0.8% 544,613 (Cost $544,613) -------------- TOTAL INVESTMENTS -- 101.0% 72,257,560 (Cost $67,147,244) (e) NET OTHER ASSETS AND LIABILITIES -- (1.0)% (706,548) -------------- NET ASSETS -- 100.0% $ 71,551,012 ============== (a) Non-income producing security. (b) All or a portion of this security is on loan. (See Note 2E - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $676,100 and the total value of the collateral held by the Fund is $714,078. (c) Interest rate shown reflects yield as of January 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,730,578 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $620,262. See Notes to Financial Statements Page 83 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 71,543,482 $ -- $ -- Money Market Funds 169,465 -- -- Repurchase Agreements -- 544,613 -- ---------------------------------------- Total Investments $ 71,712,947 $ 544,613 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. ----------------------------- 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) $ 676,100 Non-cash Collateral(2) (676,100) -------------- Net Amount $ -- ============== (1) The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. (2) At January 31, 2015, 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) $ 544,613 Non-cash Collateral(4) (544,613) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. Page 84 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.3% 19,038 AAR Corp. $ 545,629 6,028 Cubic Corp. 315,204 7,413 Engility Holdings, Inc. (a) 295,779 2,858 Moog, Inc., Class A (a) 200,917 9,112 National Presto Industries, Inc. 574,056 7,867 Orbital Sciences Corp. (a) 220,984 3,088 Teledyne Technologies, Inc. (a) 293,484 -------------- 2,446,053 -------------- AIR FREIGHT & LOGISTICS -- 0.7% 10,727 Atlas Air Worldwide Holdings, Inc. (a) 484,860 -------------- AIRLINES -- 0.5% 31,859 SkyWest, Inc. 399,830 -------------- AUTO COMPONENTS -- 1.2% 2,149 Dorman Products, Inc. (a) 98,274 4,142 Drew Industries, Inc. (a) 208,260 8,324 Standard Motor Products, Inc. 303,493 16,034 Superior Industries International, Inc. 292,620 -------------- 902,647 -------------- BANKS -- 3.9% 4,917 Banner Corp. 198,548 14,710 BBCN Bancorp, Inc. 190,495 2,228 City Holding Co. 94,311 2,720 Community Bank System, Inc. 91,474 7,785 F.N.B. Corp. 93,420 54,057 First BanCorp (a) 296,773 22,944 First Commonwealth Financial Corp. 181,028 4,755 Hanmi Financial Corp. 94,434 20,099 National Penn Bancshares, Inc. 194,960 8,053 NBT Bancorp, Inc. 185,300 25,410 OFG Bancorp 409,101 14,216 Old National Bancorp 190,637 3,478 S&T Bancorp, Inc. 95,610 15,751 Susquehanna Bancshares, Inc. 198,620 1,875 Tompkins Financial Corp. 96,131 10,236 Wilshire Bancorp, Inc. 93,148 4,524 Wintrust Financial Corp. 196,658 -------------- 2,900,648 -------------- BUILDING PRODUCTS -- 1.5% 19,516 Gibraltar Industries, Inc. (a) 295,472 15,905 Griffon Corp. 233,645 5,522 Quanex Building Products Corp. 103,979 2,997 Simpson Manufacturing Co., Inc. 97,822 7,953 Universal Forest Products, Inc. 398,127 -------------- 1,129,045 -------------- CAPITAL MARKETS -- 1.4% 31,764 Calamos Asset Management, Inc., Class A 398,638 SHARES DESCRIPTION VALUE ------------------------------------------------------------ CAPITAL MARKETS (CONTINUED) 15,241 Investment Technology Group, Inc. (a) $ 316,251 2,032 Stifel Financial Corp. (a) 95,809 1,861 Virtus Investment Partners, Inc. 252,407 -------------- 1,063,105 -------------- CHEMICALS -- 5.3% 2,558 A. Schulman, Inc. 89,146 15,270 Calgon Carbon Corp. (a) 301,277 40,619 FutureFuel Corp. 446,403 4,882 Hawkins, Inc. 188,006 5,429 Innophos Holdings, Inc. 323,243 7,471 Intrepid Potash, Inc. (a) 99,439 20,351 Kraton Performance Polymers, Inc. (a) 393,588 16,821 LSB Industries, Inc. (a) 525,488 14,198 OM Group, Inc. 397,544 9,487 Rayonier Advanced Materials, Inc. 162,417 13,195 Stepan Co. 506,688 14,109 Tredegar Corp. 301,792 13,963 Zep, Inc. 223,687 -------------- 3,958,718 -------------- COMMERCIAL SERVICES & SUPPLIES -- 2.7% 11,076 ABM Industries, Inc. 319,764 4,249 Brink's (The) Co. 95,220 15,846 Tetra Tech, Inc. 364,933 2,612 UniFirst Corp. 303,332 10,035 United Stationers, Inc. 404,511 19,837 Viad Corp. 535,202 -------------- 2,022,962 -------------- COMMUNICATIONS EQUIPMENT -- 1.3% 4,757 ADTRAN, Inc. 105,177 13,423 Comtech Telecommunications Corp. 443,496 11,891 NETGEAR, Inc. (a) 401,559 -------------- 950,232 -------------- CONSTRUCTION & ENGINEERING -- 1.1% 17,051 Aegion Corp. (a) 261,221 7,133 EMCOR Group, Inc. 287,888 28,716 Orion Marine Group, Inc. (a) 262,177 -------------- 811,286 -------------- CONSUMER FINANCE -- 2.7% 23,380 Cash America International, Inc. 486,304 7,147 Encore Capital Group, Inc. (a) 266,011 45,010 EZCORP, Inc., Class A (a) 464,053 1,863 First Cash Financial Services, Inc. (a) 92,628 15,487 Green Dot Corp., Class A (a) 236,177 6,657 World Acceptance Corp. (a) 488,957 -------------- 2,034,130 -------------- See Notes to Financial Statements Page 85 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES -- 0.5% 8,606 American Public Education, Inc. (a) $ 288,903 10,539 Universal Technical Institute, Inc. 86,104 -------------- 375,007 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 6,259 Atlantic Tele-Network, Inc. 415,785 6,165 Lumos Networks Corp. 98,825 -------------- 514,610 -------------- ELECTRIC UTILITIES -- 1.3% 5,755 ALLETE, Inc. 326,021 7,921 El Paso Electric Co. 317,315 7,288 UIL Holdings Corp. 335,248 -------------- 978,584 -------------- ELECTRICAL EQUIPMENT -- 1.1% 11,334 Encore Wire Corp. 347,160 5,141 EnerSys 300,132 2,763 Franklin Electric Co., Inc. 94,522 2,113 Powell Industries, Inc. 82,428 -------------- 824,242 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.9% 2,392 Anixter International, Inc. (a) 180,261 20,788 Benchmark Electronics, Inc. (a) 503,693 3,484 Coherent, Inc. (a) 215,590 11,864 CTS Corp. 189,824 8,289 Daktronics, Inc. 102,618 29,812 Fabrinet (a) 486,830 38,744 II-VI, Inc. (a) 666,009 16,341 Insight Enterprises, Inc. (a) 386,791 2,189 Littelfuse, Inc. 216,142 16,605 Newport Corp. (a) 307,524 10,267 Plexus Corp. (a) 389,017 3,604 Rofin-Sinar Technologies, Inc. (a) 97,020 22,476 Sanmina Corp. (a) 476,042 10,535 ScanSource, Inc. (a) 363,247 2,706 SYNNEX Corp. 200,758 56,187 TTM Technologies, Inc. (a) 390,500 -------------- 5,171,866 -------------- ENERGY EQUIPMENT & SERVICES -- 8.8% 60,354 Basic Energy Services, Inc. (a) 354,881 6,431 Bristow Group, Inc. 358,271 40,035 C&J Energy Services, Inc. (a) 412,360 25,005 Era Group, Inc. (a) 563,113 12,987 Exterran Holdings, Inc. 352,078 19,957 Geospace Technologies Corp. (a) 478,569 27,275 Gulf Island Fabrication, Inc. 451,947 21,657 GulfMark Offshore, Inc., Class A 427,293 SHARES DESCRIPTION VALUE ------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES (CONTINUED) 21,180 Hornbeck Offshore Services, Inc. (a) $ 470,196 192,313 ION Geophysical Corp. (a) 432,704 14,216 Matrix Service Co. (a) 272,947 55,436 Newpark Resources, Inc. (a) 478,967 76,369 Pioneer Energy Services Corp. (a) 316,168 7,165 SEACOR Holdings, Inc. (a) 515,522 41,252 Tesco Corp. 422,420 47,503 TETRA Technologies, Inc. (a) 234,665 -------------- 6,542,101 -------------- FOOD & STAPLES RETAILING -- 1.0% 7,962 Andersons (The), Inc. 358,131 16,185 SpartanNash Co. 416,925 -------------- 775,056 -------------- FOOD PRODUCTS -- 1.2% 5,710 Darling Ingredients, Inc. (a) 96,956 6,294 Sanderson Farms, Inc. 503,268 11,740 Seneca Foods Corp., Class A (a) 303,831 -------------- 904,055 -------------- GAS UTILITIES -- 1.1% 3,977 Laclede Group (The), Inc. 213,804 4,239 Northwest Natural Gas Co. 211,568 1,760 South Jersey Industries, Inc. 102,520 5,134 Southwest Gas Corp. 315,536 -------------- 843,428 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 2,500 Analogic Corp. 203,825 18,671 CryoLife, Inc. 210,235 4,291 Greatbatch, Inc. (a) 208,371 6,300 Meridian Bioscience, Inc. 108,990 5,984 Merit Medical Systems, Inc. (a) 91,735 4,692 SurModics, Inc. (a) 107,541 -------------- 930,697 -------------- HEALTH CARE PROVIDERS & SERVICES -- 2.5% 4,804 Air Methods Corp. (a) 199,606 3,582 Almost Family, Inc. (a) 108,749 2,786 CorVel Corp. (a) 91,771 24,149 Hanger, Inc. (a) 521,135 2,260 IPC Healthcare, Inc. (a) 91,214 11,636 Kindred Healthcare, Inc. 214,801 3,325 LHC Group, Inc. (a) 98,819 7,048 Magellan Health, Inc. (a) 423,726 5,007 PharMerica Corp. (a) 115,211 -------------- 1,865,032 -------------- HEALTH CARE TECHNOLOGY -- 0.2% 1,707 Computer Programs & Systems, Inc. 84,087 5,248 MedAssets, Inc. (a) 97,140 -------------- 181,227 -------------- Page 86 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 2.2% 795 Biglari Holdings, Inc. (a) $ 329,106 10,127 Interval Leisure Group, Inc. 233,731 22,857 Marcus (The) Corp. 431,083 25,502 Monarch Casino & Resort, Inc. (a) 441,185 2,748 Red Robin Gourmet Burgers, Inc. (a) 212,970 -------------- 1,648,075 -------------- HOUSEHOLD DURABLES -- 1.0% 6,830 Ethan Allen Interiors, Inc. 185,913 3,863 La-Z-Boy, Inc. 103,103 23,034 M/I Homes, Inc. (a) 475,422 -------------- 764,438 -------------- HOUSEHOLD PRODUCTS -- 0.4% 33,226 Central Garden & Pet Co., Class A (a) 302,357 -------------- INSURANCE -- 5.2% 4,994 AMERISAFE, Inc. 203,256 17,996 Employers Holdings, Inc. 374,317 9,563 Horace Mann Educators Corp. 291,385 4,108 Infinity Property & Casualty Corp. 288,669 14,765 Montpelier Re Holdings Ltd. 518,694 5,769 Navigators Group (The), Inc. (a) 428,175 11,713 ProAssurance Corp. 519,706 4,957 Safety Insurance Group, Inc. 307,086 15,571 Selective Insurance Group, Inc. 402,043 5,711 Stewart Information Services Corp. 204,454 10,673 United Fire Group, Inc. 298,204 -------------- 3,835,989 -------------- INTERNET & CATALOG RETAIL -- 0.2% 7,216 PetMed Express, Inc. 113,291 -------------- INTERNET SOFTWARE & SERVICES -- 1.9% 38,185 Blucora, Inc. (a) 516,261 64,732 Liquidity Services, Inc. (a) 501,026 45,789 Monster Worldwide, Inc. (a) 189,109 11,355 Perficient, Inc. (a) 204,390 -------------- 1,410,786 -------------- IT SERVICES -- 2.3% 4,909 CACI International, Inc., Class A (a) 415,252 8,438 CSG Systems International, Inc. 206,900 11,052 ExlService Holdings, Inc. (a) 324,708 18,027 Sykes Enterprises, Inc. (a) 405,968 17,867 TeleTech Holdings, Inc. (a) 394,146 -------------- 1,746,974 -------------- LEISURE PRODUCTS -- 1.4% 11,918 Arctic Cat, Inc. 400,683 15,272 Sturm, Ruger & Co., Inc. 616,989 -------------- 1,017,672 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ MACHINERY -- 3.6% 19,414 Actuant Corp., Class A $ 448,658 2,730 Albany International Corp., Class A 93,175 5,381 Astec Industries, Inc. 191,348 11,432 Barnes Group, Inc. 392,689 15,540 Briggs & Stratton Corp. 286,091 3,509 CIRCOR International, Inc. 173,310 5,732 ESCO Technologies, Inc. 206,467 20,551 Federal Signal Corp. 313,814 2,467 Lindsay Corp. 213,198 2,738 Standex International Corp. 191,906 19,901 Titan International, Inc. 177,915 -------------- 2,688,571 -------------- MEDIA -- 1.0% 40,997 Harte-Hanks, Inc. 298,048 11,617 Scholastic Corp. 427,274 -------------- 725,322 -------------- METALS & MINING -- 1.9% 7,404 Kaiser Aluminum Corp. 513,171 12,009 Materion Corp. 395,697 23,796 Olympic Steel, Inc. 326,243 8,374 RTI International Metals, Inc. (a) 186,740 -------------- 1,421,851 -------------- MULTI-UTILITIES -- 0.6% 11,968 Avista Corp. 444,372 -------------- OIL, GAS & CONSUMABLE FUELS -- 7.3% 82,763 Approach Resources, Inc. (a) 518,924 37,146 Bill Barrett Corp. (a) 378,889 22,036 Bonanza Creek Energy, Inc. (a) 574,699 57,610 Cloud Peak Energy, Inc. (a) 391,172 62,127 Comstock Resources, Inc. 250,993 18,087 Contango Oil & Gas Co. (a) 543,876 21,343 Green Plains, Inc. 499,640 93,603 Northern Oil and Gas, Inc. (a) 587,827 10,252 PDC Energy, Inc. (a) 470,977 63,337 Penn Virginia Corp. (a) 309,085 103,697 Rex Energy Corp. (a) 367,087 25,064 Stone Energy Corp. (a) 352,901 104,465 Swift Energy Co. (a) 222,510 -------------- 5,468,580 -------------- PAPER & FOREST PRODUCTS -- 0.8% 16,547 P.H. Glatfelter Co. 378,430 5,001 Schweitzer-Mauduit International, Inc. 194,339 -------------- 572,769 -------------- PERSONAL PRODUCTS -- 0.3% 6,305 Medifast, Inc. (a) 199,806 -------------- PROFESSIONAL SERVICES -- 1.7% 17,917 CDI Corp. 304,410 12,429 Kelly Services, Inc., Class A 210,050 11,033 Korn/Ferry International (a) 314,440 See Notes to Financial Statements Page 87 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 6,303 Resources Connection, Inc. $ 105,260 14,261 TrueBlue, Inc. (a) 314,598 -------------- 1,248,758 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.9% 34,454 Capstead Mortgage Corp. 414,137 1,799 EPR Properties 117,043 5,695 Getty Realty Corp. 105,528 -------------- 636,708 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6% 34,341 Forestar Group, Inc. (a) 455,705 -------------- ROAD & RAIL -- 1.0% 18,646 Celadon Group, Inc. 444,334 13,589 Roadrunner Transportation Systems, Inc. (a) 276,129 -------------- 720,463 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.3% 22,315 Advanced Energy Industries, Inc. (a) 535,560 2,192 Cabot Microelectronics Corp. (a) 108,307 4,400 Cirrus Logic, Inc. (a) 116,600 15,346 Diodes, Inc. (a) 405,595 29,260 Kulicke & Soffa Industries, Inc. (a) 443,874 2,004 Power Integrations, Inc. 103,366 -------------- 1,713,302 -------------- SOFTWARE -- 1.0% 31,127 Ebix, Inc. 711,252 -------------- SPECIALTY RETAIL -- 5.7% 4,466 Barnes & Noble, Inc. (a) 104,906 28,919 Big 5 Sporting Goods Corp. 344,425 4,028 Buckle (The), Inc. 204,582 5,567 Children's Place (The), Inc. 333,742 92,620 Christopher & Banks Corp. (a) 482,550 21,755 Finish Line (The), Inc., Class A 513,418 4,141 Genesco, Inc. (a) 295,874 24,029 Haverty Furniture Cos., Inc. 587,029 4,368 Hibbett Sports, Inc. (a) 205,471 4,386 Kirkland's, Inc. (a) 102,062 32,313 Pep Boys-Manny, Moe & Jack (The) (a) 272,399 11,735 Sonic Automotive, Inc., Class A 289,033 15,329 Stage Stores, Inc. 306,580 7,093 Stein Mart, Inc. 97,600 2,134 Vitamin Shoppe, Inc. (a) 90,204 -------------- 4,229,875 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ TEXTILES, APPAREL & LUXURY GOODS -- 1.2% 18,641 Movado Group, Inc. $ 447,943 3,832 Oxford Industries, Inc. 214,362 6,646 Steven Madden Ltd. (a) 228,224 -------------- 890,529 -------------- THRIFTS & MORTGAGE FINANCE -- 0.8% 10,338 Brookline Bancorp, Inc. 99,245 6,370 Dime Community Bancshares, Inc. 94,021 8,276 Northwest Bancshares, Inc. 97,657 6,733 Oritani Financial Corp. 95,002 11,713 Provident Financial Services, Inc. 203,338 -------------- 589,263 -------------- TOBACCO -- 0.6% 12,025 Universal Corp. 482,924 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.2% 6,960 Applied Industrial Technologies, Inc. 281,393 8,373 DXP Enterprises, Inc. (a) 343,461 7,915 Kaman Corp. 300,928 -------------- 925,782 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 30,465 Spok Holdings, Inc. 521,561 -------------- TOTAL INVESTMENTS -- 100.0% 74,496,396 (Cost $77,696,390) (b) NET OTHER ASSETS AND LIABILITIES -- 0.0% 598 -------------- NET ASSETS -- 100.0% $ 74,496,994 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,653,429 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $5,853,423. Page 88 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 74,496,396 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. See Notes to Financial Statements Page 89 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 1.7% 1,831 Curtiss-Wright Corp. $ 121,817 10,599 GenCorp, Inc. (a) 178,063 12,521 TASER International, Inc. (a) 338,192 -------------- 638,072 -------------- AIR FREIGHT & LOGISTICS -- 0.3% 2,568 Forward Air Corp. 115,303 -------------- AIRLINES -- 0.8% 1,720 Allegiant Travel Co. 311,784 -------------- BANKS -- 2.0% 5,115 Bank of the Ozarks, Inc. 165,879 3,259 Cardinal Financial Corp. 58,043 2,341 Columbia Banking System, Inc. 59,532 1,510 Independent Bank Corp. 57,123 3,934 MB Financial, Inc. 111,765 1,935 PrivateBancorp, Inc. 58,708 1,590 Simmons First National Corp., Class A 59,498 5,179 United Bankshares, Inc. 175,102 -------------- 745,650 -------------- BEVERAGES -- 0.7% 892 Boston Beer (The) Co., Inc., Class A (a) 280,552 -------------- BIOTECHNOLOGY -- 1.6% 6,327 Acorda Therapeutics, Inc. (a) 262,887 12,175 Emergent Biosolutions, Inc. (a) 341,265 -------------- 604,152 -------------- BUILDING PRODUCTS -- 1.5% 2,887 AAON, Inc. 62,966 4,795 American Woodmark Corp. (a) 197,218 4,577 Apogee Enterprises, Inc. 198,001 13,426 PGT, Inc. (a) 115,329 -------------- 573,514 -------------- CAPITAL MARKETS -- 1.3% 5,400 HFF, Inc., Class A 183,438 5,706 Piper Jaffray Cos. (a) 291,291 -------------- 474,729 -------------- CHEMICALS -- 1.1% 3,880 Balchem Corp. 205,524 2,810 Quaker Chemical Corp. 221,765 -------------- 427,289 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.3% 3,649 G&K Services, Inc., Class A 255,795 2,089 Healthcare Services Group, Inc. 65,824 3,984 Matthews International Corp., Class A 184,579 -------------- 506,198 -------------- COMMUNICATIONS EQUIPMENT -- 0.7% 9,459 Bel Fuse, Inc., Class B 222,476 1,025 ViaSat, Inc. (a) 57,625 -------------- 280,101 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ CONSTRUCTION & ENGINEERING -- 0.4% 5,528 Dycom Industries, Inc. (a) $ 170,318 -------------- CONSTRUCTION MATERIALS -- 0.6% 17,253 Headwaters, Inc. (a) 242,922 -------------- CONSUMER FINANCE -- 0.1% 1,116 PRA Group, Inc. (a) 55,264 -------------- DISTRIBUTORS -- 0.5% 3,058 Pool Corp. 190,238 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 2,520 Capella Education Co. 171,335 2,610 Strayer Education, Inc. (a) 174,870 -------------- 346,205 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 1,802 MarketAxess Holdings, Inc. 136,898 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.5% 14,116 8x8, Inc. (a) 108,834 4,647 Consolidated Communications Holdings, Inc. 108,182 24,111 General Communication, Inc., Class A (a) 353,950 -------------- 570,966 -------------- ELECTRICAL EQUIPMENT -- 0.6% 1,378 AZZ, Inc. 58,138 16,028 Vicor Corp. (a) 172,621 -------------- 230,759 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.0% 2,179 Badger Meter, Inc. 130,435 10,782 DTS, Inc. (a) 298,877 3,094 FARO Technologies, Inc. (a) 171,253 1,771 Methode Electronics, Inc. 64,057 2,740 OSI Systems, Inc. (a) 191,745 4,072 Rogers Corp. (a) 300,758 -------------- 1,157,125 -------------- FOOD PRODUCTS -- 1.5% 7,010 Calavo Growers, Inc. 281,171 1,657 Cal-Maine Foods, Inc. 58,078 1,189 J&J Snack Foods Corp. 116,665 4,233 Snyder's-Lance, Inc. 123,138 -------------- 579,052 -------------- GAS UTILITIES -- 1.3% 5,417 New Jersey Resources Corp. 346,038 3,281 Piedmont Natural Gas Co., Inc. 130,879 -------------- 476,917 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.2% 1,138 Abaxis, Inc. 69,964 8,711 ABIOMED, Inc. (a) 450,707 5,978 Cantel Medical Corp. 242,528 Page 90 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 1,437 CONMED Corp. $ 68,459 12,091 Cynosure, Inc., Class A (a) 365,390 1,579 ICU Medical, Inc. (a) 131,973 2,385 Integra LifeSciences Holdings Corp. (a) 132,892 2,454 Masimo Corp. (a) 62,626 5,382 Natus Medical, Inc. (a) 202,363 3,910 Neogen Corp. (a) 180,251 7,029 NuVasive, Inc. (a) 325,583 2,428 West Pharmaceutical Services, Inc. 119,725 -------------- 2,352,461 -------------- HEALTH CARE PROVIDERS & SERVICES -- 8.2% 11,295 Amedisys, Inc. (a) 318,293 16,916 AMN Healthcare Services, Inc. (a) 318,359 3,543 AmSurg Corp. (a) 195,503 8,049 Bio-Reference Laboratories, Inc. (a) 269,883 613 Chemed Corp. 61,999 26,566 Cross Country Healthcare, Inc. (a) 271,770 7,468 Ensign Group (The), Inc. 309,922 7,972 ExamWorks Group, Inc. (a) 294,645 17,403 Gentiva Health Services, Inc. (a) 337,966 6,193 Molina Healthcare, Inc. (a) 315,286 1,523 MWI Veterinary Supply, Inc. (a) 288,867 3,547 Providence Service (The) Corp. (a) 138,333 -------------- 3,120,826 -------------- HEALTH CARE TECHNOLOGY -- 1.0% 4,387 HealthStream, Inc. (a) 123,977 7,807 Omnicell, Inc. (a) 248,497 -------------- 372,474 -------------- HOTELS, RESTAURANTS & LEISURE -- 7.8% 6,603 BJ's Restaurants, Inc. (a) 292,447 1,433 Buffalo Wild Wings, Inc. (a) 255,533 2,356 Cracker Barrel Old Country Store, Inc. 316,906 1,871 DineEquity, Inc. 199,729 2,425 Jack in the Box, Inc. 205,616 3,468 Marriott Vacations Worldwide Corp. 265,302 5,943 Papa John's International, Inc. 377,143 2,906 Pinnacle Entertainment, Inc. (a) 61,462 12,929 Ruth's Hospitality Group, Inc. 187,729 20,314 Scientific Games Corp., Class A (a) 239,908 7,123 Sonic Corp. 215,613 9,821 Texas Roadhouse, Inc. 329,887 -------------- 2,947,275 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ HOUSEHOLD DURABLES -- 1.8% 2,982 Helen of Troy Ltd. (a) $ 224,306 3,353 Ryland Group (The), Inc. 134,623 5,098 Universal Electronics, Inc. (a) 324,947 -------------- 683,876 -------------- HOUSEHOLD PRODUCTS -- 0.3% 1,519 WD-40 Co. 124,649 -------------- INSURANCE -- 2.3% 11,358 American Equity Investment Life Holding Co. 289,743 2,990 HCI Group, Inc. 138,168 1,308 RLI Corp. 61,358 16,213 Universal Insurance Holdings, Inc. 376,628 -------------- 865,897 -------------- INTERNET & CATALOG RETAIL -- 1.2% 5,386 Blue Nile, Inc. (a) 167,397 1,856 FTD Cos., Inc. (a) 63,568 13,228 Nutrisystem, Inc. 235,723 -------------- 466,688 -------------- INTERNET SOFTWARE & SERVICES -- 4.5% 5,569 comScore, Inc. (a) 231,448 33,121 Dice Holdings, Inc. (a) 273,911 10,457 Digital River, Inc. (a) 266,967 4,170 j2 Global, Inc. 239,525 4,584 LivePerson, Inc. (a) 49,049 2,621 LogMeIn, Inc. (a) 124,628 10,651 QuinStreet, Inc. (a) 54,533 5,388 Stamps.com, Inc. (a) 245,531 14,201 XO Group, Inc. (a) 233,464 -------------- 1,719,056 -------------- IT SERVICES -- 2.3% 1,675 Cardtronics, Inc. (a) 56,297 4,793 Heartland Payment Systems, Inc. 238,547 1,638 iGATE Corp. (a) 57,985 6,047 MAXIMUS, Inc. 336,939 4,654 Virtusa Corp. (a) 174,339 -------------- 864,107 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.3% 19,651 Affymetrix, Inc. (a) 216,947 8,971 Cambrex Corp. (a) 201,220 1,164 PAREXEL International Corp. (a) 70,957 -------------- 489,124 -------------- MACHINERY -- 2.0% 3,748 Hillenbrand, Inc. 117,725 3,934 John Bean Technologies Corp. 118,767 10,103 Lydall, Inc. (a) 278,338 7,574 Mueller Industries, Inc. 237,748 -------------- 752,578 -------------- MARINE -- 0.9% 9,603 Matson, Inc. 333,704 -------------- See Notes to Financial Statements Page 91 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MEDIA -- 0.2% 2,892 E.W. Scripps (The) Co., Class A (a) $ 57,059 -------------- METALS & MINING -- 0.6% 10,599 Century Aluminum Co. (a) 244,943 -------------- MULTILINE RETAIL -- 0.4% 8,938 Tuesday Morning Corp. (a) 158,203 -------------- MULTI-UTILITIES -- 0.7% 4,571 NorthWestern Corp. 264,021 -------------- OIL, GAS & CONSUMABLE FUELS -- 0.2% 5,155 Synergy Resources Corp. (a) 63,046 -------------- PAPER & FOREST PRODUCTS -- 2.8% 8,924 Boise Cascade Co. (a) 360,887 3,772 Clearwater Paper Corp. (a) 279,203 944 Deltic Timber Corp. 59,000 2,206 KapStone Paper & Packaging Corp. 65,893 4,291 Neenah Paper, Inc. 246,218 5,687 Wausau Paper Corp. 57,780 -------------- 1,068,981 -------------- PHARMACEUTICALS -- 1.4% 3,571 Akorn, Inc. (a) 152,053 12,039 DepoMed, Inc. (a) 219,953 4,081 Impax Laboratories, Inc. (a) 149,650 -------------- 521,656 -------------- PROFESSIONAL SERVICES -- 1.0% 783 Exponent, Inc. 62,750 3,896 On Assignment, Inc. (a) 136,866 3,005 WageWorks, Inc. (a) 165,395 -------------- 365,011 -------------- REAL ESTATE INVESTMENT TRUSTS -- 8.9% 6,055 Acadia Realty Trust 219,130 2,079 Agree Realty Corp. 72,017 1,623 American Assets Trust, Inc. 72,029 11,143 Associated Estates Realty Corp. 277,572 7,499 Aviv REIT, Inc. 294,936 17,617 Cedar Realty Trust, Inc. 140,231 6,949 Chesapeake Lodging Trust 255,167 4,967 CoreSite Realty Corp. 217,604 4,347 DiamondRock Hospitality Co. 63,162 5,301 Education Realty Trust, Inc. 183,415 3,203 Geo Group, (The), Inc. 139,395 4,733 Healthcare Realty Trust, Inc. 142,416 5,904 Inland Real Estate Corp. 67,187 5,887 Lexington Realty Trust 67,171 2,995 LTC Properties, Inc. 140,525 4,691 Medical Properties Trust, Inc. 72,101 5,512 Pennsylvania Real Estate Investment Trust 131,902 1,099 Post Properties, Inc. 66,764 7,701 Retail Opportunity Investments Corp. 136,077 SHARES DESCRIPTION VALUE ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 6,387 Sabra Health Care REIT, Inc. $ 208,855 2,261 Saul Centers, Inc. 129,080 2,225 Sovran Self Storage, Inc. 210,819 1,344 Universal Health Realty Income Trust 72,213 -------------- 3,379,768 -------------- ROAD & RAIL -- 2.4% 7,150 ArcBest Corp. 266,409 9,574 Heartland Express, Inc. 245,956 7,682 Knight Transportation, Inc. 218,860 4,672 Saia, Inc. (a) 196,738 -------------- 927,963 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.3% 10,691 CEVA, Inc. (a) 195,752 11,894 DSP Group, Inc. (a) 130,715 13,366 Micrel, Inc. 188,060 4,556 Microsemi Corp. (a) 126,930 5,300 MKS Instruments, Inc. 185,553 3,899 Monolithic Power Systems, Inc. 185,163 19,100 Pericom Semiconductor Corp. (a) 279,051 9,272 Tessera Technologies, Inc. 343,806 -------------- 1,635,030 -------------- SOFTWARE -- 3.9% 2,989 Blackbaud, Inc. 130,649 7,570 EPIQ Systems, Inc. 132,097 6,350 Manhattan Associates, Inc. (a) 283,464 1,194 MicroStrategy, Inc., Class A (a) 192,950 3,089 Synchronoss Technologies, Inc. (a) 131,190 11,828 Take-Two Interactive Software, Inc. (a) 351,528 11,753 VASCO Data Security International, Inc. (a) 252,690 -------------- 1,474,568 -------------- SPECIALTY RETAIL -- 6.5% 6,033 Brown Shoe Co., Inc. 171,277 6,131 Cato (The) Corp., Class A 259,954 7,743 Francesca's Holdings Corp. (a) 122,804 3,699 Group 1 Automotive, Inc. 297,363 2,984 Lithia Motors, Inc., Class A 252,745 12,898 MarineMax, Inc. (a) 329,028 2,237 Monro Muffler Brake, Inc. 127,822 3,437 Outerwall, Inc. (a) 213,369 12,266 Select Comfort Corp. (a) 366,017 8,582 Zumiez, Inc. (a) 320,023 -------------- 2,460,402 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 9,506 Super Micro Computer, Inc. (a) 347,634 -------------- Page 92 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 1.7% 3,282 G-III Apparel Group Ltd. (a) $ 319,011 4,681 Skechers U.S.A., Inc., Class A (a) 282,498 2,193 Wolverine World Wide, Inc. 61,733 -------------- 663,242 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 2,980 Aceto Corp. 57,812 -------------- WATER UTILITIES -- 0.4% 3,433 American States Water Co. 136,084 -------------- TOTAL COMMON STOCKS -- 100.1% 38,032,146 (Cost $35,935,742) RIGHTS -- 0.0% HEALTH CARE PROVIDERS & SERVICES -- 0.0% 327 Providence Service (The) Corp., expiring 03/05/15 (a) (b) 0 (Cost $0) -------------- TOTAL INVESTMENTS -- 100.1% 38,032,146 (Cost $35,935,742) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (20,428) -------------- NET ASSETS -- 100.0% $ 38,011,718 ============== (a) Non-income producing security. (b) This security is fair valued by the Advisor's Pricing Committee in accordance with provisions of the Investment Company Act of 1940, as amended. At January 31, 2015, securities noted as such are valued at $0, or 0.0% of net assets. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,852,548 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $756,144. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 38,032,146 $ -- $ -- Rights* -- --** -- ---------------------------------------- Total Investments $ 38,032,146 $ --** $ -- ======================================== * See Portfolio of Investments for industry breakout. ** Investment is valued at $0. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. See Notes to Financial Statements Page 93 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 99.8% AIR FREIGHT & LOGISTICS -- 0.7% 719 FedEx Corp. $ 121,590 -------------- AUTOMOBILES -- 3.9% 24,189 Ford Motor Co. 355,820 10,739 General Motors Co. 350,306 -------------- 706,126 -------------- BANKS -- 3.1% 5,991 JPMorgan Chase & Co. 325,790 2,740 PNC Financial Services Group (The), Inc. 231,640 -------------- 557,430 -------------- BIOTECHNOLOGY -- 4.2% 2,353 Amgen, Inc. 358,268 3,351 Celgene Corp. (a) 399,305 -------------- 757,573 -------------- CAPITAL MARKETS -- 2.4% 1,289 Goldman Sachs Group (The), Inc. 222,237 6,442 Morgan Stanley 217,804 -------------- 440,041 -------------- CHEMICALS -- 2.1% 8,220 Dow Chemical (The) Co. 371,215 -------------- COMMUNICATIONS EQUIPMENT -- 2.4% 4,493 Cisco Systems, Inc. 118,458 5,043 QUALCOMM, Inc. 314,986 -------------- 433,444 -------------- DIVERSIFIED FINANCIAL SERVICES -- 2.0% 2,496 Berkshire Hathaway, Inc., Class B (a) 359,199 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.7% 14,882 AT&T, Inc. 489,915 -------------- ELECTRIC UTILITIES -- 1.4% 2,993 Duke Energy Corp. 260,810 -------------- ENERGY EQUIPMENT & SERVICES -- 2.7% 5,853 Schlumberger Ltd. 482,229 -------------- FOOD & STAPLES RETAILING -- 10.4% 4,408 Costco Wholesale Corp. 630,300 6,487 CVS Health Corp. 636,764 6,561 Walgreens Boots Alliance, Inc. 483,874 1,455 Wal-Mart Stores, Inc. 123,646 -------------- 1,874,584 -------------- HEALTH CARE PROVIDERS & SERVICES -- 8.5% 2,952 Express Scripts Holding Co. (a) 238,256 3,010 McKesson Corp. 640,076 6,180 UnitedHealth Group, Inc. 656,625 -------------- 1,534,957 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ INDUSTRIAL CONGLOMERATES -- 0.7% 4,945 General Electric Co. $ 118,136 -------------- INSURANCE -- 3.0% 8,924 American International Group, Inc. 436,116 2,310 MetLife, Inc. 107,415 -------------- 543,531 -------------- INTERNET SOFTWARE & SERVICES -- 3.0% 12,372 Yahoo!, Inc. (a) 544,244 -------------- IT SERVICES -- 1.3% 780 International Business Machines Corp. 119,582 477 Visa, Inc., Class A 121,592 -------------- 241,174 -------------- MEDIA -- 2.5% 2,155 Comcast Corp., Class A 114,527 4,388 Time Warner, Inc. 341,957 -------------- 456,484 -------------- MULTILINE RETAIL -- 2.7% 6,585 Target Corp. 484,722 -------------- OIL, GAS & CONSUMABLE FUELS -- 17.1% 5,570 Chevron Corp. 571,092 9,048 ConocoPhillips 569,843 5,430 EOG Resources, Inc. 483,433 6,759 Exxon Mobil Corp. 590,872 5,908 Kinder Morgan, Inc. 242,523 7,752 Occidental Petroleum Corp. 620,160 -------------- 3,077,923 -------------- PHARMACEUTICALS -- 5.6% 486 Actavis PLC (a) 129,538 2,352 Allergan, Inc. 515,700 1,194 Johnson & Johnson 119,567 8,024 Pfizer, Inc. 250,750 -------------- 1,015,555 -------------- ROAD & RAIL -- 1.4% 2,098 Union Pacific Corp. 245,907 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.5% 13,775 Intel Corp. 455,126 -------------- SPECIALTY RETAIL -- 7.5% 4,762 Home Depot (The), Inc. 497,248 9,083 Lowe's Cos., Inc. 615,464 3,644 TJX (The) Cos., Inc. 240,285 -------------- 1,352,997 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 4.0% 2,265 Apple, Inc. 265,367 12,457 Hewlett-Packard Co. 450,072 -------------- 715,439 -------------- Page 94 See Notes to Financial Statements FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2015 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 2.0% 3,898 NIKE, Inc., Class B $ 359,591 -------------- TOTAL INVESTMENTS -- 99.8% 17,999,942 (Cost $17,833,077) (b) NET OTHER ASSETS AND LIABILITIES -- 0.2% 38,422 -------------- NET ASSETS -- 100.0% $ 18,038,364 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of January 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $685,696 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $518,831. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------- Common Stocks* $ 17,999,942 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at January 31, 2015. See Notes to Financial Statements Page 95 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JANUARY 31, 2015 (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............................................... $ 1,590,999,964 $ 877,911,830 $ 621,260,400 Cash................................................................ -- 27,789 13,749 Receivables: Capital shares sold........................................... 26,849,144 -- 2,349,375 Investment securities sold.................................... 4,461,349 2,986,372 -- Dividends..................................................... 1,025,337 388,872 268,176 Interest...................................................... 3 8 37 Securities lending income..................................... -- 22,348 57,985 Prepaid expenses.................................................... 16,521 12,223 7,517 ---------------- ---------------- ---------------- TOTAL ASSETS............................................. 1,623,352,318 881,349,442 623,957,239 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... 3,959,039 -- -- Due to investment advisor........................................... 676,436 366,482 251,864 Payables: Capital shares redeemed....................................... -- -- -- Investment securities purchased............................... 26,872,702 3,002,811 2,364,171 Licensing fees................................................ 189,771 123,737 94,752 Printing fees................................................. 51,641 43,649 28,975 Audit and tax fees............................................ 14,481 14,481 14,481 Trustees' fees................................................ 2,507 1,256 1,206 Collateral for securities on loan............................. -- 18,553,034 24,192,254 Other liabilities................................................... 553,372 380,230 257,599 ---------------- ---------------- ---------------- TOTAL LIABILITIES........................................ 32,319,949 22,485,680 27,205,302 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,591,032,369 $ 858,863,762 $ 596,751,937 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,524,974,941 $ 876,728,934 $ 620,517,598 Par value........................................................... 357,000 167,500 127,000 Accumulated net investment income (loss)............................ 141,530 135,293 184,961 Accumulated net realized gain (loss) on investments................. (6,361,053) (57,160,537) (50,242,810) Net unrealized appreciation (depreciation) on investments........... 71,919,951 38,992,572 26,165,188 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,591,032,369 $ 858,863,762 $ 596,751,937 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 44.57 $ 51.28 $ 46.99 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 35,700,002 16,750,002 12,700,002 ---------------- ---------------- ---------------- Investments, at cost................................................ $ 1,519,080,013 $ 838,919,258 $ 595,095,212 ================ ================ ================ Securities on loan, at value........................................ $ -- $ 18,069,631 $ 23,339,868 ================ ================ ================
Page 96 See Notes to Financial Statements
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 ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FTA) (FTC) (FAB) (FAD) (FNK) ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,172,831,815 $ 490,284,879 $ 183,743,761 $ 71,966,981 $ 74,205,261 -- -- -- -- -- -- 863 -- -- 1,480,645 8,529,531 2,858,323 -- 387,260 -- 1,024,734 219,422 124,360 32,514 36,666 4 2 1 3 -- -- -- -- -- 3,038 14,452 4,967 2,354 938 -- ---------------- ---------------- ---------------- ---------------- ---------------- 1,182,400,536 493,368,456 183,870,476 72,387,696 75,725,610 ---------------- ---------------- ---------------- ---------------- ---------------- 90,358 2,748,916 599 103,486 45,402 513,809 211,392 86,531 29,644 42,544 8,527,265 -- -- -- -- -- 22,013 -- 175,754 1,481,973 161,752 85,288 56,882 45,271 -- 47,759 14,669 9,455 3,931 -- 14,481 14,481 14,481 14,481 -- 1,802 926 1,611 451 -- -- -- -- -- 2,059,212 474,745 180,819 82,164 34,457 -- ---------------- ---------------- ---------------- ---------------- ---------------- 9,831,971 3,278,504 251,723 407,475 3,629,131 ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,172,568,565 $ 490,089,952 $ 183,618,753 $ 71,980,221 $ 72,096,479 ================ ================ ================ ================ ================ $ 1,160,458,803 $ 487,793,476 $ 191,430,487 $ 77,368,647 $ 77,797,399 276,500 107,000 40,500 15,000 24,500 491,687 (50,718) 28,863 1,102 2,885 27,955,398 (44,028,473) (5,226,373) (12,656,756) (1,053,161) (16,613,823) 46,268,667 (2,654,724) 7,252,228 (4,675,144) ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,172,568,565 $ 490,089,952 $ 183,618,753 $ 71,980,221 $ 72,096,479 ================ ================ ================ ================ ================ $ 42.41 $ 45.80 $ 45.34 $ 47.99 $ 29.43 ================ ================ ================ ================ ================ 27,650,002 10,700,002 4,050,002 1,500,002 2,450,002 ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,189,445,638 $ 444,016,212 $ 186,398,485 $ 64,714,753 $ 78,880,405 ================ ================ ================ ================ ================ $ -- $ -- $ -- $ -- $ 2,021,373 ================ ================ ================ ================ ================
See Notes to Financial Statements Page 97 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JANUARY 31, 2015 (UNAUDITED)
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) ---------------- ---------------- ---------------- ---------------- ASSETS: Investments, at value.............................. $ 72,257,560 $ 74,496,396 $ 38,032,146 $ 17,999,942 Cash............................................... 81,445 14,614 -- 28,766 Receivables: Capital shares sold.......................... 2,975,449 -- -- -- Investment securities sold................... 584,755 -- -- -- Dividends.................................... 25,788 28,759 19,230 20,092 Interest..................................... -- -- -- -- Securities lending income.................... 126 -- -- -- Prepaid expenses................................... -- -- -- -- ---------------- ---------------- ---------------- ---------------- TOTAL ASSETS............................ 75,925,123 74,539,769 38,051,376 18,048,800 ---------------- ---------------- ---------------- ---------------- LIABILITIES: Due to custodian................................... -- -- 16,347 -- Due to investment advisor.......................... 37,981 42,775 23,311 10,436 Payables: Capital shares redeemed...................... -- -- -- -- Investment securities purchased.............. 3,622,052 -- -- -- Licensing fees............................... -- -- -- -- Printing fees................................ -- -- -- -- Audit and tax fees........................... -- -- -- -- Trustees' fees............................... -- -- -- -- Collateral for securities on loan............ 714,078 -- -- -- Other liabilities.................................. -- -- -- -- ---------------- ---------------- ---------------- ---------------- TOTAL LIABILITIES....................... 4,374,111 42,775 39,658 10,436 ---------------- ---------------- ---------------- ---------------- NET ASSETS......................................... $ 71,551,012 $ 74,496,994 $ 38,011,718 $ 18,038,364 ================ ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital.................................... $ 71,202,882 $ 79,969,426 $ 40,687,297 $ 19,118,878 Par value.......................................... 24,500 24,000 13,000 7,000 Accumulated net investment income (loss)........... 6,396 (2,152) 4,185 11,459 Accumulated net realized gain (loss) on investments..................................... (4,793,082) (2,294,286) (4,789,168) (1,265,838) Net unrealized appreciation (depreciation) on investments..................................... 5,110,316 (3,199,994) 2,096,404 166,865 ---------------- ---------------- ---------------- ---------------- NET ASSETS......................................... $ 71,551,012 $ 74,496,994 $ 38,011,718 $ 18,038,364 ================ ================ ================ ================ NET ASSET VALUE, per share......................... $ 29.20 $ 31.04 $ 29.24 $ 25.77 ================ ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)... 2,450,002 2,400,002 1,300,002 700,002 ---------------- ---------------- ---------------- ---------------- Investments, at cost............................... $ 67,147,244 $ 77,696,390 $ 35,935,742 $ 17,833,077 ================ ================ ================ ================ Securities on loan, at value....................... $ 676,100 $ -- $ -- $ -- ================ ================ ================ ================
Page 98 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2015 (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.............................................................. $ 14,753,403 $ 6,832,082 $ 3,563,572 Interest............................................................... 131 100 105 Foreign tax withholding................................................ (3,635) -- (1,030) Securities lending income (net of fees)................................ -- 192,950 212,010 ---------------- ---------------- ---------------- Total investment income.......................................... 14,749,899 7,025,132 3,774,657 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................... 3,569,103 2,173,820 1,384,746 Accounting and administration fees..................................... 339,257 220,149 142,318 Licensing fees......................................................... 224,228 140,511 93,167 Custodian fees......................................................... 83,985 66,990 53,306 Printing fees.......................................................... 65,530 52,142 30,893 Legal fees............................................................. 40,528 19,254 10,602 Transfer agent fees.................................................... 30,448 21,738 13,847 Trustees' fees and expenses............................................ 12,692 8,203 6,234 Audit and tax fees..................................................... 12,090 12,090 12,090 Listing fees........................................................... 4,090 4,090 4,090 Registration and filing fees........................................... (20,537) (27,169) (14,139) Expenses previously waived or reimbursed............................... -- -- -- Other expenses......................................................... 16,427 12,626 7,958 ---------------- ---------------- ---------------- Total expenses................................................... 4,377,841 2,704,444 1,745,112 Less fees waived and expenses reimbursed by the investment advisor............................................ -- -- -- ---------------- ---------------- ---------------- Net expenses..................................................... 4,377,841 2,704,444 1,745,112 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................... 10,372,058 4,320,688 2,029,545 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... (23,359,121) (2,877,926) (8,802,479) In-kind redemptions.............................................. 72,496,336 14,025,017 1,072,763 ---------------- ---------------- ---------------- Net realized gain (loss)............................................... 49,137,215 11,147,091 (7,729,716) ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments.... (3,542,829) (7,753,313) 16,515,907 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 45,594,386 3,393,778 8,786,191 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ 55,966,444 $ 7,714,466 $ 10,815,736 ================ ================ ================
See Notes to Financial Statements Page 99 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE SIX MONTHS ENDED JANUARY 31, 2015 (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.............................................................. $ 15,189,376 $ 3,510,207 $ 1,995,963 Interest............................................................... 142 41 30 Foreign tax withholding................................................ -- (2,180) -- Securities lending income (net of fees)................................ -- -- -- ---------------- ---------------- ---------------- Total investment income.......................................... 15,189,518 3,508,068 1,995,993 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................... 2,995,317 1,093,077 457,510 Accounting and administration fees..................................... 292,099 111,132 50,875 Licensing fees......................................................... 189,801 75,667 37,533 Custodian fees......................................................... 72,500 27,327 11,438 Printing fees.......................................................... 60,614 16,792 11,709 Legal fees............................................................. 32,946 11,933 4,554 Transfer agent fees.................................................... 27,579 10,931 4,575 Trustees' fees and expenses............................................ 10,993 5,185 4,440 Audit and tax fees..................................................... 12,090 12,090 12,090 Listing fees........................................................... 4,090 4,090 4,342 Registration and filing fees........................................... (20,676) (9,400) (5,788) Expenses previously waived or reimbursed............................... -- -- 43,900 Other expenses......................................................... 14,271 5,572 3,336 ---------------- ---------------- ---------------- Total expenses................................................... 3,691,624 1,364,396 640,514 Less fees waived and expenses reimbursed by the investment advisor............................................ -- -- -- ---------------- ---------------- ---------------- Net expenses..................................................... 3,691,624 1,364,396 640,514 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................... 11,497,894 2,143,672 1,355,479 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... (33,106,607) (2,051,267) (7,446,274) In-kind redemptions.............................................. 98,597,621 3,700,039 13,261,962 ---------------- ---------------- ---------------- Net realized gain (loss)............................................... 65,491,014 1,648,772 5,815,688 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments.... (63,242,461) 24,525,946 (7,063,625) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 2,248,553 26,174,718 (1,247,937) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ 13,746,447 $ 28,318,390 $ 107,542 ================ ================ ================
(a) Fund is subject to a Unitary Fee. (See Note 3 in the Notes to Financial Statements.) Page 100 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 463,795 $ 717,019 $ 278,512 $ 488,230 $ 189,097 $ 147,200 16 -- -- -- -- -- (252) -- -- -- (161) -- -- 26,462 3,112 -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 463,559 743,481 281,624 488,230 188,936 147,200 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 175,934 248,767 (a) 183,408 (a) 221,802 (a) 139,561 (a) 53,865 (a) 21,807 -- -- -- -- -- 20,638 -- -- -- -- -- 4,398 -- -- -- -- -- 4,215 -- -- -- -- -- 1,555 -- -- -- -- -- 1,759 -- -- -- -- -- 2,523 -- -- -- -- -- 12,090 -- -- -- -- -- 3,903 -- -- -- -- -- (2,829) -- -- -- -- -- -- -- -- -- -- -- 2,004 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 247,997 248,767 183,408 221,802 139,561 53,865 (1,690) -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 246,307 248,767 183,408 221,802 139,561 53,865 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 217,252 494,714 98,216 266,428 49,375 93,335 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (2,504,454) (1,345,887) (687,057) (2,654,113) (2,797,211) (607,237) 3,637,789 1,825,780 399,447 2,609,633 2,609,859 1,083,730 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,133,335 479,893 (287,610) (44,480) (187,352) 476,493 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 3,150,396 (2,465,286) 3,198,331 (172,269) 1,637,442 (763,103) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 4,283,731 (1,985,393) 2,910,721 (216,749) 1,450,090 (286,610) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 4,500,983 $ (1,490,679) $ 3,008,937 $ 49,679 $ 1,499,465 $ (193,275) ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 101 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) ------------------------------------ ------------------------------------ For the For the Six Months Ended For the Year Six Months Ended For the Year 1/31/2015 Ended 1/31/2015 Ended (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss).......................... $ 10,372,058 $ 10,003,201 $ 4,320,688 $ 4,370,490 Net realized gain (loss).............................. 49,137,215 99,136,248 11,147,091 80,616,413 Net change in unrealized appreciation (depreciation).. (3,542,829) 6,067,281 (7,753,313) (19,018,658) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations.................................... 55,966,444 115,206,730 7,714,466 65,968,245 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................. (10,872,461) (9,604,681) (4,328,781) (4,823,561) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................. 779,497,207 1,141,302,405 96,563,113 809,847,236 Cost of shares redeemed............................... (385,100,940) (596,190,976) (102,179,392) (495,353,124) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions...................... 394,396,267 545,111,429 (5,616,279) 314,494,112 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets............... 439,490,250 650,713,478 (2,230,594) 375,638,796 NET ASSETS: Beginning of period................................... 1,151,542,119 500,828,641 861,094,356 485,455,560 --------------- --------------- --------------- --------------- End of period......................................... $ 1,591,032,369 $ 1,151,542,119 $ 858,863,762 $ 861,094,356 =============== =============== =============== =============== Accumulated net investment income (loss) at end of period...................................... $ 141,530 $ 641,933 $ 135,293 $ 143,386 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period............... 26,650,002 13,500,002 17,000,002 10,800,002 Shares sold........................................... 17,500,000 27,500,000 1,850,000 16,100,000 Shares redeemed....................................... (8,450,000) (14,350,000) (2,100,000) (9,900,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period..................... 35,700,002 26,650,002 16,750,002 17,000,002 =============== =============== =============== ===============
Page 102 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYX) (FTA) (FTC) (FAB) ------------------------------- ------------------------------- ------------------------------- ------------------------------- For the For the For the For the Six Months Ended For the Year Six Months Ended For the Year Six Months Ended For the Year Six Months Ended For the Year 1/31/2015 Ended 1/31/2015 Ended 1/31/2015 Ended 1/31/2015 Ended (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 2,029,545 $ 2,291,970 $ 11,497,894 $ 12,673,053 $ 2,143,672 $ 1,395,421 $ 1,355,479 $ 1,668,271 (7,729,716) 50,833,040 65,491,014 95,461,724 1,648,772 36,409,563 5,815,688 19,614,446 16,515,907 (29,785,571) (63,242,461) (4,308,460) 24,525,946 (1,622,852) (7,063,625) (5,792,479) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 10,815,736 23,339,439 13,746,447 103,826,317 28,318,390 36,182,132 107,542 15,490,238 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (1,909,020) (2,230,680) (12,076,081) (12,117,591) (2,194,390) (1,448,805) (1,447,301) (1,601,926) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 76,116,577 550,328,851 769,703,963 1,040,544,629 179,979,065 387,122,970 84,420,921 181,135,122 (8,820,906) (339,969,860) (620,413,832) (577,769,511) (20,306,061) (287,982,101) (75,448,532) (111,263,952) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 67,295,671 210,358,991 149,290,131 462,775,118 159,673,004 99,140,869 8,972,389 69,871,170 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 76,202,387 231,467,750 150,960,497 554,483,844 185,797,004 133,874,196 7,632,630 83,759,482 520,549,550 289,081,800 1,021,608,068 467,124,224 304,292,948 170,418,752 175,986,123 92,226,641 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 596,751,937 $ 520,549,550 $1,172,568,565 $1,021,608,068 $ 490,089,952 $ 304,292,948 $ 183,618,753 $ 175,986,123 ============== ============== ============== ============== ============== ============== ============== ============== $ 184,961 $ 64,436 $ 491,687 $ 1,069,874 $ (50,718) $ -- $ 28,863 $ 120,685 ============== ============== ============== ============== ============== ============== ============== ============== 11,300,002 6,850,002 24,050,002 12,700,002 7,100,002 4,700,002 3,850,002 2,300,002 1,600,000 11,700,000 18,050,000 25,600,000 4,050,000 9,400,000 1,850,000 4,050,000 (200,000) (7,250,000) (14,450,000) (14,250,000) (450,000) (7,000,000) (1,650,000) (2,500,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 12,700,002 11,300,002 27,650,002 24,050,002 10,700,002 7,100,002 4,050,002 3,850,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 103 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST MULTI CAP GROWTH MID CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) ------------------------------------ ------------------------------------ For the For the Six Months Ended For the Year Six Months Ended For the Year 1/31/2015 Ended 1/31/2015 Ended (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss).......................... $ 217,252 $ 139,894 $ 494,714 $ 355,442 Net realized gain (loss).............................. 1,133,335 7,085,414 479,893 4,588,303 Net change in unrealized appreciation (depreciation).. 3,150,396 (1,665,748) (2,465,286) (3,547,279) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations.................................... 4,500,983 5,559,560 (1,490,679) 1,396,466 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................. (216,150) (175,020) (527,781) (323,976) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................. 28,543,134 77,991,482 14,909,265 119,534,369 Cost of shares redeemed............................... (21,909,648) (59,923,009) (41,967,552) (40,735,289) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions...................... 6,633,486 18,068,473 (27,058,287) 78,799,080 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets............... 10,918,319 23,453,013 (29,076,747) 79,871,570 NET ASSETS: Beginning of period................................... 61,061,902 37,608,889 101,173,226 21,301,656 --------------- --------------- --------------- --------------- End of period......................................... $ 71,980,221 $ 61,061,902 $ 72,096,479 $ 101,173,226 =============== =============== =============== =============== Accumulated net investment income (loss) at end of period................................... $ 1,102 $ -- $ 2,885 $ 35,952 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period............... 1,350,002 950,002 3,350,002 800,002 Shares sold........................................... 600,000 1,750,000 500,000 3,900,000 Shares redeemed....................................... (450,000) (1,350,000) (1,400,000) (1,350,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period..................... 1,500,002 1,350,002 2,450,002 3,350,002 =============== =============== =============== ===============
Page 104 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FNY) (FYT) (FYC) (FMK) ------------------------------- ------------------------------- ------------------------------- ------------------------------- For the For the For the For the Six Months Ended For the Year Six Months Ended For the Year Six Months Ended For the Year Six Months Ended For the Year 1/31/2015 Ended 1/31/2015 Ended 1/31/2015 Ended 1/31/2015 Ended (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 (Unaudited) 7/31/2014 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 98,216 $ 28,813 $ 266,428 $ 508,388 $ 49,375 $ (27,457) $ 93,335 $ 148,164 (287,610) 4,029,420 (44,480) 11,215,988 (187,352) 1,049,533 476,493 1,249,401 3,198,331 (866,673) (172,269) (5,226,471) 1,637,442 (1,233,096) (763,103) 192,423 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 3,008,937 3,191,560 49,679 6,497,905 1,499,465 (211,020) (193,275) 1,589,988 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (91,820) (90,705) (291,910) (485,305) (12,870) (5,440) (98,910) (139,321) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 30,011,309 60,182,014 31,655,907 119,587,054 22,014,266 44,280,002 14,421,791 16,149,225 (2,799,704) (44,021,563) (19,027,060) (108,232,517) (19,046,379) (23,513,424) (9,208,381) (14,817,375) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 27,211,605 16,160,451 12,628,847 11,354,537 2,967,887 20,766,578 5,213,410 1,331,850 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 30,128,722 19,261,306 12,386,616 17,367,137 4,454,482 20,550,118 4,921,225 2,782,517 41,422,290 22,160,984 62,110,378 44,743,241 33,557,236 13,007,118 13,117,139 10,334,622 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 71,551,012 $ 41,422,290 $ 74,496,994 $ 62,110,378 $ 38,011,718 $ 33,557,236 $ 18,038,364 $ 13,117,139 ============== ============== ============== ============== ============== ============== ============== ============== $ 6,396 $ -- $ (2,152) $ 23,330 $ 4,185 $ (32,320) $ 11,459 $ 17,034 ============== ============== ============== ============== ============== ============== ============== ============== 1,500,002 900,002 2,000,002 1,600,002 1,200,002 500,002 500,002 450,002 1,050,000 2,200,000 1,000,000 3,850,000 750,000 1,500,000 550,000 650,000 (100,000) (1,600,000) (600,000) (3,450,000) (650,000) (800,000) (350,000) (600,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 2,450,002 1,500,002 2,400,002 2,000,002 1,300,002 1,200,002 700,002 500,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 105 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)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 -------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 43.21 $ 37.10 $ 28.66 $ 28.38 $ 23.76 $ 19.60 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.31 0.49 0.48 0.35 0.25 0.20 Net realized and unrealized gain (loss) 1.38 6.10 8.45 0.26 4.63 4.15 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.69 6.59 8.93 0.61 4.88 4.35 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.33) (0.48) (0.49) (0.33) (0.26) (0.19) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 44.57 $ 43.21 $ 37.10 $ 28.66 $ 28.38 $ 23.76 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.92% 17.83% 31.41% 2.20% 20.54% 22.26% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,591,032 $1,151,542 $ 500,829 $ 326,690 $ 273,861 $ 58,214 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% (b) 0.64% 0.66% 0.70% 0.70% 0.90% Ratio of net expenses to average net assets 0.61% (b) 0.64% 0.66% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.45% (b) 1.25% 1.47% 1.27% 1.04% 1.13% Portfolio turnover rate (c) 48% 78% 78% 95% 81% 91%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 -------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 50.65 $ 44.95 $ 34.19 $ 34.17 $ 27.10 $ 22.00 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.25 0.31 0.42 0.21 0.12 0.16 Net realized and unrealized gain (loss) 0.63 5.75 10.71 0.01 7.09 5.10 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.88 6.06 11.13 0.22 7.21 5.26 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.25) (0.36) (0.37) (0.20) (0.14) (0.16) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 51.28 $ 50.65 $ 44.95 $ 34.19 $ 34.17 $ 27.10 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.72% 13.49% 32.71% 0.66% 26.60% 23.94% RATIOS/SUPPLEMENTAL DATA: $ 858,864 $ 861,094 $ 485,456 $ 294,075 $ 319,491 $ 56,919 Net assets, end of period (in 000's) RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% (b) 0.64% 0.66% 0.70% 0.70% 0.90% Ratio of net expenses to average net assets 0.62% (b) 0.64% 0.66% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.99% (b) 0.64% 1.04% 0.63% 0.44% 0.73% Portfolio turnover rate (c) 56% 81% 81% 94% 86% 100%
(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 106 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 -------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 46.07 $ 42.20 $ 31.20 $ 30.93 $ 24.98 $ 20.77 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.17 0.22 0.34 0.17 0.07 0.07 Net realized and unrealized gain (loss) 0.91 3.86 11.00 0.27 5.97 4.21 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.08 4.08 11.34 0.44 6.04 4.28 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.16) (0.21) (0.34) (0.17) (0.09) (0.07) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 46.99 $ 46.07 $ 42.20 $ 31.20 $ 30.93 $ 24.98 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 2.35% 9.66% 36.58% 1.42% 24.20% 20.63% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 596,752 $ 520,550 $ 289,082 $ 140,384 $ 117,530 $ 37,475 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.66% 0.70% 0.70% 0.74% 0.97% Ratio of net expenses to average net assets 0.63% (b) 0.66% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.73% (b) 0.49% 0.87% 0.56% 0.24% 0.36% Portfolio turnover rate (c) 53% 89% 85% 101% 90% 97%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 -------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 42.48 $ 36.78 $ 28.11 $ 27.18 $ 23.24 $ 19.10 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.41 0.69 0.58 0.40 0.32 0.34 Net realized and unrealized gain (loss) (0.04) 5.69 8.66 0.93 3.93 4.14 ---------- ---------- ---------- ---------- ---------- ---------- otal from investment operations 0.37 6.38 9.24 1.33 4.25 4.48 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.44) (0.68) (0.57) (0.40) (0.31) (0.34) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 42.41 $ 42.48 $ 36.78 $ 28.11 $ 27.18 $ 23.24 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.85% 17.46% 33.15% 4.96% 18.30% 23.53% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,172,569 $1,021,608 $ 467,124 $ 247,370 $ 178,052 $ 49,958 Ratios to average net assets: Ratio of total expenses to average net assets 0.62% (b) 0.64% 0.67% 0.70% 0.71% 0.88% Ratio of net expenses to average net assets 0.62% (b) 0.64% 0.67% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.92% (b) 1.80% 1.85% 1.56% 1.47% 1.73% Portfolio turnover rate (c) 42% 68% 69% 88% 76% 100%
(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 107 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)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 -------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 42.86 $ 36.26 $ 28.54 $ 29.33 $ 23.91 $ 19.94 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.21 0.23 0.30 0.24 0.17 0.06 Net realized and unrealized gain (loss) 2.95 6.61 7.75 (0.80) 5.43 3.96 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.16 6.84 8.05 (0.56) 5.60 4.02 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.22) (0.24) (0.33) (0.23) (0.18) (0.05) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 45.80 $ 42.86 $ 36.26 $ 28.54 $ 29.33 $ 23.91 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 7.37% 18.88% 28.42% (1.89)% 23.43% 20.20% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 490,090 $ 304,293 $ 170,419 $ 129,864 $ 139,322 $ 39,445 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% (b) 0.66% 0.70% 0.70% 0.72% 0.91% Ratio of net expenses to average net assets 0.62% (b) 0.66% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.98% (b) 0.58% 0.88% 0.86% 0.59% 0.31% Portfolio turnover rate (c) 86% 138% 141% 162% 146% 168%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 -------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 45.71 $ 40.10 $ 29.93 $ 29.24 $ 24.61 $ 20.20 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.35 0.55 0.51 0.36 0.32 0.37 Net realized and unrealized gain (loss) (0.35) 5.60 10.16 0.69 4.64 4.39 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations -- 6.15 10.67 1.05 4.96 4.76 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.37) (0.54) (0.50) (0.36) (0.33) (0.35) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 45.34 $ 45.71 $ 40.10 $ 29.93 $ 29.24 $ 24.61 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (0.01)% 15.38% 35.92% 3.62% 20.13% 23.65% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 183,619 $ 175,986 $ 92,227 $ 47,882 $ 39,470 $ 20,917 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.76% 0.80% 0.87% 0.94% 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 1.48% (b) 1.29% 1.46% 1.24% 1.16% 1.45% Portfolio turnover rate (c) 44% 74% 70% 90% 74% 93%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) 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 108 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)
FOR THE SIX MONTHS ENDED FOR THE FOR THE FOR THE FOR THE FOR THE 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 7/31/2010 -------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 45.23 $ 39.59 $ 31.16 $ 31.66 $ 25.07 $ 20.78 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.14 0.12 0.26 0.16 0.08 0.02 Net realized and unrealized gain (loss) 2.76 5.67 8.42 (0.51) 6.62 4.27 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.90 5.79 8.68 (0.35) 6.70 4.29 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.14) (0.15) (0.25) (0.15) (0.11) -- ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 47.99 $ 45.23 $ 39.59 $ 31.16 $ 31.66 $ 25.07 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 6.42% 14.63% 28.01% (1.10)% 26.74% 20.64% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 71,980 $ 61,062 $ 37,609 $ 29,606 $ 37,990 $ 7,520 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.74% 0.85% 0.85% 0.95% 1.40% 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 0.62% (b) 0.27% 0.74% 0.48% 0.20% 0.08% Portfolio turnover rate (c) 79% 139% 147% 155% 149% 155%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) 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 109 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)
FOR THE FOR THE SIX MONTHS PERIOD ENDED FOR THE FOR THE FOR THE 4/19/2011 (a) 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED THROUGH (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 -------------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 30.20 $ 26.63 $ 19.74 $ 19.27 $ 20.06 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.22 0.24 0.25 0.15 0.04 Net realized and unrealized gain (loss) (0.76) 3.56 6.89 0.47 (0.79) ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.54) 3.80 7.14 0.62 (0.75) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.23) (0.23) (0.25) (0.15) (0.04) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.43 $ 30.20 $ 26.63 $ 19.74 $ 19.27 ========== ========== ========== ========== ========== TOTAL RETURN (b) (1.82)% 14.30% 36.37% 3.23% (3.75)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 72,096 $ 101,173 $ 21,302 $ 8,885 $ 1,927 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 1.39% (c) 0.90% 0.96% 0.98% 0.74% (c) Portfolio turnover rate (d) 48% 84% 66% 100% 14%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
FOR THE FOR THE SIX MONTHS PERIOD ENDED FOR THE FOR THE FOR THE 4/19/2011 (a) 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED THROUGH (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 -------------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 27.61 $ 24.62 $ 19.50 $ 19.93 $ 20.17 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.05 0.07 0.18 0.02 (0.00) (e) Net realized and unrealized gain (loss) 1.59 3.00 5.07 (0.44) (0.24) ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.64 3.07 5.25 (0.42) (0.24) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.05) (0.08) (0.13) (0.01) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.20 $ 27.61 $ 24.62 $ 19.50 $ 19.93 ========== ========== ========== ========== ========== TOTAL RETURN (b) 5.94% 12.49% 27.05% (2.11)% (1.19)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 71,551 $ 41,422 $ 22,161 $ 16,572 $ 6,976 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 0.37% (c) 0.08% 0.83% 0.11% (0.18)% (c) Portfolio turnover rate (d) 89% 148% 156% 166% 48%
(a) Inception date. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (e) Amount represents less than $0.01 per share. Page 110 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)
FOR THE FOR THE SIX MONTHS PERIOD ENDED FOR THE FOR THE FOR THE 4/19/2011 (a) 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED THROUGH (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 -------------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 31.06 $ 27.96 $ 19.81 $ 19.80 $ 19.97 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.14 0.23 0.20 0.14 0.03 Net realized and unrealized gain (loss) (0.01) 3.09 8.15 0.01 (0.17) ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.13 3.32 8.35 0.15 (0.14) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.15) (0.22) (0.20) (0.14) (0.03) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 31.04 $ 31.06 $ 27.96 $ 19.81 $ 19.80 ========== ========== ========== ========== ========== TOTAL RETURN (b) 0.41% 11.86% 42.34% 0.75% (0.70)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 74,497 $ 62,110 $ 44,743 $ 5,944 $ 1,980 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 0.84% (c) 0.72% 1.32% 0.82% 0.57% (c) Portfolio turnover rate (d) 54% 86% 104% 103% 15%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
FOR THE FOR THE SIX MONTHS PERIOD ENDED FOR THE FOR THE FOR THE 4/19/2011 (a) 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED THROUGH (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 -------------- ---------- ---------- ---------- ---------- -Net asset value, beginning of period $ 27.96 $ 26.01 $ 20.37 $ 19.92 $ 20.08 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.04 (0.01) 0.05 0.02 (0.01) Net realized and unrealized gain (loss) 1.25 1.97 5.66 0.46 (0.15) ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.29 1.96 5.71 0.48 (0.16) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.01) (0.01) (0.07) (0.03) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.24 $ 27.96 $ 26.01 $ 20.37 $ 19.92 ========== ========== ========== ========== ========== TOTAL RETURN (b) 4.61% 7.52% 28.14% 2.38% (0.80)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 38,012 $ 33,557 $ 13,007 $ 9,167 $ 5,977 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 0.25% (c) (0.10)% 0.17% 0.14% (0.36)% (c) Portfolio turnover rate (d) 79% 175% 147% 162% 36%
(a) Inception date. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 111 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)
FOR THE FOR THE SIX MONTHS PERIOD ENDED FOR THE FOR THE FOR THE 5/11/2011 (a) 1/31/2015 YEAR ENDED YEAR ENDED YEAR ENDED THROUGH (UNAUDITED) 7/31/2014 7/31/2013 7/31/2012 7/31/2011 -------------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 26.23 $ 22.97 $ 18.00 $ 18.89 $ 19.67 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.16 0.31 0.28 0.18 0.03 Net realized and unrealized gain (loss) (0.44) 3.24 4.97 (0.90) (0.79) ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.28) 3.55 5.25 (0.72) (0.76) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.18) (0.29) (0.28) (0.17) (0.02) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 25.77 $ 26.23 $ 22.97 $ 18.00 $ 18.89 ========== ========== ========== ========== ========== TOTAL RETURN (b) (1.09)% 15.54% 29.42% (3.78)% (3.88)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 18,038 $ 13,117 $ 10,335 $ 10,801 $ 3,777 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% (c) Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 1.21% (c) 1.28% 1.32% 1.28% 0.77% (c) Portfolio turnover rate (d) 67% 125% 135% 164% 52%
(a) Inception date. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 112 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (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, each type having a separate report. This report covers the twelve Style Funds listed below. The shares of each Style Fund are listed and traded on the NYSE Arca, Inc. 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 issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Large Cap Core AlphaDEX(R) Fund Defined Large Cap Core Index (1) First Trust Mid Cap Core AlphaDEX(R) Fund Defined Mid Cap Core Index (1) First Trust Small Cap Core AlphaDEX(R) Fund Defined Small Cap Core Index (1) First Trust Large Cap Value AlphaDEX(R) Fund Defined Large Cap Value Index (1) First Trust Large Cap Growth AlphaDEX(R) Fund Defined Large Cap Growth Index (1) First Trust Multi Cap Value AlphaDEX(R) Fund Defined Multi Cap Value Index (1) First Trust Multi Cap Growth AlphaDEX(R) Fund Defined Multi Cap Growth Index (1) First Trust Mid Cap Value AlphaDEX(R) Fund Defined Mid Cap Value Index (1) First Trust Mid Cap Growth AlphaDEX(R) Fund Defined Mid Cap Growth Index (1) First Trust Small Cap Value AlphaDEX(R) Fund Defined Small Cap Value Index (1) First Trust Small Cap Growth AlphaDEX(R) Fund Defined Small Cap Growth Index (1) First Trust Mega Cap AlphaDEX(R) Fund Defined Mega Cap Index (1)
(1) This index is developed, maintained and sponsored by S&P Dow Jones Indices LLC (licensee of Standard & Poor's Financial Services LLP, "S&P"), and licensed to First Trust Portfolios L.P. ("FTP"), the distributor of the Trust. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Page 113 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (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 The NASDAQ(R) Stock Market, LLC ("NASDAQ") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for NASDAQ and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Securities traded in an over-the-counter market are 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 fair valued at cost. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in differences 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). Page 114 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (UNAUDITED) 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, 2015, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates and historical information available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Accounting Standards Update No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11") requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the 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. In addition, Accounting Standards Update No. 2013-1 "Clarifying the Scope of Offsetting Assets and Liabilities" ("ASU 2013-1"), specifies exactly which transactions are subject to offsetting disclosures. The scope of the disclosure requirements is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. 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. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund's costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of bankruptcy of the seller, a Fund could suffer additional losses if a court determines that the Fund's interest in the collateral is not enforceable. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the six months ended January 31, 2015, were received as collateral for lending securities. E. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from Page 115 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (UNAUDITED) the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At January 31, 2015, only FNX, FYX, FNK and FNY have securities in the securities lending program. During the six months ended January 31, 2015, only FNX, FYX, FNK and FNY 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. F. DIVIDENDS AND DISTRIBUTION TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the year ended July 31, 2014 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 $ 9,604,681 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 4,823,561 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 2,230,680 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 12,117,591 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 1,448,805 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 1,601,926 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 175,020 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 323,976 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 90,705 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 485,305 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 5,440 -- -- First Trust Mega Cap AlphaDEX(R) Fund 139,321 -- --
Page 116 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (UNAUDITED) As of July 31, 2014, 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 $ 641,933 $ (44,478,731) $ 64,443,243 First Trust Mid Cap Core AlphaDEX(R) Fund 143,386 (59,578,050) 38,016,307 First Trust Small Cap Core AlphaDEX(R) Fund 64,436 (34,990,717) 2,126,904 First Trust Large Cap Value AlphaDEX(R) Fund 1,069,874 (26,425,476) 35,518,498 First Trust Large Cap Growth AlphaDEX(R) Fund -- (44,283,875) 20,349,351 First Trust Multi Cap Value AlphaDEX(R) Fund 120,685 (8,662,298) 2,029,138 First Trust Multi Cap Growth AlphaDEX(R) Fund -- (13,475,104) 3,786,845 First Trust Mid Cap Value AlphaDEX(R) Fund 35,952 (829,585) (2,913,327) First Trust Mid Cap Growth AlphaDEX(R) Fund -- (4,298,883) 1,705,396 First Trust Small Cap Value AlphaDEX(R) Fund 23,330 (1,350,034) (3,927,497) First Trust Small Cap Growth AlphaDEX(R) Fund (32,320) (4,450,805) 307,951 First Trust Mega Cap AlphaDEX(R) Fund 17,034 (1,667,299) 854,936
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 or state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2011, 2012, 2013 and 2014 remain open to federal and state audit. As of January 31, 2015, 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 for taxable years 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, 2014, the Funds had pre-enactment and post-enactment net capital losses for federal income tax purposes as shown in the following table. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to Fund shareholders. The Funds are subject to certain limitations, under U.S. tax rules, on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. Page 117 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (UNAUDITED)
Capital Loss Capital Loss Capital Loss Capital Loss Capital Loss Post Total Available Available Available Available Available Enactment - Capital through through through through through No Loss 7/31/2015 7/31/2016 7/31/2017 7/31/2018 7/31/2019 Expiration Available ------------- ------------- ------------- ------------- ------------- -------------- ------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 15,102 $ 8,528 $ 2,600,275 $ 2,800,653 $ 1,020,863 $ 38,033,310 $44,478,731 First Trust Mid Cap Core AlphaDEX(R) Fund 7,911 84,882 1,985,474 2,119,642 1,502,304 53,877,837 59,578,050 First Trust Small Cap Core AlphaDEX(R) Fund 14,770 111,735 1,882,188 1,600,982 1,258,833 30,122,209 34,990,717 First Trust Large Cap Value AlphaDEX(R) Fund 1,854 80,299 2,272,260 5,098,300 298,768 18,673,995 26,425,476 First Trust Large Cap Growth AlphaDEX(R) Fund -- 162,514 10,217,162 3,224,180 1,803,15 128,876,868 44,283,875 First Trust Multi Cap Value AlphaDEX(R) Fund 8,569 56,799 1,331,945 1,180,819 322,362 5,761,80 48,662,298 First Trust Multi Cap Growth AlphaDEX(R) Fund 26,562 241,100 2,554,292 1,438,794 345,171 8,869,185 13,475,104 First Trust Mid Cap Value AlphaDEX(R) Fund -- -- -- -- -- 829,585 829,585 First Trust Mid Cap Growth AlphaDEX(R) Fund -- -- -- -- -- 4,298,883 4,298,883 First Trust Small Cap Value AlphaDEX(R) Fund -- -- -- -- -- 1,350,034 1,350,034 First Trust Small Cap Growth AlphaDEX(R) Fund -- -- -- -- -- 4,450,805 4,450,805 First Trust Mega Cap AlphaDEX(R) Fund -- -- -- -- -- 1,667,299 1,667,299
Capital 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, 2014, the following Fund incurred and elected to defer net ordinary losses as follows:
Qualified Late Year Losses Ordinary Losses ------------------- First Trust Small Cap Growth AlphaDEX(R) Fund $ 32,320
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. FTP has entered into licensing agreements with Standard & Poor's for each of the Style Funds. The license agreements allow for the use by FTP of certain trademarks and tradenames. The Funds and First Trust are sub-licensees to the applicable license agreement. The Funds, except for the Unitary Fee Funds, are required to pay licensing fees, which are shown on the Statements of Operations. The licensing fees for the Unitary Fee Funds are paid by First Trust from the unitary investment advisory fees it receives from each of these Funds. I. ACCOUNTING PRONOUNCEMENT In June 2014, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. A repurchase-to-maturity transaction is one where the repurchase agreement settles at the same time as the maturity of the transferred financial asset. These transactions, unlike other repurchase agreements, were accounted for as sales and purchases instead of being treated as secured borrowings. This ASU changes that accounting practice and treats all repurchase agreements as secured borrowings. The ASU additionally requires two new disclosures which are intended to: a) disclose information on transferred assets accounted for as sales in transactions that are economically similar to repurchase agreements, and b) provide increased transparency about the types of collateral pledged in repurchase agreements and similar transactions accounted for as secured borrowings. Page 118 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (UNAUDITED) The ASU impacts all entities that enter into repurchase-to-maturity transactions, entities that account for these transactions as a sale and a purchase, and entities that engage in repurchase agreements and securities lending transactions. The ASU is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds' financial statement disclosures. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. For the Unitary Fee Funds, First Trust is paid an annual unitary management fee of 0.70% of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit and other services, and excluding distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. For such Funds, the Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which the Advisor 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, 2015. Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses were reimbursed or fees waived by First Trust. These amounts are included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the six months ended January 31, 2015 and the fees waived or expenses borne by the Advisor subject to recovery from each Fund for the periods indicated were as follows:
Fees Waived or Expenses Borne by Advisor Subject to Recovery --------------------------------------------------------------- Advisory Expense Year Year Year Six Months Fee Reim- Ended Ended Ended Ended Waivers bursements 7/31/2012 7/31/2013 7/31/2014 1/31/2015 Total ----------- ----------- ----------- ----------- ----------- ----------- ----------- First Trust Multi Cap Value AlphaDEX(R) Fund $ -- $ -- $ 772 $36,873 $ -- $ -- $37,645 First Trust Multi Cap Growth AlphaDEX(R) Fund 1,690 -- 22,391 49,813 23,302 1,690 97,196
During the six months ended January 31, 2015, the Advisor recovered fees that were previously waived from Multi Cap Value AlphaDEX(R) Fund of $43,900. 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 the Trust. As custodian, BNYM is responsible for custody of the Trust's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Trust's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for the Trust. 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 pro rata among each fund in the First Trust Fund Complex based on net assets. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund or is an index fund. Page 119 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (UNAUDITED) Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the six months ended January 31, 2015, 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 $ 678,711,616 $ 678,963,251 First Trust Mid Cap Core AlphaDEX(R) Fund 487,613,527 487,013,015 First Trust Small Cap Core AlphaDEX(R) Fund 293,569,085 293,060,103 First Trust Large Cap Value AlphaDEX(R) Fund 499,729,455 499,641,153 First Trust Large Cap Growth AlphaDEX(R) Fund 373,543,582 373,233,701 First Trust Multi Cap Value AlphaDEX(R) Fund 81,256,840 81,061,675 First Trust Multi Cap Growth AlphaDEX(R) Fund 54,894,148 54,828,381 First Trust Mid Cap Value AlphaDEX(R) Fund 36,286,804 36,124,168 First Trust Mid Cap Growth AlphaDEX(R) Fund 47,202,507 47,101,041 First Trust Small Cap Value AlphaDEX(R) Fund 34,071,412 34,041,048 First Trust Small Cap Growth AlphaDEX(R) Fund 31,869,234 31,874,926 First Trust Mega Cap AlphaDEX(R) Fund 10,250,966 10,270,473
For the six months ended January 31, 2015, 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 $ 779,238,721 $ 384,536,220 First Trust Mid Cap Core AlphaDEX(R) Fund 96,427,337 102,152,339 First Trust Small Cap Core AlphaDEX(R) Fund 76,038,617 8,832,366 First Trust Large Cap Value AlphaDEX(R) Fund 768,965,820 618,930,536 First Trust Large Cap Growth AlphaDEX(R) Fund 179,962,283 20,301,064 First Trust Multi Cap Value AlphaDEX(R) Fund 84,360,658 75,264,271 First Trust Multi Cap Growth AlphaDEX(R) Fund 28,509,487 21,828,511 First Trust Mid Cap Value AlphaDEX(R) Fund 14,889,650 41,899,686 First Trust Mid Cap Growth AlphaDEX(R) Fund 29,921,716 2,799,319 First Trust Small Cap Value AlphaDEX(R) Fund 31,662,938 19,036,684 First Trust Small Cap Growth AlphaDEX(R) Fund 21,948,534 18,909,646 First Trust Mega Cap AlphaDEX(R) Fund 14,406,396 9,206,706
5. CREATION, REDEMPTION AND TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares. 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. Purchasers of Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: NUMBER OF SECURITIES CREATION IN A CREATION UNIT TRANSACTION FEE -------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 Page 120 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (UNAUDITED) The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per Share of a Fund on the transaction date times the number of Shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes. Parties redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: NUMBER OF SECURITIES REDEMPTION IN A CREATION UNIT TRANSACTION FEE -------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, the Funds will not pay 12b-1 fees any time before December 31, 2015. 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: On March 9, 2015, the Board of Trustees of the Funds approved the continuation of the Recovery Agreement to November 30, 2016, and the Distribution and Service Plan to December 31, 2016. Page 121 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Funds' website located at http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. PORTFOLIO HOLDINGS The Trust files its complete schedule of each Fund's portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by calling (800) 988-5891; (2) on the Funds' website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND. The following summarizes some of the risks that should be considered for the Funds. Each Fund's shares will change in value, and you could lose money by investing in a Fund. Shares are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates and perceived trends in stock prices. Overall stock values could decline generally or could underperform other investments. Overall stock market values could decline generally or could underperform other investments. An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the Fund shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase ETF shares directly from a Fund and individual ETF shares are not redeemable. However, specified large blocks of ETF shares called creation units can be purchased from, or redeemed to, a Fund. Each Fund is subject to index tracking risk. You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index. Each Fund's return may not match the return of the index it seeks to track for a number of reasons. While First Trust seeks to have a correlation of 0.95 or better, before expenses, between a Fund's performance and the performance of its corresponding index, there can be no assurance that a Fund will be able to achieve such a correlation. Accordingly, each Fund's performance may correlate to a lesser extent and may possibly vary substantially from the performance of its corresponding index. Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. As a result, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from the index the Fund seeks to track. Each Fund relies on a license and related sublicense from an index provider that permits it to use its corresponding index and associated trade names, trademarks and service marks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. There is no guarantee the index provider has all the rights to license such intellectual property on behalf of the Fund. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund. Page 122 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2015 (UNAUDITED) Each Fund is subject to issuer specific change risk. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. Each Fund may be concentrated in stocks of companies in an individual industry if the Fund's corresponding index is concentrated in such industry. A concentration makes a Fund more susceptible to any single occurrence affecting the industry and may subject a Fund to greater market risk than more diversified funds. Each Fund is considered to be non-diversified. As a result, each Fund is exposed to additional market risk. A non-diversified fund may invest a relatively high percentage of its assets in a limited number of issuers. As a result, changes in the market value of a single portfolio security could cause greater fluctuations in share price than would occur in a diversified fund. Furthermore, non-diversified funds are more susceptible to any single political, regulatory or economic occurrence. Each Fund is not actively managed. A Fund may be affected by a general decline in certain market segments relating to a Fund's corresponding index. A Fund invests in securities included in or representative of its corresponding index regardless of its investment merit. A Fund generally will not attempt to take defensive positions in declining markets. The First Trust Multi Cap Value AlphaDEX(R) Fund, the First Trust Multi Cap Growth AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund and the First Trust Small Cap Growth AlphaDEX(R) Fund may invest in small capitalization and/or mid capitalization companies. Such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies. The First Trust Large Cap Value AlphaDEX(R) Fund and the First Trust Multi Cap Value AlphaDEX(R) Fund invest with a value-oriented investment style and may not be successful in realizing their respective investment objectives. Value companies may have experienced adverse business developments or may be subject to special risks that cause their securities to be out of favor, may never reach what may be their full value or may go down in price. The First Trust Large Cap Growth AlphaDEX(R) Fund and the First Trust Multi Cap Growth AlphaDEX(R) Fund invest with a growth-oriented investment style and may not be successful in realizing their respective investment objectives. Securities of growth companies may experience significant fluctuations in price in response to economic, political, regulatory, company specific, sector or market developments, changes in perceptions or interest rate changes. Each of the First Trust Large Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Large Cap Value AlphaDEX(R) Fund, the First Trust Large Cap Growth AlphaDEX(R) Fund, the First Trust Mid Cap Value AlphaDEX(R) Fund, the First Trust Mid Cap Growth AlphaDEX(R) Fund, the First Trust Small Cap Value AlphaDEX(R) Fund, the First Trust Small Cap Growth AlphaDEX(R) Fund and the First Trust Mega Cap AlphaDEX(R) Fund normally invests at least 90% of its assets in common stocks that comprise the Index upon which it is based. The securities of companies represented in the Index upon which each Fund is based generally have market capitalizations that are consistent with the name of the Index. For purposes of determining the market capitalization range of such securities, the Fund will use the current range of the Index upon which it is based. However, the Fund will not be forced to sell a stock because the stock has exceeded or fallen below the current market capitalization range of the Index. Because of market movement, there can be no assurance that the securities in a Fund will stay within a given market capitalization range. As a result, each Fund may be exposed to additional risk or may not give investors the opportunity to invest fully in a given market capitalization range. Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of a Fund's assets can decline as can the value of a Fund's distributions. Common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. The Funds may invest in non-U.S. securities publicly traded in the United States. Securities issued by non-U.S. companies present risks beyond those of securities of U.S. issuers. Risks of investing in non-U.S. securities include: different accounting standards; expropriation, nationalization or other adverse political or economic developments; currency devaluation, blockages or transfer restrictions; changes in non-U.S. currency exchange rates; taxes; restrictions on non-U.S. investments and exchange of securities; and less government supervision and regulation of issuers in non-U.S. countries. Prices of non-U.S. securities also may be more volatile. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 123 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 101 Barclay Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603 [BLANK BACK COVER] ITEM 2. CODE OF ETHICS. 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 registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. 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. (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/ Mark R. Bradley ---------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: March 20, 2015 ------------------ 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/ Mark R. Bradley ---------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: March 20, 2015 ------------------ By (Signature and Title) /s/ James M. Dykas ---------------------------------------- James M. Dykas, Treasurer, Chief Financial Officer and Chief Accounting Officer Date: March 20, 2015 ------------------