N-CSR 1 adex_ncsr.txt 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) 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: July 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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORT TO STOCKHOLDERS. The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Annual Report July 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 JULY 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).................... 28 First Trust Energy AlphaDEX(R) Fund (FXN).............................. 30 First Trust Financials AlphaDEX(R) Fund (FXO).......................... 32 First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 36 First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 39 First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 42 First Trust Technology AlphaDEX(R) Fund (FXL).......................... 45 First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 48 Statements of Assets and Liabilities......................................... 50 Statements of Operations..................................................... 52 Statements of Changes in Net Assets.......................................... 54 Financial Highlights......................................................... 58 Notes to Financial Statements................................................ 63 Report of Independent Registered Public Accounting Firm...................... 72 Additional Information....................................................... 73 Board of Trustees and Officers............................................... 80 Privacy Policy............................................................... 82 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at http://www.ftportfolios.com. HOW TO READ THIS REPORT This 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 material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT FROM THE CHAIRMAN AND CEO JULY 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 annual report which contains detailed information about your investment for the twelve months ended July 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 in 2014. However, for the twelve 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, created volatility in the U.S. and global markets. Another factor that has impacted markets is the fact that many economists are predicting the Federal Reserve will begin to raise interest rates over the next few months. 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 to help investors reach their financial goals. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 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 Brian Wesbury, Chief Economist at First Trust, has characterized the U.S. economic expansion as a "Plow Horse" recovery. While the economy is in fact growing, the pace has been more modest than what has been registered in most expansionary periods, in our opinion. The current U.S. economic recovery commenced in Q3'09. From 6/30/09-6/30/15 (most recent GDP release was Q2'15), real GDP growth averaged 2.0%, according to the Bureau of Economic Analysis (BEA). From 1985 through 2014, real U.S. GDP growth was 3.0% or higher in 14 of the 30 calendar years, according to data from the BEA. In the current recovery, the best showing to date was the 2.5% real GDP growth rate posted in 2010. As we noted in the last semi-annual report, despite the U.S.'s modest economic growth rate, the U.S. dollar continued to strengthen relative to other major foreign currencies. From 7/31/14 through 7/31/15, the U.S. Dollar Index (DXY) rose by 19.49%, according to Bloomberg. The DXY indicates the general international value of the dollar relative to a basket of major world currencies. A strong U.S. dollar can put downward pressure on commodity prices. The price of crude oil continued its slide from its 2014 peak of $107.26 per barrel. From 7/31/14 through 7/31/15, the price of a barrel of oil declined 52.0%, from $98.17 to $47.12, according to Bloomberg. The Thomson Reuters/CoreCommodity CRB Commodity Index, which tracks a diversified basket of commodities, was down 31.2% over the same period, according to Bloomberg. Over time, we believe that lower commodity prices, if sustained, can potentially boost consumption in the U.S. by increasing the amount of discretionary dollars consumers have to spend. Two economic silver linings within the U.S. recovery are job growth and auto sales. U.S. nonfarm payrolls have increased 58 consecutive months, as of July 2015, according to data from the Bureau of Labor Statistics. From 7/31/14 through 7/31/15, nonfarm payrolls rose by an average of 243,000 per month. Job creation and low interest rates have helped push U.S. auto sales back to pre-recession levels. Annualized sales reached 17.46 million units in July 2015, according to Bloomberg. Sales stood at an annualized 17.17 million units in July 2006. While the housing market is also in the process of rebounding, it has a considerable potential upside, in our opinion. The percentage of U.S. households that own their home stood at 63.4% in Q2'15, down from the all-time high of 69.2% in Q2'04, according to data from the U.S. Census Bureau. SECTOR INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end funds and exchange-traded funds (ETFs). For the 12-month period ended July 2015, U.S. equity funds/ETFs reported net outflows totaling $17.8 billion, according to data from Morningstar. Investors continue to favor passive funds over actively managed funds. Passive U.S. equity funds/ETFs reported net inflows totaling $140.8 billion, compared to net outflows totaling $158.6 billion for actively managed U.S. equity funds/ETFs, for this period. Investors were attracted to sector funds/ETFs. For the 12-month period ended July 2015, sector equity funds/ETFs reported net inflows totaling $64.2 billion. Passive sector equity funds/ETFs reported net inflows totaling $45.4 billion, compared to net inflows totaling $18.8 billion for actively managed sector equity funds/ETFs. Using Morningstar fund categories, some of the major sectors reporting the highest net inflows over the past 12 months were Health (+$36.1 billion), Consumer Cyclical (+$9.1 billion) and Energy (+$7.5 billion). The only sector that has outperformed the S&P 500(R) Index in each of the past five calendar years (including this one) is Health Care, according to S&P Dow Jones Indices. 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 16.54% 19.45% 8.60% 143.19% 97.19% Market Price 16.57% 19.46% 8.60% 143.25% 97.24% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index 17.34% 20.31% 9.42% 152.11% 109.73% Russell 1000(R) Index 11.24% 16.45% 6.60% 114.15% 69.26% S&P 500(R) Consumer Discretionary Index 23.68% 22.69% 10.87% 177.99% 133.76% Russell 1000(R) Consumer Discretionary Index(1) 20.75% 22.07% NA 170.99% NA ----------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXD's one-year net asset value ("NAV") return of 16.54% underperformed the benchmark S&P 500(R) Consumer Discretionary Index return of 23.68% by -7.14%. With the highest average weighting among all industries at 27.0%, the Specialty Retail industry contributed 6.4% to the Fund's return. Several names contributed including O'Reilly Automotive, Inc. (+60.2%) and Foot Locker, Inc. (+50.8%). The Internet & Catalog Retail industry was the leading industry in terms of return (+44.6%), followed by the Household Durables industry (+30.6%). Standout performers among the Internet & Catalog Retail industry were Expedia, Inc. (+54.0%) and Netflix, Inc. (+45.5%), with an average weight of 0.92% and 0.72%, respectively. The worst-performing industry was the Automobiles industry, returning -5.3%. Tesla Motors, Inc. was the worst performer with a -13.4% return and 0.6% weighting, followed by Ford Motor Co. with a -9.5% return and 0.7% weighting. On a relative basis, the Fund underperformed the benchmark primarily due to being overweight in the Specialty Retail industry by 8.0% and underperforming -14.0% within that industry. Home Depot (The), Inc. in particular was a significant source of the underperformance (-1.2%) due to being underweight compared to the benchmark by 5.4%, while the security returned a relatively high 47.7% in the benchmark versus 27.0% in the Fund. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 93.90% Consumer Staples 3.03 Financials 1.26 Industrials 1.02 Information Technology 0.79 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Skechers U.S.A., Inc., Class A 1.73% Amazon.com, Inc. 1.56 Netflix, Inc. 1.54 Cablevision Systems Corp., Class A 1.49 Expedia, Inc. 1.40 ServiceMaster Global Holdings, Inc. 1.35 GameStop Corp., Class A 1.35 Graham Holdings Co., Class B 1.34 Twenty-First Century Fox, Inc., Class A 1.34 Foot Locker, Inc. 1.33 ------- Total 14.43% ======= ----------------------------- (1) On or about September 18, 2008, Russell Investment Group ("Russell") began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell changed the name of the Russell 1000(R) Consumer Discretionary and Services Index to the Russell 1000(R) Consumer Discretionary Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Consumer Discretionary Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Consumer Discretionary Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Consumer Discretionary AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Discretionary Index in connection with the trading of the Fund. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 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 735 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 7/31/15 19719 20976 16926 23374
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 200 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% 8/1/10 - 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 - 7/31/15 52 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 23.09% 21.01% 11.99% 159.47% 154.00% Market Price 23.18% 21.03% 12.00% 159.73% 154.10% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index 23.79% 21.99% 12.86% 170.11% 170.57% Russell 1000(R) Index 11.24% 16.45% 6.60% 114.15% 69.26% S&P 500(R) Consumer Staples Index 19.29% 16.44% 10.80% 114.05% 132.59% Russell 1000(R) Consumer Staples Index(1) 20.92% 17.33% NA 122.32% NA ----------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXG's one-year NAV return of 23.09% outperformed the benchmark S&P 500(R) Consumer Staples Index return of 19.29% by 3.80%. The Food Products and Beverages industries led all industries in contribution to the Fund's return, contributing 9.9% and 6.2%, respectively. The Fund's holdings in the Food Products industry returned 22.3% and held an average weighting in the Fund of 43.54%, the highest among all industries. The Fund's return in the industry was led by WhiteWave Foods Co. (+73.2%) and Kraft Heinz Co. (+67.7%). Kraft Foods Group and Heinz Foods Co. notably merged into a newly formed company, the Kraft Heinz Co., this fiscal year. The Fund's holdings in the Beverages industry returned 40.8%, led by Monster Beverage Co. (+66.8%) and followed by Constellation Brands, Inc. (+44.5%). On a relative basis, the Beverages industry was the leading cause of the outperformance, returning 40.8% versus 16.3%, causing 3.7% of outperformance. The Household Products industry contributed an additional 1.9% of outperformance relative to the benchmark. The Personal Products industry took away -0.9% of outperformance due to the Fund having a position in Edgewell Personal Care Co., which returned a lagging 3.8%, and Herbalife Ltd., which returned -2.1%. The benchmark did not have a position in these two securities. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Staples 99.11% Consumer Discretionary 0.89 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- CVS Health Corp. 4.91% WhiteWave Foods (The) Co. 4.84 Tyson Foods, Inc., Class A 4.77 Hain Celestial Group (The), Inc. 4.73 ConAgra Foods, Inc. 4.62 Archer-Daniels-Midland Co. 4.51 Edgewell Personal Care Co. 4.49 Walgreens Boots Alliance, Inc. 4.19 Ingredion, Inc. 4.05 Kroger (The) Co. 3.97 ------- Total 45.08% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Consumer Staples Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Consumer Staples Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Consumer Staples AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Staples Index in connection with the trading of the Fund. Page 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 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 7/31/15 25401 27057 16926 23258
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 204 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% 8/1/10 - 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 - 7/31/15 48 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV -38.59% 2.11% -1.25% 11.03% -9.85% Market Price -38.59% 2.09% -1.25% 10.89% -9.85% INDEX PERFORMANCE StrataQuant(R) Energy Index -38.45% 2.75% -0.61% 14.52% -4.95% Russell 1000(R) Index 11.24% 16.45% 6.60% 114.15% 69.26% S&P 500(R) Energy Index -25.69% 7.14% 2.39% 41.19% 21.42% Russell 1000(R) Energy Index(1) -26.75% 6.75% NA 38.65% NA ----------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXN's one-year NAV return of -38.59% underperformed the benchmark S&P 500(R) Energy Index return of -25.69% by -12.90%. The Energy Equipment & Services industry was the top-contributing industry with a -14.9% contribution to the Fund's return. The Fund's holdings in the industry returned -47.5% at an average weighting of 29.9% over the period. On a relative basis, there were several securities in the Oil, Gas & Consumable Fuels and Energy Equipment & Services industries that contributed to the underperformance. In particular, Seadrill Ltd. (-74.7%, 2.7% average weighting), Exxon Mobil Corp. (-17.5%, 2.3% average weighting), Denbury Resources, Inc. (-76.2%, 2.0% average weighting), SandRidge Energy, Inc. (-81.9%, 0.9% average weighting), and Unit Corp. (-60.2%, 2.2% average weighting) contributed in sum -8.7% of the Fund's relative underperformance to the benchmark. Within the Oil, Gas & Consumable Fuels industry, the top-performing security held in the Fund, Tesoro Corp. (+61.1%), reversed 1.3% of the underperformance by being overweight 2.1% (2.7% versus 0.65%). ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Energy 97.52% Information Technology 2.48 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Valero Energy Corp. 3.44% Chevron Corp. 3.01 National Oilwell Varco, Inc. 2.86 Seadrill Ltd. 2.83 Marathon Petroleum Corp. 2.74 Helmerich & Payne, Inc. 2.69 Southwestern Energy Co. 2.68 SM Energy Co. 2.64 Antero Resources Corp. 2.63 Phillips 66 2.59 ------- Total 28.11% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell combined the Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index into one index, the Russell 1000(R) Energy Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Energy Index because this index did not exist until on or about September 18, 2008. The StrataQuant(R) Energy Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Energy AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Energy Index in connection with the trading of the Fund. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 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 7/31/15 9013 9506 16926 12144
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 161 1 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/10 - 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 - 7/31/15 90 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 14.39% 15.33% 4.16% 104.04% 39.88% Market Price 14.39% 15.34% 4.17% 104.12% 39.93% INDEX PERFORMANCE StrataQuant(R) Financials Index 15.20% 16.23% 5.08% 112.15% 50.33% Russell 1000(R) Index 11.24% 16.45% 6.60% 114.15% 69.26% S&P 500(R) Financials Index 14.40% 13.35% -2.74% 87.14% -20.41% Russell 1000(R) Financial Services Index(1) 15.95% 14.32% NA 95.25% NA ----------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXO's one-year NAV return of 14.39% underperformed the benchmark S&P 500(R) Financials Index return of 14.40% by -0.01%. The Insurance industry was the top-contributing industry with a 7.1% contribution to return. The Fund's holdings in the Insurance industry returned 21.2%, the second highest returning industry behind Real Estate Management & Development at 23.5%, and was the heaviest weighted industry at 34.5%. Top-performing securities in the industry were StanCorp Financial Group, Inc. (+92.7%), HCC Insurance Holdings, Inc. (+68.7%), and Chubb Corp. (+46.6%). On a relative basis, the Fund and benchmark were comparatively in line with each other. The Insurance industry created 1.7% of outperformance due to overweighting the industry by 17.7% and outperforming by 4.6%. The Real Estate Investment Trusts (REITs) industry took away -1.2% of outperformance due to being overweight 1.8%. Even though the industry had a positive return over the period in both the Fund (+6.5%) and the benchmark (+10.9%), the returns lagged the total benchmark return of 14.4%, causing the drag. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 88.11% Information Technology 9.89 Consumer Discretionary 1.01 Industrials 0.99 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Chubb (The) Corp. 1.24% Vantiv, Inc., Class A 1.09 Markel Corp. 1.06 Total System Services, Inc. 1.05 Travelers (The) Cos., Inc. 1.04 SEI Investments Co. 1.03 Global Payments, Inc. 1.03 Axis Capital Holdings Ltd. 1.02 Arch Capital Group Ltd. 1.01 Thomson Reuters Corp. 1.01 ------- Total 10.58% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Financial Services Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Financials Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Financials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Financials Index in connection with the trading of the Fund. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 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 7/31/15 13987 15034 16926 7959
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 200 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% 8/1/10 - 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 - 7/31/15 52 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 31.06% 26.59% 16.46% 225.12% 250.48% Market Price 31.11% 26.60% 16.47% 225.26% 250.63% INDEX PERFORMANCE StrataQuant(R) Health Care Index 31.97% 27.50% 17.34% 236.95% 272.96% Russell 1000(R) Index 11.24% 16.45% 6.60% 114.15% 69.26% S&P 500(R) Health Care Index 27.47% 24.19% 11.54% 195.43% 145.71% Russell 1000(R) Health Care Index(1) 29.28% 25.08% NA 206.12% NA ----------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXH's one-year NAV return of 31.06% outperformed the benchmark S&P 500(R) Health Care Index return of 27.47% by 3.59%. The Health Care Providers & Services industry was the Fund's top-contributing (+13.2%) and second best-performing (+33.4%) industry, while at an average weight of 40.3%. Second in terms of contribution was the Biotechnology industry, adding 8.9% of the Fund's return, with a total return of 48.9% and an average weight of 20.0% throughout the period. Standout names within the two industries were Centene Corp. in the Health Care Providers & Services industry, contributing 1.9% with a total return of 94.6%, and Pharmacyclics, Inc. in the Biotechnology industry, contributing 1.1% with a total return of 115.1%. On a relative basis, the Pharmaceuticals and Biotechnology industries led the way in adding to the outperformance versus the benchmark. Johnson & Johnson in the Pharmaceuticals industry contributed 2.5% of the outperformance due to being underweight compared to the benchmark by 10.0%, while the return of 2.9% lagged the benchmark return significantly. Several top-performing securities in the Biotechnology industry were not held by the benchmark, including Pharmacyclics, Inc. (mentioned earlier), causing in aggregate 3.9% of outperformance. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Intrexon Corp. 2.34% DexCom, Inc. 2.32 Health Net, Inc. 2.28 Omnicare, Inc. 2.25 HCA Holdings, Inc. 2.24 Universal Health Services, Inc., Class B 2.24 Acadia Healthcare Co., Inc. 2.23 UnitedHealth Group, Inc. 2.18 AmerisourceBergen Corp. 2.18 Tenet Healthcare Corp. 2.13 ------- Total 22.39% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Health Care Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Health Care Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Health Care AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Health Care Index in connection with the trading of the Fund. Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2015 First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund 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 7/31/15 35050 37293 16926 24576
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 220 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% 8/1/10 - 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 - 7/31/15 32 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 1.30% 14.85% 5.63% 99.86% 56.99% Market Price 1.37% 14.89% 5.64% 100.19% 57.04% INDEX PERFORMANCE StrataQuant(R) Industrials Index 1.88% 15.69% 6.41% 107.27% 66.81% Russell 1000(R) Index 11.24% 16.45% 6.60% 114.15% 69.26% S&P 500(R) Industrials Index 6.91% 14.79% 6.25% 99.29% 64.68% Russell 1000(R) Producer Durables Index(1) 7.72% 15.43% NA 104.94% NA ----------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXR's one-year NAV return of 1.30% underperformed the benchmark S&P 500(R) Industrials Index return of 6.91% by -5.61%. The Aerospace & Defense industry was the top-contributing industry in the Fund, with a 3.8% contribution to return. The Fund's holdings in the industry returned 28.4% and comprised an average weighting of 15.0%. The Airlines industry was the second best contributor. The Fund's holdings in the Airlines industry returned 8.5%, and had an average weight of 9.5%, resulting in a 0.9% contribution to return. The Buildings Products industry was the top-performing industry in the Fund, with a 49.0% return, but its average weight of 1.3% limited its contribution to 0.5%. Top-performing names were Alaska Air Group, Inc. (+74.2%) in the Airlines industry, Spirit AeroSystems Holdings, Inc. (+72.8%) in the Aerospace & Defense industry, and Middleby Corp. (+68.41%) in the Machinery industry. On a relative basis, the Machinery industry was the leading cause of the underperformance, accounting for -2.8%. The Fund was overweight in this industry at an average weight of 22.4% versus 14.9% and underperformed -11.1% versus 0.8%. Within the industry, several names contributed to the relative underperformance including: Joy Global, Inc. (-54.7%), Terex Corp. (-35.3%), SPX Corp. (-27.8%), and OshKosh Corp. (-19.9%). Some of the relative underperformance was reversed in the Fund by the Aerospace & Defense industry where the Fund was underweight the benchmark 15.0% versus 25.9%, but outperformed 28.3% versus 15.8%, respectively. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 87.91% Information Technology 9.03 Materials 1.69 Health Care 1.37 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Trinity Industries, Inc. 1.87% JetBlue Airways Corp. 1.87 Chicago Bridge & Iron Co. N.V. 1.79 Xerox Corp. 1.75 Macquarie Infrastructure Corp. 1.74 Spirit AeroSystems Holdings, Inc., Class A 1.72 HD Supply Holdings, Inc. 1.72 Avery Dennison Corp. 1.69 A.O. Smith Corp. 1.68 Textron, Inc. 1.65 ------- Total 17.48% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Producer Durables Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Industrials Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Industrials Index in connection with the trading of the Fund. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 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 7/31/15 15698 16682 16926 16469
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 167 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% 8/1/10 - 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 - 7/31/15 85 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV -4.36% 10.61% 6.79% 65.53% 71.67% Market Price -4.39% 10.60% 6.78% 65.48% 71.61% INDEX PERFORMANCE StrataQuant(R) Materials Index -3.75% 11.47% 7.60% 72.12% 82.75% Russell 1000(R) Index 11.24% 16.45% 6.60% 114.15% 69.26% S&P 500(R) Materials Index -4.23% 10.67% 4.20% 66.05% 40.30% Russell 1000(R) Materials and Processing Index(1) -2.90% 11.52% NA 72.50% NA ----------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXZ's one-year NAV return of -4.36% underperformed the benchmark S&P 500(R) Materials Index return of -4.23% by -0.13%. The Containers & Packaging industry was the top-contributing industry at 2.3% was held at an average weighting of 18.9% and returned 11.3% over the period. Securities in the Building Products industry, which are classified as being in the Industrials sector by Global Industry Classification Standard ("GICS(R)") rather than Materials as RGS classifies them, contributed 1.7% to the Fund's return. Likewise, the Electrical Equipment industry is classified differently by GICS(R) and RGS. The Electrical Equipment industry returned 88.2%, but only contributed 1.5% to the Fund's return due to its small weighting in the Fund at 2.1%. The Metals & Mining industry, which is weighted at 17.3%, returned -39.8% and contributed -8.1% to the Fund's performance. On a relative basis, the Fund lagged the benchmark primarily due to the Chemicals industry. Within the Chemicals industry, the Fund performed -1.6% worse than the benchmark (-1.3% versus the benchmark 0.3%). Because the Fund was underweight in the Chemicals industry relative to the benchmark and the Chemicals industry was the second top-performing industry, this caused a -2.8% drag. Much of the underperformance from the Chemicals industry was reversed by the Building Products industry, where the Fund had a weighting of 6.5% and returned 29.9%, causing 2.1% of outperformance. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Materials 78.69% Industrials 21.31 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Acuity Brands, Inc. 3.82% Sealed Air Corp. 3.54 Reliance Steel & Aluminum Co. 3.43 Domtar Corp. 3.36 Steel Dynamics, Inc. 3.31 Cabot Corp. 3.23 Mosaic (The) Co. 3.14 Westlake Chemical Corp. 3.12 Cytec Industries, Inc. 3.05 Martin Marietta Materials, Inc. 2.76 ------- Total 32.76% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Materials and Processing Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Materials Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Materials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Materials Index in connection with the trading of the Fund. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 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 7/31/15 17168 18274 16926 14029
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 163 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% 8/1/10 - 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 - 7/31/15 89 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 10.72% 14.38% 7.21% 95.77% 77.37% Market Price 10.74% 14.38% 7.22% 95.78% 77.47% INDEX PERFORMANCE StrataQuant(R) Technology Index 11.43% 15.26% 8.10% 103.45% 89.84% Russell 1000(R) Index 11.24% 16.45% 6.60% 114.15% 69.26% S&P 500(R) Information Technology Index 12.77% 16.69% 9.25% 116.40% 107.09% Russell 1000(R) Technology Index(1) 10.79% 15.61% NA 106.52% NA ----------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXL's one-year NAV return of 10.72% underperformed the benchmark S&P 500(R) Information Technology Index return of 12.77% by -2.05%. The Software industry was the leading contributor with a 5.1% contribution. The industry was held at an average weighting of 20.2% and returned 26.3% over the period. The Communications Equipment industry was the top performing industry with a 30.3% return and 2.9% contribution to return. On a relative basis, the Technology Hardware Storage & Peripherals industry produced the most underperformance. The industry was held at an average weighting of 9.6% and returned -11.9%. Because the Fund was underweight by 14.9% and underperformed by -30.0%, -3.7% of drag was created. Apple, Inc. was the main security causing the drag in this industry as the Fund was significantly underweight in the security at 1.5% versus the benchmark 19.2%. Apple, Inc. returned 29.1% over the period which caused -2.6% of relative underperformance. The Software industry reversed 2.5% of the drag due to being overweight by 1.1% and outperforming by 14.0%. Fortinet, Inc. and Electronic Arts, Inc. each reversed about 0.9% of underperformance in the Software industry due to their higher weighting and strong performance at 94.5% and 112.9%, respectively. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 98.73% Health Care 0.86 Telecommunication Services 0.41 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Fortinet, Inc. 2.29% Western Digital Corp. 2.17 Electronic Arts, Inc. 2.13 Palo Alto Networks, Inc. 2.10 Arrow Electronics, Inc. 2.06 Arista Networks, Inc. 2.04 Avnet, Inc. 2.01 Micron Technology, Inc. 1.94 Intel Corp. 1.88 Corning, Inc. 1.87 ------- Total 20.49% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Technology Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Technology Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Technology AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Technology Index in connection with the trading of the Fund. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 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 7/31/15 17738 18982 16926 20708
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 177 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% 8/1/10 - 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 - 7/31/15 75 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 5.77% 11.59% 4.97% 73.03% 49.08% Market Price 5.77% 11.57% 4.97% 72.91% 49.06% INDEX PERFORMANCE StrataQuant(R) Utilities Index 6.45% 12.57% 5.89% 80.73% 60.16% Russell 1000(R) Index 11.24% 16.45% 6.60% 114.15% 69.26% S&P 500(R) Utilities Index 10.47% 12.15% 4.61% 77.42% 44.94% Russell 1000(R) Utilities Index(1) 4.06% 12.05% NA 76.65% NA ----------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXU's one-year NAV return of 5.77% underperformed the benchmark S&P 500(R) Utilities Index return of 10.47% by -4.70%. Electric Utilities and Multi-Utilities were the leading contributors to the Fund's performance, with returns of 4.3% and 4.1%, respectively. Among the Electric Utilities industry, Hawaiian Electric Industries, Inc. contributed 0.7% of the Fund's return with a 44.2% return and an average weight of 0.9% throughout the period. Among the Multi-Utilities industry, SCANA Corp. contributed 0.8% of the Fund's return with a 12.1% return and an average weight of 3.4% throughout the period. On a relative basis, the Fund lagged the benchmark due to the Telecommunication Services sector, which comprised an average weighting of 18.8%, returned 0.7%, and contributed -2.3% to the Fund's return. The Fund lost an additional -1.6% from Windstream Holdings, Inc., which is classified as being in the Financials sector by GICS(R). Windstream Holdings, Inc. was held at an average weighting of 1.4% and returned -25.6% throughout the period. Due to differences between GICS(R) and RGS classification methodologies, the benchmark does not have any exposure to the lagging Telecommunication Services or Financial sectors. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Utilities 90.71% Telecommunication Services 9.29 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- SCANA Corp. 4.28% Great Plains Energy, Inc. 4.28 Edison International 4.27 PPL Corp. 4.27 Public Service Enterprise Group, Inc. 4.20 Exelon Corp. 4.04 Calpine Corp. 4.03 CenturyLink, Inc. 3.85 Westar Energy, Inc. 3.48 Ameren Corp. 3.45 ------- Total 40.15% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Utilities Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Utilities Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Utilities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Utilities Index in connection with the trading of the Fund. Page 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 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 15906 17032 15878 15666 7/31/15 14907 16015 16926 14497
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 136 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/10 - 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 - 7/31/15 116 0 0 0 Page 21 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading) the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 22 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES JULY 31, 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 July 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 FEBRUARY 1, 2015 JULY 31, 2015 PERIOD PERIOD (a) --------------------------------------------------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) Actual $1,000.00 $1,081.20 0.63% $3.25 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) Actual $1,000.00 $1,088.20 0.62% $3.21 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) Actual $1,000.00 $ 853.60 0.63% $2.90 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) Actual $1,000.00 $1,097.00 0.63% $3.28 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) Actual $1,000.00 $1,137.90 0.62% $3.29 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
Page 23 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2015 (UNAUDITED)
--------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2015 JULY 31, 2015 PERIOD PERIOD (a) --------------------------------------------------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) Actual $1,000.00 $1,009.60 0.64% $3.19 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) Actual $1,000.00 $1,030.20 0.64% $3.22 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) Actual $1,000.00 $1,048.60 0.64% $3.25 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) Actual $1,000.00 $ 937.20 0.67% $3.22 Hypothetical (5% return before expenses) $1,000.00 $1,021.47 0.67% $3.36
(a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2015 through July 31, 2015), multiplied by 181/365 (to reflect the one-half year period). Page 24 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AUTO COMPONENTS -- 5.3% 227,381 Delphi Automotive PLC $ 17,753,908 1,571,121 Gentex Corp. 25,263,626 1,069,558 Goodyear Tire & Rubber (The) Co. 32,225,783 125,395 Johnson Controls, Inc. 5,712,996 287,257 Lear Corp. 29,894,836 245,739 Visteon Corp. (a) 24,458,403 --------------- 135,309,552 --------------- AUTOMOBILES -- 3.2% 859,351 Ford Motor Co. 12,744,175 774,007 General Motors Co. 24,388,961 228,903 Harley-Davidson, Inc. 13,345,045 96,168 Tesla Motors, Inc. (a) (b) 25,595,113 110,357 Thor Industries, Inc. 6,166,749 --------------- 82,240,043 --------------- BUILDING PRODUCTS -- 0.3% 135,540 Fortune Brands Home & Security, Inc. 6,472,035 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.5% 344,893 KAR Auction Services, Inc. 13,426,684 --------------- DISTRIBUTORS -- 1.6% 69,363 Genuine Parts Co. 6,169,839 1,066,193 LKQ Corp. (a) 33,542,432 --------------- 39,712,271 --------------- DIVERSIFIED CONSUMER SERVICES -- 4.6% 49,648 Graham Holdings Co., Class B 34,235,275 435,036 H&R Block, Inc. 14,482,348 1,095,726 Service Corp. International 33,430,600 891,549 ServiceMaster Global Holdings, Inc. (a) 34,529,693 --------------- 116,677,916 --------------- FOOD & STAPLES RETAILING -- 1.0% 45,991 Costco Wholesale Corp. 6,682,492 272,777 Wal-Mart Stores, Inc. 19,634,489 --------------- 26,316,981 --------------- HOTELS, RESTAURANTS & LEISURE -- 8.6% 416,500 Aramark 13,253,030 107,734 Brinker International, Inc. 6,453,267 261,166 Carnival Corp. 13,917,536 362,944 Darden Restaurants, Inc. 26,770,749 284,368 Domino's Pizza, Inc. 32,372,453 351,791 Dunkin' Brands Group, Inc. 18,958,017 225,432 Hilton Worldwide Holdings, Inc. (a) 6,052,849 227,530 Hyatt Hotels Corp., Class A (a) 12,703,000 83,484 Marriott International, Inc., Class A 6,061,773 460,348 Norwegian Cruise Line Holdings Ltd. (a) 28,734,922 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 73,802 Panera Bread Co., Class A (a) $ 15,064,464 481,172 Starbucks Corp. 27,874,294 143,198 Yum! Brands, Inc. 12,567,057 --------------- 220,783,411 --------------- HOUSEHOLD DURABLES -- 10.8% 707,176 D.R. Horton, Inc. 20,996,055 141,374 Garmin Ltd. 5,924,984 244,671 GoPro, Inc., Class A (a) 15,194,069 108,448 Harman International Industries, Inc. 11,675,512 498,509 Jarden Corp. (a) 27,417,995 662,439 Leggett & Platt, Inc. 31,671,209 505,443 Lennar Corp., Class A 26,808,697 101,350 Mohawk Industries, Inc. (a) 20,431,147 470,645 Newell Rubbermaid, Inc. 20,369,516 14,432 NVR, Inc. (a) 21,504,257 640,145 PulteGroup, Inc. 13,263,804 391,470 Tempur Sealy International, Inc. (a) 29,575,559 506,632 Toll Brothers, Inc. (a) 19,718,117 96,229 Tupperware Brands Corp. 5,626,510 35,891 Whirlpool Corp. 6,378,907 --------------- 276,556,338 --------------- INTERNET & CATALOG RETAIL -- 5.0% 74,288 Amazon.com, Inc. (a) 39,829,511 294,896 Expedia, Inc. 35,812,170 223,804 Liberty Interactive Corp., Class A (a) 6,501,506 343,607 Netflix, Inc. (a) 39,277,716 71,270 TripAdvisor, Inc. (a) 5,657,413 --------------- 127,078,316 --------------- INTERNET SOFTWARE & SERVICES -- 0.8% 508,750 eBay, Inc. (a) 14,306,050 199,573 HomeAway, Inc. (a) 5,995,173 --------------- 20,301,223 --------------- LEISURE PRODUCTS -- 3.5% 380,423 Brunswick Corp. 20,196,657 431,170 Hasbro, Inc. 33,950,326 502,093 Mattel, Inc. 11,653,578 130,636 Polaris Industries, Inc. 17,904,970 138,317 Vista Outdoor, Inc. (a) 6,524,413 --------------- 90,229,944 --------------- MACHINERY -- 0.2% 50,194 WABCO Holdings, Inc. (a) 6,197,453 --------------- MEDIA -- 14.3% 393,979 AMC Networks, Inc., Class A (a) 33,180,911 1,347,002 Cablevision Systems Corp., Class A 38,012,396 See Notes to Financial Statements Page 25 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 36,272 Charter Communications, Inc., Class A (a) (b) $ 6,741,514 321,725 Comcast Corp., Class A 20,078,857 581,726 Discovery Communications, Inc., Class A (a) 19,208,593 237,240 John Wiley & Sons, Inc., Class A 12,576,092 348,143 Lions Gate Entertainment Corp. 13,640,243 703,825 Live Nation Entertainment, Inc. (a) 18,454,291 74,390 Madison Square Garden (The) Co., Class A (a) 6,204,126 1,326,134 News Corp., Class A (a) 19,533,954 1,665,028 Sirius XM Holdings, Inc. (a) 6,593,511 432,656 Starz, Class A (a) 17,500,935 1,005,529 TEGNA, Inc. 29,291,060 144,799 Time Warner Cable, Inc. 27,513,258 71,048 Time Warner, Inc. 6,255,066 603,991 Tribune Media Co., Class A 30,495,506 990,845 Twenty-First Century Fox, Inc., Class A 34,174,244 226,014 Walt Disney (The) Co. 27,121,680 --------------- 366,576,237 --------------- MULTILINE RETAIL -- 5.5% 306,565 Dillard's, Inc., Class A 31,232,842 331,842 Dollar General Corp. 26,670,141 244,952 Dollar Tree, Inc. (a) 19,113,605 412,040 Kohl's Corp. 25,266,293 191,182 Macy's, Inc. 13,203,029 83,360 Nordstrom, Inc. 6,361,202 237,020 Target Corp. 19,400,087 --------------- 141,247,199 --------------- PERSONAL PRODUCTS -- 2.0% 806,933 Coty, Inc., Class A 21,569,319 148,850 Estee Lauder (The) Cos., Inc., Class A 13,264,024 410,531 Nu Skin Enterprises, Inc., Class A 16,277,554 --------------- 51,110,897 --------------- REAL ESTATE INVESTMENT TRUSTS -- 1.3% 1,277,616 Outfront Media, Inc. 32,106,490 --------------- SPECIALTY RETAIL -- 21.4% 890,555 Aaron's, Inc. 32,932,724 161,954 Advance Auto Parts, Inc. 28,214,006 307,210 AutoNation, Inc. (a) 19,151,471 19,343 AutoZone, Inc. (a) 13,558,282 90,029 Bed Bath & Beyond, Inc. (a) 5,872,592 791,102 Best Buy Co., Inc. 25,544,684 258,080 Cabela's, Inc. (a) 11,466,494 292,224 CarMax, Inc. (a) 18,851,370 330,226 CST Brands, Inc. 12,508,961 373,738 Dick's Sporting Goods, Inc. 19,053,163 579,815 DSW, Inc., Class A 18,855,584 481,237 Foot Locker, Inc. 33,951,270 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 750,629 GameStop Corp., Class A (b) $ 34,416,340 116,064 Home Depot (The), Inc. 13,582,970 72,440 L Brands, Inc. 5,847,357 92,730 Lowe's Cos., Inc. 6,431,753 718,996 Michaels (The) Cos., Inc. (a) 18,219,359 577,697 Murphy USA, Inc. (a) 31,634,688 114,161 O'Reilly Automotive, Inc. (a) 27,434,030 2,978,952 Office Depot, Inc. (a) 23,831,616 495,058 Penske Automotive Group, Inc. 26,733,132 265,357 Ross Stores, Inc. 14,106,378 196,665 Sally Beauty Holdings, Inc. (a) 5,858,650 100,587 Signet Jewelers Ltd. 12,193,156 67,657 Tiffany & Co. 6,474,775 93,863 TJX (The) Cos., Inc. 6,553,515 286,832 Tractor Supply Co. 26,537,697 167,025 Ulta Salon, Cosmetics & Fragrance, Inc. (a) 27,731,161 235,184 Williams-Sonoma, Inc. 19,910,677 --------------- 547,457,855 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 10.0% 303,360 Carter's, Inc. 30,763,738 372,698 Coach, Inc. 11,628,178 464,920 Fossil Group, Inc. (a) 31,963,250 774,242 Hanesbrands, Inc. 24,024,729 296,296 lululemon athletica, Inc. (a) 18,625,167 238,823 NIKE, Inc., Class B 27,517,186 111,964 PVH Corp. 12,992,303 194,905 Ralph Lauren Corp. 24,536,590 293,716 Skechers U.S.A., Inc., Class A (a) 44,189,572 309,180 Under Armour, Inc., Class A (a) 30,710,849 --------------- 256,951,562 --------------- TOTAL COMMON STOCKS -- 99.9% 2,556,752,407 (Cost $2,358,096,607) --------------- MONEY MARKET FUNDS -- 0.9% 19,066,899 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 19,066,899 3,956,460 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 3,956,460 --------------- TOTAL MONEY MARKET FUNDS -- 0.9% 23,023,359 (Cost $23,023,359) --------------- Page 26 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 PRINCIPAL VALUE DESCRIPTION VALUE ----------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.9% $5,974,944 JPMorgan Chase & Co., 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $5,974,994. Collateralized by U.S. Treasury Note, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $6,135,999. (d) $ 5,974,944 17,157,055 RBC Capital Markets LLC, 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $17,157,197. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including accrued interest is $17,553,947. (d) 17,157,055 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.9% 23,131,999 (Cost $23,131,999) --------------- TOTAL INVESTMENTS -- 101.7% 2,602,907,765 (Cost $2,404,251,965) (e) NET OTHER ASSETS AND LIABILITIES -- (1.7)% (43,236,848) --------------- NET ASSETS -- 100.0% $ 2,559,670,917 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $41,069,201 and the total value of the collateral held by the Fund is $42,198,898. (c) Interest rate shown reflects yield as of July 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $2,413,163,049. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $243,566,737 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $53,822,021. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $2,556,752,407 $ -- $ -- Money Market Funds 23,023,359 -- -- Repurchase Agreements -- 23,131,999 -- ---------------------------------------- Total Investments $2,579,775,766 $23,131,999 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 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) $ 41,069,201 Non-cash Collateral(2) (41,069,201) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 23,131,999 Non-cash Collateral(4) (23,131,999) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 27 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% BEVERAGES -- 11.7% 529,088 Brown-Forman Corp., Class B $ 57,358,430 913,650 Constellation Brands, Inc., Class A 109,656,273 727,053 Dr Pepper Snapple Group, Inc. 58,324,192 332,150 Molson Coors Brewing Co., Class B 23,629,151 593,196 Monster Beverage Corp. (a) 91,085,246 --------------- 340,053,292 --------------- FOOD & STAPLES RETAILING -- 21.3% 1,263,368 CVS Health Corp. 142,090,999 2,923,826 Kroger (The) Co. 114,730,932 12,694,925 Rite Aid Corp. (a) 113,111,782 1,468,194 Sysco Corp. 53,310,124 1,255,370 Walgreens Boots Alliance, Inc. 121,306,403 2,015,769 Whole Foods Market, Inc. 73,373,992 --------------- 617,924,232 --------------- FOOD PRODUCTS -- 47.6% 2,747,900 Archer-Daniels-Midland Co. 130,305,418 905,507 Bunge Ltd. 72,304,734 1,112,308 Campbell Soup Co. 54,847,907 3,030,717 ConAgra Foods, Inc. 133,533,391 2,505,974 Flowers Foods, Inc. 54,279,397 416,127 General Mills, Inc. 24,222,753 2,011,896 Hain Celestial Group (The), Inc. (a) 136,768,690 1,410,347 Hormel Foods Corp. 83,506,646 1,328,167 Ingredion, Inc. 117,144,329 213,902 J.M. Smucker (The) Co. 23,890,714 1,158,233 Kraft Heinz (The) Co. 92,044,776 654,755 McCormick & Co., Inc. 53,696,458 4,614,801 Pilgrim's Pride Corp. (b) 99,864,294 509,186 Pinnacle Foods, Inc. 22,887,911 3,108,201 Tyson Foods, Inc., Class A 137,848,714 2,710,814 WhiteWave Foods (The) Co. (a) 139,932,219 --------------- 1,377,078,351 --------------- HOUSEHOLD PRODUCTS -- 6.5% 285,842 Church & Dwight Co., Inc. 24,676,740 677,441 Procter & Gamble (The) Co. 51,959,725 1,039,321 Spectrum Brands Holdings, Inc. 110,116,060 --------------- 186,752,525 --------------- PERSONAL PRODUCTS -- 7.0% 1,358,308 Edgewell Personal Care Co. 130,003,658 1,443,126 Herbalife Ltd. (a) (b) 72,863,432 --------------- 202,867,090 --------------- SPECIALTY RETAIL -- 0.9% 521,287 GNC Holdings, Inc., Class A 25,652,533 --------------- TOBACCO -- 4.9% 474,085 Altria Group, Inc. 25,780,742 289,216 Philip Morris International, Inc. 24,736,645 1,064,823 Reynolds American, Inc. 91,351,165 --------------- 141,868,552 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- TOTAL COMMON STOCKS -- 99.9% $ 2,892,196,575 (Cost $2,649,606,302) --------------- RIGHTS -- 0.0% FOOD & STAPLES RETAILING -- 0.0% 5,790 Safeway Casa Ley, SA CVR (a) (c) 5,876 5,790 Safeway PDC, LLC CVR (a) (c) 283 --------------- TOTAL RIGHTS -- 0.0% 6,159 (Cost $6,008) --------------- MONEY MARKET FUNDS -- 2.1% 59,217,611 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (d) (e) 59,217,611 1,428,222 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (d) 1,428,222 --------------- TOTAL MONEY MARKET FUNDS -- 2.1% 60,645,833 (Cost $60,645,833) --------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 2.5% $18,556,867 JPMorgan Chase & Co., 0.10% (d), dated 07/31/15, due 08/03/15, with a maturity value of $18,557,022. Collateralized by U.S. Treasury Note, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $19,057,067. (e) 18,556,867 53,286,052 RBC Capital Markets LLC, 0.10% (d), dated 07/31/15, due 08/03/15, with a maturity value of $53,286,496. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including accrued interest is $54,518,712. (e) 53,286,052 --------------- TOTAL REPURCHASE AGREEMENTS -- 2.5% 71,842,919 (Cost $71,842,919) --------------- TOTAL INVESTMENTS -- 104.5% 3,024,691,486 (Cost $2,782,101,062) (f) NET OTHER ASSETS AND LIABILITIES -- (4.5)% (130,332,531) --------------- NET ASSETS -- 100.0% $ 2,894,358,955 =============== Page 28 See Notes to Financial Statements FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $126,603,458 and the total value of the collateral held by the Fund is $131,060,530. (c) This investment is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees and in accordance with provisions of the Investment Company Act of 1940, as amended. At July 31, 2015, securities noted as such amounted to $6,159 or 0.00% of net assets. (d) Interest rate shown reflects yield as of July 31, 2015. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for federal income tax purposes is $2,801,509,457. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $299,429,823 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $76,247,794. CVR - Contingent Value Rights ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $2,892,196,575 $ -- $ -- Rights* -- 6,159 -- Money Market Funds 60,645,833 -- -- Repurchase Agreements -- 71,842,919 -- ---------------------------------------- Total Investments $2,952,842,408 $71,849,078 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 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) $126,603,458 Non-cash Collateral(2) (126,603,458) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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 enforceable Master Repurchase Agreements. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 71,842,919 Non-cash Collateral(4) (71,842,919) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 29 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% ENERGY EQUIPMENT & SERVICES -- 30.3% 73,539 Baker Hughes, Inc. $ 4,276,293 175,834 Diamond Offshore Drilling, Inc. (a) 3,859,556 120,615 Dril-Quip, Inc. (b) 7,045,122 109,411 FMC Technologies, Inc. (b) 3,584,304 361,353 Frank's International N.V. 5,850,305 158,079 Halliburton Co. 6,606,121 161,115 Helmerich & Payne, Inc. 9,302,780 157,260 Nabors Industries Ltd. 1,825,789 234,974 National Oilwell Varco, Inc. 9,899,455 294,901 Noble Corp. PLC (a) 3,524,067 194,869 Oceaneering International, Inc. 7,798,657 482,416 Patterson-UTI Energy, Inc. 7,952,628 214,951 Rowan Cos. PLC, Class A 3,703,606 656,290 RPC, Inc. (a) 8,072,367 52,562 Schlumberger Ltd. 4,353,185 1,097,305 Seadrill Ltd. (a) 9,776,987 431,392 Superior Energy Services, Inc. 7,333,664 --------------- 104,764,886 --------------- OIL, GAS & CONSUMABLE FUELS -- 67.1% 330,390 Antero Resources Corp. (a) (b) 9,089,029 71,938 Cabot Oil & Gas Corp. 1,881,898 751,427 California Resources Corp. 3,178,536 203,121 Chesapeake Energy Corp. (a) 1,759,028 117,588 Chevron Corp. 10,404,186 39,877 Concho Resources, Inc. (b) 4,249,293 110,862 ConocoPhillips 5,580,793 313,100 CONSOL Energy, Inc. 5,172,412 53,519 Continental Resources, Inc. (b) 1,788,070 1,783,981 Denbury Resources, Inc. (a) 7,028,885 60,233 Diamondback Energy, Inc. (b) 4,053,681 33,252 Energen Corp. 1,835,510 77,772 EOG Resources, Inc. 6,003,221 891,324 EP Energy Corp., Class A (a) (b) 7,460,382 27,923 EQT Corp. 2,145,883 109,068 Exxon Mobil Corp. 8,639,276 225,561 Gulfport Energy Corp. (b) 7,389,378 101,776 Hess Corp. 6,005,802 106,304 HollyFrontier Corp. 5,130,231 269,206 Kosmos Energy Ltd. (b) 1,938,283 901,949 Laredo Petroleum, Inc. (a) (b) 7,729,703 256,527 Marathon Oil Corp. 5,389,632 173,554 Marathon Petroleum Corp. 9,488,197 119,632 Memorial Resource Development Corp. (b) 1,830,370 272,984 Murphy Oil Corp. 8,951,145 188,454 Newfield Exploration Co. (b) 6,179,407 212,674 Noble Energy, Inc. 7,492,505 112,681 Phillips 66 8,958,139 49,088 Pioneer Natural Resources Co. 6,222,886 245,195 QEP Resources, Inc. 3,403,307 SHARES DESCRIPTION VALUE ----------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 183,846 Range Resources Corp. $ 7,232,502 108,984 Rice Energy, Inc. (b) 1,967,161 246,014 SM Energy Co. 9,119,739 499,185 Southwestern Energy Co. (b) 9,284,841 69,632 Spectra Energy Corp. 2,107,064 80,673 Tesoro Corp. 7,852,710 181,268 Valero Energy Corp. 11,891,181 202,657 Whiting Petroleum Corp. (b) 4,152,442 79,123 Williams (The) Cos., Inc. 4,152,375 47,407 World Fuel Services Corp. 1,927,095 739,199 WPX Energy, Inc. (b) 6,431,031 --------------- 232,497,209 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.5% 144,942 First Solar, Inc. (b) 6,420,931 79,909 SunPower Corp. (a) (b) 2,159,940 --------------- 8,580,871 --------------- TOTAL COMMON STOCKS -- 99.9% 345,842,966 (Cost $440,850,327) --------------- MONEY MARKET FUNDS -- 6.1% 20,718,132 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 20,718,132 409,239 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class -0.03% (c) 409,239 --------------- TOTAL MONEY MARKET FUNDS -- 6.1% 21,127,371 (Cost $21,127,371) --------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 7.2% $6,492,387 JPMorgan Chase & Co., 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $6,492,441. Collateralized by U.S. Treasury Notes, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $6,667,389. (d) 6,492,387 Page 30 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 PRINCIPAL VALUE DESCRIPTION VALUE ----------------------------------------------------------- REPURCHASE AGREEMENTS (CONTINUED) $18,642,891 RBC Capital Markets LLC, 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $18,643,046. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including accrued interest is $19,074,155. (d) $ 18,642,891 --------------- TOTAL REPURCHASE AGREEMENTS -- 7.2% 25,135,278 (Cost $25,135,278) --------------- TOTAL INVESTMENTS -- 113.2% 392,105,615 (Cost $487,112,976) (e) NET OTHER ASSETS AND LIABILITIES -- (13.2)% (45,813,723) --------------- NET ASSETS -- 100.0% $ 346,291,892 =============== (a) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $42,960,141 and the total value of the collateral held by the Fund is $45,853,410. (b) Non-income producing security. (c) Interest rate shown reflects yield as of July 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $494,214,967. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,877,709 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $103,987,061. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 345,842,966 $ -- $ -- Money Market Funds 21,127,371 -- -- Repurchase Agreements -- 25,135,278 -- ---------------------------------------- Total Investments $ 366,970,337 $25,135,278 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 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) $ 42,960,141 Non-cash Collateral(2) (42,960,141) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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 enforceable Master Repurchase Agreements. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 25,135,278 Non-cash Collateral(4) (25,135,278) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 31 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% BANKS -- 13.5% 301,478 Associated Banc-Corp. $ 5,942,131 239,377 Bank of America Corp. 4,280,061 55,060 BankUnited, Inc. 2,010,791 151,618 BB&T Corp. 6,105,657 58,440 BOK Financial Corp. 3,883,922 219,088 CIT Group, Inc. 10,305,900 73,747 Citigroup, Inc. 4,311,250 149,069 Citizens Financial Group, Inc. 3,886,229 21,888 City National Corp. 1,967,950 79,396 Comerica, Inc. 3,765,752 42,314 Commerce Bancshares, Inc. 1,992,566 25,168 Cullen/Frost Bankers, Inc. 1,823,422 44,158 East West Bancorp, Inc. 1,976,512 391,363 Fifth Third Bancorp 8,246,018 540,343 Huntington Bancshares, Inc. 6,305,803 90,312 JPMorgan Chase & Co. 6,189,081 271,259 KeyCorp 4,025,484 32,614 M&T Bank Corp. 4,277,326 42,324 PacWest Bancorp 1,959,178 251,323 People's United Financial, Inc. 4,089,025 85,182 PNC Financial Services Group (The), Inc. 8,363,169 589,911 Regions Financial Corp. 6,129,175 55,672 Signature Bank (a) 8,105,287 142,176 SunTrust Banks, Inc. 6,304,084 42,454 SVB Financial Group (a) 6,075,167 367,931 TCF Financial Corp. 6,056,144 93,863 U.S. Bancorp 4,243,546 108,785 Wells Fargo & Co. 6,295,388 192,566 Zions Bancorporation 6,006,134 --------------- 144,922,152 --------------- CAPITAL MARKETS -- 9.8% 18,645 Affiliated Managers Group, Inc. (a) 3,876,295 15,840 Ameriprise Financial, Inc. 1,990,613 42,609 Artisan Partners Asset Management, Inc., Class A 2,034,580 145,731 Bank of New York Mellon (The) Corp. 6,324,725 5,605 BlackRock, Inc. 1,885,074 187,164 Charles Schwab (The) Corp. 6,528,280 59,094 Federated Investors, Inc., Class B 1,992,059 207,741 Franklin Resources, Inc. 9,462,603 39,040 Goldman Sachs Group (The), Inc. 8,005,933 196,055 Interactive Brokers Group, Inc., Class A 7,871,608 163,020 Invesco Ltd. 6,292,572 144,872 Lazard Ltd., Class A (b) 8,027,357 79,058 Legg Mason, Inc. 3,900,722 131,468 LPL Financial Holdings, Inc. (c) 6,198,716 51,014 Morgan Stanley 1,981,384 33,204 Raymond James Financial, Inc. 1,959,036 207,741 SEI Investments Co. 11,074,673 52,916 State Street Corp. 4,051,249 SHARES DESCRIPTION VALUE ----------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 110,232 TD Ameritrade Holding Corp. $ 4,048,821 172,223 Waddell & Reed Financial, Inc., Class A 7,734,535 --------------- 105,240,835 --------------- CONSUMER FINANCE -- 6.1% 454,101 Ally Financial, Inc. (a) 10,339,880 52,309 American Express Co. 3,978,622 92,637 Capital One Financial Corp. 7,531,388 41,375 Credit Acceptance Corp. (a) 9,938,689 105,947 Discover Financial Services 5,912,902 447,588 Navient Corp. 7,027,132 398,323 Santander Consumer USA Holdings, Inc. (a) 9,631,450 133,125 Springleaf Holdings, Inc. (a) 6,724,144 123,707 Synchrony Financial (a) (c) 4,250,572 --------------- 65,334,779 --------------- DIVERSIFIED FINANCIAL SERVICES -- 5.4% 59,867 Berkshire Hathaway, Inc., Class B (a) 8,545,416 21,271 CME Group, Inc. 2,042,867 18,209 Intercontinental Exchange, Inc. 4,152,380 335,621 Leucadia National Corp. 7,893,806 60,844 McGraw Hill Financial, Inc. 6,190,877 75,467 Moody's Corp. 8,333,821 132,506 MSCI, Inc. 9,031,609 40,545 NASDAQ OMX Group (The), Inc. 2,069,011 219,186 Voya Financial, Inc. 10,290,783 --------------- 58,550,570 --------------- INSURANCE -- 33.7% 80,140 ACE Ltd. 8,716,828 130,998 Aflac, Inc. 8,390,422 17,374 Alleghany Corp. (a) 8,446,023 235,658 Allied World Assurance Co Holdings AG 9,958,907 125,601 Allstate (The) Corp. 8,660,189 93,953 American Financial Group, Inc. 6,478,059 164,768 American International Group, Inc. 10,564,924 155,467 AmTrust Financial Services, Inc. (c) 10,806,511 40,985 Aon PLC 4,130,058 152,107 Arch Capital Group Ltd. (a) 10,854,356 172,261 Arthur J. Gallagher & Co. 8,170,339 212,626 Aspen Insurance Holdings Ltd. 10,225,184 91,200 Assurant, Inc. 6,803,520 424,691 Assured Guaranty Ltd. 10,387,942 190,841 Axis Capital Holdings Ltd. 10,984,808 185,992 Brown & Brown, Inc. 6,221,432 107,044 Chubb (The) Corp. 13,308,781 121,802 Cincinnati Financial Corp. 6,724,688 155,037 Endurance Specialty Holdings Ltd. 10,773,521 55,946 Everest Re Group Ltd. 10,244,832 275,353 FNF Group 10,763,549 Page 32 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 110,071 Hanover Insurance Group (The), Inc. $ 8,899,240 147,014 Hartford Financial Services Group (The), Inc. 6,990,516 79,546 HCC Insurance Holdings, Inc. 6,137,769 103,206 Lincoln National Corp. 5,812,562 105,804 Loews Corp. 4,032,190 12,835 Markel Corp. (a) 11,419,941 71,842 Marsh & McLennan Cos., Inc. 4,162,526 35,575 Mercury General Corp. 2,008,209 145,547 MetLife, Inc. 8,112,790 391,016 Old Republic International Corp. 6,541,698 79,267 PartnerRe Ltd. 10,777,141 119,166 Principal Financial Group, Inc. 6,614,905 220,538 ProAssurance Corp. 10,649,780 219,480 Progressive (The) Corp. 6,694,140 46,547 Prudential Financial, Inc. 4,112,893 85,875 Reinsurance Group of America, Inc. 8,288,655 100,341 RenaissanceRe Holdings Ltd. 10,766,589 80,821 StanCorp Financial Group, Inc. 9,215,210 104,979 Torchmark Corp. 6,467,756 105,364 Travelers (The) Cos., Inc. 11,181,228 55,350 Unum Group 1,983,744 231,545 Validus Holdings Ltd. 10,732,111 156,922 W. R. Berkley Corp. 8,743,694 --------------- 361,960,160 --------------- IT SERVICES -- 9.1% 13,950 Alliance Data Systems Corp. (a) 3,836,808 81,349 Broadridge Financial Solutions, Inc. 4,414,810 256,611 CoreLogic, Inc. (a) 10,120,738 65,922 Fidelity National Information Services, Inc. 4,313,276 98,366 Fiserv, Inc. (a) 8,544,071 39,045 FleetCor Technologies, Inc. (a) 6,044,947 98,453 Global Payments, Inc. 11,035,597 30,576 Jack Henry & Associates, Inc. 2,136,039 87,169 MasterCard, Inc., Class A 8,490,261 243,850 Total System Services, Inc. 11,270,747 266,707 Vantiv, Inc., Class A (a) 11,735,108 60,671 Visa, Inc., Class A 4,570,953 200,392 Western Union (The) Co. 4,055,934 71,505 WEX, Inc. (a) 7,296,370 --------------- 97,865,659 --------------- MEDIA -- 1.0% 267,546 Thomson Reuters Corp. 10,822,236 --------------- PROFESSIONAL SERVICES -- 1.0% 16,333 Dun & Bradstreet (The) Corp. 2,037,869 83,940 Equifax, Inc. 8,572,792 --------------- 10,610,661 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS -- 16.4% 21,216 American Tower Corp. $ 2,017,854 53,581 Apartment Investment & Management Co., Class A 2,093,946 12,380 AvalonBay Communities, Inc. 2,133,569 210,682 BioMed Realty Trust, Inc. 4,538,090 54,862 Camden Property Trust 4,368,661 251,485 CBL & Associates Properties, Inc. 4,109,265 742,937 Chimera Investment Corp. 10,571,994 80,591 Columbia Property Trust, Inc. 1,947,079 246,319 Corrections Corp. of America 8,663,039 50,724 Crown Castle International Corp. 4,154,803 61,213 Digital Realty Trust, Inc. 3,934,160 115,988 Empire State Realty Trust, Inc., Class A 2,062,267 32,193 Equinix, Inc. 8,978,950 37,627 Equity LifeStyle Properties, Inc. 2,177,851 62,468 Extra Space Storage, Inc. 4,592,647 222,253 Gaming and Leisure Properties, Inc. 7,278,786 68,665 Hospitality Properties Trust 1,882,794 100,610 Host Hotels & Resorts, Inc. 1,949,822 63,722 Iron Mountain, Inc. 1,914,846 271,134 Kimco Realty Corp. 6,699,721 136,540 Macerich (The) Co. 10,808,506 1,378,291 MFA Financial, Inc. 10,378,531 56,532 National Retail Properties, Inc. 2,101,294 57,528 Omega Healthcare Investors, Inc. 2,085,965 593,443 Paramount Group, Inc. 10,604,826 149,880 Post Properties, Inc. 8,534,167 109,808 Prologis, Inc. 4,459,303 10,741 Public Storage 2,203,838 77,452 Rayonier, Inc. 1,905,319 112,762 Senior Housing Properties Trust 1,947,400 283,321 Starwood Property Trust, Inc. 6,165,065 117,251 Taubman Centers, Inc. 8,770,375 627,441 Two Harbors Investment Corp. 6,412,447 187,066 Weingarten Realty Investors 6,580,982 129,338 Weyerhaeuser Co. 3,969,383 33,580 W.P. Carey, Inc. 2,054,760 146,267 WP GLIMCHER, Inc. 1,980,455 --------------- 177,032,760 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.7% 220,236 CBRE Group, Inc., Class A (a) 8,362,361 13,774 Howard Hughes (The) Corp. (a) 1,872,713 59,552 Jones Lang LaSalle, Inc. 10,602,638 174,416 Realogy Holdings Corp. (a) 7,939,416 --------------- 28,777,128 --------------- SOFTWARE -- 0.8% 50,140 FactSet Research Systems, Inc. 8,306,192 --------------- See Notes to Financial Statements Page 33 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE -- 0.4% 221,659 New York Community Bancorp, Inc. (c) $ 4,218,171 --------------- TOTAL COMMON STOCKS -- 99.9% 1,073,641,303 (Cost $1,042,093,636) --------------- MONEY MARKET FUNDS -- 0.8% 7,236,155 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (d) (e) 7,236,155 1,643,780 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (d) 1,643,780 --------------- TOTAL MONEY MARKET FUNDS -- 0.8% 8,879,935 (Cost $8,879,935) --------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 0.8% $2,267,575 JPMorgan Chase & Co., 0.10% (d), dated 07/31/15, due 08/03/15, with a maturity value of $2,267,594. Collateralized by U.S. Treasury Note, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $2,328,697. (e) 2,267,575 6,511,342 RBC Capital Markets LLC, 0.10% (d), dated 07/31/15, due 08/03/15, with a maturity value of $6,511,396. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including accrued interest is $6,661,968. (e) 6,511,342 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.8% 8,778,917 (Cost $8,778,917) --------------- TOTAL INVESTMENTS -- 101.5% 1,091,300,155 (Cost $1,059,752,488) (f) NET OTHER ASSETS AND LIABILITIES -- (1.5)% (16,323,807) --------------- NET ASSETS -- 100.0% $ 1,074,976,348 =============== (a) Non-income producing security. (b) Master Limited Partnership ("MLP"). (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $15,679,382 and the total value of the collateral held by the Fund is $16,015,072. (d) Interest rate shown reflects yield as of July 31, 2015. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for federal income tax purposes is $1,062,143,749. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $49,322,790 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $20,166,384. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,073,641,303 $ -- $ -- Money Market Funds 8,879,935 -- -- Repurchase Agreements -- 8,778,917 -- ---------------------------------------- Total Investments $1,082,521,238 $ 8,778,917 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. Page 34 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 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) $ 15,679,382 Non-cash Collateral(2) (15,679,382) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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 enforceable Master Repurchase Agreements. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 8,778,917 Non-cash Collateral(4) (8,778,917) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 35 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% BIOTECHNOLOGY -- 21.5% 499,555 Agios Pharmaceuticals, Inc. (a) $ 55,040,970 95,981 Alexion Pharmaceuticals, Inc. (a) 18,950,489 617,562 Alnylam Pharmaceuticals, Inc. (a) 78,695,926 91,626 Biogen, Inc. (a) 29,208,536 541,212 BioMarin Pharmaceutical, Inc. (a) 79,163,079 329,748 bluebird bio, Inc. (a) 54,682,111 149,907 Celgene Corp. (a) 19,675,294 632,277 Gilead Sciences, Inc. 74,520,167 710,362 Incyte Corp. (a) 74,076,549 1,516,997 Intrexon Corp. (a) (b) 98,984,054 151,928 Medivation, Inc. (a) 16,002,576 4,603,674 OPKO Health, Inc. (a) (b) 75,362,144 194,755 Receptos, Inc. (a) 44,376,874 145,109 Regeneron Pharmaceuticals, Inc. (a) 80,341,049 1,147,108 Seattle Genetics, Inc. (a) 54,912,060 319,166 United Therapeutics Corp. (a) 54,053,954 --------------- 908,045,832 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 12.4% 1,403,355 Alere, Inc. (a) 68,217,086 885,348 Align Technology, Inc. (a) 55,511,320 2,091,163 Boston Scientific Corp. (a) 36,260,766 101,647 C. R. Bard, Inc. 19,988,882 97,487 Cooper (The) Cos., Inc. 17,255,199 1,156,956 DexCom, Inc. (a) 97,936,325 259,875 Edwards Lifesciences Corp. (a) 39,542,580 1,362,495 Hill-Rom Holdings, Inc. 76,340,595 1,458,762 Hologic, Inc. (a) 60,772,025 172,774 Sirona Dental Systems, Inc. (a) 17,930,486 237,441 St. Jude Medical, Inc. 17,527,895 181,540 Stryker Corp. 18,566,096 --------------- 525,849,255 --------------- HEALTH CARE PROVIDERS & SERVICES -- 44.7% 1,181,381 Acadia Healthcare Co., Inc. (a) 94,250,576 725,982 Aetna, Inc. 82,014,186 870,175 AmerisourceBergen Corp. 92,021,006 563,756 Anthem, Inc. 86,970,638 500,000 Brookdale Senior Living, Inc. (a) 16,565,000 442,482 Cardinal Health, Inc. 37,602,120 1,150,911 Centene Corp. (a) 80,713,388 571,200 Cigna Corp. 82,287,072 587,790 Community Health Systems, Inc. (a) 34,391,593 465,754 DaVita HealthCare Partners, Inc. (a) 36,808,539 1,875,051 Envision Healthcare Holdings, Inc. (a) 84,002,285 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 624,238 Express Scripts Holding Co. (a) $ 56,225,117 1,019,997 HCA Holdings, Inc. (a) 94,869,921 1,443,138 Health Net, Inc. (a) 96,488,207 390,655 Henry Schein, Inc. (a) 57,809,127 483,763 Humana, Inc. 88,088,405 305,339 Laboratory Corp. of America Holdings (a) 38,866,601 1,064,216 LifePoint Health, Inc. (a) 88,180,938 329,291 McKesson Corp. 72,631,716 749,159 MEDNAX, Inc. (a) 63,408,818 981,784 Omnicare, Inc. 95,085,780 1,141,168 Patterson Cos., Inc. 57,240,987 239,250 Quest Diagnostics, Inc. 17,659,042 1,598,722 Tenet Healthcare Corp. (a) 90,008,049 758,477 UnitedHealth Group, Inc. 92,079,108 651,138 Universal Health Services, Inc., Class B 94,564,772 1,020,495 VCA, Inc. (a) 62,791,057 --------------- 1,893,624,048 --------------- HEALTH CARE TECHNOLOGY -- 1.3% 251,238 Cerner Corp. (a) 18,018,789 1,320,498 Veeva Systems, Inc., Class A (a) (b) 35,547,806 --------------- 53,566,595 --------------- LIFE SCIENCES TOOLS & SERVICES -- 4.9% 246,662 Charles River Laboratories International, Inc. (a) 19,145,905 254,258 Illumina, Inc. (a) 55,758,779 329,599 PerkinElmer, Inc. 17,442,379 1,019,509 Quintiles Transnational Holdings, Inc. (a) 78,216,731 133,710 Thermo Fisher Scientific, Inc. 18,656,556 649,090 VWR Corp. (a) 17,389,121 --------------- 206,609,471 --------------- PHARMACEUTICALS -- 15.1% 550,878 AbbVie, Inc. 38,566,969 847,764 Akorn, Inc. (a) 39,090,398 182,952 Allergan PLC (a) 60,584,555 443,336 Eli Lilly and Co. 37,466,325 834,480 Hospira, Inc. (a) 74,644,236 210,223 Jazz Pharmaceuticals PLC (a) 40,413,270 379,777 Johnson & Johnson 38,057,453 471,632 Mallinckrodt PLC (a) 58,463,503 1,300,311 Merck & Co., Inc. 76,666,337 1,090,878 Mylan N.V. (a) 61,078,259 300,385 Perrigo Co. PLC 57,733,997 517,457 Pfizer, Inc. 18,659,499 767,593 Zoetis, Inc. 37,596,705 --------------- 639,021,506 --------------- Page 36 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- TOTAL COMMON STOCKS -- 99.9% $ 4,226,716,707 (Cost $3,768,531,004) --------------- MONEY MARKET FUNDS -- 1.7% 63,092,848 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 63,092,848 9,359,358 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 9,359,358 --------------- TOTAL MONEY MARKET FUNDS -- 1.7% 72,452,206 (Cost $72,452,206) --------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 1.8% $19,771,240 JPMorgan Chase & Co., 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $19,771,405. Collateralized by U.S. Treasury Note, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $20,304,173. (d) 19,771,240 56,773,123 RBC Capital Markets LLC, 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $56,773,596. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including accrued interest is $58,086,450. (d) 56,773,123 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.8% 76,544,363 (Cost $76,544,363) --------------- TOTAL INVESTMENTS -- 103.4% 4,375,713,276 (Cost $3,917,527,573) (e) NET OTHER ASSETS AND LIABILITIES -- (3.4) (142,127,900) --------------- NET ASSETS -- 100.0% $ 4,233,585,376 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $138,457,050 and the total value of the collateral held by the Fund is $139,637,211. (c) Interest rate shown reflects yield as of July 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $3,939,570,918. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $461,898,539 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $25,756,181. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $4,226,716,707 $ -- $ -- Money Market Funds 72,452,206 -- -- Repurchase Agreements -- 76,544,363 -- ---------------------------------------- Total Investments $4,299,168,913 $76,544,363 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. See Notes to Financial Statements Page 37 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 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) $138,457,050 Non-cash Collateral(2) (138,457,050) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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 enforceable Master Repurchase Agreements. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 76,544,363 Non-cash Collateral(4) (76,544,363) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. Page 38 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 11.7% 9,248 Boeing (The) Co. $ 1,333,284 27,170 General Dynamics Corp. 4,051,318 33,947 L-3 Communications Holdings, Inc. 3,919,520 16,175 Northrop Grumman Corp. 2,798,437 40,231 Raytheon Co. 4,388,800 41,677 Rockwell Collins, Inc. 3,526,708 116,416 Spirit AeroSystems Holdings, Inc., Class A (a) 6,554,221 143,751 Textron, Inc. 6,281,919 22,840 TransDigm Group, Inc. (a) 5,168,692 77,781 Triumph Group, Inc. 4,188,507 23,130 United Technologies Corp. 2,320,170 --------------- 44,531,576 --------------- AIR FREIGHT & LOGISTICS -- 2.1% 55,658 Expeditors International of Washington, Inc. 2,608,691 30,117 FedEx Corp. 5,162,656 --------------- 7,771,347 --------------- AIRLINES -- 4.6% 59,740 Alaska Air Group, Inc. 4,525,305 77,680 Copa Holdings S.A., Class A (b) 5,867,171 309,032 JetBlue Airways Corp. (a) 7,101,555 --------------- 17,494,031 --------------- BUILDING PRODUCTS -- 2.0% 89,134 A.O. Smith Corp. 6,401,604 21,332 Allegion PLC 1,348,609 --------------- 7,750,213 --------------- COMMERCIAL SERVICES & SUPPLIES -- 5.6% 152,884 ADT (The) Corp. 5,279,085 30,333 Cintas Corp. 2,593,470 147,226 R.R. Donnelley & Sons Co. 2,583,816 98,271 Republic Services, Inc. 4,179,466 9,583 Stericycle, Inc. (a) 1,350,915 33,347 Tyco International PLC 1,266,853 54,462 Waste Connections, Inc. 2,730,180 27,686 Waste Management, Inc. 1,415,585 --------------- 21,399,370 --------------- CONSTRUCTION & ENGINEERING -- 7.6% 193,937 AECOM (a) 5,979,078 128,208 Chicago Bridge & Iron Co. N.V. (b) 6,812,973 121,026 Fluor Corp. 5,657,965 126,350 Jacobs Engineering Group, Inc. (a) 5,321,862 178,088 Quanta Services, Inc. (a) 4,918,791 --------------- 28,690,669 --------------- CONTAINERS & PACKAGING -- 1.7% 105,277 Avery Dennison Corp. 6,406,106 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- ELECTRICAL EQUIPMENT -- 3.8% 23,421 AMETEK, Inc. $ 1,242,484 54,669 BWX Technologies, Inc. 1,342,671 76,045 Eaton Corp. PLC 4,606,806 69,446 Emerson Electric Co. 3,593,830 23,699 Hubbell, Inc., Class B 2,474,413 10,293 Rockwell Automation, Inc. 1,202,017 --------------- 14,462,221 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.0% 83,262 FLIR Systems, Inc. 2,563,637 123,419 Keysight Technologies, Inc. (a) 3,769,216 43,552 National Instruments Corp. 1,261,266 54,693 Trimble Navigation Ltd. (a) 1,263,408 57,771 Zebra Technologies Corp., Class A (a) 6,217,893 --------------- 15,075,420 --------------- INDUSTRIAL CONGLOMERATES -- 2.4% 51,260 Carlisle Cos., Inc. 5,190,588 29,985 Danaher Corp. 2,745,427 7,438 Roper Technologies, Inc. 1,244,154 --------------- 9,180,169 --------------- INTERNET SOFTWARE & SERVICES -- 1.0% 19,128 CoStar Group, Inc. (a) 3,850,275 --------------- IT SERVICES -- 3.5% 39,776 Accenture PLC, Class A 4,101,303 120,313 Genpact Ltd. (a) 2,672,152 602,965 Xerox Corp. 6,644,674 --------------- 13,418,129 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.4% 7,517 Mettler-Toledo International, Inc. (a) 2,537,739 19,994 Waters Corp. (a) 2,668,999 --------------- 5,206,738 --------------- MACHINERY -- 27.2% 112,989 AGCO Corp. 6,215,525 43,852 Allison Transmission Holdings, Inc. 1,279,601 45,381 Caterpillar, Inc. 3,568,308 111,213 Colfax Corp. (a) 4,241,664 21,844 Crane Co. 1,162,101 39,119 Cummins, Inc. 5,067,084 26,447 Deere & Co. 2,501,093 35,840 Donaldson Co., Inc. 1,204,224 73,137 Dover Corp. 4,685,888 48,731 Flowserve Corp. 2,289,870 16,332 IDEX Corp. 1,241,722 30,666 ITT Corp. 1,165,308 177,224 Joy Global, Inc. 4,680,486 63,218 Lincoln Electric Holdings, Inc. 3,827,850 65,462 Manitowoc (The) Co., Inc. 1,156,713 See Notes to Financial Statements Page 39 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 45,734 Middleby (The) Corp. (a) $ 5,611,562 151,379 Oshkosh Corp. 5,531,389 60,323 PACCAR, Inc. 3,911,343 41,239 Pall Corp. 5,214,672 44,120 Parker-Hannifin Corp. 4,974,530 18,667 Pentair PLC 1,135,140 32,228 Snap-on, Inc. 5,311,174 48,769 Stanley Black & Decker, Inc. 5,144,642 275,932 Terex Corp. 6,114,653 37,858 Toro (The) Co. 2,586,837 242,736 Trinity Industries, Inc. 7,102,455 40,849 Wabtec Corp. 4,133,510 69,229 Xylem, Inc. 2,390,477 --------------- 103,449,821 --------------- MARINE -- 1.6% 83,692 Kirby Corp. (a) 6,060,138 --------------- PROFESSIONAL SERVICES -- 3.8% 29,925 IHS, Inc., Class A (a) 3,741,523 28,714 ManpowerGroup, Inc. 2,598,043 23,115 Robert Half International, Inc. 1,272,018 20,400 Towers Watson & Co., Class A 2,586,312 52,905 Verisk Analytics, Inc. (a) 4,132,410 --------------- 14,330,306 --------------- ROAD & RAIL -- 6.8% 117,896 CSX Corp. 3,687,787 67,374 Genesee & Wyoming, Inc., Class A (a) 4,798,376 15,626 J.B. Hunt Transport Services, Inc. 1,314,459 28,139 Kansas City Southern 2,791,107 57,565 Landstar System, Inc. 4,146,407 58,748 Norfolk Southern Corp. 4,954,219 44,055 Ryder System, Inc. 3,987,859 --------------- 25,680,214 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 58,060 Lexmark International, Inc., Class A 1,973,459 --------------- TRADING COMPANIES & DISTRIBUTORS -- 7.0% 151,397 Air Lease Corp. 5,351,884 96,568 GATX Corp. 5,121,967 182,362 HD Supply Holdings, Inc. (a) 6,528,559 55,170 MSC Industrial Direct Co., Inc., Class A 3,931,414 93,469 WESCO International, Inc. (a) (b) 5,735,258 --------------- 26,669,082 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- TRANSPORTATION INFRASTRUCTURE -- 1.7% 77,641 Macquarie Infrastructure Corp. $ 6,594,050 --------------- TOTAL COMMON STOCKS -- 100.0% 379,993,334 (Cost $400,370,235) --------------- MONEY MARKET FUNDS -- 1.5% 5,353,495 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 5,353,495 226,981 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 226,981 --------------- TOTAL MONEY MARKET FUNDS -- 1.5% 5,580,476 (Cost $5,580,476) --------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 1.7% $1,677,611 JPMorgan Chase & Co., 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $1,677,625. Collateralized by U.S. Treasury Note, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $1,722,831. (d) 1,677,611 4,817,259 RBC Capital Markets LLC, 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $4,817,300. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including accrued interest is $4,928,697. (d) 4,817,259 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.7% 6,494,870 (Cost $6,494,870) --------------- TOTAL INVESTMENTS -- 103.2% 392,068,680 (Cost $412,445,581) (e) NET OTHER ASSETS AND LIABILITIES -- (3.2)% (11,982,098) --------------- NET ASSETS -- 100.0% $ 380,086,582 =============== Page 40 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $11,750,485 and the total value of the collateral held by the Fund is $11,848,365. (c) Interest rate shown reflects yield as of July 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $413,495,405. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $21,952,877 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $43,379,602. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 379,993,334 $ -- $ -- Money Market Funds 5,580,476 -- -- Repurchase Agreements -- 6,494,870 -- ---------------------------------------- Total Investments $ 385,573,810 $ 6,494,870 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 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) $ 11,750,485 Non-cash Collateral(2) (11,750,485) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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 enforceable Master Repurchase Agreements. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 6,494,870 Non-cash Collateral(4) (6,494,870) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 41 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 4.1% 64,567 Hexcel Corp. $ 3,350,381 16,065 Precision Castparts Corp. 3,131,390 --------------- 6,481,771 --------------- BUILDING PRODUCTS -- 7.3% 29,825 Lennox International, Inc. 3,521,438 136,966 Masco Corp. 3,614,533 47,182 Owens Corning 2,116,113 70,037 USG Corp. (a) 2,169,746 --------------- 11,421,830 --------------- CHEMICALS -- 35.5% 7,110 Air Products and Chemicals, Inc. 1,013,246 18,404 Airgas, Inc. 1,877,576 7,986 Ashland, Inc. 912,960 143,542 Cabot Corp. 5,049,808 54,157 Celanese Corp., Series A 3,570,029 49,961 CF Industries Holdings, Inc. 2,957,691 64,312 Cytec Industries, Inc. 4,773,880 62,765 Dow Chemical (The) Co. 2,953,721 32,041 E.I. du Pont de Nemours and Co. 1,786,606 39,250 Eastman Chemical Co. 3,077,200 8,610 Ecolab, Inc. 997,124 88,190 Huntsman Corp. 1,675,610 37,602 LyondellBasell Industries N.V., Class A 3,528,196 114,251 Mosaic (The) Co. 4,905,938 2,194 NewMarket Corp. 872,576 76,091 Platform Specialty Products Corp. (a) 1,770,638 8,485 PPG Industries, Inc. 919,604 8,139 Praxair, Inc. 928,985 39,744 RPM International, Inc. 1,862,801 11,680 Sherwin-Williams (The) Co. 3,244,237 11,891 Valspar (The) Corp. 990,282 9,704 W.R. Grace & Co. (a) 979,425 78,039 Westlake Chemical Corp. 4,875,096 --------------- 55,523,229 --------------- CONSTRUCTION MATERIALS -- 5.5% 27,507 Martin Marietta Materials, Inc. 4,313,648 46,380 Vulcan Materials Co. 4,221,507 --------------- 8,535,155 --------------- CONTAINERS & PACKAGING -- 13.2% 30,524 AptarGroup, Inc. 2,069,222 27,747 Ball Corp. 1,882,356 71,349 Bemis Co., Inc. 3,180,025 36,784 Crown Holdings, Inc. (a) 1,894,744 69,863 Graphic Packaging Holding Co. 1,054,931 104,180 Sealed Air Corp. 5,539,251 90,830 Sonoco Products Co. 3,749,462 20,625 WestRock Co. (a) 1,300,613 --------------- 20,670,604 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- ELECTRICAL EQUIPMENT -- 3.8% 29,737 Acuity Brands, Inc. $ 5,982,787 --------------- MACHINERY -- 3.5% 28,870 Ingersoll-Rand PLC 1,772,618 32,749 Valmont Industries, Inc. 3,642,671 --------------- 5,415,289 --------------- METALS & MINING -- 20.5% 349,130 Alcoa, Inc. 3,445,913 229,140 Newmont Mining Corp. 3,934,334 88,333 Nucor Corp. 3,899,019 88,500 Reliance Steel & Aluminum Co. 5,363,100 109,197 Southern Copper Corp. (b) 3,042,228 258,396 Steel Dynamics, Inc. 5,175,672 441,273 Tahoe Resources, Inc. 3,587,549 188,787 United States Steel Corp. (b) 3,675,683 --------------- 32,123,498 --------------- PAPER & FOREST PRODUCTS -- 4.0% 129,287 Domtar Corp. 5,256,810 20,452 International Paper Co. 979,037 --------------- 6,235,847 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.6% 31,463 Watsco, Inc. 4,034,815 --------------- TOTAL COMMON STOCKS -- 100.0% 156,424,825 (Cost $164,033,275) --------------- MONEY MARKET FUNDS -- 1.6% 2,333,587 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 2,333,587 127,050 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 127,050 --------------- TOTAL MONEY MARKET FUNDS -- 1.6% 2,460,637 (Cost $2,460,637) --------------- Page 42 See Notes to Financial Statements FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 PRINCIPAL VALUE DESCRIPTION VALUE ----------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.8% $ 731,270 JPMorgan Chase & Co., 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $731,276. Collateralized by U.S. Treasury Note, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $750,982. (d) $ 731,270 2,099,843 RBC Capital Markets LLC, 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $2,099,860. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including accrued interest is $2,148,418. (d) 2,099,843 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.8% 2,831,113 (Cost $2,831,113) --------------- TOTAL INVESTMENTS -- 103.4% 161,716,575 (Cost $169,325,025) (e) NET OTHER ASSETS AND LIABILITIES -- (3.4)% (5,246,235) --------------- NET ASSETS -- 100.0% $ 156,470,340 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $5,011,665 and the total value of the collateral held by the Fund is $5,164,700. (c) Interest rate shown reflects yield as of July 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $169,798,775. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,091,750 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $15,173,950. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 156,424,825 $ -- $ -- Money Market Funds 2,460,637 -- -- Repurchase Agreements -- 2,831,113 -- ---------------------------------------- Total Investments $ 158,885,462 $ 2,831,113 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. See Notes to Financial Statements Page 43 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 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) $ 5,011,665 Non-cash Collateral(2) (5,011,665) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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 enforceable Master Repurchase Agreements. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 2,831,113 Non-cash Collateral(4) (2,831,113) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. Page 44 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% COMMUNICATIONS EQUIPMENT -- 13.3% 217,938 Arista Networks, Inc. (a) (b)$ 18,409,223 465,733 ARRIS Group, Inc. (b) 14,400,464 1,199,618 Brocade Communications Systems, Inc. 12,308,081 389,245 Cisco Systems, Inc. 11,062,343 467,109 CommScope Holding Co., Inc. (b) 14,653,209 29,600 F5 Networks, Inc. (b) 3,970,544 92,651 Harris Corp. 7,684,474 137,189 Juniper Networks, Inc. 3,898,912 101,971 Palo Alto Networks, Inc. (b) 18,949,271 227,552 QUALCOMM, Inc. 14,652,073 --------------- 119,988,594 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 12.2% 122,924 Amphenol Corp., Class A 6,934,143 319,255 Arrow Electronics, Inc. (b) 18,564,678 433,331 Avnet, Inc. 18,082,903 103,936 CDW Corp. 3,734,420 222,213 Cognex Corp. 10,059,583 902,906 Corning, Inc. 16,866,284 179,583 Dolby Laboratories, Inc., Class A 6,312,342 569,372 Ingram Micro, Inc., Class A (b) 15,504,000 41,828 IPG Photonics Corp. (b) 3,857,378 502,050 Jabil Circuit, Inc. 10,166,513 --------------- 110,082,244 --------------- HEALTH CARE TECHNOLOGY -- 0.9% 232,484 IMS Health Holdings, Inc. (b) 7,706,845 --------------- INTERNET SOFTWARE & SERVICES -- 6.0% 102,058 Akamai Technologies, Inc. (b) 7,828,869 124,627 Facebook, Inc., Class A (b) 11,716,184 178,901 IAC/InterActiveCorp 13,821,891 57,726 VeriSign, Inc. (b) 4,095,083 453,404 Yahoo!, Inc. (b) 16,626,325 --------------- 54,088,352 --------------- IT SERVICES -- 8.7% 195,797 Amdocs Ltd. 11,483,494 174,967 Cognizant Technology Solutions Corp., Class A (b) 11,040,418 54,276 Computer Sciences Corp. 3,551,279 141,410 DST Systems, Inc. 15,434,901 83,067 Gartner, Inc. (b) 7,357,244 43,807 International Business Machines Corp. 7,096,296 449,102 Sabre Corp. 11,946,113 288,882 Teradata Corp. (b) 10,720,411 --------------- 78,630,156 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 24.4% 278,346 Altera Corp. $ 13,822,662 166,526 Analog Devices, Inc. 9,713,462 556,121 Applied Materials, Inc. 9,654,261 723,059 Atmel Corp. 5,986,928 134,011 Avago Technologies Ltd. 16,770,136 207,586 Broadcom Corp., Class A 10,505,927 273,747 Cree, Inc. (a) (b) 6,747,863 356,552 Freescale Semiconductor Ltd. (b) 14,215,728 585,708 Intel Corp. 16,956,247 175,186 Lam Research Corp. 13,466,548 810,665 Marvell Technology Group Ltd. 10,084,673 75,127 Microchip Technology, Inc. 3,218,441 945,561 Micron Technology, Inc. (b) 17,502,334 531,507 NVIDIA Corp. 10,603,565 1,219,117 ON Semiconductor Corp. (b) 12,947,022 177,547 Qorvo, Inc. (b) 10,288,849 171,125 Skyworks Solutions, Inc. 16,371,529 595,595 SunEdison, Inc. (b) 13,865,452 184,704 Teradyne, Inc. 3,557,399 80,684 Xilinx, Inc. 3,368,557 --------------- 219,647,583 --------------- SOFTWARE -- 24.7% 441,494 Activision Blizzard, Inc. 11,386,130 43,978 Adobe Systems, Inc. (b) 3,605,756 39,051 ANSYS, Inc. (b) 3,676,652 486,567 CA, Inc. 14,176,130 362,451 Cadence Design Systems, Inc. (b) 7,600,597 101,563 Citrix Systems, Inc. (b) 7,679,178 267,884 Electronic Arts, Inc. (b) 19,167,100 364,226 FireEye, Inc. (b) 16,204,415 431,028 Fortinet, Inc. (b) 20,577,277 35,359 Intuit, Inc. 3,739,921 161,395 Microsoft Corp. 7,537,146 176,815 Oracle Corp. 7,061,991 86,860 PTC, Inc. (b) 3,157,361 93,844 Red Hat, Inc. (b) 7,421,184 153,505 salesforce.com, Inc. (b) 11,251,917 47,945 ServiceNow, Inc. (b) 3,859,573 204,700 Splunk, Inc. (b) 14,316,718 114,009 SS&C Technologies Holdings, Inc. 7,756,032 459,720 Symantec Corp. 10,454,033 281,369 Synopsys, Inc. (b) 14,304,800 154,504 Tableau Software, Inc., Class A (b) 16,182,749 43,358 Ultimate Software Group (The), Inc. (b) 7,986,977 41,557 VMware, Inc., Class A (b) 3,703,975 --------------- 222,807,612 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 9.3% 113,629 Apple, Inc. 13,783,198 405,022 EMC Corp. 10,891,042 See Notes to Financial Statements Page 45 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 474,891 Hewlett-Packard Co. $ 14,493,673 118,369 NCR Corp. (b) 3,259,882 225,781 NetApp, Inc. 7,033,078 244,784 SanDisk Corp. 14,758,027 227,166 Western Digital Corp. 19,549,906 --------------- 83,768,806 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 30,988 SBA Communications Corp., Class A (b) 3,740,871 --------------- TOTAL COMMON STOCKS -- 99.9% 900,461,063 (Cost $872,473,100) --------------- MONEY MARKET FUNDS -- 1.1% 8,392,244 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 8,392,244 1,135,735 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 1,135,735 --------------- TOTAL MONEY MARKET FUNDS -- 1.1% 9,527,979 (Cost $9,527,979) --------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 1.1% $ 2,629,856 JPMorgan Chase & Co., 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $2,629,878. Collateralized by U.S. Treasury Note, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $2,700,743. (d) 2,629,856 7,551,631 RBC Capital Markets LLC, 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $7,551,694. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including $7,726,322. (d) 7,551,631 --------------- DESCRIPTION VALUE ----------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS -- 1.1% $ 10,181,487 (Cost $10,181,487) --------------- TOTAL INVESTMENTS -- 102.1% 920,170,529 (Cost $892,182,566) (e) NET OTHER ASSETS AND LIABILITIES -- (2.1)% (19,199,577) --------------- NET ASSETS -- 100.0% $ 900,970,952 =============== (a) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $17,950,843 and the total value of the collateral held by the Fund is $18,573,731. (b) Non-income producing security. (c) Interest rate shown reflects yield as of July 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $898,933,481. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $66,599,600 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $45,362,552. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 900,461,063 $ -- $ -- Money Market Funds 9,527,979 -- -- Repurchase Agreements -- 10,181,487 -- ---------------------------------------- Total Investments $ 909,989,042 $10,181,487 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. Page 46 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 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) $ 17,950,843 Non-cash Collateral(2) (17,950,843) ------------ Net Amount $ -- ============ (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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 enforceable Master Repurchase Agreements. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 10,181,487 Non-cash Collateral(4) (10,181,487) ------------ Net Amount $ -- ============ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 47 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% DIVERSIFIED TELECOMMUNICATION SERVICES -- 6.1% 178,516 CenturyLink, Inc. $ 5,105,558 423,821 Frontier Communications Corp. 2,000,435 19,916 Level 3 Communications, Inc. (a) 1,005,758 --------------- 8,111,751 --------------- ELECTRIC UTILITIES -- 42.1% 59,408 American Electric Power Co., Inc. 3,360,711 59,414 Duke Energy Corp. 4,409,707 94,364 Edison International 5,662,784 59,515 Entergy Corp. 4,226,755 46,199 Eversource Energy 2,297,014 166,924 Exelon Corp. 5,356,591 32,226 FirstEnergy Corp. 1,094,395 217,085 Great Plains Energy, Inc. 5,668,089 21,401 NextEra Energy, Inc. 2,251,385 146,861 OGE Energy Corp. 4,370,583 55,315 Pinnacle West Capital Corp. 3,413,489 177,970 PPL Corp. 5,661,226 25,034 Southern (The) Co. 1,119,771 122,613 Westar Energy, Inc. 4,616,380 65,193 Xcel Energy, Inc. 2,260,241 --------------- 55,769,121 --------------- GAS UTILITIES -- 9.0% 90,116 AGL Resources, Inc. 4,332,777 61,366 Atmos Energy Corp. 3,393,540 35,624 National Fuel Gas Co. 1,926,190 100,331 Questar Corp. 2,221,328 --------------- 11,873,835 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 7.1% 79,107 AES (The) Corp. 1,012,569 291,539 Calpine Corp. (a) 5,335,164 137,538 NRG Energy, Inc. 3,087,728 --------------- 9,435,461 --------------- MULTI-UTILITIES -- 31.7% 36,346 Alliant Energy Corp. 2,235,643 111,354 Ameren Corp. 4,574,422 165,363 CenterPoint Energy, Inc. 3,198,120 32,945 CMS Energy Corp. 1,128,696 54,369 Consolidated Edison, Inc. 3,457,325 56,214 DTE Energy Co. 4,522,979 64,091 PG&E Corp. 3,365,418 133,523 Public Service Enterprise Group, Inc. 5,563,903 103,550 SCANA Corp. 5,674,540 10,602 Sempra Energy 1,079,072 118,795 TECO Energy, Inc. 2,627,745 81,779 Vectren Corp. 3,442,896 23,327 WEC Energy Group, Inc. 1,143,023 --------------- 42,013,782 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- WATER UTILITIES -- 0.8% 21,570 American Water Works Co., Inc. $ 1,119,698 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 3.2% 142,715 Telephone and Data Systems, Inc. 4,197,248 --------------- TOTAL COMMON STOCKS -- 100.0% 132,520,896 (Cost $144,809,598) MONEY MARKET FUNDS -- 0.1% 122,351 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 122,351 (Cost $122,351) --------------- TOTAL INVESTMENTS -- 100.1% 132,643,247 (Cost $144,931,949) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (75,533) --------------- NET ASSETS -- 100.0% $ 132,567,714 =============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2015. (c) Aggregate cost for federal income tax purposes is $146,500,324. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $924,982 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $14,782,059. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 132,520,896 $ -- $ -- Money Market Funds 122,351 -- -- ---------------------------------------- Total Investments $ 132,643,247 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. Page 48 See Notes to Financial Statements This page is intentionally left blank. FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2015
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.............................................. $2,602,907,765 $3,024,691,486 $ 392,105,615 Cash............................................................... 146,226 5,068 -- Receivables: Capital shares sold.......................................... -- 18,272,908 -- Investment securities sold................................... 24,214,599 -- 7,887,258 Dividends.................................................... 945,196 2,596,621 344,685 Securities lending income.................................... 108,035 249,731 116,244 Interest..................................................... 18 56 3 Reclaims..................................................... -- -- -- Prepaid expenses................................................... 8,061 7,195 4,117 -------------- -------------- -------------- TOTAL ASSETS................................................. 2,628,329,900 3,045,823,065 400,457,922 -------------- -------------- -------------- LIABILITIES: Payables: Capital shares redeemed...................................... 24,234,959 -- 7,894,502 Investment advisory fees..................................... 1,092,418 1,157,705 188,677 Investment securities purchased.............................. 146,226 18,259,167 -- Collateral for securities on loan............................ 42,198,898 131,060,530 45,853,410 Licensing fees............................................... 338,685 339,778 80,906 Printing fees................................................ 43,854 56,957 10,965 Audit and tax fees........................................... 25,525 25,525 25,525 Trustees' fees............................................... 2,716 2,660 897 Other liabilities.................................................. 575,702 561,788 111,148 -------------- -------------- -------------- TOTAL LIABILITIES............................................ 68,658,983 151,464,110 54,166,030 -------------- -------------- -------------- NET ASSETS......................................................... $2,559,670,917 $2,894,358,955 $ 346,291,892 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital.................................................... $2,578,484,772 $2,750,061,592 $ 588,152,438 Par value.......................................................... 686,500 633,500 204,500 Accumulated net investment income (loss)........................... 1,366,558 3,689,109 383,678 Accumulated net realized gain (loss) on investments................ (219,522,713) (102,615,670) (147,441,363) Net unrealized appreciation (depreciation) on investments.......... 198,655,800 242,590,424 (95,007,361) -------------- -------------- -------------- NET ASSETS......................................................... $2,559,670,917 $2,894,358,955 $ 346,291,892 ============== ============== ============== NET ASSET VALUE, per share......................................... $ 37.29 $ 45.69 $ 16.93 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)......................... 68,650,002 63,350,002 20,450,002 ============== ============== ============== Investments, at cost............................................... $2,404,251,965 $2,782,101,062 $ 487,112,976 ============== ============== ============== Securities on loan, at value....................................... $ 41,069,201 $ 126,603,458 $ 42,960,141 ============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXO) (FXH) (FXR) (FXZ) (FXL) (FXU) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $1,091,300,155 $4,375,713,276 $ 392,068,680 $ 161,716,575 $ 920,170,529 $ 132,643,247 -- 12,653 180 -- 2,141 -- -- 24,233,794 -- -- -- -- -- -- -- -- -- -- 515,121 406,430 200,680 85,297 90,959 80,757 3,226 125,670 23,404 1,573 6,559 -- 7 79 5 1 10 3 -- -- -- 900 -- -- 5,713 9,741 5,416 3,981 5,510 3,873 -------------- -------------- -------------- -------------- -------------- -------------- 1,091,824,222 4,400,501,643 392,298,365 161,808,327 920,275,708 132,727,880 -------------- -------------- -------------- -------------- -------------- -------------- -- -- -- -- -- -- 449,374 1,756,616 168,806 70,435 380,612 55,059 -- 24,190,242 -- -- -- -- 16,015,072 139,637,211 11,848,365 5,164,700 18,573,731 -- 120,871 504,264 60,019 25,808 109,970 19,657 21,837 69,877 13,223 8,127 28,730 20,381 25,525 25,525 25,525 25,525 25,525 25,525 1,353 3,796 775 527 1,169 469 213,842 728,736 95,070 42,865 185,019 39,075 -------------- -------------- -------------- -------------- -------------- -------------- 16,847,874 166,916,267 12,211,783 5,337,987 19,304,756 160,166 -------------- -------------- -------------- -------------- -------------- -------------- $1,074,976,348 $4,233,585,376 $ 380,086,582 $ 156,470,340 $ 900,970,952 $ 132,567,714 ============== ============== ============== ============== ============== ============== $1,086,524,401 $3,896,481,121 $ 468,303,315 $ 261,406,814 $ 975,766,009 $ 172,998,382 440,000 608,000 129,000 51,000 257,550 57,500 1,697,737 (2,978,788) -- 197,039 -- 169,461 (45,233,457) (118,710,660) (67,968,832) (97,576,063) (103,040,570) (28,368,927) 31,547,667 458,185,703 (20,376,901) (7,608,450) 27,987,963 (12,288,702) -------------- -------------- -------------- -------------- -------------- -------------- $1,074,976,348 $4,233,585,376 $ 380,086,582 $ 156,470,340 $ 900,970,952 $ 132,567,714 ============== ============== ============== ============== ============== ============== $ 24.43 $ 69.63 $ 29.46 $ 30.68 $ 34.98 $ 23.06 ============== ============== ============== ============== ============== ============== 44,000,002 60,800,002 12,900,002 5,100,002 25,755,000 5,750,002 ============== ============== ============== ============== ============== ============== $1,059,752,488 $3,917,527,573 $ 412,445,581 $ 169,325,025 $ 892,182,566 $ 144,931,949 ============== ============== ============== ============== ============== ============== $ 15,679,382 $ 138,457,050 $ 11,750,485 $ 5,011,665 $ 17,950,843 $ -- ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 51 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2015
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.......................................................... $ 27,847,697 $ 49,226,422 $ 8,938,404 Securities lending income (net of fees)............................ 1,042,685 1,835,359 1,960,370 Interest........................................................... 261 601 112 Foreign tax withholding............................................ (19,082) -- (18,517) -------------- -------------- -------------- Total investment income...................................... 28,871,561 51,062,382 10,880,369 -------------- -------------- -------------- EXPENSES: Investment advisory fees........................................... 9,372,447 10,792,444 2,345,497 Accounting and administration fees................................. 851,936 962,810 237,034 Licensing fees..................................................... 749,796 863,395 187,640 Custodian fees..................................................... 263,123 285,661 75,339 Registration and filing fees....................................... 154,001 91,490 1,355 Printing fees...................................................... 82,402 114,607 31,261 Transfer agent fees................................................ 71,739 78,969 23,455 Legal fees......................................................... 50,012 80,269 16,881 Expenses previously waived or reimbursed........................... 29,589 -- -- Trustees' fees and expenses........................................ 27,003 32,208 10,187 Audit and tax fees................................................. 26,059 26,059 26,059 Listing fees....................................................... 12,207 10,755 8,255 Other expenses..................................................... 36,339 36,505 16,394 -------------- -------------- -------------- Total expenses............................................... 11,726,653 13,375,172 2,979,357 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)....................................... 17,144,908 37,687,210 7,901,012 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments.................................................. (101,032,470) (61,338,790) (121,266,605) In-kind redemptions.......................................... 108,014,180 198,183,310 (9,527,052) -------------- -------------- -------------- Net realized gain (loss)........................................... 6,981,710 136,844,520 (130,793,657) Net change in unrealized appreciation (depreciation) on investments.................................................. 155,287,353 249,584,367 (103,382,250) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................ 162,269,063 386,428,887 (234,175,907) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................... $ 179,413,971 $ 424,116,097 $ (226,274,895) ============== ============== ==============
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) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 18,892,838 $ 13,101,378 $ 7,273,264 $ 5,576,684 $ 10,375,152 $ 9,651,913 109,033 2,113,638 212,943 363,441 68,288 98,548 259 2,484 122 117 107 112 (18,336) -- (659) (1,350) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 18,983,794 15,217,500 7,485,670 5,938,892 10,443,547 9,750,573 -------------- -------------- -------------- -------------- -------------- -------------- 4,262,374 14,878,403 3,170,252 1,568,791 4,496,960 1,490,275 429,237 1,239,071 319,345 159,275 448,408 151,097 340,990 1,190,272 253,620 125,503 359,757 119,222 178,730 393,408 124,210 62,333 163,008 74,111 23,356 139,955 (14,643) 67 8,084 419 47,540 148,900 25,120 19,963 62,844 52,092 42,158 99,392 31,430 15,688 43,881 14,903 24,716 91,449 14,980 8,037 46,493 16,246 -- -- -- 6,073 -- 86,210 14,296 40,884 12,429 7,431 15,453 7,109 26,059 26,059 26,059 26,059 26,059 26,059 10,755 10,755 9,303 8,255 9,707 9,707 22,192 59,375 24,402 15,446 20,131 6,787 -------------- -------------- -------------- -------------- -------------- -------------- 5,422,403 18,317,923 3,996,507 2,022,921 5,700,785 2,054,237 -------------- -------------- -------------- -------------- -------------- -------------- 13,561,391 (3,100,423) 3,489,163 3,915,971 4,742,762 7,696,336 -------------- -------------- -------------- -------------- -------------- -------------- (26,490,517) (73,724,340) (46,291,898) (38,366,975) (42,196,095) (16,116,878) 70,118,000 528,183,992 12,362,540 (3,137,477) 143,617,147 2,938,922 -------------- -------------- -------------- -------------- -------------- -------------- 43,627,483 454,459,652 (33,929,358) (41,504,452) 101,421,052 (13,177,956) 23,304,273 286,370,731 8,231,674 7,329,419 (1,528,398) (1,552,502) -------------- -------------- -------------- -------------- -------------- -------------- 66,931,756 740,830,383 (25,697,684) (34,175,033) 99,892,654 (14,730,458) -------------- -------------- -------------- -------------- -------------- -------------- $ 80,493,147 $ 737,729,960 $ (22,208,521) $ (30,259,062) $ 104,635,416 $ (7,034,122) ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 53 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST CONSUMER DISCRETIONARY CONSUMER STAPLES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) ---------------------------------- ---------------------------------- For the For the For the For the Year Ended Year Ended Year Ended Year Ended 7/31/2015 7/31/2014 7/31/2015 7/31/2014 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)........................... $ 17,144,908 $ 3,790,985 $ 37,687,210 $ 14,130,238 Net realized gain (loss)............................... 6,981,710 148,984,383 136,844,520 177,261,206 Net change in unrealized appreciation (depreciation)... 155,287,353 (68,204,279) 249,584,367 (103,182,973) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations..................................... 179,413,971 84,571,089 424,116,097 88,208,471 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.................................. (15,778,306) (3,883,480) (34,623,996) (14,344,261) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.............................. 2,396,912,813 1,040,900,674 2,761,117,420 1,566,304,476 Cost of shares redeemed................................ (943,937,264) (915,977,666) (1,315,978,826) (1,238,199,805) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions....................... 1,452,975,549 124,923,008 1,445,138,594 328,104,671 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................ 1,616,611,214 205,610,617 1,834,630,695 401,968,881 NET ASSETS: Beginning of period.................................... 943,059,703 737,449,086 1,059,728,260 657,759,379 -------------- -------------- -------------- -------------- End of period.......................................... $2,559,670,917 $ 943,059,703 $2,894,358,955 $1,059,728,260 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period.................................... $ 1,366,558 $ -- $ 3,689,109 $ 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............................................ 67,900,000 33,100,000 65,700,000 41,650,000 Shares redeemed........................................ (28,500,000) (29,450,000) (30,450,000) (33,350,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period...................... 68,650,002 29,250,002 63,350,002 28,100,002 ============== ============== ============== ==============
Page 54 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST ENERGY FINANCIALS HEALTH CARE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXN) (FXO) (FXH) ---------------------------------- ---------------------------------- ---------------------------------- For the For the For the For the For the For the Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2015 7/31/2014 7/31/2015 7/31/2014 7/31/2015 7/31/2014 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 7,901,012 $ 4,908,060 $ 13,561,391 $ 11,428,474 $ (3,100,423) $ (218,572) (130,793,657) 86,810,065 43,627,483 93,303,018 454,459,652 288,012,505 (103,382,250) (5,890,870) 23,304,273 (36,042,445) 286,370,731 31,591,086 -------------- -------------- -------------- -------------- -------------- -------------- (226,274,895) 85,827,255 80,493,147 68,689,047 737,729,960 319,385,019 -------------- -------------- -------------- -------------- -------------- -------------- (8,031,831) (4,410,821) (13,727,056) (10,277,236) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 591,038,970 1,307,915,710 1,345,673,913 1,079,948,000 3,908,392,289 2,307,072,087 (824,365,559) (766,542,117) (1,241,912,041) (632,731,226) (2,564,443,942) (1,456,115,787) -------------- -------------- -------------- -------------- -------------- -------------- (233,326,589) 541,373,593 103,761,872 447,216,774 1,343,948,347 850,956,300 -------------- -------------- -------------- -------------- -------------- -------------- (467,633,315) 622,790,027 170,527,963 505,628,585 2,081,678,307 1,170,341,319 813,925,207 191,135,180 904,448,385 398,819,800 2,151,907,069 981,565,750 -------------- -------------- -------------- -------------- -------------- -------------- $ 346,291,892 $ 813,925,207 $1,074,976,348 $ 904,448,385 $4,233,585,376 $2,151,907,069 ============== ============== ============== ============== ============== ============== $ 383,678 $ 570,369 $ 1,697,737 $ 1,583,768 $ (2,978,788) $ -- ============== ============== ============== ============== ============== ============== 29,000,002 8,450,002 41,800,002 20,150,002 40,500,002 23,050,002 27,050,000 50,200,000 57,400,000 50,850,000 61,900,000 46,450,000 (35,600,000) (29,650,000) (55,200,000) (29,200,000) (41,600,000) (29,000,000) -------------- -------------- -------------- -------------- -------------- -------------- 20,450,002 29,000,002 44,000,002 41,800,002 60,800,002 40,500,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 55 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST INDUSTRIALS/PRODUCER DURABLES MATERIALS ALPHADEX(R) FUND ALPHADEX(R) FUND (FXR) (FXZ) ---------------------------------- ---------------------------------- For the For the For the For the Year Ended Year Ended Year Ended Year Ended 7/31/2015 7/31/2014 7/31/2015 7/31/2014 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)........................... $ 3,489,163 $ 6,744,219 $ 3,915,971 $ 6,580,566 Net realized gain (loss)............................... (33,929,358) 129,713,855 (41,504,452) 101,658,145 Net change in unrealized appreciation (depreciation)... 8,231,674 (54,351,889) 7,329,419 (31,451,875) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations..................................... (22,208,521) 82,106,185 (30,259,062) 76,786,836 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.................................. (4,499,510) (6,616,946) (4,431,046) (5,962,686) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.............................. 593,203,217 1,715,307,246 414,961,450 1,148,478,312 Cost of shares redeemed................................ (1,067,446,111) (1,141,171,984) (930,224,509) (764,227,555) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions....................... (474,242,894) 574,135,262 (515,263,059) 384,250,757 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................ (500,950,925) 649,624,501 (549,953,167) 455,074,907 NET ASSETS: Beginning of period.................................... 881,037,507 231,413,006 706,423,507 251,348,600 -------------- -------------- -------------- -------------- End of period.......................................... $ 380,086,582 $ 881,037,507 $ 156,470,340 $ 706,423,507 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period.................................... $ -- $ 234,232 $ 197,039 $ 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............................................ 19,800,000 60,050,000 13,250,000 35,800,000 Shares redeemed........................................ (37,000,000) (39,550,000) (29,850,000) (23,100,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period...................... 12,900,002 30,100,002 5,100,002 21,700,002 ============== ============== ============== ==============
Page 56 See Notes to Financial Statements
FIRST TRUST FIRST TRUST TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXL) (FXU) ---------------------------------- ---------------------------------- For the For the For the For the Year Ended Year Ended Year Ended Year Ended 7/31/2015 7/31/2014 7/31/2015 7/31/2014 ---------------- ---------------- ---------------- ---------------- $ 4,742,762 $ 1,678,290 $ 7,696,336 $ 4,859,744 101,421,052 107,612,553 (13,177,956) 14,250,580 (1,528,398) (3,025,670) (1,552,502) (16,291,583) -------------- -------------- -------------- -------------- 104,635,416 106,265,173 (7,034,122) 2,818,741 -------------- -------------- -------------- -------------- (5,153,656) (2,038,763) (8,094,481) (4,647,816) -------------- -------------- -------------- -------------- 973,443,594 1,119,758,790 720,678,747 888,980,450 (1,006,921,759) (673,560,847) (1,207,833,663) (457,854,587) -------------- -------------- -------------- -------------- (33,478,165) 446,197,943 (487,154,916) 431,125,863 -------------- -------------- -------------- -------------- 66,003,595 550,424,353 (502,283,519) 429,296,788 834,967,357 284,543,004 634,851,233 205,554,445 -------------- -------------- -------------- -------------- $ 900,970,952 $ 834,967,357 $ 132,567,714 $ 634,851,233 ============== ============== ============== ============== $ -- $ -- $ 169,461 $ 529,132 ============== ============== ============== ============== 26,305,000 10,955,000 28,100,002 10,000,002 29,150,000 37,100,000 28,700,000 39,900,000 (29,700,000) (21,750,000) (51,050,000) (21,800,000) -------------- -------------- -------------- -------------- 25,755,000 26,305,000 5,750,002 28,100,002 ============== ============== ============== ==============
See Notes to Financial Statements Page 57 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 32.24 $ 28.81 $ 20.52 $ 21.35 $ 15.91 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.30 0.13 0.29 0.18 0.08 Net realized and unrealized gain (loss) 5.03 3.43 8.29 (0.84) 5.44 ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.33 3.56 8.58 (0.66) 5.52 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.28) (0.13) (0.29) (0.17) (0.08) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 37.29 $ 32.24 $ 28.81 $ 20.52 $ 21.35 ========== ========== ========== ========== ========== TOTAL RETURN (a) 16.54% 12.37% 42.17% (3.06)% 34.75% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,559,671 $ 943,060 $ 737,449 $ 424,739 $ 625,596 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.70% 0.72% 0.72% 0.73% Ratio of net expenses to average net assets 0.63% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.91% 0.42% 1.20% 0.84% 0.44% Portfolio turnover rate (b) 131% 100% 99% 98% 90%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 37.71 $ 33.22 $ 23.50 $ 24.49 $ 18.82 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.72 0.51 0.35 0.42 0.17 Net realized and unrealized gain (loss) 7.95 4.51 9.85 (1.16) 5.68 ---------- ---------- ---------- ---------- ---------- Total from investment operations 8.67 5.02 10.20 (0.74) 5.85 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.69) (0.53) (0.48) (0.25) (0.18) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 45.69 $ 37.71 $ 33.22 $ 23.50 $ 24.49 ========== ========== ========== ========== ========== TOTAL RETURN (a) 23.09% 15.14% 43.89% (3.03)% 31.21% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,894,359 $1,059,728 $ 657,759 $ 347,740 $ 249,781 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.69% 0.71% 0.74% 0.79% Ratio of net expenses to average net assets 0.62% 0.69% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.75% 1.59% 1.37% 1.97% 0.80% Portfolio turnover rate (b) 87% 100% 107% 126% 108%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 58 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 28.07 $ 22.62 $ 18.51 $ 23.75 $ 16.05 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.40 0.27 0.23 0.14 0.10 Net realized and unrealized gain (loss) (11.14) 5.43 4.12 (5.25) 7.71 ---------- ---------- ---------- ---------- ---------- Total from investment operations (10.74) 5.70 4.35 (5.11) 7.81 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.40) (0.25) (0.24) (0.13) (0.11) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 16.93 $ 28.07 $ 22.62 $ 18.51 $ 23.75 ========== ========== ========== ========== ========== TOTAL RETURN (a) (38.59)% 25.30% 23.62% (21.50)% 48.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 346,292 $ 813,925 $ 191,135 $ 123,065 $ 168,610 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.70% 0.74% 0.76% 0.75% Ratio of net expenses to average net assets 0.64% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.68% 1.10% 0.82% 0.63% 0.42% Portfolio turnover rate (b) 97% 72% 93% 90% 101%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 21.64 $ 19.79 $ 14.47 $ 14.04 $ 13.02 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.30 0.33 0.32 0.21 0.30 Net realized and unrealized gain (loss) 2.79 1.83 5.32 0.42 1.05 ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.09 2.16 5.64 0.63 1.35 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.30) (0.31) (0.32) (0.20) (0.33) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 24.43 $ 21.64 $ 19.79 $ 14.47 $ 14.04 ========== ========== ========== ========== ========== TOTAL RETURN (a) 14.39% 10.95% 39.45% 4.57% 10.25% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,074,976 $ 904,448 $ 398,820 $ 208,369 $ 100,380 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.69% 0.72% 0.74% 0.74% Ratio of net expenses to average net assets 0.64% 0.69% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.59% 1.61% 1.92% 1.61% 1.68% Portfolio turnover rate (b) 80% 55% 65% 93% 62%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 59 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 53.13 $ 42.58 $ 30.00 $ 28.54 $ 21.56 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.05) (0.01) 0.13 0.02 0.01 Net realized and unrealized gain (loss) 16.55 10.56 12.58 1.46 7.03 ---------- ---------- ---------- ---------- ---------- Total from investment operations 16.50 10.55 12.71 1.48 7.04 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- (0.13) (0.02) (0.06) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 69.63 $ 53.13 $ 42.58 $ 30.00 $ 28.54 ========== ========== ========== ========== ========== TOTAL RETURN (a) 31.06% 24.78% 42.49% 5.17% 32.67% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $4,233,585 $2,151,907 $ 981,566 $ 532,448 $ 241,135 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.67% 0.71% 0.73% 0.75% Ratio of net expenses to average net assets 0.62% 0.67% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets (0.10)% (0.01)% 0.36% 0.07% 0.01% Portfolio turnover rate (b) 125% 81% 96% 109% 116%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 29.27 $ 24.11 $ 17.76 $ 18.06 $ 15.42 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.13 0.24 0.32 0.16 0.08 Net realized and unrealized gain (loss) 0.26 5.16 6.34 (0.29) 2.65 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.39 5.40 6.66 (0.13) 2.73 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.20) (0.24) (0.31) (0.17) (0.09) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.46 $ 29.27 $ 24.11 $ 17.76 $ 18.06 ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.30% 22.44% 37.92% (0.72)% 17.68% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 380,087 $ 881,038 $ 231,413 $ 103,876 $ 65,913 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.69% 0.74% 0.78% 0.79% Ratio of net expenses to average net assets 0.63% 0.69% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.55% 0.99% 1.65% 0.77% 0.47% Portfolio turnover rate (b) 105% 95% 110% 97% 102%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemption and in-kind transactions. Page 60 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 32.55 $ 27.93 $ 22.79 $ 24.22 $ 19.98 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.47 0.35 0.57 0.29 0.22 Net realized and unrealized gain (loss) (1.88) 4.60 5.17 (1.45) 4.40 ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.41) 4.95 5.74 (1.16) 4.62 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.46) (0.33) (0.60) (0.27) (0.38) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.68 $ 32.55 $ 27.93 $ 22.79 $ 24.22 ========== ========== ========== ========== ========== TOTAL RETURN (a) (4.36)% 17.73% 25.39% (4.78)% 23.12% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 156,470 $ 706,424 $ 251,349 $ 144,689 $ 588,549 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.70% 0.73% 0.73% 0.73% Ratio of net expenses to average net assets 0.64% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.25% 1.16% 1.75% 1.14% 0.77% Portfolio turnover rate (b) 104% 76% 82% 92% 116%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 31.74 $ 25.97 $ 20.97 $ 21.81 $ 18.12 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.14 0.08 0.13 (0.01) (0.02) Net realized and unrealized gain (loss) 3.26 5.78 5.00 (0.82) 3.72 ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.40 5.86 5.13 (0.83) 3.70 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.16) (0.09) (0.13) (0.01) (0.01) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.98 $ 31.74 $ 25.97 $ 20.97 $ 21.81 ========== ========== ========== ========== ========== TOTAL RETURN (a) 10.72% 22.59% 24.54% (3.80)% 20.40% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 900,971 $ 834,967 $ 284,543 $ 216,060 $ 197,529 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.70% 0.72% 0.74% 0.74% Ratio of net expenses to average net assets 0.63% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.53% 0.28% 0.53% (0.06)% (0.14)% Portfolio turnover rate (b) 91% 85% 82% 101% 109%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemption and in-kind transactions. See Notes to Financial Statements Page 61 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 22.59 $ 20.56 $ 18.34 $ 17.65 $ 15.42 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.83 0.59 0.64 0.45 0.39 Net realized and unrealized gain (loss) 0.47 2.04 2.22 0.70 2.22 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.30 2.63 2.86 1.15 2.61 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.83) (0.60) (0.64) (0.46) (0.38) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 23.06 $ 22.59 $ 20.56 $ 18.34 $ 17.65 ========== ========== ========== ========== ========== TOTAL RETURN (a) 5.77% 13.08% 15.91% 6.65% 17.03% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 132,568 $ 634,851 $ 205,554 $ 147,658 $ 87,366 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.69% 0.70% 0.73% 0.72% 0.79% Ratio of net expenses to average net assets 0.69% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 2.58% 2.31% 3.53% 2.83% 2.77% Portfolio turnover rate (b) 94% 83% 74% 72% 66%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemption and in-kind transactions. Page 62 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one exchange-traded funds considered either a Sector Fund or a Style Fund. This report covers the nine Sector Funds listed below. The shares of each Sector Fund are listed and traded on 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, each Fund's shares are not redeemable securities. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index (1) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index (1) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index (1) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index (1) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index (1) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index (1) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index (1) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index (1) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index (1)
(1) This index is developed, maintained and sponsored by NYSE Group, Inc. or its affiliates ("NYSE Group"), and licensed to First Trust Portfolios L.P. ("FTP"), the distributor of the Trust, by Archipelago Holdings, Inc. ("Archipelago"), an affiliate of NYSE Group. Prior to the acquisition of the American Stock Exchange LLC (the "AMEX") by NYSE Group, the index was developed, maintained and sponsored by AMEX. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds, each of which is an investment company within the scope of Financial Accounting Standards Board ("FASB") Accounting Standards Update 2013-08, follow accounting and reporting guidance under FASB Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 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. Shares of open-end mutual funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. Page 64 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of July 31, 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 master limited partnerships ("MLPs") generally are comprised of return of capital and investment income. A Fund records estimated return of capital and investment income based on historical information available from each MLP. These estimates may subsequently be revised based on information received from the MLPs after their tax reporting periods are concluded. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities require entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At July 31, 2015, all the Funds except FXU have securities in the securities lending program. During the fiscal year ended July 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. Page 65 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury Notes. The U.S. Treasury Notes are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury Notes can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund is less than the repurchase price and the Fund's costs associated with the delay and enforcement of the repurchase agreement. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 2015, were received as collateral for lending securities. 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, 2015 was as follows:
Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 15,778,306 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 34,623,996 -- -- First Trust Energy AlphaDEX(R) Fund 8,031,831 -- -- First Trust Financials AlphaDEX(R) Fund 13,727,056 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 4,499,510 -- -- First Trust Materials AlphaDEX(R) Fund 4,431,046 -- -- First Trust Technology AlphaDEX(R) Fund 5,153,656 -- -- First Trust Utilities AlphaDEX(R) Fund 8,094,481 -- --
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 -- --
Page 66 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 As of July 31, 2015, the components of distributable earnings on a tax basis for each Fund were as follows:
Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ----------------------- ----------------------- ----------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 1,366,558 $ (210,611,629) $ 189,744,716 First Trust Consumer Staples AlphaDEX(R) Fund 3,689,109 (83,207,275) 223,182,029 First Trust Energy AlphaDEX(R) Fund 383,678 (140,339,372) (102,109,352) First Trust Financials AlphaDEX(R) Fund 1,542,832 (42,687,291) 29,156,406 First Trust Health Care AlphaDEX(R) Fund (2,978,788) (96,667,315) 436,142,358 First Trust Industrials/Producer Durables AlphaDEX(R) Fund -- (66,919,008) (21,426,725) First Trust Materials AlphaDEX(R) Fund 197,039 (97,102,313) (8,082,200) First Trust Technology AlphaDEX(R) Fund -- (96,289,655) 21,237,048 First Trust Utilities AlphaDEX(R) Fund 169,461 (26,800,552) (13,857,077)
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 2012, 2013, 2014 and 2015 remain open to federal and state audit. As of July 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, 2015, 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 Post Total Available Available Available Available Enactment - Capital through through through through No Loss 7/31/2016 7/31/2017 7/31/2018 7/31/2019 Expiration Available ------------- ------------- ------------- ------------- ------------- ------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 64,889 $ 783,283 $ 1,138,594 $ 9,617,858 $ 199,007,005 $ 210,611,629 First Trust Consumer Staples AlphaDEX(R) Fund 63,580 422,511 1,058,131 -- 81,663,053 83,207,275 First Trust Energy AlphaDEX(R) Fund 73,845 2,326,320 2,084,336 3,349,453 132,505,418 140,339,372 First Trust Financials AlphaDEX(R) Fund 13,300 671,958 1,630,337 3,464,108 36,907,588 42,687,291 First Trust Health Care AlphaDEX(R) Fund 28,397 774,570 2,582,977 1,764,162 91,517,209 96,667,315 First Trust Industrials/ Producer Durables AlphaDEX(R) Fund 183,210 798,398 1,325,584 1,133,736 63,478,080 66,919,008 First Trust Materials AlphaDEX(R) Fund 13,424 1,265,429 886,622 7,397,299 87,539,539 97,102,313 First Trust Technology AlphaDEX(R) Fund 22,456 1,608,491 2,508,150 2,516,610 89,633,948 96,289,655 First Trust Utilities AlphaDEX(R) Fund -- 557,777 1,956,482 -- 24,286,293 26,800,552
Page 67 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 At the taxable year ended July 31, 2015, the following Funds' capital loss carryforwards expired in the following amounts: Capital Loss Expired -------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,058 First Trust Financials AlphaDEX(R) Fund 2,757 First Trust Health Care AlphaDEX(R) Fund 18,355 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 23,631 First Trust Materials AlphaDEX(R) Fund 4,424 First Trust Technology AlphaDEX(R) Fund 12,398 Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2015, the following Fund incurred and elected to defer net ordinary losses as follows:
Qualified Late Year Losses ---------------------------------- Ordinary Losses Capital Losses --------------- -------------- First Trust Health Care AlphaDEX(R) Fund $ 2,978,788 $ --
In order to present paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2015, the adjustments for each Fund were as follows:
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital --------------- --------------- --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ (44) $ (102,141,843) $ 102,141,887 First Trust Consumer Staples AlphaDEX(R) Fund -- (191,800,533) 191,800,533 First Trust Energy AlphaDEX(R) Fund (55,872) 26,486,546 (26,430,674) First Trust Financials AlphaDEX(R) Fund 279,634 (62,851,602) 62,571,968 First Trust Health Care AlphaDEX(R) Fund 121,635 (508,277,050) 508,155,415 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 776,115 (6,129,275) 5,353,160 First Trust Materials AlphaDEX(R) Fund -- 11,789,620 (11,789,620) First Trust Technology AlphaDEX(R) Fund 410,894 (136,218,253) 135,807,359 First Trust Utilities AlphaDEX(R) Fund 38,474 3,028,568 (3,067,042)
H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. FTP has entered into licensing agreements with Archipelago for each of the Funds. The license agreements allow for the use by FTP of certain trademarks and trade names of Archipelago and certain trademarks and trade names of NYSE Group. The Funds and First Trust are sub-licensees to the license agreement. The Funds are required to pay licensing fees, which are shown on the Statements of Operations. I. ACCOUNTING PRONOUNCEMENT In June 2014, 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 Page 68 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 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, 2016. Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee 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. For the fiscal year ended July 31, 2015 there were no fees waived or expenses reimbursed by First Trust for the Funds. During the fiscal year ended July 31, 2015, First Trust 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 $86,210, respectively. As of July 31, 2015, none of the Funds had remaining fees previously waived or expenses reimbursed that were still subject to recovery. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. 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 69 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended July 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 $ 2,420,348,279 $ 2,418,906,676 First Trust Consumer Staples AlphaDEX(R) Fund 1,856,334,304 1,884,016,312 First Trust Energy AlphaDEX(R) Fund 468,054,776 468,254,728 First Trust Financials AlphaDEX(R) Fund 675,088,545 673,497,885 First Trust Health Care AlphaDEX(R) Fund 3,744,863,181 3,755,767,523 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 675,756,164 671,136,762 First Trust Materials AlphaDEX(R) Fund 323,673,882 319,120,630 First Trust Technology AlphaDEX(R) Fund 824,309,099 823,831,051 First Trust Utilities AlphaDEX(R) Fund 310,828,066 311,092,967
For the fiscal year ended July 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 $ 2,392,873,283 $ 943,230,135 First Trust Consumer Staples AlphaDEX(R) Fund 2,758,330,432 1,284,280,441 First Trust Energy AlphaDEX(R) Fund 590,836,190 823,895,868 First Trust Financials AlphaDEX(R) Fund 1,342,470,499 1,239,592,352 First Trust Health Care AlphaDEX(R) Fund 3,904,721,715 2,559,840,925 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 592,791,983 1,069,875,362 First Trust Materials AlphaDEX(R) Fund 409,573,272 929,647,126 First Trust Technology AlphaDEX(R) Fund 973,125,973 1,007,256,922 First Trust Utilities AlphaDEX(R) Fund 719,145,179 1,205,876,798
5. CREATION, REDEMPTION & TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares in transactions with brokers-dealers or large institutional investors that have entered into a participation agreement (an "Authorized Participant"). Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per Share of each Fund on the transaction date times the number of Shares in a Creation Unit. Authorized Participants must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Creation in a Creation Unit Transaction Fee ------------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per Share of a Fund on the transaction date times the number of Shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes. Authorized Participants redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Redemption in a Creation Unit Transaction Fee ------------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 Page 70 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 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, 2016. 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 71 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND: We have audited the accompanying statements of assets and liabilities of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, and First Trust Utilities AlphaDEX(R) Fund, each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), including the portfolios of investments, as of July 31, 2015, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2015 by correspondence with the Funds' custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds listed above included in the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2015, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP Chicago, Illinois September 23, 2015 Page 72 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 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 Form N-Qs are available (1) by calling (800) 988-5891; (2) on the Funds' website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. FEDERAL TAX INFORMATION For the taxable year ended July 31, 2015, the following percentages of income dividend paid by the Funds qualified for the dividends received deduction available to corporations:
Dividends Received Deduction -------------------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00% First Trust Consumer Staples AlphaDEX(R) Fund 98.71% First Trust Energy AlphaDEX(R) Fund 78.51% First Trust Financials AlphaDEX(R) Fund 74.25% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 99.94% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 100.00% First Trust Utilities AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2015, the following percentages of income dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income -------------------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00% First Trust Consumer Staples AlphaDEX(R) Fund 100.00% First Trust Energy AlphaDEX(R) Fund 83.04% First Trust Financials AlphaDEX(R) Fund 77.93% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 100.00% First Trust Utilities AlphaDEX(R) Fund 100.00%
ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor" or "First Trust") on behalf of the following nine series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD) First Trust Consumer Staples AlphaDEX(R) Fund (FXG) First Trust Energy AlphaDEX(R) Fund (FXN) First Trust Financials AlphaDEX(R) Fund (FXO) First Trust Health Care AlphaDEX(R) Fund (FXH) First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR) First Trust Materials AlphaDEX(R) Fund (FXZ) First Trust Technology AlphaDEX(R) Fund (FXL) First Trust Utilities AlphaDEX(R) Fund (FXU) Page 73 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 (UNAUDITED) The Board approved the continuation of the Agreement for each Fund for a one-year period ending March 31, 2016, at a meeting held on March 8-9, 2015. The Board of Trustees determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the extent and quality of services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreement for each Fund, the Independent Trustees received a report in advance of the Board meeting responding to a request for information from counsel to the Independent Trustees. The report, among other things, outlined the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee for each Fund as compared to fees charged to a peer group of funds (all of which were exchange-traded funds or "ETFs") compiled by Management Practice Inc. ("MPI"), an independent source (the "MPI Peer Group"), and as compared to fees charged to other clients of the Advisor with similar investment objectives and to other ETFs managed by the Advisor; expenses of each Fund compared to expense ratios of the funds in the Fund's MPI Peer Group; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and a summary of the Advisor's compliance program. Following receipt of this information, the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor is a reasonable business arrangement from each Fund's perspective as well as from the perspective of shareholders. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of services provided under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all the services provided by the Advisor to the Funds. The Board also considered the background and experience of the persons responsible for the day-to-day management of the Funds. The Board considered the compliance program that had been developed by the Advisor and the procedures in place to monitor each Fund's investment program. The Board considered the significant asset growth of the First Trust Fund Complex (particularly in ETFs) and the Advisor's concomitant investment in infrastructure and personnel dedicated to the First Trust funds. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective and policies. The Board considered the advisory fee payable by each Fund under the Agreement. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through November 30, 2016. For each Fund, the Board noted that expenses borne or fees waived by the Advisor are to be subject to reimbursement by the Fund for up to three years from the date the expense was incurred or fee was waived, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. The Board considered the advisory fees charged by the Advisor to other First Trust ETFs not paying a unitary fee and other advisory clients with investment objectives and policies similar to the Funds', noting that those fees generally were similar to the advisory fees charged to the Funds. The Board also reviewed data prepared by MPI showing the advisory fee and expense ratio of each Fund as compared to the advisory fees and expense ratios of the peer funds in each Fund's MPI Peer Group. Because each Fund's MPI Peer Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Fund was above the median total (net) expense ratio of the peer funds in each Fund's respective MPI Peer Group. The Independent Trustees discussed with representatives of the Advisor and independent counsel limitations in creating peer groups for ETFs and different business models that affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the MPI data. The Board considered performance information for each Fund, noting that the performance information included each Fund's quarterly performance report, which is part of the process that the Board has established for monitoring each Fund's performance on an ongoing basis. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board also considered information regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, the Fund's tracking error and the Fund's excess return as compared to a benchmark index. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking error for each Fund over time was consistent with the Fund's prospectus. In addition, the Board reviewed data prepared by MPI comparing each Fund's performance to its respective MPI Peer Group and to a broad-based benchmark, but Page 74 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 (UNAUDITED) given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of tracking error and correlation. On the basis of all the information provided on the fees, expenses and performance of each Fund, the Board concluded that the advisory fee for each Fund was reasonable and appropriate in light of the nature, extent and quality of services provided by the Advisor to each Fund under the Agreement. The Board noted that the Advisor has made and is making significant investments in personnel and infrastructure and considered whether fee levels reflect any economies of scale for the benefit of shareholders. The Board also considered the costs of the services provided and profits realized by the Advisor from serving as investment advisor to each Fund for the twelve months ended December 31, 2014, as well as product-line profitability data for the same period, as set forth in the materials provided to the Board. The Independent Trustees noted that license and listing fees payable by each Fund had recently been reduced, and they requested and received from the Advisor pro forma estimated expense ratios and profitability information for the Funds. Based on the information provided, the Board concluded that the pre-tax profits estimated to have been realized by the Advisor in connection with the management of each Fund for calendar year 2014 were not unreasonable. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, in the absence of the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with its management of the Funds' portfolios. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Trust and each Fund. No single factor was determinative in the Board's analysis. BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor" or "First Trust") on behalf of the following nine series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD) First Trust Consumer Staples AlphaDEX(R) Fund (FXG) First Trust Energy AlphaDEX(R) Fund (FXN) First Trust Financials AlphaDEX(R) Fund (FXO) First Trust Health Care AlphaDEX(R) Fund (FXH) First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR) First Trust Materials AlphaDEX(R) Fund (FXZ) First Trust Technology AlphaDEX(R) Fund (FXL) First Trust Utilities AlphaDEX(R) Fund (FXU) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2016, at a meeting held on June 16, 2015. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the extent and quality of services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on March 8-9, 2015, April 20, 2015 and June 16, 2015, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees that, among other things, outlined the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee for each Fund as compared to fees charged to a peer group of funds (all of which were exchange-traded funds or "ETFs") selected by Management Practice, Inc. ("MPI"), an independent source (the "MPI Peer Group"), and as compared to fees charged to other clients of the Advisor with similar investment objectives and to other ETFs managed by the Advisor; expenses of each Fund compared to expense ratios of the funds in the Fund's MPI Peer Group; performance information for each Fund; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and a summary of the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on March 8-9, 2015, and additional materials at a special meeting held on April 20, 2015, at each of which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and those were considered at an executive session of the Independent Trustees and independent Page 75 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 (UNAUDITED) legal counsel held prior to the June 16, 2015 meeting, as well as at the meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor is a reasonable business arrangement from each Fund's perspective as well as from the perspective of shareholders. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of services provided under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all the services provided by the Advisor to the Funds. The Board also considered the background and experience of the persons responsible for the day-to-day management of the Funds. The Board considered the compliance program that had been developed by the Advisor and the procedures in place to monitor each Fund's investment program. The Board considered the significant asset growth of the First Trust Fund Complex (particularly in ETFs) and the Advisor's concomitant investment in infrastructure and personnel dedicated to the First Trust funds. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with the Fund's investment objective and policies. The Board considered the advisory fee payable by each Fund under the Agreement. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through November 30, 2016. For each Fund, the Board noted that expenses borne or fees waived by the Advisor are to be subject to reimbursement by the Fund for up to three years from the date the expense was incurred or fee was waived, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. The Board considered the advisory fees charged by the Advisor to other First Trust ETFs not paying a unitary fee and other advisory clients with investment objectives and policies similar to the Funds', noting that those fees generally were similar to the advisory fees charged to the Funds. The Board also reviewed data prepared by MPI showing the advisory fee and expense ratio of each Fund as compared to the advisory fees and expense ratios of the peer funds in each Fund's MPI Peer Group. Because each Fund's MPI Peer Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Fund was above the median total (net) expense ratio of the peer funds in each Fund's respective MPI Peer Group. The Independent Trustees discussed with representatives of the Advisor and independent counsel limitations in creating peer groups for ETFs and different business models that affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the MPI data. The Board considered performance information for each Fund, noting that the performance information included each Fund's quarterly performance report, which is part of the process that the Board has established for monitoring each Fund's performance on an ongoing basis. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board also considered information for periods ended December 31, 2014 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, the Fund's tracking error and the Fund's excess return as compared to a benchmark index. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking error for each Fund over time was consistent with the Fund's prospectus. In addition, the Board reviewed data prepared by MPI comparing each Fund's performance to its respective MPI Peer Group and to a broad-based benchmark, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking error. On the basis of all the information provided on the fees, expenses and performance of each Fund, the Board concluded that the advisory fee for each Fund was reasonable and appropriate in light of the nature, extent and quality of services provided by the Advisor to each Fund under the Agreement. The Board noted that the Advisor has made and continues to make significant investments in personnel and infrastructure and considered whether the Funds' fee levels reflect any economies of scale for the benefit of shareholders. The Board also considered the costs of the services provided and profits realized by the Advisor from serving as investment advisor to each Fund for the twelve months ended December 31, 2014, as well as product-line profitability data for the same period, as set forth in the materials provided to the Board. The Independent Trustees noted that license and listing fees payable by each Fund had recently been reduced, and they requested and received from the Advisor pro forma estimated expense ratios and profitability information for the Funds. The Board noted the inherent limitations in the profitability analysis, and concluded that the pre-tax profits estimated to have been realized by the Advisor in connection with the management of each Fund were not unreasonable. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, in the absence of the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with its management of the Funds' portfolios. Page 76 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 (UNAUDITED) Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Trust and each Fund. No single factor was determinative in the Board's analysis. 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. 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. Page 77 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 (UNAUDITED) 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 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. Page 78 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2015 (UNAUDITED) 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 REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Fund it manages (the "Funds") in the United Kingdom in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2014, the amount of remuneration paid (or to be paid) by First Trust in respect of the Funds is $32,091,721. This figure is comprised of $2,739,160 paid (or to be paid) in fixed compensation and $29,352,561 paid (or to be paid) in variable compensation. There were a total of 402 beneficiaries of the remuneration described above. Those amounts include $3,298,925 paid (or to be paid) to senior management of First Trust and $1,011,708 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust or the Funds. Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. Page 79 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2015 (UNAUDITED) The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, ADDRESS, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE DATE OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton 115 None c/o First Trust Advisors L.P. Orthopedics; Limited Partner, 120 E. Liberty Drive, o Since Inception Gundersen Real Estate Limited Suite 400 Partnership; Member, Sportsmed LLC Wheaton, IL 60187 D.O.B.: 04/51 Thomas R. Kadlec, Trustee o Indefinite Term President (March 2010 to Present), Senior 115 Director of ADM c/o First Trust Advisors L.P. Vice President and Chief Financial Officer Investor Services, 120 E. Liberty Drive, o Since Inception (May 2007 to March 2010), ADM Investor Inc., ADM Suite 400 Services, Inc. (Futures Commission Investor Services Wheaton, IL 60187 Merchant) International and D.O.B.: 11/57 Futures Industry Association Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), Hibs 115 Director of Trust c/o First Trust Advisors L.P. Enterprises (Financial and Management Company of 120 E. Liberty Drive, o Since Inception Consulting) Illinois Suite 400 Wheaton, IL 60187 D.O.B.: 11/56 Niel B. Nielson, Trustee o Indefinite Term Managing Director and Chief Operating 115 Director of c/o First Trust Advisors L.P. Officer (January 2015 to Present), Pelita Covenant 120 E. Liberty Drive, o Since Inception Harapan Educational Foundation (Educational Transport Inc. Suite 400 Products and Services); President and Chief (May 2003 to Wheaton, IL 60187 Executive Officer (June 2012 to September May 2014) D.O.B.: 03/54 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services); President (June 2002 to June 2012), Covenant College
------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer (December 2010 115 None Chairman of the Board to Present), President (until December 120 E. Liberty Drive, o Since Inception 2010), First Trust Advisors L.P. and Suite 400 First Trust Portfolios L.P.; Chairman of Wheaton, IL 60187 the Board of Directors, BondWave LLC D.O.B.: 09/55 (Software Development Company/ Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor)
----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 80 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2015 (UNAUDITED)
POSITION AND TERM OF OFFICE NAME, ADDRESS OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS AND DATE OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS -------------------------------------------------------------------------------------------------------------------------------- OFFICERS(2) -------------------------------------------------------------------------------------------------------------------------------- Mark R. Bradley President and o Indefinite Term Chief Operating Officer (December 2010 to Present) 120 E. Liberty Drive, Chief Executive and Chief Financial Officer, First Trust Advisors L.P. Suite 400 Officer o Since January 2012 and First Trust Portfolios L.P.; Chief Financial Wheaton, IL 60187 Officer, BondWave LLC (Software Development D.O.B.: 11/57 Company/Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor) James M. Dykas Treasurer, Chief o Indefinite Term Controller (January 2011 to Present), Senior Vice 120 E. Liberty Drive, Financial Officer President (April 2007 to Present), First Trust Advisors Suite 400 and Chief o Since January 2012 L.P. and First Trust Portfolios L.P. Wheaton, IL 60187 Accounting D.O.B.: 01/66 Officer W. Scott Jardine Secretary and o Indefinite Term General Counsel, First Trust Advisors L.P. and First 120 E. Liberty Drive, Chief Legal Trust Portfolios L.P.; Secretary and General Counsel, Suite 400 Officer o Since Inception BondWave LLC (Software Development Company/ Wheaton, IL 60187 Investment Advisor) and Secretary, Stonebridge D.O.B.: 05/60 Advisors LLC (Investment Advisor) Daniel J. Lindquist Vice President o Indefinite Term Managing Director (July 2012 to Present), Senior 120 E. Liberty Drive, Vice President (September 2005 to July 2012), First Suite 400 o Since Inception Trust Advisors L.P. and First Trust Portfolios L.P. Wheaton, IL 60187 D.O.B.: 02/70 Kristi A. Maher Chief Compliance o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. 120 E. Liberty Drive, and Officer and First Trust Portfolios L.P. Suite 400 Assistant o Chief Compliance Officer Wheaton, IL 60187 Secretary Since January 2011 D.O.B.: 12/66 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President (November 2003 to Present), 120 E. Liberty Drive, Vice President (August 2001 to November 2003), Suite 400 o Since Inception First Trust Advisors L.P. and First Trust Wheaton, IL 60187 Portfolios L.P. D.O.B.: 06/66 Stan Ueland Vice President o Indefinite Term Senior Vice President (September 2012 to Present) 120 E. Liberty Drive, Vice President (August 2005 to September 2012), Suite 400 o Since Inception First Trust Advisors L.P. and First Trust Wheaton, IL 60187 Portfolios L.P. D.O.B.: 11/70
----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 81 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2015 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We may collect nonpublic personal information about you from the following sources: o Information we receive from you or your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required by law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information with affiliates of the Fund. PRIVACY ONLINE We allow third-party companies, including AddThis, to collect certain anonymous information when you visit our website. These companies may use non-personally identifiable information during your visits to this and other websites in order to provide advertisements about goods and services likely to be of greater interest to you. These companies typically use a cookie, third party web beacon or pixel tags, to collect this information. To learn more about this behavioral advertising practice, you can visit www.networkadvertising.org. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, we restrict access to your nonpublic personal information to those individuals who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time; however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). Page 82 This page is intentionally left blank. 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 Annual Report July 31, 2015 -------------------------------------------------------------------------------- AlphaDEX(R) Style Funds ------------------------ First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Mega Cap AlphaDEX(R) Fund (FMK) ALPHADEX(R) FAMILY OF ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 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)...................... 75 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 80 First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 83 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 88 First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 92 Statements of Assets and Liabilities........................................ 94 Statements of Operations.................................................... 97 Statements of Changes in Net Assets......................................... 100 Financial Highlights........................................................ 104 Notes to Financial Statements............................................... 111 Report of Independent Registered Public Accounting Firm..................... 121 Additional Information...................................................... 122 Board of Trustees and Officers.............................................. 130 Privacy Policy.............................................................. 132 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information Section of this report for a discussion of other risks in investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at http://www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment in each Fund. It includes details about each Fund's portfolios and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL LETTER FROM THE CHAIRMAN AND CEO JULY 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 annual report which contains detailed information about your investment for the twelve months ended July 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 in 2014. However, for the twelve 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, created volatility in the U.S. and global markets. Another factor that has impacted markets is the fact that many economists are predicting the Federal Reserve will begin to raise interest rates over the next few months. 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 to help investors reach their financial goals. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 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./GLOBAL ECONOMY Brian Wesbury, Chief Economist at First Trust, has characterized the U.S. economic expansion as a "Plow Horse" recovery. While the economy is in fact growing, the pace has been more modest than what has been registered in most expansionary periods, in our opinion. The current U.S. economic recovery commenced in Q3'09. From 6/30/09-6/30/15 (most recent GDP release was Q2'15), real GDP growth averaged 2.0%, according to the Bureau of Economic Analysis (BEA). From 1985 through 2014, real U.S. GDP growth was 3.0% or higher in 14 of the 30 calendar years, according to data from the BEA. In the current recovery, the best showing to date was the 2.5% real GDP growth rate posted in 2010. As we noted in the last semi-annual report, despite the U.S.'s modest economic growth rate, the U.S. dollar continued to strengthen relative to other major foreign currencies. From 7/31/14 through 7/31/15, the U.S. Dollar Index (DXY) rose by 19.49%, according to Bloomberg. The DXY indicates the general international value of the dollar relative to a basket of major world currencies. A strong U.S. dollar can put downward pressure on commodity prices. The price of crude oil continued its slide from its 2014 peak of $107.26 per barrel. From 7/31/14 through 7/31/15, the price of a barrel of oil declined 52.0%, from $98.17 to $47.12, according to Bloomberg. The Thomson Reuters/CoreCommodity CRB Commodity Index, which tracks a diversified basket of commodities, was down 31.2% over the same period, according to Bloomberg. Over time, we believe that lower commodity prices, if sustained, can potentially boost consumption in the U.S. by increasing the amount of discretionary dollars consumers have to spend. Two economic silver linings within the U.S. recovery are job growth and auto sales. U.S. nonfarm payrolls have increased 58 consecutive months, as of July 2015, according to data from the Bureau of Labor Statistics. From 7/31/14 through 7/31/15, nonfarm payrolls rose by an average of 243,000 per month. Job creation and low interest rates have helped push U.S. auto sales back to pre-recession levels. Annualized sales reached 17.46 million units in July 2015, according to Bloomberg. Sales stood at an annualized 17.17 million units in July 2006. While the housing market is also in the process of rebounding, it has a considerable potential upside, in our opinion. The percentage of U.S. households that own their home stood at 63.4% in Q2'15, down from the all-time high of 69.2% in Q2'04, according to data from the U.S. Census Bureau. STYLE/MARKET-CAP INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end funds and exchange-traded funds (ETFs). For the 12-month period ended July 2015, U.S. equity funds/ETFs reported net outflows totaling $17.8 billion, according to data from Morningstar. Investors continue to favor passive funds over actively managed funds. Passive U.S. equity funds/ETFs reported net inflows totaling $140.8 billion, compared to net outflows totaling $158.6 billion for actively managed U.S. equity funds/ETFs, for this period. For the 12-month period ended July 2015, Morningstar reported the following net flows to these nine Style/Market Cap fund categories: $44.0 billion (Large Blend); -$8.6 billion (Large Value); -$41.6 billion (Large Growth); $16.2 billion (Mid-Cap Blend); -$10.8 billion (Mid-Cap Value); -$16.5 billion (Mid-Cap Growth); and $3.9 billion (Small Blend); $78 million (Small Value); and -$4.6 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 7.67% 15.48% 6.55% 105.38% 68.52% Market Price 7.74% 15.51% 6.56% 105.60% 68.66% INDEX PERFORMANCE Defined Large Cap Core Index 8.39% 16.31% 7.33% 112.88% 79.03% S&P 500(R) Index 11.21% 16.24% 6.40% 112.26% 66.62% -------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FEX's one-year net asset value ("NAV") return of 7.67% underperformed the benchmark S&P 500(R) Index return of 11.21% by -3.54%. The Health Care and Consumer Discretionary sectors were the leading contributors to the Fund's return. The Fund's holdings in the Health Care sector returned 32.5%, had an average weighting of 11.7%, and contributed 3.4% to the Fund's return. The Fund's holdings in the Consumer Discretionary sector returned 19.9%, had an average weighting of 18.6%, and contributed 3.3% to the Fund's return. Within the Health Care sector, the Health Care Providers & Services industry led the way in performance (+32.9%) and contribution (+1.3%). Several securities contributed to the sector's high return including: Cigna Corp. (+60.1%), Humana, Inc. (+52.8%), UnitedHealth Group, Inc. (+52.1%), and Aetna, Inc. (+47.2%). On a relative basis, the Energy sector caused the underperformance. The Fund held an average weighting of 12.4% in the Energy sector throughout the period, which is 3.8% higher than the benchmark weighting of 8.6%. Because the Energy sector was a lagging sector relative to the total benchmark return and the Fund was overweight the sector, this caused a -2.4% drag. Some of the underperformance was reversed due to being overweight and outperforming within the Utilities sector, in all causing 0.2% of outperformance. % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------- --------------------- Consumer Discretionary 19.71% Information Technology 14.11 Health Care 13.28 Industrials 11.67 Financials 11.09 Utilities 9.51 Energy 9.11 Consumer Staples 5.55 Materials 4.85 Telecommunication Services 1.12 ------- Total 100.00% ======= % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------- --------------------- Amazon.com, Inc. 0.55% Netflix, Inc. 0.54 Under Armour, Inc., Class A 0.53 Tesoro Corp. 0.51 Expedia, Inc. 0.49 Total System Services, Inc. 0.49 Travelers (The) Cos., Inc. 0.49 Regeneron Pharmaceuticals, Inc. 0.48 Kroger (The) Co. 0.48 SCANA Corp. 0.48 ------- Total 5.04% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 7/31/15 16852 17904 16662
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 201 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% 8/1/10 - 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 - 7/31/15 51 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 5.55% 15.17% 7.91% 102.60% 87.14% Market Price 5.51% 15.18% 7.91% 102.68% 87.14% INDEX PERFORMANCE Defined Mid Cap Core Index 6.21% 15.98% 8.70% 109.87% 98.62% S&P MidCap 400(R) Index 11.30% 16.29% 8.14% 112.70% 90.38% -------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FNX's one-year NAV return of 5.55% underperformed the benchmark S&P Midcap 400(R) Index return of 11.30% by -5.75%. The Financials sector was the largest contributor to the Fund's performance. The Fund's holdings in the sector returned 19.5%, contributed 2.9% to the Fund's return, and were held at an average weighting of 16.3% over the period. With approximately the same weighting but slightly worse performance, the Consumer Discretionary (+17.7%) and Information Technology (+14.1%) sectors contributed a significant portion of the Fund's return, 2.8% and 2.0%, respectively. Within the Financials sector, StanCorp Financial Group, Inc. performed particularly well, with a 92.7% return over the period. Within the Industrials sector, JetBlue Airways Corp. was the top-returning security over the period, with a 114.4% return. On a relative basis, the Fund underperformed the benchmark due to being overweight and underperforming within the Energy sector. The Fund's average weighting within the Energy sector was held at 7.7% versus the benchmark at 4.5% and returning -44.3% versus the benchmark at -38.7%. These negative characteristics caused -1.71% of drag. The Materials sector also contributed to the underperformance, with a -1.1% drag due to being overweight the lagging sector. % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------- --------------------- Consumer Discretionary 18.31% Information Technology 17.58 Financials 16.10 Industrials 15.14 Materials 7.55 Energy 7.51 Health Care 7.15 Utilities 6.87 Consumer Staples 3.34 Telecommunication Services 0.45 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Fortinet, Inc. 0.65% Tempur Sealy International, Inc. 0.65 Guess?, Inc. 0.65 Acuity Brands, Inc. 0.63 JetBlue Airways Corp. 0.63 Manhattan Associates, Inc. 0.61 Global Payments, Inc. 0.61 Werner Enterprises, Inc. 0.61 Graham Holdings Co., Class B 0.60 NeuStar, Inc., Class A 0.60 ------- Total 6.24% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 16365 15152 1/31/14 17060 17932 16269 7/31/14 17728 18701 17103 1/31/15 18033 19086 18039 7/31/15 18711 19861 19034
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 176 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% 8/1/10 - 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 - 7/31/15 76 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 5.45% 14.75% 6.47% 98.95% 67.55% Market Price 5.48% 14.74% 6.46% 98.83% 67.45% INDEX PERFORMANCE Defined Small Cap Core Index 6.12% 15.57% 7.31% 106.21% 78.72% S&P SmallCap 600(R) Index 11.97% 16.79% 7.61% 117.33% 82.86% -------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FYX's one-year NAV return of 5.45% underperformed the benchmark S&P SmallCap 600(R) Index return of 11.97% by -6.52%. The top-performing and top-contributing sector in the Fund was Health Care, returning 35.8% and contributing 3.6% to the Fund's return. The Consumer Discretionary, Financials, and Industrials sectors each averaged about a 2.2% contribution to the Fund, each returned an average 14.0%, and each was held at an approximately 16.6% weighting. Notable securities over the period were ABIOMED, Inc., which returned 228.2% and contributed 0.5% to the Fund's performance, and Cambrex Corp., which returned 133.7% and contributed 0.3% to the Fund's performance, each held in the Health Care sector. The Materials sector was the worst-performing sector besides Energy, returning -12.9% and contributing -0.7% to the Fund's return. On a relative basis, the Energy sector caused the majority of the underperformance. The sector was held at an average weighting of 7.5%, returned -61.3%, and caused -2.4% of drag. Though both the Fund and benchmark had similar returns within the Energy sector, the Fund was overweight by 3.2%. The Information Technology sector, although having a positive return of 7.1%, caused a -1.2% drag due to being overweight by 0.5% and underperforming by -8.4%. Two sectors, the Industrials and Consumer Staples sectors, created relative outperformance by being overweight and outperforming the benchmark; the two sectors caused 0.2% of outperformance. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 17.89% Consumer Discretionary 17.85 Information Technology 16.01 Industrials 14.96 Health Care 14.90 Energy 5.57 Materials 3.94 Consumer Staples 3.67 Utilities 3.25 Telecommunication Services 1.96 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Supernus Pharmaceuticals, Inc. 0.48% Universal Forest Products, Inc. 0.47 Nutrisystem, Inc. 0.47 American Woodmark Corp. 0.46 Depomed, Inc. 0.45 BofI Holding, Inc. 0.45 LogMeIn, Inc. 0.44 Dycom Industries, Inc. 0.43 Cambrex Corp. 0.43 PGT, Inc. 0.43 ------- Total 4.51% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 15241 14707 1/31/14 15900 16802 16098 7/31/14 15888 16844 16333 1/31/15 16261 17300 17089 7/31/15 16755 17873 18288
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 189 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% 8/1/10 - 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 - 7/31/15 63 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV -0.29% 14.13% 5.82% 93.64% 59.34% Market Price -0.34% 14.16% 5.82% 93.88% 59.33% INDEX PERFORMANCE Defined Large Cap Value Index 0.37% 14.97% 6.64% 100.91% 69.72% S&P 500(R) Index 11.21% 16.24% 6.40% 112.26% 66.62% S&P 500(R) Value Index 6.59% 14.52% 4.12% 96.97% 39.43% -------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FTA's one-year NAV return of -0.29% underperformed the benchmark S&P 500(R) Value Index return of 6.59% by -6.88%. The Utilities sector was the top-contributing sector with 2.6%. The sector was held at an average weighting of 15.1% and returned 11.4% over the period. The Consumer Discretionary sector was the second best contributing sector, with 2.0%. The Consumer Discretionary sector was held at an average weighting of 14.1% and returned 15.9% over the period. The Hotels, Restaurants & Leisure industry within the Consumer Discretionary sector performed particularly well returning 42.3%, and was held at an average weighting of 0.7%. Carnival Corp. was the top-performing security in the industry and second best performing security in the Fund over the period with a return of 50.6%. The top-performing security held in the Fund was Tesoro Corp., within the Energy sector, returning 61.0%. On a relative basis, the Energy sector, which returned -34.7%, and was held at an average weighting of 20.9% (versus the benchmark at 13.7%) over the period, was the largest detractor from performance (-3.8% relative contribution). It was the Energy Equipment & Services industry that contributed the most to the relative drag (-2.9% of the -3.8%). Within this industry, Transocean Ltd. (-57.8%), Ensco PLC (-53.0%), Noble Corp. PLC (-51.6%), and Diamond Offshore Drilling, Inc. (-50.7%) were the worst-performing securities contributing in sum -1.9% to the underperformance. A portion of the underperformance (+1.1%) was reversed due to being overweight the Utilities sector (15.1% versus 5.8%). TECO Energy, Inc. was the leading contributor within the Utilities sector, returning 32.8% and contributing 0.2% to the outperformance. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Utilities 17.92% Energy 15.98 Financials 15.05 Consumer Discretionary 14.89 Industrials 14.07 Information Technology 10.59 Materials 5.00 Consumer Staples 2.66 Health Care 2.21 Telecommunication Services 1.63 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesoro Corp. 0.98% Travelers (The) Cos., Inc. 0.93 SCANA Corp. 0.92 Edison International 0.91 PPL Corp. 0.91 GameStop Corp., Class A 0.90 Public Service Enterprise Group, Inc. 0.90 Twenty-First Century Fox, Inc., Class A 0.90 Valero Energy Corp. 0.89 Marathon Petroleum Corp. 0.88 ------- Total 9.12% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 7/31/15 15931 16973 16662 13944
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 197 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% 8/1/10 - 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 - 7/31/15 55 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 17.32% 16.75% 7.07% 116.91% 75.47% Market Price 17.33% 16.79% 7.08% 117.26% 75.61% INDEX PERFORMANCE Defined Large Cap Growth Index 18.12% 17.61% 7.86% 125.03% 86.37% S&P 500(R) Index 11.21% 16.24% 6.40% 112.26% 66.62% S&P 500(R) Growth Index 15.49% 17.91% 8.60% 127.87% 97.13% -------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FTC's one-year NAV return of 17.32% outperformed the benchmark S&P 500(R) Growth Index return of 15.49% by 1.83%. The Health Care and Consumer Discretionary sectors were the leading contributors to the Fund's return, contributing 6.1% and 4.9%, respectively. The Health Care sector had an average weighting of 20.3% throughout the period and returned 32.9%. The Consumer Discretionary sector had an average weighting of 23.6% throughout the period and returned 21.9%. The top-performing sector was the Consumer Staples sector, which returned 33.9% and was held at an average weighting of 6.9%. Because of the relatively small weighting in the Consumer Staples sector, its contribution was limited to 2.2%. The Energy sector was the worst-performing sector, returning -22.8% over the period. On a relative basis, the Information Technology sector was the leading cause of the outperformance, followed closely by the Health Care sector. Due to the Fund outperforming the benchmark in the Information Technology sector by 6.1%, which is the highest weighted sector within the benchmark, the Fund gained 1.0% of outperformance. Electronic Arts, Inc. was the leading contributor within the Technology sector, at an average weight of 0.9%, returning 112.9%, and contributing 0.8% of the outperformance. Within the Health Care sector, the Fund was overweight several relatively high-performing securities including: Cigna Corp. (+60.1%), AmerisourceBergen Corp. (+39.1%), Universal Health Services, Inc. (+37.7%), and Aetna, Inc. (+23.2%); in sum contributing 0.7% of the relative outperformance. The Energy sector had little impact (-0.09%) to the relative performance due to its relatively smaller weighting within the Fund (3.3%) and having a higher return than the benchmark by 4.8%. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 25.45% Health Care 25.36 Information Technology 18.41 Industrials 9.33 Consumer Staples 8.46 Financials 6.17 Materials 4.49 Energy 1.41 Telecommunication Services 0.55 Utilities 0.37 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Amazon.com, Inc. 1.19% Netflix, Inc. 1.17 Under Armour, Inc., Class A 1.15 Expedia, Inc. 1.07 Total System Services, Inc. 1.07 Regeneron Pharmaceuticals, Inc. 1.05 Kroger (The) Co. 1.04 Starbucks Corp. 1.04 Electronic Arts, Inc. 1.04 CVS Health Corp. 1.03 ------- Total 10.85% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 7/31/15 17549 18638 16662 19712
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 206 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% 8/1/10 - 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 - 7/31/15 46 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV -0.74% 14.15% 6.42% 93.78% 66.86% Market Price -0.77% 14.13% 6.41% 93.68% 66.70% INDEX PERFORMANCE Defined Multi Cap Value Index -0.02% 15.04% 7.27% 101.46% 78.17% S&P Composite 1500(R) Index 11.25% 16.28% 6.59% 112.57% 69.05% S&P Composite 1500(R) Value Index 6.52% 14.61% 4.42% 97.71% 42.70% -------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FAB's one-year NAV return of -0.74% underperformed the benchmark S&P Composite 1500(R) Value Index return of 6.52% by -7.26%. The top-contributing sector was the Financials sector, with 2.3%. The Financials sector returned 17.4% and was weighted at an average 15.5%. The Utilities sector was the second best contributing sector with 1.8%. The Utilities sector returned 9.9% and was weighted at an average 11.4%. Among the Financials sector, the Insurance industry returned 25.2% and contributed 1.7% to the Fund's return. Standout securities in the industry were StanCorp Financial Group, Inc. (+92.7%), HCC Insurance Holdings, Inc. (+68.7%), and First American Financial Corp. (+54.1%). On a relative basis, the Energy sector contributed to most of the Fund's relative underperformance against the benchmark. The Fund held the Energy sector at a 16.5% weighting, 3.61% higher than the benchmark, and underperformed at -40.9% versus the benchmark at -25.9%. The Energy Equipment & Services industry added -3.0% to the underperformance where the Fund was overweight 4.9%. Pioneer Energy Services Corp. (-75.1%), GulfMark Offshore, Inc., Class A (-70.5%), and Helix Energy Solutions Group, Inc. (-67.1%) were the worst performers among the industry. The Health Care sector, which was the top-performing sector at 27.7%, contributed -1.2% to performance, as the Fund was underweight 6.9% relative to the benchmark. The drag was reversed by 0.6% due to the Fund overweighting the Utilities sector by 5.3%, which returned 9.9%. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 16.40% Consumer Discretionary 15.84 Industrials 15.06 Energy 13.91 Utilities 13.73 Information Technology 12.01 Materials 6.65 Consumer Staples 2.81 Health Care 2.16 Telecommunication Services 1.43 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesoro Corp. 0.50% Travelers (The) Cos., Inc. 0.47 SCANA Corp. 0.47 Edison International 0.47 PPL Corp. 0.47 GameStop Corp., Class A 0.46 Public Service Enterprise Group, Inc. 0.46 Twenty-First Century Fox, Inc., Class A 0.46 Valero Energy Corp. 0.45 Marathon Petroleum Corp. 0.45 ------- Total 4.66% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 17890 15875 13675 7/31/15 16688 17822 16905 14271
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 132 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% 8/1/10 - 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 - 7/31/15 120 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/15 7/31/15 to 7/31/15 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 15.89% 16.34% 7.33% 113.15% 79.02% Market Price 15.93% 16.37% 7.34% 113.40% 79.09% INDEX PERFORMANCE Defined Multi Cap Growth Index 16.77% 17.25% 8.16% 121.56% 90.74% S&P Composite 1500(R) Index 11.25% 16.28% 6.59% 112.57% 69.05% S&P Composite 1500(R) Growth Index 15.68% 17.90% 8.70% 127.79% 98.76% -------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FAD's one-year NAV return of 15.89% outperformed the benchmark S&P Composite 1500(R) Growth Index return of 15.68% by 0.21%. The top-performing and top-contributing sector was Health Care. The Health Care sector was held at an average weight of 18.5% and returned 32.5%, leading to a contribution of 5.6% to the Fund's performance. The Consumer Discretionary sector was the second highest contributor, with 4.7% due to its large weighting within the Fund at 21.0% and return of 23.6%. ABIOMED, Inc. was a standout performer among the Health Care Equipment & Supplies industry, returning 228.2% and contributing 0.2% to the Fund's return. The Energy sector was the worst-performing sector. Energy was held in the Fund at an average weighting of 2.7%, returned -36.2%, and contributed -2.2%. On a relative basis, the Health Care sector which was overweight 18.5% versus the benchmark of 17.5%, and outperformed 32.5% versus the benchmark 28.8%, benefited the Fund 0.6%, the most among all sectors. The benefit was limited as the Biotechnology industry lagged in performance by -0.6% and was underweight the well-performing industry by 2.6% versus the benchmark, causing a -0.5% drag. The Energy sector had little impact as it was held at an average 2.7% weighting in the Fund. The benchmark had a slightly higher weighting in Energy at 3.9% but performed 7.3% better, causing a -0.2% drag. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 23.00% Consumer Discretionary 22.71 Information Technology 20.35 Industrials 11.42 Financials 10.75 Consumer Staples 6.38 Materials 3.69 Energy 0.76 Telecommunication Services 0.67 Utilities 0.27 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Amazon.com, Inc. 0.60% Netflix, Inc. 0.59 Under Armour, Inc., Class A 0.57 Expedia, Inc. 0.54 Total System Services, Inc. 0.53 Regeneron Pharmaceuticals, Inc. 0.52 Kroger (The) Co. 0.52 Starbucks Corp. 0.52 Electronic Arts, Inc. 0.52 CVS Health Corp. 0.52 ------- Total 5.43% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 7/31/15 17901 19072 16905 19873
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2010 through July 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% 8/1/10 - 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 - 7/31/15 162 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% 8/1/10 - 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 - 7/31/15 90 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 1 Year Ended Inception (4/19/11) Inception (4/19/11) 7/31/15 to 7/31/15 to 7/31/15 FUND PERFORMANCE NAV -0.87% 10.53% 53.52% Market Price -1.04% 10.51% 53.41% INDEX PERFORMANCE Defined Mid Cap Value Index -0.26% 11.34% 58.41% S&P MidCap 400(R) Value Index 5.83% 11.93% 62.05% ----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FNK's one-year NAV return of -0.87% underperformed the benchmark S&P MidCap 400(R) Value Index return of 5.83% by -6.70%. The standout leading contributor to the Fund's performance was the Financials sector contributing 3.5%, returning 22.4%, and held at an average weighting of 17.9%. Within the sector, the Insurance industry contributed 2.8% to the Fund's performance, returned 32.0%, and was held at an average weighting of 10.4%. StanCorp Financial Group, Inc. was the best-performing security with a 92.7% return. Besides the Energy sector, which returned -41.1% over the period, the Materials sector was the second worst performing sector at -14.8%, followed by the Industrials sector at -10.1%. On a relative basis, the Energy sector was the primary cause of the underperformance. Held at an average weight of 12.2%, 5.8% higher than the benchmark weighting of 6.4%, the sector produced a -2.4% drag. While the Oil, Gas & Consumable Fuels industry positively impacted the Fund's relative performance by 0.5% due to outperforming the benchmark, the Energy Equipment & Services industry negatively impacted the Fund's relative performance by -2.9% due to being overweight in the industry. The Fund's average weighting within the industry over the period was 7.1% versus the benchmark at 2.7% and returned -51.8% versus the benchmark return of -46.9%. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 17.40% Consumer Discretionary 16.46 Industrials 16.25 Energy 12.90 Utilities 11.57 Information Technology 11.39 Materials 10.12 Consumer Staples 2.26 Health Care 0.90 Telecommunication Services 0.75 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Guess?, Inc. 1.10% Werner Enterprises, Inc. 1.04 Graham Holdings Co., Class B 1.02 NeuStar, Inc., Class A 1.02 Arrow Electronics, Inc. 1.00 Avnet, Inc. 0.98 Tech Data Corp. 0.98 DeVry Education Group, Inc. 0.98 Western Refining, Inc. 0.98 Everest Re Group Ltd. 0.97 ------- Total 10.07% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 7/31/15 15351 15837 16204
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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 July 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 - 7/31/15 188 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 - 7/31/15 64 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 1 Year Ended Inception (4/19/11) Inception (4/19/11) 7/31/15 to 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 13.91% 11.19% 57.47% Market Price 13.99% 11.19% 57.52% INDEX PERFORMANCE Defined Mid Cap Growth Index 14.77% 12.04% 62.68% S&P MidCap 400(R) Growth Index 16.50% 12.74% 67.12% ----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FNY's one-year NAV return of 13.91% underperformed the benchmark S&P MidCap 400(R) Growth Index return of 16.50% by -2.59%. The Consumer Discretionary sector was the largest contributor to the Fund's performance, contributing 4.7% and returning 24.8%. The Health Care sector followed, contributing 3.4% to the Fund's performance and returning 26.3% over the period. The top-performing sector was Consumer Staples, returning 31.6%. Standout names among the Consumer Staples sector were WhiteWave Foods Co. (+73.3%) and Hain Celestial Group, Inc. (+59.0%), each held in the Food Products industry. The Energy sector was the worst-performing sector returning -41.2% over the period. Due to the relatively low weighting within the Energy sector, the contribution to performance was limited to -2.0%. On a relative basis, the Health Care sector, which was the second highest contributing sector, was also the leading cause of the relative underperformance. Because the Fund was overweight in the sector 14.1% versus 12.6% and underperformed 26.3% versus 35.9%, this caused a -1.0% drag. Similarly, the Fund was overweight the Information Technology sector 20.9% versus 19.4% and underperformed 16.7% versus 19.9%, causing a -0.7% drag. The Energy sector was the leading sector in terms of relative outperformance. Because the Fund weighted the poor performing Energy sector lower than the benchmark, 1.7% versus 2.8%, this caused 0.2% of the underperformance to be reversed, the highest among all sectors. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 27.31% Consumer Discretionary 21.12 Health Care 15.43 Financials 14.09 Industrials 13.19 Consumer Staples 5.00 Materials 3.56 Utilities 0.30 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Fortinet, Inc. 1.65% JetBlue Airways Corp. 1.58 Manhattan Associates, Inc. 1.55 Global Payments, Inc. 1.55 WhiteWave Foods (The) Co. 1.51 Foot Locker, Inc. 1.50 Jones Lang LaSalle, Inc. 1.49 LKQ Corp. 1.48 Service Corp. International 1.48 Hill-Rom Holdings, Inc. 1.47 ------- Total 15.26% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 7/31/15 15748 16268 16711
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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 July 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 - 7/31/15 192 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 - 7/31/15 60 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 1 Year Ended Inception (4/19/11) Inception (4/19/11) 7/31/15 to 7/31/15 to 7/31/15 FUND PERFORMANCE NAV -1.89% 10.99% 56.29% Market Price -1.83% 10.98% 56.24% INDEX PERFORMANCE Defined Small Cap Value Index -1.03% 11.93% 62.04% S&P SmallCap 600(R) Value Index 6.23% 12.72% 67.01% ----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FYT's one-year NAV return of -1.89% underperformed the benchmark S&P SmallCap 600(R) Value Index return of 6.23% by -8.12%. The leading sector in terms of contribution was the Financials sector. The sector was weighted at an average of 17.3% over the period, returned 14.0%, and contributed 1.9% to the Fund's return. The heaviest weighted sector was the Industrials sector at 17.9%, and was also the second highest contributing sector with a 1.5% contribution, and a 6.3% return. The top-performing sector was Health Care, but due to its smaller weighting within the Fund at 4.2%, its contribution was limited to 0.9%. Merit Medical Systems, Inc. was a particularly well performing security within the Health Care sector, with a 99.1% return. The Energy sector, which had an average weighting of 11.5%, was a laggard returning -62.7%, and contributing -8.4% to the Fund's performance. On a relative basis, it was the Energy sector that caused the majority of the drag. Due to the Fund being overweight the benchmark in the Energy sector (11.5% versus 5.7%), this caused -3.5% of relative underperformance. The Oil, Gas & Consumable Fuels industry contributed -2.1% to the underperformance, while the Energy Equipment & Services industry contributed -1.4% to the underperformance. Notably security Arch Coal, Inc., which was held in the benchmark at an average weighting of 0.9%, and returned -93.9%, positively contributed 1.7% as the Fund had no weighting in this holding over the period. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 18.44% Consumer Discretionary 17.40 Information Technology 16.76 Industrials 15.82 Energy 9.96 Utilities 5.90 Materials 5.66 Consumer Staples 4.06 Health Care 4.02 Telecommunication Services 1.98 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Universal Forest Products, Inc. 0.87% Selective Insurance Group, Inc. 0.78 Sanmina Corp. 0.78 Green Dot Corp., Class A 0.77 Avista Corp. 0.77 Employers Holdings, Inc. 0.75 Celadon Group, Inc. 0.75 ALLETE, Inc. 0.74 Piper Jaffray Cos. 0.73 Gulf Island Fabrication, Inc. 0.73 ------- Total 7.67% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 1/31/14 15577 15946 15278 7/31/14 15931 16372 15723 1/31/15 15996 16517 16154 7/31/15 15630 16203 16701
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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 July 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 - 7/31/15 164 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 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 - 7/31/15 88 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 1 Year Ended Inception (4/19/11) Inception (4/19/11) 7/31/15 to 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 15.17% 11.79% 61.16% Market Price 15.17% 11.78% 61.11% INDEX PERFORMANCE Defined Small Cap Growth Index 16.11% 12.68% 66.75% S&P SmallCap 600(R) Growth Index 17.79% 14.38% 77.79% ----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FYC's one-year NAV return of 15.17% underperformed the benchmark S&P SmallCap 600(R) Growth Index return of 17.79% by -2.62%. The Health Care sector was the heaviest weighted and top-contributing sector in the Fund. The sector was held at an average weighting of 20.7%, returned 37.8%, and contributed 7.5%. The Consumer Discretionary sector was the second highest contributing sector. The sector was held at an average weighting of 17.9%, returned 28.2%, and contributed 4.2%. Notable securities over the period were ABIOMED, Inc., which returned 228.2% and contributed 1.1% to the Fund's performance, and Depomed, Inc., which returned 115.9% and contributed 0.6% to the Fund's performance; each held in the Health Care sector. On a relative basis, the Information Technology sector was the leading cause of the Fund's underperformance. The Fund held the sector at an average weighting of 19.6% versus the benchmark at 18.7%, and underperformed, returning 6.5% versus the benchmark at 23.1%. This resulted in a -2.8% contribution relative to the benchmark. Within the sector, the Software industry contributed -0.9% due to its underperformance of -21.8%. Relative poor performers in the industry were Perficient, Inc., with a -0.3% contribution, VASCO Data Security International, Inc., with a -0.3% contribution, and NetScout Systems, Inc., with a -0.2% contribution. The Industrials sector reversed 1.0% of lost relative contribution due to the Fund having a 7.9% higher return and being overweight by 1.8%. The Energy sector had a small impact of 0.2% to the relative performance, as the Fund slightly underweighted the sector and slightly outperformed. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 28.48% Consumer Discretionary 18.22 Financials 17.19 Information Technology 14.75 Industrials 14.01 Consumer Staples 3.23 Telecommunication Services 1.97 Materials 1.88 Energy 0.27 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Supernus Pharmaceuticals, Inc. 1.08% Nutrisystem, Inc. 1.05 American Woodmark Corp. 1.04 Depomed, Inc. 1.02 BofI Holding, Inc. 1.01 LogMeIn, Inc. 0.99 Dycom Industries, Inc. 0.97 Cambrex Corp. 0.97 PGT, Inc. 0.96 Amedisys, Inc. 0.95 ------- Total 10.04% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 7/31/15 16115 16676 17778
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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 July 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 - 7/31/15 209 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 - 7/31/15 43 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 1 Year Ended Inception (5/11/11) Inception (5/11/11) 7/31/15 to 7/31/15 to 7/31/15 FUND PERFORMANCE NAV 6.29% 9.55% 46.99% Market Price 6.33% 9.56% 47.04% INDEX PERFORMANCE Defined Mega Cap Index 7.15% 10.46% 52.18% S&P 100(R) Index 10.83% 13.71% 72.02% ----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FMK's one-year NAV return of 6.29% underperformed the benchmark S&P 100(R) Index return of 10.83% by -4.54%. The top-performing and contributing sector for the Fund was the Health Care sector, returning 31.8% and contributing 4.4% to the Fund's return. The Consumer Discretionary sector followed closely with a 20.4% return and 4.1% contribution to the Fund's return. Both of these sectors were held at an approximately 16.8% weighting throughout the period. In the Health Care sector, several securities performed well including: UnitedHealth Group, Inc. (+52.1%), Amazon.com, Inc. (+40.7%), and Gilead Sciences, Inc. (+32.4%). On a relative basis, the Fund underperformed the benchmark. The Energy sector, the Fund's heaviest weighted sector, led the way in the relative underperformance by being overweight the sector, 18.4% versus the benchmark 9.2%. The Fund returned -28.8%, causing a -4.1% drag. The remaining sectors had little net impact on relative performance. The Information Technology sector contributed to -1.9%, as the Fund was underweight the sector and underperformed, 0.2% versus the benchmark 13.3%. The Materials sector contributed -1.0%, as the Fund was overweight the sector and underperformed, -20.5% versus the benchmark -14.9%. The Health Care sector reversed 1.2% of the underperformance, as the Fund was overweight the sector and outperformed, 31.8% versus the benchmark 22.8%. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 25.78% Information Technology 20.60 Health Care 19.43 Consumer Staples 9.10 Energy 8.88 Financials 6.61 Industrials 4.52 Materials 2.38 Utilities 2.06 Telecommunication Services 0.64 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Amazon.com, Inc. 4.04% CVS Health Corp. 3.50 Twenty-First Century Fox, Inc., Class A 3.46 QUALCOMM, Inc. 3.36 Gilead Sciences, Inc. 3.29 UnitedHealth Group, Inc. 3.25 McKesson Corp. 3.21 Exxon Mobil Corp. 3.11 Intel Corp. 3.11 Chevron Corp. 3.00 ------- Total 33.33% ======= ----------------------------- 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 and have been sub-licensed for use by First Trust Portfolios L.P., which has sub-licensed the index for use by the Fund. 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 - JULY 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 7/31/15 14699 15217 17202
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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 July 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 - 7/31/15 166 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 - 7/31/15 86 0 0 0 Page 27 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. For certain Funds the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 28 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES JULY 31, 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 July 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 FEBRUARY 1, 2015 JULY 31, 2015 PERIOD (a) PERIOD (b) --------------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $1,036.10 0.62% $3.13 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $1,037.60 0.63% $3.18 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $1,030.40 0.64% $3.22 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $ 988.70 0.62% $3.06 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $1,092.70 0.63% $3.27 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16
Page 29 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2015 (UNAUDITED)
--------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2015 JULY 31, 2015 PERIOD (a) PERIOD (b) --------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $ 992.70 0.69% $3.41 Hypothetical (5% return before expenses) $1,000.00 $1,021.37 0.69% $3.46 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $1,088.90 0.70% $3.63 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $1,009.60 0.70% $3.49 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $1,075.30 0.70% $3.60 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $ 977.10 0.70% $3.43 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $1,101.00 0.70% $3.65 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) Actual $1,000.00 $1,074.60 0.70% $3.60 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2015 through July 31, 2015), multiplied by 181/365 (to reflect the one-half year period). Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.3% 24,759 Boeing (The) Co. $ 3,569,505 36,359 General Dynamics Corp. 5,421,490 16,618 Honeywell International, Inc. 1,745,721 45,437 L-3 Communications Holdings, Inc. 5,246,156 21,650 Northrop Grumman Corp. 3,745,667 17,184 Precision Castparts Corp. 3,349,505 53,842 Raytheon Co. 5,873,624 55,784 Rockwell Collins, Inc. 4,720,442 192,383 Textron, Inc. 8,407,137 30,960 United Technologies Corp. 3,105,598 --------------- 45,184,845 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 74,492 Expeditors International of Washington, Inc. 3,491,440 40,310 FedEx Corp. 6,909,940 --------------- 10,401,380 --------------- AIRLINES -- 0.2% 86,000 American Airlines Group, Inc. 3,448,600 --------------- AUTO COMPONENTS -- 0.8% 60,422 BorgWarner, Inc. 3,003,578 19,915 Delphi Automotive PLC 1,554,963 284,777 Goodyear Tire & Rubber (The) Co. 8,580,331 34,213 Johnson Controls, Inc. 1,558,744 --------------- 14,697,616 --------------- AUTOMOBILES -- 0.8% 228,809 Ford Motor Co. 3,393,237 206,086 General Motors Co. 6,493,770 91,423 Harley-Davidson, Inc. 5,329,961 --------------- 15,216,968 --------------- BANKS -- 2.1% 85,200 BB&T Corp. 3,431,004 30,678 Citigroup, Inc. 1,793,436 33,021 Comerica, Inc. 1,566,186 164,957 Fifth Third Bancorp 3,475,644 303,662 Huntington Bancshares, Inc. 3,543,735 76,028 JPMorgan Chase & Co. 5,210,199 112,823 KeyCorp 1,674,293 13,565 M&T Bank Corp. 1,779,050 104,541 People's United Financial, Inc. 1,700,882 53,859 PNC Financial Services Group (The), Inc. 5,287,877 163,573 Regions Financial Corp. 1,699,523 79,832 SunTrust Banks, Inc. 3,539,751 39,047 U.S. Bancorp 1,765,315 30,131 Wells Fargo & Co. 1,743,681 53,400 Zions Bancorporation 1,665,546 --------------- 39,876,122 --------------- BEVERAGES -- 1.1% 34,282 Brown-Forman Corp., Class B 3,716,511 39,011 Coca-Cola Enterprises, Inc. 1,992,682 SHARES DESCRIPTION VALUE ----------------------------------------------------------- BEVERAGES (CONTINUED) 59,204 Constellation Brands, Inc., Class A $ 7,105,664 23,245 Dr Pepper Snapple Group, Inc. 1,864,714 38,438 Monster Beverage Corp. (a) 5,902,155 --------------- 20,581,726 --------------- BIOTECHNOLOGY -- 1.6% 18,998 Alexion Pharmaceuticals, Inc. (a) 3,750,965 11,039 Amgen, Inc. 1,949,377 12,754 Biogen, Inc. (a) 4,065,720 29,675 Celgene Corp. (a) 3,894,844 73,335 Gilead Sciences, Inc. 8,643,263 16,831 Regeneron Pharmaceuticals, Inc. (a) 9,318,652 --------------- 31,622,821 --------------- BUILDING PRODUCTS -- 0.5% 28,179 Allegion PLC 1,781,476 292,943 Masco Corp. 7,730,766 --------------- 9,512,242 --------------- CAPITAL MARKETS -- 2.3% 15,710 Affiliated Managers Group, Inc. (a) 3,266,109 13,565 Ameriprise Financial, Inc. 1,704,714 40,377 Bank of New York Mellon (The) Corp. 1,752,362 157,784 Charles Schwab (The) Corp. 5,503,506 114,672 E*TRADE Financial Corp. (a) 3,258,978 175,117 Franklin Resources, Inc. 7,976,579 24,674 Goldman Sachs Group (The), Inc. 5,059,897 91,608 Invesco Ltd. 3,536,069 89,837 Northern Trust Corp. 6,871,632 66,275 T. Rowe Price Group, Inc. 5,111,791 --------------- 44,041,637 --------------- CHEMICALS -- 2.3% 32,469 Airgas, Inc. 3,312,487 53,430 CF Industries Holdings, Inc. 3,163,056 100,677 Dow Chemical (The) Co. 4,737,860 27,895 E.I. du Pont de Nemours and Co. 1,555,425 41,975 Eastman Chemical Co. 3,290,840 14,987 Ecolab, Inc. 1,735,644 15,506 International Flavors & Fragrances, Inc. 1,792,339 66,352 LyondellBasell Industries N.V., Class A 6,225,808 15,898 Monsanto Co. 1,619,847 183,267 Mosaic (The) Co. 7,869,485 14,771 PPG Industries, Inc. 1,600,881 14,175 Praxair, Inc. 1,617,935 18,732 Sherwin-Williams (The) Co. 5,203,000 12,162 Sigma-Aldrich Corp. 1,697,937 --------------- 45,422,544 --------------- See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES -- 1.1% 204,612 ADT (The) Corp. $ 7,065,252 60,902 Cintas Corp. 5,207,121 131,520 Republic Services, Inc. 5,593,546 12,655 Stericycle, Inc. (a) 1,783,975 36,562 Waste Management, Inc. 1,869,415 --------------- 21,519,309 --------------- COMMUNICATIONS EQUIPMENT -- 0.8% 250,141 Cisco Systems, Inc. 7,109,007 14,080 F5 Networks, Inc. (a) 1,888,691 66,983 Harris Corp. 5,555,570 --------------- 14,553,268 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 161,970 Fluor Corp. 7,572,098 169,101 Jacobs Engineering Group, Inc. (a) 7,122,534 178,752 Quanta Services, Inc. (a) 4,937,130 --------------- 19,631,762 --------------- CONSTRUCTION MATERIALS -- 0.8% 48,539 Martin Marietta Materials, Inc. 7,611,886 81,840 Vulcan Materials Co. 7,449,077 --------------- 15,060,963 --------------- CONSUMER FINANCE -- 0.4% 21,804 American Express Co. 1,658,412 58,562 Capital One Financial Corp. 4,761,091 29,410 Discover Financial Services 1,641,372 --------------- 8,060,875 --------------- CONTAINERS & PACKAGING -- 0.7% 48,958 Ball Corp. 3,321,311 167,109 Sealed Air Corp. 8,885,185 28,011 WestRock Co. (a) 1,766,374 --------------- 13,972,870 --------------- DISTRIBUTORS -- 0.1% 18,929 Genuine Parts Co. 1,683,734 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.2% 115,833 H&R Block, Inc. 3,856,081 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 15,359 Intercontinental Exchange, Inc. 3,502,466 141,450 Leucadia National Corp. 3,326,904 34,189 McGraw Hill Financial, Inc. 3,478,731 63,625 Moody's Corp. 7,026,109 --------------- 17,334,210 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 96,357 AT&T, Inc. 3,347,442 292,242 CenturyLink, Inc. 8,358,121 1,040,733 Frontier Communications Corp. 4,912,260 SHARES DESCRIPTION VALUE ----------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 97,809 Level 3 Communications, Inc. (a) $ 4,939,355 --------------- 21,557,178 --------------- ELECTRIC UTILITIES -- 4.5% 129,674 American Electric Power Co., Inc. 7,335,658 97,265 Duke Energy Corp. 7,219,008 123,586 Edison International 7,416,396 97,431 Entergy Corp. 6,919,550 113,448 Eversource Energy 5,640,635 273,267 Exelon Corp. 8,769,138 158,267 FirstEnergy Corp. 5,374,747 52,552 NextEra Energy, Inc. 5,528,470 191,225 Pepco Holdings, Inc. 5,101,883 120,739 Pinnacle West Capital Corp. 7,450,804 291,350 PPL Corp. 9,267,843 122,950 Southern (The) Co. 5,499,554 160,087 Xcel Energy, Inc. 5,550,216 --------------- 87,073,902 --------------- ELECTRICAL EQUIPMENT -- 0.7% 62,695 AMETEK, Inc. 3,325,970 76,333 Eaton Corp. PLC 4,624,253 92,940 Emerson Electric Co. 4,809,645 13,596 Rockwell Automation, Inc. 1,587,741 --------------- 14,347,609 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.2% 88,868 Amphenol Corp., Class A 5,013,044 435,177 Corning, Inc. 8,129,106 111,435 FLIR Systems, Inc. 3,431,084 106,824 TE Connectivity Ltd. 6,507,718 --------------- 23,080,952 --------------- ENERGY EQUIPMENT & SERVICES -- 2.8% 83,495 Baker Hughes, Inc. 4,855,234 131,161 Cameron International Corp. (a) 6,618,384 199,597 Diamond Offshore Drilling, Inc. 4,381,154 165,555 FMC Technologies, Inc. (a) 5,423,582 199,352 Halliburton Co. 8,330,920 121,925 Helmerich & Payne, Inc. 7,039,950 177,838 National Oilwell Varco, Inc. 7,492,315 446,319 Noble Corp. PLC 5,333,512 59,770 Schlumberger Ltd. 4,950,151 --------------- 54,425,202 --------------- FOOD & STAPLES RETAILING -- 1.5% 81,866 CVS Health Corp. 9,207,469 236,823 Kroger (The) Co. 9,292,935 96,839 Wal-Mart Stores, Inc. 6,970,471 87,080 Whole Foods Market, Inc. 3,169,712 --------------- 28,640,587 --------------- Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS -- 2.2% 178,060 Archer-Daniels-Midland Co. $ 8,443,605 72,077 Campbell Soup Co. 3,554,117 196,387 ConAgra Foods, Inc. 8,652,811 30,413 General Mills, Inc. 1,770,341 91,390 Hormel Foods Corp. 5,411,202 60,507 Kraft Heinz (The) Co. 4,808,491 42,427 McCormick & Co., Inc. 3,479,438 161,127 Tyson Foods, Inc., Class A 7,145,983 --------------- 43,265,988 --------------- GAS UTILITIES -- 0.4% 147,526 AGL Resources, Inc. 7,093,050 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.0% 104,965 Abbott Laboratories 5,320,676 44,607 Baxter International, Inc. 1,787,849 11,964 Becton, Dickinson and Co. 1,820,323 291,053 Boston Scientific Corp. (a) 5,046,859 20,119 C. R. Bard, Inc. 3,956,401 32,873 DENTSPLY International, Inc. 1,870,802 48,226 Edwards Lifesciences Corp. (a) 7,338,068 22,870 Medtronic PLC 1,792,779 47,001 St. Jude Medical, Inc. 3,469,614 35,935 Stryker Corp. 3,675,072 20,095 Varian Medical Systems, Inc. (a) 1,729,577 --------------- 37,808,020 --------------- HEALTH CARE PROVIDERS & SERVICES -- 5.2% 67,362 Aetna, Inc. 7,609,885 80,741 AmerisourceBergen Corp. 8,538,361 20,923 Anthem, Inc. 3,227,791 53,000 Cigna Corp. 7,635,180 64,825 DaVita HealthCare Partners, Inc. (a) 5,123,120 77,229 Express Scripts Holding Co. (a) 6,956,016 94,644 HCA Holdings, Inc. (a) 8,802,839 48,332 Henry Schein, Inc. (a) 7,152,169 38,193 McKesson Corp. 8,424,230 141,190 Patterson Cos., Inc. 7,082,090 47,359 Quest Diagnostics, Inc. 3,495,568 148,342 Tenet Healthcare Corp. (a) 8,351,655 70,378 UnitedHealth Group, Inc. 8,543,889 60,422 Universal Health Services, Inc., Class B 8,775,087 --------------- 99,717,880 --------------- HEALTH CARE TECHNOLOGY -- 0.2% 49,731 Cerner Corp. (a) 3,566,707 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.3% 69,538 Carnival Corp. 3,705,680 22,780 Marriott International, Inc., Class A 1,654,056 17,825 McDonald's Corp. 1,780,004 43,644 Royal Caribbean Cruises Ltd. 3,921,413 160,142 Starbucks Corp. 9,277,026 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 57,189 Yum! Brands, Inc. $ 5,018,907 --------------- 25,357,086 --------------- HOUSEHOLD DURABLES -- 2.6% 251,053 D.R. Horton, Inc. 7,453,763 43,314 Harman International Industries, Inc. 4,663,185 176,378 Leggett & Platt, Inc. 8,432,632 168,223 Lennar Corp., Class A 8,922,548 35,981 Mohawk Industries, Inc. (a) 7,253,410 167,085 Newell Rubbermaid, Inc. 7,231,439 170,443 PulteGroup, Inc. 3,531,579 19,845 Whirlpool Corp. 3,527,052 --------------- 51,015,608 --------------- HOUSEHOLD PRODUCTS -- 0.1% 21,659 Procter & Gamble (The) Co. 1,661,245 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.6% 388,510 AES (The) Corp. 4,972,928 300,211 NRG Energy, Inc. 6,739,737 --------------- 11,712,665 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 10,983 3M Co. 1,662,167 19,800 Danaher Corp. 1,812,888 19,914 Roper Technologies, Inc. 3,331,015 --------------- 6,806,070 --------------- INSURANCE -- 4.3% 50,665 ACE Ltd. 5,510,832 82,824 Aflac, Inc. 5,304,877 105,885 Allstate (The) Corp. 7,300,771 138,887 American International Group, Inc. 8,905,434 17,001 Aon PLC 1,713,191 51,260 Assurant, Inc. 3,823,996 72,196 Chubb (The) Corp. 8,976,129 68,442 Cincinnati Financial Corp. 3,778,683 82,618 Hartford Financial Services Group (The), Inc. 3,928,486 86,992 Lincoln National Corp. 4,899,389 44,005 Loews Corp. 1,677,030 29,888 Marsh & McLennan Cos., Inc. 1,731,711 92,010 MetLife, Inc. 5,128,637 66,962 Principal Financial Group, Inc. 3,717,061 123,408 Progressive (The) Corp. 3,763,944 19,363 Prudential Financial, Inc. 1,710,915 29,108 Torchmark Corp. 1,793,344 88,828 Travelers (The) Cos., Inc. 9,426,427 --------------- 83,090,857 --------------- INTERNET & CATALOG RETAIL -- 1.8% 19,780 Amazon.com, Inc. (a) 10,605,047 78,519 Expedia, Inc. 9,535,347 91,489 Netflix, Inc. (a) 10,458,108 See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & CATALOG RETAIL (CONTINUED) 1,471 Priceline Group (The), Inc. (a) $ 1,829,291 39,412 TripAdvisor, Inc. (a) 3,128,525 --------------- 35,556,318 --------------- INTERNET SOFTWARE & SERVICES -- 0.9% 49,190 Akamai Technologies, Inc. (a) 3,773,365 203,190 eBay, Inc. (a) 5,713,703 80,089 Facebook, Inc., Class A (a) 7,529,167 --------------- 17,016,235 --------------- IT SERVICES -- 3.5% 70,974 Accenture PLC, Class A 7,318,129 11,764 Alliance Data Systems Corp. (a) 3,235,571 112,439 Cognizant Technology Solutions Corp., Class A (a) 7,094,901 27,422 Fidelity National Information Services, Inc. 1,794,222 62,195 Fiserv, Inc. (a) 5,402,258 31,670 International Business Machines Corp. 5,130,223 55,110 MasterCard, Inc., Class A 5,367,714 185,644 Teradata Corp. (a) 6,889,249 205,555 Total System Services, Inc. 9,500,752 51,145 Visa, Inc., Class A 3,853,264 168,934 Western Union (The) Co. 3,419,224 806,961 Xerox Corp. 8,892,710 --------------- 67,898,217 --------------- LEISURE PRODUCTS -- 0.6% 114,802 Hasbro, Inc. 9,039,510 133,688 Mattel, Inc. 3,102,898 --------------- 12,142,408 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 65,244 PerkinElmer, Inc. 3,452,713 26,468 Thermo Fisher Scientific, Inc. 3,693,080 40,127 Waters Corp. (a) 5,356,553 --------------- 12,502,346 --------------- MACHINERY -- 3.4% 60,736 Caterpillar, Inc. 4,775,672 52,358 Cummins, Inc. 6,781,932 17,461 Deere & Co. 1,651,287 97,875 Dover Corp. 6,270,851 65,219 Flowserve Corp. 3,064,641 18,462 Illinois Tool Works, Inc. 1,651,795 25,135 Ingersoll-Rand PLC 1,543,289 237,184 Joy Global, Inc. 6,264,029 80,733 PACCAR, Inc. 5,234,728 68,992 Pall Corp. 8,724,038 59,046 Parker-Hannifin Corp. 6,657,437 53,915 Snap-on, Inc. 8,885,192 16,103 Stanley Black & Decker, Inc. 1,698,705 92,647 Xylem, Inc. 3,199,101 --------------- 66,402,697 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- MEDIA -- 2.4% 85,660 Comcast Corp., Class A $ 5,346,040 50,951 Discovery Communications, Inc., Class A (a) 1,682,402 353,092 News Corp., Class A (a) 5,201,045 267,729 TEGNA, Inc. 7,798,946 38,552 Time Warner Cable, Inc. 7,325,265 39,290 Time Warner, Inc. 3,459,092 263,820 Twenty-First Century Fox, Inc., Class A 9,099,152 60,180 Walt Disney (The) Co. 7,221,600 --------------- 47,133,542 --------------- METALS & MINING -- 0.9% 616,040 Alcoa, Inc. 6,080,315 367,553 Newmont Mining Corp. 6,310,885 116,896 Nucor Corp. 5,159,789 --------------- 17,550,989 --------------- MULTILINE RETAIL -- 1.8% 110,446 Dollar General Corp. 8,876,545 86,959 Dollar Tree, Inc. (a) 6,785,411 137,135 Kohl's Corp. 8,409,118 76,355 Macy's, Inc. 5,273,077 22,746 Nordstrom, Inc. 1,735,747 42,073 Target Corp. 3,443,675 --------------- 34,523,573 --------------- MULTI-UTILITIES -- 4.0% 182,294 Ameren Corp. 7,488,638 360,948 CenterPoint Energy, Inc. 6,980,734 107,865 CMS Energy Corp. 3,695,455 118,673 Consolidated Edison, Inc. 7,546,416 92,026 DTE Energy Co. 7,404,412 191,707 NiSource, Inc. 3,347,204 139,895 PG&E Corp. 7,345,886 218,586 Public Service Enterprise Group, Inc. 9,108,479 169,517 SCANA Corp. 9,289,532 52,068 Sempra Energy 5,299,481 291,711 TECO Energy, Inc. 6,452,647 76,370 WEC Energy Group, Inc. 3,742,130 --------------- 77,701,014 --------------- OIL, GAS & CONSUMABLE FUELS -- 6.3% 53,728 Cabot Oil & Gas Corp. 1,405,524 307,469 Chesapeake Energy Corp. 2,662,681 89,003 Chevron Corp. 7,874,985 139,815 ConocoPhillips 7,038,287 315,955 CONSOL Energy, Inc. 5,219,577 20,833 EQT Corp. 1,601,016 103,198 Exxon Mobil Corp. 8,174,314 128,380 Hess Corp. 7,575,704 258,810 Marathon Oil Corp. 5,437,598 164,137 Marathon Petroleum Corp. 8,973,370 206,544 Murphy Oil Corp. 6,772,578 190,168 Newfield Exploration Co. (a) 6,235,609 201,174 Noble Energy, Inc. 7,087,360 106,580 Phillips 66 8,473,110 Page 34 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 49,526 Pioneer Natural Resources Co. $ 6,278,411 377,740 Southwestern Energy Co. (a) 7,025,964 101,718 Tesoro Corp. 9,901,230 137,157 Valero Energy Corp. 8,997,499 89,766 Williams (The) Cos., Inc. 4,710,920 --------------- 121,445,737 --------------- PAPER & FOREST PRODUCTS -- 0.1% 35,609 International Paper Co. 1,704,603 --------------- PERSONAL PRODUCTS -- 0.3% 59,447 Estee Lauder (The) Cos., Inc., Class A 5,297,322 --------------- PHARMACEUTICALS -- 3.7% 76,672 AbbVie, Inc. 5,367,807 22,635 Allergan PLC (a) 7,495,580 25,468 Bristol-Myers Squibb Co. 1,671,720 41,135 Eli Lilly and Co. 3,476,319 21,276 Endo International PLC (a) 1,862,501 96,787 Hospira, Inc. (a) 8,657,597 52,858 Johnson & Johnson 5,296,900 58,349 Mallinckrodt PLC (a) 7,232,942 150,817 Merck & Co., Inc. 8,892,170 126,526 Mylan N.V. (a) 7,084,191 37,163 Perrigo Co. PLC 7,142,729 50,540 Pfizer, Inc. 1,822,472 106,835 Zoetis, Inc. 5,232,778 --------------- 71,235,706 --------------- PROFESSIONAL SERVICES -- 0.6% 70,747 Equifax, Inc. 7,225,391 37,851 Nielsen N.V. 1,834,260 30,534 Robert Half International, Inc. 1,680,286 --------------- 10,739,937 --------------- REAL ESTATE INVESTMENT TRUSTS -- 0.8% 21,104 Crown Castle International Corp. 1,728,629 27,043 Equinix, Inc. 7,542,563 7,976 Essex Property Trust, Inc. 1,793,882 45,677 Prologis, Inc. 1,854,943 53,797 Weyerhaeuser Co. 1,651,030 --------------- 14,571,047 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 185,644 CBRE Group, Inc., Class A (a) 7,048,903 --------------- ROAD & RAIL -- 0.8% 37,657 Kansas City Southern 3,735,198 78,627 Norfolk Southern Corp. 6,630,615 58,963 Ryder System, Inc. 5,337,330 --------------- 15,703,143 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.8% 167,696 Altera Corp. $ 8,327,783 80,262 Analog Devices, Inc. 4,681,683 268,034 Applied Materials, Inc. 4,653,070 64,590 Avago Technologies Ltd. 8,082,793 133,402 Broadcom Corp., Class A 6,751,475 146,208 First Solar, Inc. (a) 6,477,014 84,436 Lam Research Corp. 6,490,595 38,315 Linear Technology Corp. 1,570,915 35,733 Microchip Technology, Inc. 1,530,802 170,783 NVIDIA Corp. 3,407,121 106,964 Qorvo, Inc. (a) 6,198,564 82,478 Skyworks Solutions, Inc. 7,890,670 100,011 Texas Instruments, Inc. 4,998,550 38,375 Xilinx, Inc. 1,602,156 --------------- 72,663,191 --------------- SOFTWARE -- 2.7% 42,396 Adobe Systems, Inc. (a) 3,476,048 234,511 CA, Inc. 6,832,478 73,427 Citrix Systems, Inc. (a) 5,551,815 129,114 Electronic Arts, Inc. (a) 9,238,107 16,817 Intuit, Inc. 1,778,734 77,790 Microsoft Corp. 3,632,793 85,221 Oracle Corp. 3,403,727 67,848 Red Hat, Inc. (a) 5,365,420 98,648 salesforce.com, Inc. (a) 7,230,898 221,575 Symantec Corp. 5,038,616 --------------- 51,548,636 --------------- SPECIALTY RETAIL -- 4.7% 109,064 AutoNation, Inc. (a) 6,799,050 5,150 AutoZone, Inc. (a) 3,609,841 99,577 Bed Bath & Beyond, Inc. (a) 6,495,408 210,635 Best Buy Co., Inc. 6,801,404 103,743 CarMax, Inc. (a) 6,692,461 199,861 GameStop Corp., Class A 9,163,627 179,955 Gap (The), Inc. 6,564,758 46,357 Home Depot (The), Inc. 5,425,160 19,768 L Brands, Inc. 1,595,673 51,283 Lowe's Cos., Inc. 3,556,989 37,995 O'Reilly Automotive, Inc. (a) 9,130,578 105,978 Ross Stores, Inc. 5,633,790 51,902 TJX (The) Cos., Inc. 3,623,798 95,465 Tractor Supply Co. 8,832,422 196,252 Urban Outfitters, Inc. (a) 6,401,740 --------------- 90,326,699 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.3% 54,764 Apple, Inc. 6,642,873 195,212 EMC Corp. 5,249,251 286,107 Hewlett-Packard Co. 8,731,986 163,234 NetApp, Inc. 5,084,739 --------------- 25,708,849 --------------- See Notes to Financial Statements Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 2.5% 99,231 Coach, Inc. $ 3,096,007 123,789 Fossil Group, Inc. (a) 8,510,494 257,685 Hanesbrands, Inc. 7,995,966 79,486 NIKE, Inc., Class B 9,158,377 29,813 PVH Corp. 3,459,500 51,894 Ralph Lauren Corp. 6,532,936 102,901 Under Armour, Inc., Class A (a) 10,221,156 --------------- 48,974,436 --------------- TOBACCO -- 0.4% 21,138 Philip Morris International, Inc. 1,807,933 69,001 Reynolds American, Inc. 5,919,596 --------------- 7,727,529 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.1% 7,162 W.W. Grainger, Inc. 1,638,021 --------------- TOTAL COMMON STOCKS -- 99.9% 1,930,661,277 (Cost $1,832,529,762) MONEY MARKET FUNDS -- 0.1% 1,922,189 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 1,922,189 (Cost $1,922,189) --------------- TOTAL INVESTMENTS -- 100.0% 1,932,583,466 (Cost $1,834,451,951) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (159,899) --------------- NET ASSETS -- 100.0% $ 1,932,423,567 =============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2015. (c) Aggregate cost for federal income tax purposes is $1,851,789,945. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $172,458,521 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $91,665,000. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,930,661,277 $ -- $ -- Money Market Funds 1,922,189 -- -- ---------------------------------------- Total Investments $1,932,583,466 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. Page 36 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.5% 36,169 Esterline Technologies Corp. (a) $ 3,206,744 20,418 Huntington Ingalls Industries, Inc. 2,397,277 52,094 KLX, Inc. (a) 2,046,252 32,683 Teledyne Technologies, Inc. (a) 3,388,247 69,675 Triumph Group, Inc. 3,751,999 --------------- 14,790,519 --------------- AIRLINES -- 1.0% 53,521 Alaska Air Group, Inc. 4,054,216 276,846 JetBlue Airways Corp. (a) 6,361,921 --------------- 10,416,137 --------------- AUTO COMPONENTS -- 0.4% 223,414 Dana Holding Corp. 4,146,564 --------------- AUTOMOBILES -- 0.4% 81,696 Thor Industries, Inc. 4,565,172 --------------- BANKS -- 4.6% 113,415 Associated Banc-Corp. 2,235,410 44,622 BancorpSouth, Inc. 1,127,598 125,625 Bank of the Ozarks, Inc. 5,542,575 35,422 Cathay General Bancorp 1,137,400 14,628 Cullen/Frost Bankers, Inc. 1,059,798 102,585 East West Bancorp, Inc. 4,591,704 146,709 First Horizon National Corp. 2,325,338 110,366 FirstMerit Corp. 2,068,259 176,028 Fulton Financial Corp. 2,281,323 72,044 Hancock Holding Co. 2,105,126 128,336 International Bancshares Corp. 3,456,088 49,165 PacWest Bancorp 2,275,848 39,815 Prosperity Bancshares, Inc. 2,173,501 31,409 Signature Bank (a) 4,572,836 15,968 SVB Financial Group (a) 2,285,021 138,406 TCF Financial Corp. 2,278,163 138,046 Trustmark Corp. 3,318,626 111,490 Valley National Bancorp 1,105,981 29,064 Webster Financial Corp. 1,123,614 --------------- 47,064,209 --------------- BIOTECHNOLOGY -- 0.4% 26,433 United Therapeutics Corp. (a) 4,476,693 --------------- BUILDING PRODUCTS -- 1.2% 79,847 A.O. Smith Corp. 5,734,612 50,173 Fortune Brands Home & Security, Inc. 2,395,761 32,021 Lennox International, Inc. 3,780,719 --------------- 11,911,092 --------------- CAPITAL MARKETS -- 2.2% 29,375 Eaton Vance Corp. 1,126,825 201,426 Janus Capital Group, Inc. 3,299,358 57,878 Raymond James Financial, Inc. 3,414,802 93,776 SEI Investments Co. 4,999,198 19,908 Stifel Financial Corp. (a) 1,093,945 SHARES DESCRIPTION VALUE ----------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 72,889 Waddell & Reed Financial, Inc., Class A $ 3,273,445 209,326 WisdomTree Investments, Inc. 5,212,217 --------------- 22,419,790 --------------- CHEMICALS -- 2.5% 20,797 Albemarle Corp. 1,127,197 9,431 Ashland, Inc. 1,078,152 154,125 Cabot Corp. 5,422,117 75,960 Cytec Industries, Inc. 5,638,511 33,744 Minerals Technologies, Inc. 2,184,924 2,590 NewMarket Corp. 1,030,069 127,955 Olin Corp. (b) 2,941,685 29,345 PolyOne Corp. 1,005,653 23,473 RPM International, Inc. 1,100,180 33,640 Sensient Technologies Corp. 2,300,640 14,050 Valspar (The) Corp. 1,170,084 --------------- 24,999,212 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.8% 55,620 Deluxe Corp. 3,583,597 79,466 Herman Miller, Inc. 2,228,227 67,417 HNI Corp. 3,343,209 23,696 MSA Safety, Inc. 1,223,898 65,947 R.R. Donnelley & Sons Co. 1,157,370 161,159 Rollins, Inc. 4,673,611 48,789 Waste Connections, Inc. 2,445,792 --------------- 18,655,704 --------------- COMMUNICATIONS EQUIPMENT -- 1.5% 112,692 ARRIS Group, Inc. (a) 3,484,437 80,820 InterDigital, Inc. 4,369,937 40,826 Plantronics, Inc. 2,371,174 401,911 Polycom, Inc. (a) 4,573,747 --------------- 14,799,295 --------------- CONSTRUCTION & ENGINEERING -- 0.1% 32,370 Granite Construction, Inc. 1,101,227 --------------- CONTAINERS & PACKAGING -- 1.4% 36,051 AptarGroup, Inc. 2,443,898 76,614 Bemis Co., Inc. 3,414,686 96,189 Greif, Inc., Class A 2,980,897 21,787 Silgan Holdings, Inc. 1,164,951 107,276 Sonoco Products Co. 4,428,353 --------------- 14,432,785 --------------- DISTRIBUTORS -- 0.6% 190,026 LKQ Corp. (a) 5,978,218 --------------- DIVERSIFIED CONSUMER SERVICES -- 2.3% 446,221 Apollo Education Group, Inc. (a) 5,716,091 191,705 DeVry Education Group, Inc. 5,823,998 8,848 Graham Holdings Co., Class B 6,101,227 195,289 Service Corp. International 5,958,267 --------------- 23,599,583 --------------- See Notes to Financial Statements Page 37 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES -- 0.4% 56,026 MSCI, Inc. $ 3,818,732 --------------- ELECTRIC UTILITIES -- 3.0% 64,037 Cleco Corp. 3,485,534 190,309 Great Plains Energy, Inc. 4,968,968 77,327 Hawaiian Electric Industries, Inc. 2,315,944 81,900 IDACORP, Inc. 5,086,809 160,933 OGE Energy Corp. 4,789,366 186,905 PNM Resources, Inc. 4,930,554 134,362 Westar Energy, Inc. 5,058,729 --------------- 30,635,904 --------------- ELECTRICAL EQUIPMENT -- 0.8% 31,933 Acuity Brands, Inc. 6,424,600 21,231 Hubbell, Inc., Class B 2,216,729 --------------- 8,641,329 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.0% 102,999 Arrow Electronics, Inc. (a) 5,989,392 139,803 Avnet, Inc. 5,833,979 14,151 Belden, Inc. 838,164 71,692 Cognex Corp. 3,245,497 13,861 FEI Co. 1,191,630 183,693 Ingram Micro, Inc., Class A (a) 5,001,960 26,990 IPG Photonics Corp. (a) 2,489,018 161,973 Jabil Circuit, Inc. 3,279,953 110,561 Keysight Technologies, Inc. (a) 3,376,533 39,018 National Instruments Corp. 1,129,961 99,850 Tech Data Corp. (a) 5,824,250 48,997 Trimble Navigation Ltd. (a) 1,131,831 492,065 Vishay Intertechnology, Inc. 5,648,906 51,755 Zebra Technologies Corp., Class A (a) 5,570,391 --------------- 50,551,465 --------------- ENERGY EQUIPMENT & SERVICES -- 4.0% 217,372 Atwood Oceanics, Inc. 4,521,338 76,377 Dril-Quip, Inc. (a) 4,461,181 455,053 Helix Energy Solutions Group, Inc. (a) 3,808,794 238,973 Nabors Industries Ltd. 2,774,476 123,360 Oceaneering International, Inc. 4,936,867 154,373 Oil States International, Inc. (a) 4,648,171 305,464 Patterson-UTI Energy, Inc. 5,035,574 163,354 Rowan Cos. PLC, Class A 2,814,589 273,161 Superior Energy Services, Inc. 4,643,737 151,711 Tidewater, Inc. (b) 2,962,916 --------------- 40,607,643 --------------- FOOD & STAPLES RETAILING -- 0.4% 24,012 Casey's General Stores, Inc. 2,454,387 36,101 United Natural Foods, Inc. (a) 1,643,678 --------------- 4,098,065 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- FOOD PRODUCTS -- 2.8% 54,348 Flowers Foods, Inc. $ 1,177,178 87,266 Hain Celestial Group (The), Inc. (a) 5,932,343 57,610 Ingredion, Inc. 5,081,202 12,652 Lancaster Colony Corp. 1,179,293 106,571 Post Holdings, Inc. (a) 5,727,125 35,576 Tootsie Roll Industries, Inc. (b) 1,155,153 28,372 TreeHouse Foods, Inc. (a) 2,325,369 117,580 WhiteWave Foods (The) Co. (a) 6,069,479 --------------- 28,647,142 --------------- GAS UTILITIES -- 2.1% 89,661 Atmos Energy Corp. 4,958,254 58,556 National Fuel Gas Co. 3,166,123 108,032 ONE Gas, Inc. 4,864,681 164,916 Questar Corp. 3,651,240 33,367 UGI Corp. 1,219,230 63,518 WGL Holdings, Inc. 3,550,656 --------------- 21,410,184 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.7% 54,989 Align Technology, Inc. (a) 3,447,810 12,918 Cooper (The) Cos., Inc. 2,286,486 105,785 Hill-Rom Holdings, Inc. 5,927,134 120,806 Hologic, Inc. (a) 5,032,778 20,391 ResMed, Inc. 1,181,658 22,894 Sirona Dental Systems, Inc. (a) 2,375,939 35,676 STERIS Corp. 2,466,282 33,944 Teleflex, Inc. 4,548,157 --------------- 27,266,244 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 71,484 Centene Corp. (a) 5,013,173 54,763 Community Health Systems, Inc. (a) 3,204,183 66,099 LifePoint Health, Inc. (a) 5,476,963 62,041 MEDNAX, Inc. (a) 5,251,150 60,979 Omnicare, Inc. 5,905,816 84,512 VCA, Inc. (a) 5,200,024 --------------- 30,051,309 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.4% 19,939 Brinker International, Inc. 1,194,346 84,311 Cheesecake Factory (The), Inc. 4,868,117 50,682 Domino's Pizza, Inc. 5,769,639 62,698 Dunkin' Brands Group, Inc. 3,378,795 94,038 International Speedway Corp., Class A 3,222,682 19,730 Panera Bread Co., Class A (a) 4,027,288 203,806 Wendy's (The) Co. 2,091,050 --------------- 24,551,917 --------------- HOUSEHOLD DURABLES -- 2.6% 88,847 Jarden Corp. (a) 4,886,585 346,225 KB Home 5,532,676 38,354 M.D.C. Holdings, Inc. 1,145,251 2,574 NVR, Inc. (a) 3,835,363 Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 87,213 Tempur Sealy International, Inc. (a) $ 6,588,942 90,296 Toll Brothers, Inc. (a) 3,514,320 17,809 Tupperware Brands Corp. 1,041,292 --------------- 26,544,429 --------------- HOUSEHOLD PRODUCTS -- 0.1% 14,168 Church & Dwight Co., Inc. 1,223,123 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 45,924 Carlisle Cos., Inc. 4,650,264 --------------- INSURANCE -- 5.8% 9,809 Alleghany Corp. (a) 4,768,449 35,346 American Financial Group, Inc. 2,437,107 72,904 Arthur J. Gallagher & Co. 3,457,837 119,986 Aspen Insurance Holdings Ltd. 5,770,127 69,961 Brown & Brown, Inc. 2,340,195 250,565 CNO Financial Group, Inc. 4,470,079 31,577 Everest Re Group Ltd. 5,782,380 92,674 First American Financial Corp. 3,760,711 62,108 Hanover Insurance Group (The), Inc. 5,021,432 29,919 HCC Insurance Holdings, Inc. 2,308,550 29,818 Kemper Corp. 1,154,553 20,656 Mercury General Corp. 1,166,031 220,627 Old Republic International Corp. 3,691,090 48,465 Reinsurance Group of America, Inc. 4,677,842 30,405 StanCorp Financial Group, Inc. 3,466,778 88,540 W. R. Berkley Corp. 4,933,449 --------------- 59,206,610 --------------- INTERNET & CATALOG RETAIL -- 0.2% 32,753 HSN, Inc. 2,407,673 --------------- IT SERVICES -- 4.0% 22,985 Broadridge Financial Solutions, Inc. 1,247,396 180,379 Convergys Corp. 4,529,317 115,844 CoreLogic, Inc. (a) 4,568,887 45,622 DST Systems, Inc. 4,979,641 26,801 Gartner, Inc. (a) 2,373,765 55,556 Global Payments, Inc. 6,227,272 17,766 Jack Henry & Associates, Inc. 1,241,133 69,951 MAXIMUS, Inc. 4,771,358 196,758 NeuStar, Inc., Class A (a) (b) 6,073,919 21,750 Science Applications International Corp. 1,167,540 30,258 WEX, Inc. (a) 3,087,526 --------------- 40,267,754 --------------- LEISURE PRODUCTS -- 0.8% 67,802 Brunswick Corp. 3,599,608 23,284 Polaris Industries, Inc. 3,191,305 25,601 Vista Outdoor, Inc. (a) 1,207,599 --------------- 7,998,512 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES -- 0.7% 7,632 Bio-Rad Laboratories, Inc., Class A (a) $ 1,150,448 11,673 Bio-Techne Corp. 1,276,793 32,683 Charles River Laboratories International, Inc. (a) 2,536,854 6,733 Mettler-Toledo International, Inc. (a) 2,273,061 --------------- 7,237,156 --------------- MACHINERY -- 3.9% 80,976 AGCO Corp. 4,454,490 36,936 CLARCOR, Inc. 2,222,439 19,572 Crane Co. 1,041,230 32,108 Donaldson Co., Inc. 1,078,829 32,365 Graco, Inc. 2,313,774 14,628 IDEX Corp. 1,112,167 27,473 ITT Corp. 1,043,974 56,632 Lincoln Electric Holdings, Inc. 3,429,068 14,757 Nordson Corp. 1,093,641 135,613 Oshkosh Corp. 4,955,299 15,878 SPX Corp. 1,038,580 247,197 Terex Corp. 5,477,886 29,010 Valmont Industries, Inc. (b) 3,226,782 36,591 Wabtec Corp. 3,702,643 62,709 Woodward, Inc. 3,095,316 --------------- 39,286,118 --------------- MARINE -- 0.4% 59,977 Kirby Corp. (a) 4,342,935 --------------- MEDIA -- 2.1% 70,218 AMC Networks, Inc., Class A (a) 5,913,760 28,615 Cinemark Holdings, Inc. 1,129,148 63,425 John Wiley & Sons, Inc., Class A 3,362,159 125,442 Live Nation Entertainment, Inc. (a) 3,289,089 44,084 Meredith Corp. 2,112,505 249,774 Time, Inc. 5,574,956 --------------- 21,381,617 --------------- METALS & MINING -- 3.1% 89,152 Carpenter Technology Corp. 3,346,766 357,421 Commercial Metals Co. 5,507,858 55,976 Compass Minerals International, Inc. 4,478,080 95,028 Reliance Steel & Aluminum Co. 5,758,697 110,978 Steel Dynamics, Inc. 2,222,889 212,943 TimkenSteel Corp. 3,967,128 222,981 United States Steel Corp. (b) 4,341,440 76,478 Worthington Industries, Inc. 2,069,495 --------------- 31,692,353 --------------- MULTILINE RETAIL -- 0.4% 102,198 Big Lots, Inc. 4,412,910 --------------- MULTI-UTILITIES -- 1.5% 79,657 Alliant Energy Corp. 4,899,702 105,335 Black Hills Corp. 4,388,256 See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 58,856 MDU Resources Group, Inc. $ 1,148,280 119,487 Vectren Corp. 5,030,403 --------------- 15,466,641 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.5% 761,235 California Resources Corp. 3,220,024 903,667 Denbury Resources, Inc. (b) 3,560,448 50,488 Energen Corp. 2,786,938 142,791 Gulfport Energy Corp. (a) 4,677,833 107,703 HollyFrontier Corp. 5,197,747 124,617 SM Energy Co. 4,619,552 105,407 Western Refining, Inc. 4,654,773 71,916 World Fuel Services Corp. 2,923,385 468,023 WPX Energy, Inc. (a) 4,071,800 --------------- 35,712,500 --------------- PAPER & FOREST PRODUCTS -- 0.6% 138,825 Domtar Corp. 5,644,625 --------------- PHARMACEUTICALS -- 0.4% 78,983 Akorn, Inc. (a) 3,641,906 --------------- PROFESSIONAL SERVICES -- 1.1% 52,813 CEB, Inc. 4,041,251 55,745 FTI Consulting, Inc. (a) 2,281,085 25,721 ManpowerGroup, Inc. 2,327,236 18,274 Towers Watson & Co., Class A 2,316,778 --------------- 10,966,350 --------------- REAL ESTATE INVESTMENT TRUSTS -- 2.0% 59,434 BioMed Realty Trust, Inc. 1,280,208 104,244 Corrections Corp. of America 3,666,261 35,249 Extra Space Storage, Inc. 2,591,506 31,471 Home Properties, Inc. 2,319,413 39,885 Hospitality Properties Trust 1,093,647 19,998 Lamar Advertising Co., Class A 1,200,880 15,787 Mid-America Apartment Communities, Inc. 1,268,328 32,545 Potlatch Corp. 1,139,400 65,497 Senior Housing Properties Trust 1,131,133 49,617 Taubman Centers, Inc. 3,711,352 35,886 UDR, Inc. 1,213,306 --------------- 20,615,434 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 29,174 Alexander & Baldwin, Inc. 1,101,319 33,610 Jones Lang LaSalle, Inc. 5,983,924 --------------- 7,085,243 --------------- ROAD & RAIL -- 2.0% 119,829 Con-way, Inc. 4,648,167 60,355 Genesee & Wyoming, Inc., Class A (a) 4,298,483 51,568 Landstar System, Inc. 3,714,443 16,756 Old Dominion Freight Line, Inc. (a) 1,225,701 SHARES DESCRIPTION VALUE ----------------------------------------------------------- ROAD & RAIL (CONTINUED) 218,945 Werner Enterprises, Inc. $ 6,183,007 --------------- 20,069,801 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.7% 132,477 Cree, Inc. (a) (b) 3,265,558 211,883 Integrated Device Technology, Inc. (a) 4,049,084 63,847 Silicon Laboratories, Inc. (a) 2,872,477 192,153 SunEdison, Inc. (a) 4,473,322 119,177 Teradyne, Inc. 2,295,349 --------------- 16,955,790 --------------- SOFTWARE -- 5.3% 233,916 ACI Worldwide, Inc. (a) 5,536,792 25,196 ANSYS, Inc. (a) 2,372,203 116,935 Cadence Design Systems, Inc. (a) 2,452,127 21,219 FactSet Research Systems, Inc. 3,515,140 50,649 Fair Isaac Corp. 4,593,358 139,059 Fortinet, Inc. (a) 6,638,677 94,860 Informatica Corp. (a) 4,602,607 96,350 Manhattan Associates, Inc. (a) 6,245,407 86,982 Mentor Graphics Corp. 2,269,360 56,044 PTC, Inc. (a) 2,037,199 24,918 SolarWinds, Inc. (a) 993,979 90,777 Synopsys, Inc. (a) 4,615,103 35,538 Tyler Technologies, Inc. (a) 4,958,973 13,988 Ultimate Software Group (The), Inc. (a) 2,576,729 --------------- 53,407,654 --------------- SPECIALTY RETAIL -- 5.4% 126,978 Aaron's, Inc. 4,695,647 160,316 Abercrombie & Fitch Co., Class A (b) 3,220,749 133,504 American Eagle Outfitters, Inc. 2,369,696 47,607 ANN, Inc. (a) 2,178,020 276,065 Ascena Retail Group, Inc. (a) 3,456,334 45,998 Cabela's, Inc. (a) 2,043,691 69,120 Chico's FAS, Inc. 1,052,006 88,284 CST Brands, Inc. 3,344,198 66,609 Dick's Sporting Goods, Inc. 3,395,727 85,768 Foot Locker, Inc. 6,050,932 299,808 Guess?, Inc. 6,562,797 102,962 Murphy USA, Inc. (a) 5,638,199 202,728 Rent-A-Center, Inc. 5,431,083 17,927 Signet Jewelers Ltd. 2,173,111 41,915 Williams-Sonoma, Inc. 3,548,524 --------------- 55,160,714 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 52,011 Lexmark International, Inc., Class A 1,767,854 38,187 NCR Corp. (a) 1,051,670 --------------- 2,819,524 --------------- Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 54,068 Carter's, Inc. $ 5,483,036 --------------- THRIFTS & MORTGAGE FINANCE -- 0.3% 62,539 New York Community Bancorp, Inc. 1,190,117 98,455 Washington Federal, Inc. 2,292,033 --------------- 3,482,150 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 86,507 GATX Corp. 4,588,331 49,425 MSC Industrial Direct Co., Inc., Class A 3,522,026 57,733 NOW, Inc. (a) (b) 1,004,554 --------------- 9,114,911 --------------- WATER UTILITIES -- 0.2% 93,872 Aqua America, Inc. 2,388,104 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 156,389 Telephone and Data Systems, Inc. 4,599,400 --------------- TOTAL COMMON STOCKS -- 100.0% 1,016,901,371 (Cost $968,925,291) --------------- MONEY MARKET FUNDS -- 1.0% 9,702,744 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 9,702,744 508,157 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 508,157 --------------- TOTAL MONEY MARKET FUNDS -- 1.0% 10,210,901 (Cost $10,210,901) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ----------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.2% $ 3,040,523 JPMorgan Chase & Co., 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $3,040,549. Collateralized by U.S. Treasury Note, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $3,122,481. (d) $ 3,040,523 8,730,864 RBC Capital Markets LLC, 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $8,730,937. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including accrued interest is $8,932,834. (d) 8,730,864 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.2% 11,771,387 (Cost $11,771,387) --------------- TOTAL INVESTMENTS -- 102.2% 1,038,883,659 (Cost $990,907,579) (e) NET OTHER ASSETS AND LIABILITIES -- (2.2)% (21,931,685) --------------- NET ASSETS -- 100.0% $ 1,016,951,974 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $20,925,201 and the total value of the collateral held by the Fund is $21,474,131. (c) Interest rate shown reflects yield as of July 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,001,924,046. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $99,937,497 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $62,977,884. See Notes to Financial Statements Page 41 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,016,901,371 $ -- $ -- Money Market Funds 10,210,901 -- -- Repurchase Agreements -- 11,771,387 -- ---------------------------------------- Total Investments $1,027,112,272 $11,771,387 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 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) $ 20,925,201 Non-cash Collateral(2) (20,925,201) -------------- Net Amount $ -- ============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 11,771,387 Non-cash Collateral(4) (11,771,387) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 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 JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.6% 68,000 AAR Corp. $ 1,832,600 52,575 Aerojet Rocketdyne Holdings, Inc. (a) 1,230,781 11,387 Cubic Corp. 505,241 7,479 Curtiss-Wright Corp. 503,860 21,534 Engility Holdings, Inc. 471,810 22,996 Moog, Inc., Class A (a) 1,537,513 33,727 National Presto Industries, Inc. (b) 2,669,829 81,325 TASER International, Inc. (a) (b) 2,213,666 --------------- 10,965,300 --------------- AIR FREIGHT & LOGISTICS -- 0.9% 49,290 Atlas Air Worldwide Holdings, Inc. (a) 2,422,603 82,944 Echo Global Logistics, Inc. (a) 2,679,091 20,734 Forward Air Corp. 1,006,636 --------------- 6,108,330 --------------- AIRLINES -- 1.1% 9,137 Allegiant Travel Co. 1,943,714 91,249 Hawaiian Holdings, Inc. (a) 1,981,928 295,093 Republic Airways Holdings, Inc. (a) 1,487,269 144,093 SkyWest, Inc. 2,386,180 --------------- 7,799,091 --------------- AUTO COMPONENTS -- 1.3% 22,736 Dorman Products, Inc. (a) 1,200,006 37,352 Drew Industries, Inc. 2,191,068 49,334 Gentherm, Inc. (a) 2,482,980 46,280 Standard Motor Products, Inc. 1,692,460 88,770 Superior Industries International, Inc. 1,501,989 --------------- 9,068,503 --------------- AUTOMOBILES -- 0.2% 68,901 Winnebago Industries, Inc. 1,538,559 --------------- BANKS -- 6.3% 33,911 Banner Corp. 1,616,198 73,264 BBCN Bancorp, Inc. 1,124,602 40,402 Boston Private Financial Holdings, Inc. 508,257 74,593 Cardinal Financial Corp. 1,742,493 22,812 Central Pacific Financial Corp. 531,292 22,002 City Holding Co. 1,060,936 49,950 Columbia Banking System, Inc. 1,637,861 14,344 Community Bank System, Inc. 548,371 61,532 CVB Financial Corp. 1,089,732 37,835 F.N.B. Corp. 521,745 562,023 First BanCorp (a) 2,422,319 56,495 First Commonwealth Financial Corp. 519,754 60,400 First Financial Bancorp 1,148,204 31,281 First Financial Bankshares, Inc. (b) 1,062,928 SHARES DESCRIPTION VALUE ----------------------------------------------------------- BANKS (CONTINUED) 28,560 First Midwest Bancorp, Inc. $ 536,071 18,416 Glacier Bancorp, Inc. 517,490 21,811 Hanmi Financial Corp. 552,036 44,458 Home BancShares, Inc. 1,770,318 23,109 Independent Bank Corp. 1,117,551 71,760 LegacyTexas Financial Group, Inc. 2,180,786 62,926 MB Financial, Inc. 2,145,777 96,062 National Penn Bancshares, Inc. 1,029,785 41,405 NBT Bancorp, Inc. 1,119,177 203,108 OFG Bancorp 1,637,051 74,936 Old National Bancorp 1,078,329 39,860 Pinnacle Financial Partners, Inc. 2,116,167 54,424 PrivateBancorp, Inc. 2,249,888 18,310 S&T Bancorp, Inc. 566,145 34,819 Simmons First National Corp., Class A 1,582,524 18,535 Southside Bancshares, Inc. 506,376 36,856 Sterling Bancorp 548,786 64,691 Talmer Bancorp, Inc., Class A 1,054,463 34,819 Texas Capital Bancshares, Inc. (a) 2,052,232 10,085 Tompkins Financial Corp. 545,094 9,502 UMB Financial Corp. 520,900 40,402 United Bankshares, Inc. 1,637,493 42,897 Wilshire Bancorp, Inc. 498,463 20,299 Wintrust Financial Corp. 1,094,522 --------------- 44,192,116 --------------- BIOTECHNOLOGY -- 1.4% 82,214 Emergent BioSolutions, Inc. (a) 2,699,086 26,848 Ligand Pharmaceuticals, Inc. (a) 2,906,564 118,762 Momenta Pharmaceuticals, Inc. (a) 2,581,886 39,384 Repligen Corp. (a) 1,378,834 79,209 Spectrum Pharmaceuticals, Inc. (a) (b) 547,730 --------------- 10,114,100 --------------- BUILDING PRODUCTS -- 2.2% 49,388 American Woodmark Corp. (a) 3,247,755 51,462 Apogee Enterprises, Inc. 2,839,673 102,096 Griffon Corp. 1,760,135 186,696 PGT, Inc. (a) 3,000,205 25,282 Quanex Building Products Corp. 507,663 31,870 Simpson Manufacturing Co., Inc. 1,141,583 52,065 Universal Forest Products, Inc. 3,306,127 --------------- 15,803,141 --------------- CAPITAL MARKETS -- 1.7% 132,683 Calamos Asset Management, Inc., Class A 1,593,523 20,081 Evercore Partners, Inc., Class A 1,180,763 12,754 Financial Engines, Inc. (b) 584,898 13,109 Greenhill & Co., Inc. 515,577 38,950 HFF, Inc., Class A 1,785,468 43,693 Investment Technology Group, Inc. 889,153 See Notes to Financial Statements Page 43 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 62,075 Piper Jaffray Cos. (a) $ 2,784,064 20,484 Virtus Investment Partners, Inc. 2,475,696 --------------- 11,809,142 --------------- CHEMICALS -- 1.9% 12,392 A. Schulman, Inc. 461,354 9,723 Balchem Corp. 551,002 83,868 Calgon Carbon Corp. 1,483,625 210,486 FutureFuel Corp. 2,407,960 40,242 Hawkins, Inc. 1,468,028 30,877 Innophos Holdings, Inc. 1,589,548 181,504 Intrepid Potash, Inc. (a) 1,550,044 22,688 Kraton Performance Polymers, Inc. (a) 465,558 6,098 Quaker Chemical Corp. 565,285 30,038 Stepan Co. 1,472,162 73,513 Tredegar Corp. 1,239,429 --------------- 13,253,995 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.2% 32,966 ABM Industries, Inc. 1,086,560 41,411 Essendant, Inc. 1,524,753 7,836 G&K Services, Inc., Class A 513,728 49,179 Healthcare Services Group, Inc. 1,716,839 40,782 Matthews International Corp., Class A 2,196,111 12,887 Mobile Mini, Inc. 478,494 84,523 Tetra Tech, Inc. 2,251,693 19,376 UniFirst Corp. 2,147,248 33,361 US Ecology, Inc. 1,530,936 79,940 Viad Corp. 2,291,880 --------------- 15,738,242 --------------- COMMUNICATIONS EQUIPMENT -- 1.1% 66,682 ADTRAN, Inc. 1,100,253 52,806 Bel Fuse, Inc., Class B 1,165,957 108,358 Black Box Corp. 1,696,886 29,671 CalAmp Corp. (a) 507,671 93,251 Comtech Telecommunications Corp. 2,686,561 43,552 Ixia (a) 574,886 --------------- 7,732,214 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 46,031 Dycom Industries, Inc. (a) 3,040,808 22,683 EMCOR Group, Inc. 1,084,928 375,201 Orion Marine Group, Inc. (a) 2,716,455 --------------- 6,842,191 --------------- CONSTRUCTION MATERIALS -- 0.3% 118,944 Headwaters, Inc. (a) 2,261,125 --------------- CONSUMER FINANCE -- 2.0% 41,374 Cash America International, Inc. 1,147,301 38,029 Encore Capital Group, Inc. (a) (b) 1,635,627 364,596 EZCORP, Inc., Class A (a) 2,584,986 SHARES DESCRIPTION VALUE ----------------------------------------------------------- CONSUMER FINANCE (CONTINUED) 35,652 First Cash Financial Services, Inc. (a) $ 1,449,967 141,682 Green Dot Corp., Class A (a) 2,935,651 26,085 PRA Group, Inc. (a) 1,657,702 44,041 World Acceptance Corp. (a) (b) 2,396,711 --------------- 13,807,945 --------------- DISTRIBUTORS -- 0.4% 23,160 Pool Corp. 1,630,927 130,867 VOXX International Corp. (a) 1,046,936 --------------- 2,677,863 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 105,325 American Public Education, Inc. (a) 2,724,758 30,285 Capella Education Co. 1,559,980 188,997 Universal Technical Institute, Inc. 1,203,911 --------------- 5,488,649 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 23,361 MarketAxess Holdings, Inc. 2,284,706 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.6% 120,935 8x8, Inc. (a) 1,053,344 23,529 Atlantic Tele-Network, Inc. 1,664,442 425,490 Cincinnati Bell, Inc. (a) 1,663,666 25,787 Consolidated Communications Holdings, Inc. 513,935 159,256 General Communication, Inc., Class A (a) 2,930,310 298,014 Iridium Communications, Inc. (a) (b) 2,211,264 73,264 Lumos Networks Corp. 1,022,765 --------------- 11,059,726 --------------- ELECTRIC UTILITIES -- 0.9% 58,395 ALLETE, Inc. 2,819,895 62,526 El Paso Electric Co. 2,277,822 23,649 UIL Holdings Corp. 1,133,733 --------------- 6,231,450 --------------- ELECTRICAL EQUIPMENT -- 0.7% 31,378 AZZ, Inc. 1,623,812 24,466 Encore Wire Corp. 839,918 15,416 EnerSys 962,729 33,516 Franklin Electric Co., Inc. 967,272 44,445 Vicor Corp. (a) 462,672 --------------- 4,856,403 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.2% 24,948 Anixter International, Inc. (a) 1,651,807 17,067 Badger Meter, Inc. 1,003,881 124,378 Benchmark Electronics, Inc. (a) 2,743,779 106,442 Checkpoint Systems, Inc. 930,303 25,604 Coherent, Inc. (a) 1,483,752 Page 44 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 56,231 CTS Corp. $ 1,056,580 91,364 Daktronics, Inc. 1,044,290 17,769 DTS, Inc. (a) 506,239 144,632 Fabrinet (a) 2,684,370 11,602 FARO Technologies, Inc. (a) 509,212 114,181 II-VI, Inc. (a) 1,941,077 54,342 Insight Enterprises, Inc. (a) 1,466,691 11,419 Littelfuse, Inc. 1,050,548 37,008 Mercury Systems, Inc. (a) 521,443 15,715 MTS Systems Corp. 1,015,346 85,726 Newport Corp. (a) 1,357,900 22,960 OSI Systems, Inc. (a) 1,611,333 28,277 Park Electrochemical Corp. 499,372 49,388 Plexus Corp. (a) 1,883,658 58,890 Rofin-Sinar Technologies, Inc. (a) 1,468,717 16,383 Rogers Corp. (a) 916,956 134,373 Sanmina Corp. (a) 2,965,612 56,941 ScanSource, Inc. (a) 2,154,078 29,610 SYNNEX Corp. 2,239,404 216,933 TTM Technologies, Inc. (a) 1,980,598 --------------- 36,686,946 --------------- ENERGY EQUIPMENT & SERVICES -- 3.2% 287,041 Basic Energy Services, Inc. (a) (b) 1,733,728 40,660 Bristow Group, Inc. 1,831,733 13,014 CARBO Ceramics, Inc. (b) 427,510 105,818 Era Group, Inc. (a) 1,791,499 49,782 Exterran Holdings, Inc. 1,234,096 242,520 Gulf Island Fabrication, Inc. 2,767,153 233,530 GulfMark Offshore, Inc., Class A (b) 2,199,852 131,951 Hornbeck Offshore Services, Inc. (a) 2,401,508 59,277 Matrix Service Co. (a) 1,148,788 333,204 Newpark Resources, Inc. (a) 2,409,065 341,824 Pioneer Energy Services Corp. (a) 1,251,076 38,187 SEACOR Holdings, Inc. (a) 2,412,273 49,706 Tesco Corp. 477,178 18,453 U.S. Silica Holdings, Inc. (b) 415,561 --------------- 22,501,020 --------------- FOOD & STAPLES RETAILING -- 0.6% 69,460 Andersons (The), Inc. 2,590,858 49,950 SpartanNash Co. 1,608,889 --------------- 4,199,747 --------------- FOOD PRODUCTS -- 2.3% 18,990 B&G Foods, Inc. 560,775 41,732 Calavo Growers, Inc. 2,274,811 51,896 Cal-Maine Foods, Inc. (b) 2,810,687 147,828 Darling Ingredients, Inc. (a) 1,899,590 SHARES DESCRIPTION VALUE ----------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 34,531 Diamond Foods, Inc. (a) $ 1,115,697 9,791 J&J Snack Foods Corp. 1,158,863 36,042 Sanderson Farms, Inc. (b) 2,595,384 78,040 Seneca Foods Corp., Class A (a) 2,277,988 50,368 Snyder's-Lance, Inc. 1,637,967 --------------- 16,331,762 --------------- GAS UTILITIES -- 1.5% 41,628 Laclede Group (The), Inc. 2,252,491 58,997 New Jersey Resources Corp. 1,705,013 38,534 Northwest Natural Gas Co. 1,668,137 30,688 Piedmont Natural Gas Co., Inc. 1,166,451 65,725 South Jersey Industries, Inc. 1,593,174 40,728 Southwest Gas Corp. 2,294,616 --------------- 10,679,882 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.7% 24,728 ABIOMED, Inc. (a) 1,915,431 13,734 Analogic Corp. 1,106,274 40,379 Cantel Medical Corp. 2,215,999 27,894 CONMED Corp. 1,582,148 96,062 CryoLife, Inc. 1,051,879 70,216 Cynosure, Inc., Class A (a) 2,724,381 10,048 Greatbatch, Inc. (a) 547,917 11,327 ICU Medical, Inc. (a) 1,131,794 35,589 Integra LifeSciences Holdings Corp. (a) 2,282,322 69,926 Masimo Corp. (a) 2,914,516 29,066 Meridian Bioscience, Inc. 525,804 25,153 Merit Medical Systems, Inc. (a) 642,911 38,190 Natus Medical, Inc. (a) 1,724,660 11,421 Neogen Corp. (a) 664,588 22,870 NuVasive, Inc. (a) 1,258,079 23,134 SurModics, Inc. (a) 543,418 62,418 Vascular Solutions, Inc. (a) 2,323,822 9,328 West Pharmaceutical Services, Inc. 558,467 --------------- 25,714,410 --------------- HEALTH CARE PROVIDERS & SERVICES -- 5.1% 87,989 Aceto Corp. 2,061,582 39,317 Air Methods Corp. (a) 1,548,697 27,151 Almost Family, Inc. (a) 1,188,128 68,184 Amedisys, Inc. (a) 2,974,868 85,753 AMN Healthcare Services, Inc. (a) 2,523,711 38,727 AmSurg Corp. (a) 2,778,275 65,672 Bio-Reference Laboratories, Inc. (a) 2,913,867 16,531 Chemed Corp. 2,454,192 33,841 CorVel Corp. (a) 1,081,558 213,640 Cross Country Healthcare, Inc. (a) 2,578,635 53,054 Ensign Group (The), Inc. 2,712,120 27,713 ExamWorks Group, Inc. (a) 972,172 115,570 Hanger, Inc. (a) 2,500,935 135,674 Healthways, Inc. (a) 1,717,633 See Notes to Financial Statements Page 45 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 14,164 LHC Group, Inc. (a) $ 570,667 23,196 Magellan Health, Inc. (a) 1,405,446 48,942 Providence Service (The) Corp. (a) 2,303,210 100,332 Select Medical Holdings Corp. 1,447,791 --------------- 35,733,487 --------------- HEALTH CARE TECHNOLOGY -- 1.2% 10,142 Computer Programs and Systems, Inc. (b) 474,341 71,241 HealthStream, Inc. (a) 1,999,022 73,680 MedAssets, Inc. (a) 1,716,744 29,922 Medidata Solutions, Inc. (a) 1,609,804 57,469 Omnicell, Inc. (a) 2,098,768 65,394 Quality Systems, Inc. 833,774 --------------- 8,732,453 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.0% 2,619 Biglari Holdings, Inc. (a) 1,138,767 22,365 BJ's Restaurants, Inc. (a) 1,153,139 21,226 Bob Evans Farms, Inc. 1,059,602 47,421 Interval Leisure Group, Inc. 1,011,016 6,146 Jack in the Box, Inc. 583,870 112,991 Marcus (The) Corp. 2,368,291 23,620 Marriott Vacations Worldwide Corp. 1,974,632 105,407 Monarch Casino & Resort, Inc. (a) 1,961,624 35,828 Papa John's International, Inc. 2,707,164 72,665 Pinnacle Entertainment, Inc. (a) 2,797,603 18,063 Popeyes Louisiana Kitchen, Inc. (a) 1,096,063 12,626 Red Robin Gourmet Burgers, Inc. (a) 1,157,173 259,230 Ruby Tuesday, Inc. (a) 1,902,748 100,829 Ruth's Hospitality Group, Inc. 1,767,532 174,321 Scientific Games Corp., Class A (a) (b) 2,632,247 18,812 Sonic Corp. 559,093 57,899 Texas Roadhouse, Inc. 2,280,642 --------------- 28,151,206 --------------- HOUSEHOLD DURABLES -- 2.1% 61,707 Ethan Allen Interiors, Inc. 1,862,934 27,787 Helen of Troy Ltd. (a) 2,439,143 16,995 iRobot Corp. (a) 523,276 61,707 La-Z-Boy, Inc. 1,567,358 87,846 M/I Homes, Inc. (a) 2,203,178 46,022 Meritage Homes Corp. (a) 2,075,592 46,736 Ryland Group (The), Inc. 2,125,086 243,228 Standard Pacific Corp. (a) 2,186,620 --------------- 14,983,187 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOUSEHOLD PRODUCTS -- 0.3% 142,451 Central Garden & Pet Co., Class A (a) $ 1,435,906 6,216 WD-40 Co. 557,140 --------------- 1,993,046 --------------- INSURANCE -- 3.7% 40,162 American Equity Investment Life Holding Co. 1,186,385 34,538 AMERISAFE, Inc. 1,728,627 118,918 Employers Holdings, Inc. 2,854,032 24,510 HCI Group, Inc. 1,100,009 29,785 Horace Mann Educators Corp. 1,049,623 28,575 Infinity Property & Casualty Corp. 2,214,848 27,942 Navigators Group (The), Inc. (a) 2,184,506 46,898 ProAssurance Corp. 2,264,704 10,543 RLI Corp. 582,290 96,576 Selective Insurance Group, Inc. 2,975,507 13,613 Stewart Information Services Corp. 559,767 66,153 United Fire Group, Inc. 2,286,248 139,457 United Insurance Holdings Corp. 2,239,679 89,552 Universal Insurance Holdings, Inc. 2,455,516 --------------- 25,681,741 --------------- INTERNET & CATALOG RETAIL -- 0.8% 17,828 Blue Nile, Inc. (a) 565,504 38,438 FTD Cos., Inc. (a) 1,119,699 108,881 Nutrisystem, Inc. 3,271,874 31,372 PetMed Express, Inc. (b) 528,618 --------------- 5,485,695 --------------- INTERNET SOFTWARE & SERVICES -- 2.0% 30,518 comScore, Inc. (a) 1,785,303 43,143 Dealertrack Technologies, Inc. (a) 2,677,886 121,888 DHI Group, Inc. (a) 971,447 23,924 j2 Global, Inc. 1,684,250 42,006 LogMeIn, Inc. (a) 3,090,801 29,638 NIC, Inc. 534,669 167,997 QuinStreet, Inc. (a) 977,743 36,821 Stamps.com, Inc. (a) 2,525,921 --------------- 14,248,020 --------------- IT SERVICES -- 2.5% 26,791 CACI International, Inc., Class A (a) 2,200,345 29,246 Cardtronics, Inc. (a) 1,084,149 17,113 CSG Systems International, Inc. 532,214 31,335 ExlService Holdings, Inc. (a) 1,214,858 40,095 Heartland Payment Systems, Inc. 2,497,919 74,730 ManTech International Corp., Class A 2,227,701 56,319 Perficient, Inc. (a) 914,057 Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 111,709 Sykes Enterprises, Inc. (a) $ 2,723,465 60,021 TeleTech Holdings, Inc. 1,628,370 52,703 Virtusa Corp. (a) 2,526,582 --------------- 17,549,660 --------------- LEISURE PRODUCTS -- 0.2% 18,861 Sturm Ruger & Co., Inc. 1,132,037 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.3% 49,615 Affymetrix, Inc. (a) 543,780 107,179 Albany Molecular Research, Inc. (a) (b) 2,265,764 61,651 Cambrex Corp. (a) 3,036,312 125,560 Luminex Corp. (a) 2,163,399 16,849 PAREXEL International Corp. (a) 1,161,907 --------------- 9,171,162 --------------- MACHINERY -- 2.5% 23,464 Actuant Corp., Class A 541,080 13,613 Albany International Corp., Class A 506,676 38,866 Astec Industries, Inc. 1,527,822 55,582 Barnes Group, Inc. 2,163,807 84,391 Briggs & Stratton Corp. 1,559,546 19,871 CIRCOR International, Inc. 950,430 28,965 ESCO Technologies, Inc. 1,102,698 145,350 Federal Signal Corp. 2,174,436 57,653 John Bean Technologies Corp. 2,101,452 6,163 Lindsay Corp. (b) 516,891 36,657 Lydall, Inc. (a) 1,089,079 31,209 Mueller Industries, Inc. 1,010,235 13,557 Standex International Corp. 1,014,606 8,292 Tennant Co. 495,944 15,987 Toro (The) Co. 1,092,392 --------------- 17,847,094 --------------- MARINE -- 0.3% 51,550 Matson, Inc. 2,135,201 --------------- MEDIA -- 0.7% 154,908 Gannett Co., Inc. (a) 1,959,586 454,522 Harte-Hanks, Inc. 2,131,708 24,554 Scholastic Corp. 1,058,032 --------------- 5,149,326 --------------- METALS & MINING -- 0.8% 21,970 Haynes International, Inc. 935,263 76,850 Materion Corp. 2,351,610 233,732 Stillwater Mining Co. (a) 2,225,129 --------------- 5,512,002 --------------- MULTI-UTILITIES -- 0.8% 88,383 Avista Corp. 2,918,407 44,455 NorthWestern Corp. 2,393,457 --------------- 5,311,864 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS -- 2.4% 395,467 Approach Resources, Inc. (a) (b) $ 1,538,367 315,361 Bill Barrett Corp. (a) (b) 1,791,250 118,749 Bonanza Creek Energy, Inc. (a) 927,430 11,003 Carrizo Oil & Gas, Inc. (a) 419,544 581,320 Cloud Peak Energy, Inc. (a) (b) 1,848,598 650,799 Comstock Resources, Inc. (b) 820,007 176,623 Contango Oil & Gas Co. (a) 1,621,399 98,329 Green Plains, Inc. 2,207,486 320,112 Northern Oil and Gas, Inc. (a) (b) 1,523,733 50,502 PDC Energy, Inc. (a) 2,371,069 494,786 Penn Virginia Corp. (a) (b) 663,013 387,685 Rex Energy Corp. (a) (b) 868,414 --------------- 16,600,310 --------------- PAPER & FOREST PRODUCTS -- 0.9% 59,083 Boise Cascade Co. (a) 1,960,374 9,189 Neenah Paper, Inc. 556,669 123,190 P.H. Glatfelter Co. 2,514,308 40,757 Schweitzer-Mauduit International, Inc. 1,618,053 --------------- 6,649,404 --------------- PERSONAL PRODUCTS -- 0.1% 16,763 Medifast, Inc. (a) 517,474 --------------- PHARMACEUTICALS -- 2.2% 26,195 ANI Pharmaceuticals, Inc. (a) 1,860,631 100,986 Depomed, Inc. (a) 3,181,059 47,194 Impax Laboratories, Inc. (a) 2,287,021 18,230 Lannett Co., Inc. (a) 1,086,508 43,309 Nektar Therapeutics (a) 546,127 46,868 Prestige Brands Holdings, Inc. (a) 2,231,854 22,287 Sagent Pharmaceuticals, Inc. (a) 547,814 159,538 Supernus Pharmaceuticals, Inc. (a) 3,383,801 --------------- 15,124,815 --------------- PROFESSIONAL SERVICES -- 1.2% 41,676 CDI Corp. 504,696 12,099 Exponent, Inc. 538,285 105,887 Kelly Services, Inc., Class A 1,581,952 46,746 Korn/Ferry International 1,565,056 55,172 On Assignment, Inc. (a) 2,114,191 67,345 Resources Connection, Inc. 1,066,071 54,360 TrueBlue, Inc. (a) 1,400,314 --------------- 8,770,565 --------------- REAL ESTATE INVESTMENT TRUSTS -- 1.9% 18,574 Agree Realty Corp. 575,608 56,772 Associated Estates Realty Corp. 1,632,195 195,240 Capstead Mortgage Corp. 2,161,307 35,770 CoreSite Realty Corp. 1,795,654 19,781 EPR Properties 1,129,891 31,721 GEO Group (The), Inc. 1,197,468 13,024 LTC Properties, Inc. 571,363 15,018 PS Business Parks, Inc. 1,156,236 See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 83,288 Summit Hotel Properties, Inc. $ 1,135,215 87,011 Urstadt Biddle Properties, Inc., Class A 1,661,910 --------------- 13,016,847 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 123,508 Forestar Group, Inc. (a) 1,580,902 --------------- ROAD & RAIL -- 0.6% 130,994 Celadon Group, Inc. 2,842,570 62,999 Roadrunner Transportation Systems, Inc. (a) 1,649,314 --------------- 4,491,884 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.1% 39,417 Advanced Energy Industries, Inc. (a) 1,032,331 34,502 Cabot Microelectronics Corp. (a) 1,564,321 79,605 Cirrus Logic, Inc. (a) 2,627,761 40,952 Cohu, Inc. 405,834 112,358 Diodes, Inc. (a) 2,493,224 55,398 Exar Corp. (a) 435,982 157,041 Kopin Corp. (a) 467,982 231,337 Kulicke & Soffa Industries, Inc. (a) 2,408,218 62,007 Microsemi Corp. (a) 2,042,511 57,121 MKS Instruments, Inc. 2,027,795 10,684 Monolithic Power Systems, Inc. 552,470 123,602 Pericom Semiconductor Corp. 1,479,516 23,984 Power Integrations, Inc. 929,620 24,986 Synaptics, Inc. (a) 1,983,389 28,530 Tessera Technologies, Inc. 988,850 29,191 Ultratech, Inc. (a) 464,721 --------------- 21,904,525 --------------- SOFTWARE -- 1.6% 47,567 Blackbaud, Inc. 2,909,198 19,482 Bottomline Technologies (de), Inc. (a) 534,976 66,457 Ebix, Inc. (b) 2,059,502 32,097 Epiq Systems, Inc. 531,205 22,472 Monotype Imaging Holdings, Inc. 560,227 19,701 Progress Software Corp. (a) 584,726 35,543 Synchronoss Technologies, Inc. (a) 1,698,955 19,651 Take-Two Interactive Software, Inc. (a) 620,579 89,730 VASCO Data Security International, Inc. (a) (b) 1,829,595 --------------- 11,328,963 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL -- 5.8% 62,611 Barnes & Noble, Inc. (a) $ 1,646,043 152,510 Big 5 Sporting Goods Corp. 1,679,135 23,674 Buckle (The), Inc. 1,047,101 51,144 Caleres, Inc. 1,689,798 41,934 Cato (The) Corp., Class A 1,610,685 24,849 Children's Place (The), Inc. 1,438,757 675,549 Christopher & Banks Corp. (a) 2,182,023 77,899 Finish Line (The), Inc., Class A 2,141,444 41,026 Genesco, Inc. (a) 2,653,972 23,860 Group 1 Automotive, Inc. 2,313,704 25,060 Haverty Furniture Cos., Inc. 555,831 34,894 Hibbett Sports, Inc. (a) 1,589,422 38,880 Kirkland's, Inc. 1,060,646 23,939 Lithia Motors, Inc., Class A 2,865,259 130,804 Lumber Liquidators Holdings, Inc. (a) (b) 2,524,517 92,180 MarineMax, Inc. (a) 1,664,771 8,716 Monro Muffler Brake, Inc. 551,287 21,356 Outerwall, Inc. (b) 1,512,432 88,311 Pep Boys-Manny, Moe & Jack (The) (a) 1,046,485 72,071 Select Comfort Corp. (a) 1,876,729 68,207 Sonic Automotive, Inc., Class A 1,588,541 154,532 Stage Stores, Inc. 2,719,763 51,747 Stein Mart, Inc. 527,302 58,148 Vitamin Shoppe, Inc. (a) 2,137,521 --------------- 40,623,168 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 12,452 Electronics For Imaging, Inc. (a) 569,056 152,725 QLogic Corp. (a) 1,354,671 36,632 Super Micro Computer, Inc. (a) 976,976 --------------- 2,900,703 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.6% 38,507 G-III Apparel Group Ltd. (a) 2,781,361 99,740 Movado Group, Inc. 2,526,414 30,977 Oxford Industries, Inc. 2,599,900 37,994 Steven Madden Ltd. (a) 1,583,590 48,519 Unifi, Inc. (a) 1,497,296 --------------- 10,988,561 --------------- THRIFTS & MORTGAGE FINANCE -- 1.9% 78,577 Astoria Financial Corp. 1,188,084 141,275 Bank Mutual Corp. 1,027,069 25,626 BofI Holding, Inc. (a) 3,148,154 143,966 Brookline Bancorp, Inc. 1,622,497 63,966 Dime Community Bancshares, Inc. 1,087,422 42,261 Northwest Bancshares, Inc. 536,292 33,756 Oritani Financial Corp. 530,307 57,061 Provident Financial Services, Inc. 1,119,537 77,068 TrustCo Bank Corp. NY 480,133 101,307 Walker & Dunlop, Inc. (a) 2,426,303 --------------- 13,165,798 --------------- Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TOBACCO -- 0.4% 47,260 Universal Corp. $ 2,696,183 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 54,657 Applied Industrial Technologies, Inc. 2,111,400 38,755 Kaman Corp. 1,529,660 --------------- 3,641,060 --------------- WATER UTILITIES -- 0.1% 14,490 American States Water Co. 558,589 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 160,864 Spok Holdings, Inc. 2,691,255 --------------- TOTAL COMMON STOCKS -- 100.0% 701,814,745 (Cost $680,840,398) --------------- MONEY MARKET FUNDS -- 2.2% 15,009,957 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 15,009,957 349,676 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (c) 349,676 --------------- TOTAL MONEY MARKET FUNDS -- 2.2% 15,359,633 (Cost $15,359,633) --------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 2.6% $ 4,703,631 JPMorgan Chase & Co., 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $4,703,670. Collateralized by U.S. Treasury Note, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $4,830,417. (d) 4,703,631 13,506,477 RBC Capital Markets LLC, 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $13,506,590. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including accrued interest is $13,818,921. (d) 13,506,477 --------------- DESCRIPTION VALUE ----------------------------------------------------------- TOTAL REPURCHASE AGREEMENTS -- 2.6% $ 18,210,108 (Cost $18,210,108) --------------- TOTAL INVESTMENTS -- 104.8% 735,384,486 (Cost $714,410,139) (e) NET OTHER ASSETS AND LIABILITIES -- (4.8)% (33,502,058) --------------- NET ASSETS -- 100.0% $ 701,882,428 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $31,779,500 and the total value of the collateral held by the Fund is $33,220,065. (c) Interest rate shown reflects yield as of July 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $727,170,548. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $69,715,874 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $61,501,936. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 701,814,745 $ -- $ -- Money Market Funds 15,359,633 -- -- Repurchase Agreements -- 18,210,108 -- ---------------------------------------- Total Investments $ 717,174,378 $18,210,108 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 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) $ 31,779,500 Non-cash Collateral(2) (31,779,500) -------------- Net Amount $ -- ============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 18,210,108 Non-cash Collateral(4) (18,210,108) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2015, the value of 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 JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.9% 19,117 Honeywell International, Inc. $ 2,008,241 52,868 L-3 Communications Holdings, Inc. 6,104,139 19,506 Precision Castparts Corp. 3,802,110 62,649 Raytheon Co. 6,834,379 35,145 United Technologies Corp. 3,525,395 --------------- 22,274,264 --------------- AIR FREIGHT & LOGISTICS -- 0.7% 45,759 FedEx Corp. 7,844,008 --------------- AIRLINES -- 0.3% 97,626 American Airlines Group, Inc. 3,914,803 --------------- AUTO COMPONENTS -- 1.4% 68,591 BorgWarner, Inc. 3,409,659 22,909 Delphi Automotive PLC 1,788,735 331,356 Goodyear Tire & Rubber (The) Co. 9,983,756 39,357 Johnson Controls, Inc. 1,793,105 --------------- 16,975,255 --------------- AUTOMOBILES -- 1.5% 259,739 Ford Motor Co. 3,851,929 233,944 General Motors Co. 7,371,575 106,375 Harley-Davidson, Inc. 6,201,663 --------------- 17,425,167 --------------- BANKS -- 3.9% 96,718 BB&T Corp. 3,894,834 35,289 Citigroup, Inc. 2,062,995 37,984 Comerica, Inc. 1,801,581 187,257 Fifth Third Bancorp 3,945,505 344,711 Huntington Bancshares, Inc. 4,022,777 88,463 JPMorgan Chase & Co. 6,062,369 129,783 KeyCorp 1,925,980 15,603 M&T Bank Corp. 2,046,334 120,256 People's United Financial, Inc. 1,956,565 62,668 PNC Financial Services Group (The), Inc. 6,152,744 188,160 Regions Financial Corp. 1,954,983 90,625 SunTrust Banks, Inc. 4,018,313 44,916 U.S. Bancorp 2,030,652 34,661 Wells Fargo & Co. 2,005,832 61,426 Zions Bancorporation 1,915,877 --------------- 45,797,341 --------------- CAPITAL MARKETS -- 2.3% 46,446 Bank of New York Mellon (The) Corp. 2,015,756 203,761 Franklin Resources, Inc. 9,281,314 28,709 Goldman Sachs Group (The), Inc. 5,887,355 103,993 Invesco Ltd. 4,014,130 77,116 T. Rowe Price Group, Inc. 5,947,957 --------------- 27,146,512 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CHEMICALS -- 3.1% 36,857 Airgas, Inc. $ 3,760,151 117,143 Dow Chemical (The) Co. 5,512,750 32,088 E.I. du Pont de Nemours and Co. 1,789,227 47,650 Eastman Chemical Co. 3,735,760 17,836 International Flavors & Fragrances, Inc. 2,061,663 75,322 LyondellBasell Industries N.V., Class A 7,067,463 18,288 Monsanto Co. 1,863,364 213,242 Mosaic (The) Co. 9,156,612 16,306 Praxair, Inc. 1,861,167 --------------- 36,808,157 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 232,272 ADT (The) Corp. 8,020,352 153,031 Republic Services, Inc. 6,508,409 42,057 Waste Management, Inc. 2,150,374 --------------- 16,679,135 --------------- COMMUNICATIONS EQUIPMENT -- 1.2% 283,954 Cisco Systems, Inc. 8,069,972 77,938 Harris Corp. 6,464,178 --------------- 14,534,150 --------------- CONSTRUCTION & ENGINEERING -- 1.9% 188,462 Fluor Corp. 8,810,598 191,959 Jacobs Engineering Group, Inc. (a) 8,085,313 207,988 Quanta Services, Inc. (a) 5,744,629 --------------- 22,640,540 --------------- CONSUMER FINANCE -- 0.8% 25,082 American Express Co. 1,907,737 68,139 Capital One Financial Corp. 5,539,701 33,831 Discover Financial Services 1,888,108 --------------- 9,335,546 --------------- DISTRIBUTORS -- 0.2% 21,773 Genuine Parts Co. 1,936,708 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 131,490 H&R Block, Inc. 4,377,302 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 160,572 Leucadia National Corp. 3,776,653 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.6% 109,760 AT&T, Inc. 3,813,062 340,040 CenturyLink, Inc. 9,725,144 1,210,955 Frontier Communications Corp. 5,715,708 --------------- 19,253,914 --------------- See Notes to Financial Statements Page 51 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 8.7% 147,203 American Electric Power Co., Inc. $ 8,327,274 110,413 Duke Energy Corp. 8,194,853 179,748 Edison International 10,786,677 110,601 Entergy Corp. 7,854,883 132,002 Eversource Energy 6,563,139 317,962 Exelon Corp. 10,203,401 184,154 FirstEnergy Corp. 6,253,870 61,147 NextEra Energy, Inc. 6,432,664 222,503 Pepco Holdings, Inc. 5,936,380 137,060 Pinnacle West Capital Corp. 8,457,973 339,002 PPL Corp. 10,783,654 143,060 Southern (The) Co. 6,399,074 186,272 Xcel Energy, Inc. 6,458,050 --------------- 102,651,892 --------------- ELECTRICAL EQUIPMENT -- 1.1% 88,817 Eaton Corp. PLC 5,380,534 140,671 Emerson Electric Co. 7,279,724 --------------- 12,660,258 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.7% 506,355 Corning, Inc. 9,458,711 126,499 FLIR Systems, Inc. 3,894,904 121,265 TE Connectivity Ltd. 7,387,464 --------------- 20,741,079 --------------- ENERGY EQUIPMENT & SERVICES -- 4.7% 97,151 Baker Hughes, Inc. 5,649,331 232,244 Diamond Offshore Drilling, Inc. 5,097,756 187,934 FMC Technologies, Inc. (a) 6,156,718 231,957 Halliburton Co. 9,693,483 141,868 Helmerich & Payne, Inc. 8,191,458 206,926 National Oilwell Varco, Inc. 8,717,792 506,652 Noble Corp. PLC 6,054,491 69,547 Schlumberger Ltd. 5,759,883 --------------- 55,320,912 --------------- FOOD & STAPLES RETAILING -- 1.0% 109,930 Wal-Mart Stores, Inc. 7,912,762 98,851 Whole Foods Market, Inc. 3,598,176 --------------- 11,510,938 --------------- FOOD PRODUCTS -- 1.5% 207,183 Archer-Daniels-Midland Co. 9,824,618 182,908 Tyson Foods, Inc., Class A 8,111,970 --------------- 17,936,588 --------------- GAS UTILITIES -- 0.7% 167,469 AGL Resources, Inc. 8,051,910 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.2% 23,116 Varian Medical Systems, Inc. (a) 1,989,594 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 0.6% 23,752 Anthem, Inc. $ 3,664,221 53,760 Quest Diagnostics, Inc. 3,968,026 --------------- 7,632,247 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.9% 78,937 Carnival Corp. 4,206,553 20,504 McDonald's Corp. 2,047,529 49,545 Royal Caribbean Cruises Ltd. 4,451,618 --------------- 10,705,700 --------------- HOUSEHOLD DURABLES -- 0.7% 193,483 PulteGroup, Inc. 4,008,968 22,529 Whirlpool Corp. 4,004,079 --------------- 8,013,047 --------------- HOUSEHOLD PRODUCTS -- 0.2% 24,915 Procter & Gamble (The) Co. 1,910,981 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 1.1% 452,053 AES (The) Corp. 5,786,279 340,794 NRG Energy, Inc. 7,650,825 --------------- 13,437,104 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 12,633 3M Co. 1,911,878 22,775 Danaher Corp. 2,085,279 --------------- 3,997,157 --------------- INSURANCE -- 7.4% 58,952 ACE Ltd. 6,412,209 96,370 Aflac, Inc. 6,172,498 120,200 Allstate (The) Corp. 8,287,790 161,604 American International Group, Inc. 10,362,048 58,189 Assurant, Inc. 4,340,899 81,957 Chubb (The) Corp. 10,189,714 77,694 Cincinnati Financial Corp. 4,289,486 93,786 Hartford Financial Services Group (The), Inc. 4,459,524 65,834 Lincoln National Corp. 3,707,771 107,059 MetLife, Inc. 5,967,469 76,013 Principal Financial Group, Inc. 4,219,482 140,089 Progressive (The) Corp. 4,272,715 22,273 Prudential Financial, Inc. 1,968,042 33,482 Torchmark Corp. 2,062,826 103,356 Travelers (The) Cos., Inc. 10,968,139 --------------- 87,680,612 --------------- IT SERVICES -- 2.2% 31,543 Fidelity National Information Services, Inc. 2,063,859 36,851 International Business Machines Corp. 5,969,493 210,740 Teradata Corp. (a) 7,820,561 938,945 Xerox Corp. 10,347,174 --------------- 26,201,087 --------------- Page 52 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE PRODUCTS -- 0.3% 151,759 Mattel, Inc. $ 3,522,326 --------------- MACHINERY -- 4.8% 70,670 Caterpillar, Inc. 5,556,782 76,152 Cummins, Inc. 9,863,968 20,086 Deere & Co. 1,899,533 111,105 Dover Corp. 7,118,497 74,035 Flowserve Corp. 3,478,905 21,237 Illinois Tool Works, Inc. 1,900,074 275,977 Joy Global, Inc. 7,288,553 93,939 PACCAR, Inc. 6,091,005 67,028 Parker-Hannifin Corp. 7,557,407 18,523 Stanley Black & Decker, Inc. 1,953,991 105,171 Xylem, Inc. 3,631,555 --------------- 56,340,270 --------------- MEDIA -- 2.7% 99,671 Comcast Corp., Class A 6,220,467 410,845 News Corp., Class A (a) 6,051,747 311,518 TEGNA, Inc. 9,074,519 306,971 Twenty-First Century Fox, Inc., Class A 10,587,430 --------------- 31,934,163 --------------- METALS & MINING -- 1.7% 699,316 Alcoa, Inc. 6,902,249 427,670 Newmont Mining Corp. 7,343,094 136,016 Nucor Corp. 6,003,746 --------------- 20,249,089 --------------- MULTILINE RETAIL -- 1.2% 159,565 Kohl's Corp. 9,784,526 47,760 Target Corp. 3,909,156 --------------- 13,693,682 --------------- MULTI-UTILITIES -- 7.4% 206,937 Ameren Corp. 8,500,972 409,741 CenterPoint Energy, Inc. 7,924,391 122,446 CMS Energy Corp. 4,195,000 134,716 Consolidated Edison, Inc. 8,566,590 104,466 DTE Energy Co. 8,405,334 158,806 PG&E Corp. 8,338,903 254,338 Public Service Enterprise Group, Inc. 10,598,265 197,243 SCANA Corp. 10,808,916 60,584 Sempra Energy 6,166,240 441,527 TECO Energy, Inc. 9,766,577 86,695 WEC Energy Group, Inc. 4,248,055 --------------- 87,519,243 --------------- OIL, GAS & CONSUMABLE FUELS -- 11.3% 349,032 Chesapeake Energy Corp. 3,022,617 103,559 Chevron Corp. 9,162,900 162,683 ConocoPhillips 8,189,462 358,665 CONSOL Energy, Inc. 5,925,146 23,965 EQT Corp. 1,841,710 120,077 Exxon Mobil Corp. 9,511,299 149,378 Hess Corp. 8,814,796 SHARES DESCRIPTION VALUE ----------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 293,797 Marathon Oil Corp. $ 6,172,675 190,984 Marathon Petroleum Corp. 10,441,095 240,327 Murphy Oil Corp. 7,880,322 215,874 Newfield Exploration Co. (a) 7,078,509 234,076 Noble Energy, Inc. 8,246,498 124,012 Phillips 66 9,858,954 56,222 Pioneer Natural Resources Co. 7,127,263 439,524 Southwestern Energy Co. (a) 8,175,146 118,355 Tesoro Corp. 11,520,676 159,591 Valero Energy Corp. 10,469,170 --------------- 133,438,238 --------------- PAPER & FOREST PRODUCTS -- 0.2% 40,961 International Paper Co. 1,960,803 --------------- PHARMACEUTICALS -- 1.4% 40,003 Johnson & Johnson 4,008,701 175,485 Merck & Co., Inc. 10,346,595 58,137 Pfizer, Inc. 2,096,420 --------------- 16,451,716 --------------- REAL ESTATE INVESTMENT TRUSTS -- 0.3% 52,543 Prologis, Inc. 2,133,771 61,884 Weyerhaeuser Co. 1,899,220 --------------- 4,032,991 --------------- ROAD & RAIL -- 1.5% 42,749 Kansas City Southern 4,240,273 89,256 Norfolk Southern Corp. 7,526,958 68,607 Ryder System, Inc. 6,210,306 --------------- 17,977,537 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0% 311,874 Applied Materials, Inc. 5,414,133 165,972 First Solar, Inc. (a) 7,352,560 44,073 Linear Technology Corp. 1,806,993 41,104 Microchip Technology, Inc. 1,760,895 116,370 Texas Instruments, Inc. 5,816,173 44,143 Xilinx, Inc. 1,842,970 --------------- 23,993,724 --------------- SOFTWARE -- 1.5% 266,213 CA, Inc. 7,756,116 96,742 Oracle Corp. 3,863,875 257,816 Symantec Corp. 5,862,736 --------------- 17,482,727 --------------- SPECIALTY RETAIL -- 3.4% 113,038 Bed Bath & Beyond, Inc. (a) 7,373,469 239,110 Best Buy Co., Inc. 7,720,862 232,551 GameStop Corp., Class A 10,662,463 204,280 Gap (The), Inc. 7,452,134 222,782 Urban Outfitters, Inc. (a) 7,267,149 --------------- 40,476,077 --------------- See Notes to Financial Statements Page 53 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.9% 227,140 EMC Corp. $ 6,107,794 332,902 Hewlett-Packard Co. 10,160,169 189,931 NetApp, Inc. 5,916,351 --------------- 22,184,314 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.3% 112,646 Coach, Inc. 3,514,555 144,037 Fossil Group, Inc. (a) 9,902,544 33,843 PVH Corp. 3,927,142 75,479 Ralph Lauren Corp. 9,502,051 --------------- 26,846,292 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 8,237 W.W. Grainger, Inc. 1,883,884 --------------- TOTAL COMMON STOCKS -- 100.0% 1,181,147,637 (Cost $1,212,089,886) MONEY MARKET FUNDS -- 0.0% 460,059 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 460,059 (Cost $460,059) --------------- TOTAL INVESTMENTS -- 100.0% 1,181,607,696 (Cost $1,212,549,945) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 139,332 --------------- NET ASSETS -- 100.0% $ 1,181,747,028 =============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2015. (c) Aggregate cost for federal income tax purposes is $1,229,605,343. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $54,308,348 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $102,305,995. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $1,181,147,637 $ -- $ -- Money Market Funds 460,059 -- -- ---------------------------------------- Total Investments $1,181,607,696 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. Page 54 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 3.1% 18,380 Boeing (The) Co. $ 2,649,844 27,781 General Dynamics Corp. 4,142,425 6,858 Lockheed Martin Corp. 1,420,292 16,063 Northrop Grumman Corp. 2,779,060 42,624 Rockwell Collins, Inc. 3,606,843 147,005 Textron, Inc. 6,424,118 --------------- 21,022,582 --------------- AIR FREIGHT & LOGISTICS -- 0.4% 55,291 Expeditors International of Washington, Inc. 2,591,489 --------------- AIRLINES -- 0.2% 31,030 Delta Air Lines, Inc. 1,375,870 --------------- BEVERAGES -- 2.0% 25,454 Brown-Forman Corp., Class B 2,759,468 43,948 Constellation Brands, Inc., Class A 5,274,639 17,492 Dr Pepper Snapple Group, Inc. 1,403,208 29,374 Monster Beverage Corp. (a) 4,510,378 --------------- 13,947,693 --------------- BIOTECHNOLOGY -- 3.5% 14,097 Alexion Pharmaceuticals, Inc. (a) 2,783,312 8,299 Amgen, Inc. 1,465,520 9,737 Biogen, Inc. (a) 3,103,961 22,025 Celgene Corp. (a) 2,890,781 56,038 Gilead Sciences, Inc. 6,604,639 12,864 Regeneron Pharmaceuticals, Inc. (a) 7,122,282 --------------- 23,970,495 --------------- BUILDING PRODUCTS -- 1.0% 21,193 Allegion PLC 1,339,821 217,443 Masco Corp. 5,738,321 --------------- 7,078,142 --------------- CAPITAL MARKETS -- 2.1% 11,655 Affiliated Managers Group, Inc. (a) 2,423,075 10,201 Ameriprise Financial, Inc. 1,281,960 120,571 Charles Schwab (The) Corp. 4,205,516 85,124 E*TRADE Financial Corp. (a) 2,419,224 51,478 Northern Trust Corp. 3,937,552 --------------- 14,267,327 --------------- CHEMICALS -- 1.5% 39,654 CF Industries Holdings, Inc. 2,347,517 11,273 Ecolab, Inc. 1,305,526 11,104 PPG Industries, Inc. 1,203,451 14,312 Sherwin-Williams (The) Co. 3,975,301 9,142 Sigma-Aldrich Corp. 1,276,315 --------------- 10,108,110 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 0.8% 46,530 Cintas Corp. $ 3,978,315 9,525 Stericycle, Inc. (a) 1,342,739 --------------- 5,321,054 --------------- COMMUNICATIONS EQUIPMENT -- 0.2% 10,599 F5 Networks, Inc. (a) 1,421,750 --------------- CONSTRUCTION MATERIALS -- 1.6% 36,029 Martin Marietta Materials, Inc. 5,650,068 60,748 Vulcan Materials Co. 5,529,283 --------------- 11,179,351 --------------- CONTAINERS & PACKAGING -- 1.3% 36,337 Ball Corp. 2,465,102 127,697 Sealed Air Corp. 6,789,650 --------------- 9,254,752 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.5% 11,393 Intercontinental Exchange, Inc. 2,598,059 25,373 McGraw Hill Financial, Inc. 2,581,703 47,230 Moody's Corp. 5,215,609 --------------- 10,395,371 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% 74,739 Level 3 Communications, Inc. (a) 3,774,320 --------------- ELECTRICAL EQUIPMENT -- 0.5% 46,532 AMETEK, Inc. 2,468,523 10,223 Rockwell Automation, Inc. 1,193,842 --------------- 3,662,365 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.6% 67,904 Amphenol Corp., Class A 3,830,465 --------------- ENERGY EQUIPMENT & SERVICES -- 0.7% 97,354 Cameron International Corp. (a) 4,912,483 --------------- FOOD & STAPLES RETAILING -- 2.1% 62,561 CVS Health Corp. 7,036,236 180,971 Kroger (The) Co. 7,101,302 --------------- 14,137,538 --------------- FOOD PRODUCTS -- 3.1% 53,507 Campbell Soup Co. 2,638,430 150,063 ConAgra Foods, Inc. 6,611,776 22,872 General Mills, Inc. 1,331,379 69,831 Hormel Foods Corp. 4,134,693 46,231 Kraft Heinz (The) Co. 3,673,978 31,500 McCormick & Co., Inc. 2,583,315 --------------- 20,973,571 --------------- See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES -- 3.8% 80,208 Abbott Laboratories $ 4,065,744 33,551 Baxter International, Inc. 1,344,724 9,003 Becton, Dickinson and Co. 1,369,806 222,395 Boston Scientific Corp. (a) 3,856,329 14,929 C. R. Bard, Inc. 2,935,788 35,793 Edwards Lifesciences Corp. (a) 5,446,263 17,209 Medtronic PLC 1,349,013 34,890 St. Jude Medical, Inc. 2,575,580 26,674 Stryker Corp. 2,727,950 --------------- 25,671,197 --------------- HEALTH CARE PROVIDERS & SERVICES -- 10.3% 51,468 Aetna, Inc. 5,814,340 61,705 AmerisourceBergen Corp. 6,525,304 40,492 Cigna Corp. 5,833,277 49,530 DaVita HealthCare Partners, Inc. (a) 3,914,356 57,334 Express Scripts Holding Co. (a) 5,164,073 72,316 HCA Holdings, Inc. (a) 6,726,111 35,884 Henry Schein, Inc. (a) 5,310,114 29,180 McKesson Corp. 6,436,233 104,797 Patterson Cos., Inc. 5,256,618 113,361 Tenet Healthcare Corp. (a) 6,382,224 53,782 UnitedHealth Group, Inc. 6,529,135 46,170 Universal Health Services, Inc., Class B 6,705,269 --------------- 70,597,054 --------------- HEALTH CARE TECHNOLOGY -- 0.4% 36,909 Cerner Corp. (a) 2,647,113 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 17,129 Marriott International, Inc., Class A 1,243,737 122,364 Starbucks Corp. 7,088,547 15,568 Wyndham Worldwide Corp. 1,284,671 43,699 Yum! Brands, Inc. 3,835,024 --------------- 13,451,979 --------------- HOUSEHOLD DURABLES -- 4.8% 186,353 D.R. Horton, Inc. 5,532,820 33,089 Harman International Industries, Inc. 3,562,362 134,784 Leggett & Platt, Inc. 6,444,023 128,546 Lennar Corp., Class A 6,818,080 26,705 Mohawk Industries, Inc. (a) 5,383,461 124,020 Newell Rubbermaid, Inc. 5,367,586 --------------- 33,108,332 --------------- INDUSTRIAL CONGLOMERATES -- 0.4% 14,786 Roper Technologies, Inc. 2,473,254 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- INSURANCE -- 0.4% 12,796 Aon PLC $ 1,289,453 22,484 Marsh & McLennan Cos., Inc. 1,302,723 --------------- 2,592,176 --------------- INTERNET & CATALOG RETAIL -- 4.0% 15,114 Amazon.com, Inc. (a) 8,103,371 59,993 Expedia, Inc. 7,285,550 69,902 Netflix, Inc. (a) 7,990,498 1,107 Priceline Group (The), Inc. (a) 1,376,632 29,248 TripAdvisor, Inc. (a) 2,321,706 --------------- 27,077,757 --------------- INTERNET SOFTWARE & SERVICES -- 2.3% 56,378 Akamai Technologies, Inc. (a) 4,324,756 155,263 eBay, Inc. (a) 4,365,996 59,444 Facebook, Inc., Class A (a) 5,588,330 20,650 VeriSign, Inc. (a) 1,464,911 --------------- 15,743,993 --------------- IT SERVICES -- 5.2% 52,688 Accenture PLC, Class A 5,432,660 8,736 Alliance Data Systems Corp. (a) 2,402,750 83,467 Cognizant Technology Solutions Corp., Class A (a) 5,266,768 47,526 Fiserv, Inc. (a) 4,128,108 42,106 MasterCard, Inc., Class A 4,101,124 27,191 Paychex, Inc. 1,261,662 157,077 Total System Services, Inc. 7,260,099 37,962 Visa, Inc., Class A 2,860,057 125,392 Western Union (The) Co. 2,537,934 --------------- 35,251,162 --------------- LEISURE PRODUCTS -- 1.0% 87,719 Hasbro, Inc. 6,906,994 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.4% 48,426 PerkinElmer, Inc. 2,562,704 19,655 Thermo Fisher Scientific, Inc. 2,742,462 30,670 Waters Corp. (a) 4,094,138 --------------- 9,399,304 --------------- MACHINERY -- 1.7% 40,968 Pall Corp. 5,180,404 41,200 Snap-on, Inc. 6,789,760 --------------- 11,970,164 --------------- MEDIA -- 2.1% 38,317 Discovery Communications, Inc., Class A (a) 1,265,227 28,615 Time Warner Cable, Inc. 5,437,136 29,163 Time Warner, Inc. 2,567,511 44,678 Walt Disney (The) Co. 5,361,360 --------------- 14,631,234 --------------- MULTILINE RETAIL -- 2.5% 84,392 Dollar General Corp. 6,782,585 64,550 Dollar Tree, Inc. (a) 5,036,836 58,339 Macy's, Inc. 4,028,891 Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL (CONTINUED) 17,105 Nordstrom, Inc. $ 1,305,283 --------------- 17,153,595 --------------- MULTI-UTILITIES -- 0.4% 142,305 NiSource, Inc. 2,484,645 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.7% 40,413 Cabot Oil & Gas Corp. 1,057,204 68,598 Williams (The) Cos., Inc. 3,600,023 --------------- 4,657,227 --------------- PERSONAL PRODUCTS -- 0.6% 45,419 Estee Lauder (The) Cos., Inc., Class A 4,047,287 --------------- PHARMACEUTICALS -- 5.9% 58,584 AbbVie, Inc. 4,101,466 16,799 Allergan PLC (a) 5,562,989 19,161 Bristol-Myers Squibb Co. 1,257,728 30,533 Eli Lilly and Co. 2,580,344 15,999 Endo International PLC (a) 1,400,553 73,956 Hospira, Inc. (a) 6,615,364 33,445 Mallinckrodt PLC (a) 4,145,842 96,684 Mylan N.V. (a) 5,413,337 27,579 Perrigo Co. PLC 5,300,684 81,635 Zoetis, Inc. 3,998,482 --------------- 40,376,789 --------------- PROFESSIONAL SERVICES -- 1.2% 52,513 Equifax, Inc. 5,363,153 28,478 Nielsen N.V. 1,380,044 22,974 Robert Half International, Inc. 1,264,259 --------------- 8,007,456 --------------- REAL ESTATE INVESTMENT TRUSTS -- 1.4% 13,668 American Tower Corp. 1,299,964 15,878 Crown Castle International Corp. 1,300,567 20,073 Equinix, Inc. 5,598,560 6,001 Essex Property Trust, Inc. 1,349,685 --------------- 9,548,776 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 137,811 CBRE Group, Inc., Class A (a) 5,232,684 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.4% 99,577 Altera Corp. 4,944,994 61,327 Analog Devices, Inc. 3,577,204 49,362 Avago Technologies Ltd. 6,177,161 99,017 Broadcom Corp., Class A 5,011,250 62,675 Lam Research Corp. 4,817,827 126,764 NVIDIA Corp. 2,528,942 63,517 Qorvo, Inc. (a) 3,680,810 63,018 Skyworks Solutions, Inc. 6,028,932 --------------- 36,767,120 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- SOFTWARE -- 4.0% 31,478 Adobe Systems, Inc. (a) $ 2,580,881 56,104 Citrix Systems, Inc. (a) 4,242,023 98,658 Electronic Arts, Inc. (a) 7,058,980 12,649 Intuit, Inc. 1,337,885 57,741 Microsoft Corp. 2,696,505 51,849 Red Hat, Inc. (a) 4,100,219 73,234 salesforce.com, Inc. (a) 5,368,052 --------------- 27,384,545 --------------- SPECIALTY RETAIL -- 6.1% 80,964 AutoNation, Inc. (a) 5,047,296 3,824 AutoZone, Inc. (a) 2,680,394 77,004 CarMax, Inc. (a) 4,967,528 35,424 Home Depot (The), Inc. 4,145,671 14,867 L Brands, Inc. 1,200,064 38,075 Lowe's Cos., Inc. 2,640,882 29,039 O'Reilly Automotive, Inc. (a) 6,978,362 80,986 Ross Stores, Inc. 4,305,216 38,524 TJX (The) Cos., Inc. 2,689,746 72,939 Tractor Supply Co. 6,748,316 --------------- 41,403,475 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 40,652 Apple, Inc. 4,931,088 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.9% 153,024 Hanesbrands, Inc. 4,748,335 60,737 NIKE, Inc., Class B 6,998,117 78,627 Under Armour, Inc., Class A (a) 7,810,020 --------------- 19,556,472 --------------- TOBACCO -- 0.7% 52,728 Reynolds American, Inc. 4,523,535 --------------- TOTAL COMMON STOCKS -- 99.8% 680,821,135 (Cost $605,860,305) MONEY MARKET FUNDS -- 0.3% 1,862,640 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 1,862,640 (Cost $1,862,640) --------------- TOTAL INVESTMENTS -- 100.1% 682,683,775 (Cost $607,722,945) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (918,466) --------------- NET ASSETS -- 100.0% $ 681,765,309 =============== See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2015. (c) Aggregate cost for federal income tax purposes is $609,673,815. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $77,702,395 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $4,692,435. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 680,821,135 $ -- $ -- Money Market Funds 1,862,640 -- -- ---------------------------------------- Total Investments $ 682,683,775 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. Page 58 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.0% 6,567 AAR Corp. $ 176,981 1,100 Cubic Corp. 48,807 2,080 Engility Holdings, Inc. 45,573 3,471 Esterline Technologies Corp. (a) 307,739 1,627 Honeywell International, Inc. 170,916 1,959 Huntington Ingalls Industries, Inc. 230,006 4,999 KLX, Inc. (a) 196,361 4,500 L-3 Communications Holdings, Inc. 519,570 2,221 Moog, Inc., Class A (a) 148,496 3,321 National Presto Industries, Inc. 262,891 1,660 Precision Castparts Corp. 323,567 5,332 Raytheon Co. 581,668 3,136 Teledyne Technologies, Inc. (a) 325,109 6,686 Triumph Group, Inc. 360,041 2,991 United Technologies Corp. 300,027 --------------- 3,997,752 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 4,854 Atlas Air Worldwide Holdings, Inc. (a) 238,574 3,895 FedEx Corp. 667,681 --------------- 906,255 --------------- AIRLINES -- 0.4% 8,309 American Airlines Group, Inc. 333,191 29,058 Republic Airways Holdings, Inc. (a) 146,452 13,916 SkyWest, Inc. 230,449 --------------- 710,092 --------------- AUTO COMPONENTS -- 1.1% 5,838 BorgWarner, Inc. 290,207 21,440 Dana Holding Corp. 397,927 1,950 Delphi Automotive PLC 152,256 2,196 Dorman Products, Inc. (a) 115,905 28,202 Goodyear Tire & Rubber (The) Co. 849,726 3,350 Johnson Controls, Inc. 152,626 4,470 Standard Motor Products, Inc. 163,468 8,573 Superior Industries International, Inc. 145,055 --------------- 2,267,170 --------------- AUTOMOBILES -- 1.0% 22,106 Ford Motor Co. 327,832 19,911 General Motors Co. 627,396 9,054 Harley-Davidson, Inc. 527,848 7,840 Thor Industries, Inc. 438,099 --------------- 1,921,175 --------------- BANKS -- 4.1% 10,884 Associated Banc-Corp. 214,524 4,282 BancorpSouth, Inc. 108,206 8,232 BB&T Corp. 331,503 7,076 BBCN Bancorp, Inc. 108,617 3,399 Cathay General Bancorp 109,142 SHARES DESCRIPTION VALUE ----------------------------------------------------------- BANKS (CONTINUED) 2,203 Central Pacific Financial Corp. $ 51,308 3,003 Citigroup, Inc. 175,555 2,125 City Holding Co. 102,468 3,233 Comerica, Inc. 153,341 1,385 Community Bank System, Inc. 52,949 1,404 Cullen/Frost Bankers, Inc. 101,720 3,654 F.N.B. Corp. 50,389 15,937 Fifth Third Bancorp 335,793 55,343 First BanCorp (a) 238,528 5,456 First Commonwealth Financial Corp. 50,195 2,917 First Financial Bancorp 55,452 10,591 FirstMerit Corp. 198,475 16,892 Fulton Financial Corp. 218,920 10,370 Hancock Holding Co. 303,011 2,106 Hanmi Financial Corp. 53,303 29,338 Huntington Bancshares, Inc. 342,375 12,316 International Bancshares Corp. 331,670 7,529 JPMorgan Chase & Co. 515,962 11,046 KeyCorp 163,923 1,328 M&T Bank Corp. 174,167 9,277 National Penn Bancshares, Inc. 99,449 3,999 NBT Bancorp, Inc. 108,093 19,616 OFG Bancorp 158,105 7,237 Old National Bancorp 104,140 10,235 People's United Financial, Inc. 166,523 5,334 PNC Financial Services Group (The), Inc. 523,692 3,821 Prosperity Bancshares, Inc. 208,588 16,014 Regions Financial Corp. 166,385 1,768 S&T Bancorp, Inc. 54,667 3,560 Sterling Bancorp 53,008 7,713 SunTrust Banks, Inc. 341,994 13,282 TCF Financial Corp. 218,622 974 Tompkins Financial Corp. 52,645 13,247 Trustmark Corp. 318,458 3,823 U.S. Bancorp 172,838 918 UMB Financial Corp. 50,325 10,699 Valley National Bancorp 106,134 2,789 Webster Financial Corp. 107,823 2,950 Wells Fargo & Co. 170,717 4,143 Wilshire Bancorp, Inc. 48,142 1,960 Wintrust Financial Corp. 105,683 5,228 Zions Bancorporation 163,061 --------------- 8,040,588 --------------- BUILDING PRODUCTS -- 0.3% 9,860 Griffon Corp. 169,986 2,442 Quanex Building Products Corp. 49,035 3,078 Simpson Manufacturing Co., Inc. 110,254 5,127 Universal Forest Products, Inc. 325,565 --------------- 654,840 --------------- CAPITAL MARKETS -- 1.8% 3,953 Bank of New York Mellon (The) Corp. 171,560 12,814 Calamos Asset Management, Inc., Class A 153,896 See Notes to Financial Statements Page 59 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 2,819 Eaton Vance Corp. $ 108,137 17,342 Franklin Resources, Inc. 789,928 2,443 Goldman Sachs Group (The), Inc. 500,986 8,851 Invesco Ltd. 341,649 4,220 Investment Technology Group, Inc. 85,877 6,113 Piper Jaffray Cos. (a) 274,168 1,910 Stifel Financial Corp. (a) 104,955 6,563 T. Rowe Price Group, Inc. 506,204 2,017 Virtus Investment Partners, Inc. 243,775 6,995 Waddell & Reed Financial, Inc., Class A 314,145 --------------- 3,595,280 --------------- CHEMICALS -- 2.7% 1,197 A. Schulman, Inc. 44,564 3,137 Airgas, Inc. 320,037 1,996 Albemarle Corp. 108,183 15,201 Cabot Corp. 534,771 8,100 Calgon Carbon Corp. 143,289 9,970 Dow Chemical (The) Co. 469,188 2,731 E.I. du Pont de Nemours and Co. 152,281 4,055 Eastman Chemical Co. 317,912 20,727 FutureFuel Corp. 237,117 3,886 Hawkins, Inc. 141,761 2,982 Innophos Holdings, Inc. 153,514 1,518 International Flavors & Fragrances, Inc. 175,466 17,529 Intrepid Potash, Inc. (a) 149,698 2,191 Kraton Performance Polymers, Inc. (a) 44,959 6,411 LyondellBasell Industries N.V., Class A 601,544 1,557 Monsanto Co. 158,643 18,149 Mosaic (The) Co. 779,318 12,279 Olin Corp. 282,294 1,388 Praxair, Inc. 158,426 2,901 Stepan Co. 142,178 7,100 Tredegar Corp. 119,706 --------------- 5,234,849 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.7% 3,184 ABM Industries, Inc. 104,945 19,769 ADT (The) Corp. 682,624 5,337 Deluxe Corp. 343,863 3,999 Essendant, Inc. 147,243 7,626 Herman Miller, Inc. 213,833 2,274 MSA Safety, Inc. 117,452 6,329 R.R. Donnelley & Sons Co. 111,074 13,024 Republic Services, Inc. 553,911 8,163 Tetra Tech, Inc. 217,462 1,871 UniFirst Corp. 207,344 7,720 Viad Corp. 221,332 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 4,682 Waste Connections, Inc. $ 234,709 3,579 Waste Management, Inc. 182,994 --------------- 3,338,786 --------------- COMMUNICATIONS EQUIPMENT -- 1.1% 6,440 ADTRAN, Inc. 106,260 10,465 Black Box Corp. 163,882 24,167 Cisco Systems, Inc. 686,826 9,183 Comtech Telecommunications Corp. 264,563 6,633 Harris Corp. 550,141 38,569 Polycom, Inc. (a) 438,915 --------------- 2,210,587 --------------- CONSTRUCTION & ENGINEERING -- 1.3% 2,191 EMCOR Group, Inc. 104,796 16,040 Fluor Corp. 749,870 6,213 Granite Construction, Inc. 211,366 16,338 Jacobs Engineering Group, Inc. (a) 688,157 36,947 Orion Marine Group, Inc. (a) 267,496 17,702 Quanta Services, Inc. (a) 488,929 --------------- 2,510,614 --------------- CONSUMER FINANCE -- 1.0% 2,135 American Express Co. 162,388 5,799 Capital One Financial Corp. 471,459 3,996 Cash America International, Inc. 110,809 2,879 Discover Financial Services 160,677 3,673 Encore Capital Group, Inc. (a) 157,976 35,902 EZCORP, Inc., Class A (a) 254,545 3,443 First Cash Financial Services, Inc. (a) 140,027 13,952 Green Dot Corp., Class A (a) 289,085 4,337 World Acceptance Corp. (a) 236,020 --------------- 1,982,986 --------------- CONTAINERS & PACKAGING -- 0.7% 3,460 AptarGroup, Inc. 234,553 7,352 Bemis Co., Inc. 327,679 9,231 Greif, Inc., Class A 286,069 2,091 Silgan Holdings, Inc. 111,806 10,295 Sonoco Products Co. 424,977 --------------- 1,385,084 --------------- DISTRIBUTORS -- 0.1% 1,853 Genuine Parts Co. 164,824 12,639 VOXX International Corp. (a) 101,112 --------------- 265,936 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.4% 10,372 American Public Education, Inc. (a) 268,324 44,010 Apollo Education Group, Inc. (a) 563,768 3,900 Capella Education Co. 200,889 18,908 DeVry Education Group, Inc. 574,425 873 Graham Holdings Co., Class B 601,986 Page 60 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 11,191 H&R Block, Inc. $ 372,548 18,253 Universal Technical Institute, Inc. 116,272 --------------- 2,698,212 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 13,666 Leucadia National Corp. 321,424 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 9,342 AT&T, Inc. 324,541 2,272 Atlantic Tele-Network, Inc. 160,721 28,941 CenturyLink, Inc. 827,713 103,064 Frontier Communications Corp. 486,462 29,346 Iridium Communications, Inc. (a) 217,747 7,076 Lumos Networks Corp. 98,781 --------------- 2,115,965 --------------- ELECTRIC UTILITIES -- 6.2% 5,750 ALLETE, Inc. 277,668 12,529 American Electric Power Co., Inc. 708,766 6,145 Cleco Corp. 334,472 9,397 Duke Energy Corp. 697,445 15,298 Edison International 918,033 6,039 El Paso Electric Co. 220,001 9,413 Entergy Corp. 668,511 11,235 Eversource Energy 558,604 27,062 Exelon Corp. 868,420 15,673 FirstEnergy Corp. 532,255 18,263 Great Plains Energy, Inc. 476,847 7,421 Hawaiian Electric Industries, Inc. 222,259 7,859 IDACORP, Inc. 488,123 5,204 NextEra Energy, Inc. 547,461 15,444 OGE Energy Corp. 459,613 18,937 Pepco Holdings, Inc. 505,239 11,665 Pinnacle West Capital Corp. 719,847 17,936 PNM Resources, Inc. 473,152 28,852 PPL Corp. 917,782 12,176 Southern (The) Co. 544,632 2,284 UIL Holdings Corp. 109,495 12,894 Westar Energy, Inc. 485,459 15,854 Xcel Energy, Inc. 549,658 --------------- 12,283,742 --------------- ELECTRICAL EQUIPMENT -- 0.8% 7,559 Eaton Corp. PLC 457,924 11,972 Emerson Electric Co. 619,551 2,363 Encore Wire Corp. 81,122 1,489 EnerSys 92,988 3,237 Franklin Electric Co., Inc. 93,420 2,037 Hubbell, Inc., Class B 212,683 --------------- 1,557,688 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.5% 2,409 Anixter International, Inc. (a) $ 159,500 10,159 Arrow Electronics, Inc. (a) 590,746 13,789 Avnet, Inc. 575,415 12,248 Benchmark Electronics, Inc. (a) 270,191 10,280 Checkpoint Systems, Inc. 89,847 2,473 Coherent, Inc. (a) 143,310 43,096 Corning, Inc. 805,033 5,431 CTS Corp. 102,049 8,824 Daktronics, Inc. 100,858 14,242 Fabrinet (a) 264,332 1,120 FARO Technologies, Inc. (a) 49,157 1,330 FEI Co. 114,340 10,766 FLIR Systems, Inc. 331,485 11,027 II-VI, Inc. (a) 187,459 17,628 Ingram Micro, Inc., Class A (a) 480,010 5,248 Insight Enterprises, Inc. (a) 141,644 15,543 Jabil Circuit, Inc. 314,746 10,610 Keysight Technologies, Inc. (a) 324,029 1,103 Littelfuse, Inc. 101,476 3,574 Mercury Systems, Inc. (a) 50,358 759 MTS Systems Corp. 49,039 3,744 National Instruments Corp. 108,426 8,279 Newport Corp. (a) 131,139 2,217 OSI Systems, Inc. (a) 155,589 2,731 Park Electrochemical Corp. 48,229 4,770 Plexus Corp. (a) 181,928 5,688 Rofin-Sinar Technologies, Inc. (a) 141,859 1,582 Rogers Corp. (a) 88,545 13,232 Sanmina Corp. (a) 292,030 5,499 ScanSource, Inc. (a) 208,027 2,860 SYNNEX Corp. 216,302 10,321 TE Connectivity Ltd. 628,755 9,848 Tech Data Corp. (a) 574,434 4,702 Trimble Navigation Ltd. (a) 108,616 20,951 TTM Technologies, Inc. (a) 191,283 48,532 Vishay Intertechnology, Inc. 557,147 --------------- 8,877,333 --------------- ENERGY EQUIPMENT & SERVICES -- 5.5% 21,439 Atwood Oceanics, Inc. 445,931 8,269 Baker Hughes, Inc. 480,842 27,722 Basic Energy Services, Inc. (a) 167,441 3,927 Bristow Group, Inc. 176,911 1,257 CARBO Ceramics, Inc. 41,292 19,766 Diamond Offshore Drilling, Inc. 433,864 7,533 Dril-Quip, Inc. (a) 440,003 10,220 Era Group, Inc. (a) 173,025 4,808 Exterran Holdings, Inc. 119,190 15,995 FMC Technologies, Inc. (a) 523,996 23,881 Gulf Island Fabrication, Inc. 272,482 22,996 GulfMark Offshore, Inc., Class A 216,622 19,742 Halliburton Co. 825,018 See Notes to Financial Statements Page 61 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 44,882 Helix Energy Solutions Group, Inc. (a) $ 375,662 12,074 Helmerich & Payne, Inc. 697,153 12,993 Hornbeck Offshore Services, Inc. (a) 236,473 5,725 Matrix Service Co. (a) 110,951 22,933 Nabors Industries Ltd. 266,252 17,611 National Oilwell Varco, Inc. 741,951 32,811 Newpark Resources, Inc. (a) 237,224 43,121 Noble Corp. PLC 515,296 12,167 Oceaneering International, Inc. 486,923 15,226 Oil States International, Inc. (a) 458,455 30,128 Patterson-UTI Energy, Inc. 496,660 33,013 Pioneer Energy Services Corp. (a) 120,828 15,676 Rowan Cos. PLC, Class A 270,098 5,919 Schlumberger Ltd. 490,212 3,760 SEACOR Holdings, Inc. (a) 237,519 26,942 Superior Energy Services, Inc. 458,014 4,800 Tesco Corp. 46,080 14,559 Tidewater, Inc. 284,337 --------------- 10,846,705 --------------- FOOD & STAPLES RETAILING -- 0.9% 6,840 Andersons (The), Inc. 255,132 2,304 Casey's General Stores, Inc. 235,503 4,824 SpartanNash Co. 155,381 3,464 United Natural Foods, Inc. (a) 157,716 9,356 Wal-Mart Stores, Inc. 673,445 8,413 Whole Foods Market, Inc. 306,233 --------------- 1,783,410 --------------- FOOD PRODUCTS -- 1.6% 17,633 Archer-Daniels-Midland Co. 836,157 14,277 Darling Ingredients, Inc. (a) 183,459 10,431 Flowers Foods, Inc. 225,935 5,528 Ingredion, Inc. 487,570 1,214 Lancaster Colony Corp. 113,157 3,549 Sanderson Farms, Inc. 255,564 7,537 Seneca Foods Corp., Class A (a) 220,005 3,414 Tootsie Roll Industries, Inc. 110,853 15,567 Tyson Foods, Inc., Class A 690,396 --------------- 3,123,096 --------------- GAS UTILITIES -- 1.9% 14,253 AGL Resources, Inc. 685,284 8,604 Atmos Energy Corp. 475,801 4,020 Laclede Group (The), Inc. 217,522 7,492 National Fuel Gas Co. 405,092 5,698 New Jersey Resources Corp. 164,672 3,722 Northwest Natural Gas Co. 161,125 10,367 ONE Gas, Inc. 466,826 2,964 Piedmont Natural Gas Co., Inc. 112,662 15,826 Questar Corp. 350,388 6,348 South Jersey Industries, Inc. 153,876 3,933 Southwest Gas Corp. 221,585 SHARES DESCRIPTION VALUE ----------------------------------------------------------- GAS UTILITIES (CONTINUED) 6,095 WGL Holdings, Inc. $ 340,711 --------------- 3,755,544 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.3% 1,326 Analogic Corp. 106,809 970 Greatbatch, Inc. (a) 52,894 2,807 Meridian Bioscience, Inc. 50,779 2,429 Merit Medical Systems, Inc. (a) 62,085 1,957 ResMed, Inc. 113,408 2,234 SurModics, Inc. (a) 52,477 1,967 Varian Medical Systems, Inc. (a) 169,300 --------------- 607,752 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.0% 3,797 Air Methods Corp. (a) 149,564 2,622 Almost Family, Inc. (a) 114,739 2,022 Anthem, Inc. 311,934 5,255 Community Health Systems, Inc. (a) 307,470 3,268 CorVel Corp. (a) 104,445 11,380 Hanger, Inc. (a) 246,263 13,103 Healthways, Inc. (a) 165,884 1,368 LHC Group, Inc. (a) 55,117 1,494 Magellan Health, Inc. (a) 90,521 4,576 Quest Diagnostics, Inc. 337,755 --------------- 1,883,692 --------------- HEALTH CARE TECHNOLOGY -- 0.0% 980 Computer Programs & Systems, Inc. 45,835 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.1% 253 Biglari Holdings, Inc. (a) 110,007 6,718 Carnival Corp. 358,002 9,024 International Speedway Corp., Class A 309,252 4,580 Interval Leisure Group, Inc. 97,646 10,912 Marcus (The) Corp. 228,716 1,745 McDonald's Corp. 174,256 10,180 Monarch Casino & Resort, Inc. (a) 189,450 610 Red Robin Gourmet Burgers, Inc. (a) 55,906 4,217 Royal Caribbean Cruises Ltd. 378,897 25,036 Ruby Tuesday, Inc. (a) 183,764 --------------- 2,085,896 --------------- HOUSEHOLD DURABLES -- 1.0% 5,960 Ethan Allen Interiors, Inc. 179,932 1,641 iRobot Corp. (a) 50,526 34,148 KB Home 545,685 5,960 La-Z-Boy, Inc. 151,384 3,681 M.D.C. Holdings, Inc. 109,915 8,484 M/I Homes, Inc. (a) 212,779 16,467 PulteGroup, Inc. 341,196 1,709 Tupperware Brands Corp. 99,925 Page 62 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 1,917 Whirlpool Corp. $ 340,709 --------------- 2,032,051 --------------- HOUSEHOLD PRODUCTS -- 0.1% 13,758 Central Garden & Pet Co., Class A (a) 138,680 2,121 Procter & Gamble (The) Co. 162,681 --------------- 301,361 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.6% 38,474 AES (The) Corp. 492,467 29,005 NRG Energy, Inc. 651,162 --------------- 1,143,629 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 1,075 3M Co. 162,691 1,938 Danaher Corp. 177,443 --------------- 340,134 --------------- INSURANCE -- 7.6% 5,017 ACE Ltd. 545,699 8,202 Aflac, Inc. 525,338 941 Alleghany Corp. (a) 457,448 10,230 Allstate (The) Corp. 705,358 3,879 American Equity Investment Life Holding Co. 114,586 3,392 American Financial Group, Inc. 233,878 13,754 American International Group, Inc. 881,906 11,834 Aspen Insurance Holdings Ltd. 569,097 4,952 Assurant, Inc. 369,419 6,714 Brown & Brown, Inc. 224,583 6,975 Chubb (The) Corp. 867,202 6,613 Cincinnati Financial Corp. 365,104 24,045 CNO Financial Group, Inc. 428,963 11,710 Employers Holdings, Inc. 281,040 3,114 Everest Re Group Ltd. 570,236 8,893 First American Financial Corp. 360,878 5,960 Hanover Insurance Group (The), Inc. 481,866 7,982 Hartford Financial Services Group (The), Inc. 379,544 2,871 HCC Insurance Holdings, Inc. 221,526 2,877 Horace Mann Educators Corp. 101,385 2,760 Infinity Property & Casualty Corp. 213,928 2,861 Kemper Corp. 110,778 5,603 Lincoln National Corp. 315,561 1,982 Mercury General Corp. 111,884 9,112 MetLife, Inc. 507,903 2,699 Navigators Group (The), Inc. (a) 211,008 21,172 Old Republic International Corp. 354,208 6,469 Principal Financial Group, Inc. 359,094 4,529 ProAssurance Corp. 218,705 11,923 Progressive (The) Corp. 363,651 SHARES DESCRIPTION VALUE ----------------------------------------------------------- INSURANCE (CONTINUED) 1,896 Prudential Financial, Inc. $ 167,531 4,651 Reinsurance Group of America, Inc. 448,915 9,510 Selective Insurance Group, Inc. 293,003 4,377 StanCorp Financial Group, Inc. 499,066 1,315 Stewart Information Services Corp. 54,073 2,850 Torchmark Corp. 175,588 8,797 Travelers (The) Cos., Inc. 933,538 6,389 United Fire Group, Inc. 220,804 13,468 United Insurance Holdings Corp. 216,296 8,497 W. R. Berkley Corp. 473,453 --------------- 14,934,043 --------------- INTERNET & CATALOG RETAIL -- 0.1% 3,712 FTD Cos., Inc. (a) 108,131 3,030 PetMed Express, Inc. 51,055 --------------- 159,186 --------------- IT SERVICES -- 2.3% 6,275 Acxiom Corp. (a) 112,385 2,587 CACI International, Inc., Class A (a) 212,470 17,310 Convergys Corp. 434,654 1,653 CSG Systems International, Inc. 51,408 2,685 Fidelity National Information Services, Inc. 175,680 3,136 International Business Machines Corp. 508,001 1,705 Jack Henry & Associates, Inc. 119,111 7,217 ManTech International Corp., Class A 215,139 19,406 NeuStar, Inc., Class A (a) 599,063 5,439 Perficient, Inc. (a) 88,275 2,087 Science Applications International Corp. 112,030 11,000 Sykes Enterprises, Inc. (a) 268,180 5,797 TeleTech Holdings, Inc. 157,273 17,936 Teradata Corp. (a) 665,605 79,914 Xerox Corp. 880,652 --------------- 4,599,926 --------------- LEISURE PRODUCTS -- 0.2% 12,916 Mattel, Inc. 299,780 2,457 Vista Outdoor, Inc. (a) 115,897 --------------- 415,677 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 732 Bio-Rad Laboratories, Inc., Class A (a) 110,342 12,126 Luminex Corp. (a) 208,931 --------------- 319,273 --------------- MACHINERY -- 4.6% 2,266 Actuant Corp., Class A 52,254 7,771 AGCO Corp. 427,483 See Notes to Financial Statements Page 63 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 1,315 Albany International Corp., Class A $ 48,944 3,754 Astec Industries, Inc. 147,570 5,368 Barnes Group, Inc. 208,976 8,150 Briggs & Stratton Corp. 150,612 6,015 Caterpillar, Inc. 472,959 1,919 CIRCOR International, Inc. 91,786 5,317 CLARCOR, Inc. 319,924 3,756 Crane Co. 199,819 6,481 Cummins, Inc. 839,484 1,710 Deere & Co. 161,715 3,081 Donaldson Co., Inc. 103,522 9,456 Dover Corp. 605,846 2,797 ESCO Technologies, Inc. 106,482 14,038 Federal Signal Corp. 210,008 6,301 Flowserve Corp. 296,084 3,106 Graco, Inc. 222,048 1,404 IDEX Corp. 106,746 1,807 Illinois Tool Works, Inc. 161,672 23,488 Joy Global, Inc. 620,318 5,435 Lincoln Electric Holdings, Inc. 329,089 595 Lindsay Corp. 49,903 13,376 Oshkosh Corp. 488,759 7,995 PACCAR, Inc. 518,396 5,705 Parker-Hannifin Corp. 643,239 1,524 SPX Corp. 99,685 1,309 Standex International Corp. 97,965 1,576 Stanley Black & Decker, Inc. 166,252 801 Tennant Co. 47,908 24,381 Terex Corp. 540,283 2,784 Valmont Industries, Inc. 309,664 8,951 Xylem, Inc. 309,078 --------------- 9,154,473 --------------- MARINE -- 0.3% 7,394 Kirby Corp. (a) 535,400 --------------- MEDIA -- 2.2% 2,746 Cinemark Holdings, Inc. 108,357 8,483 Comcast Corp., Class A 529,424 14,961 Gannett Co., Inc. (a) 189,257 44,758 Harte-Hanks, Inc. 209,915 6,086 John Wiley & Sons, Inc., Class A 322,619 4,230 Meredith Corp. 202,701 34,967 News Corp., Class A (a) 515,064 2,371 Scholastic Corp. 102,166 26,513 TEGNA, Inc. 772,324 24,635 Time, Inc. 549,853 26,126 Twenty-First Century Fox, Inc., Class A 901,086 --------------- 4,402,766 --------------- METALS & MINING -- 2.7% 59,519 Alcoa, Inc. 587,453 8,555 Carpenter Technology Corp. 321,155 35,252 Commercial Metals Co. 543,233 SHARES DESCRIPTION VALUE ----------------------------------------------------------- METALS & MINING (CONTINUED) 5,372 Compass Minerals International, Inc. $ 429,760 2,122 Haynes International, Inc. 90,334 7,568 Materion Corp. 231,581 36,399 Newmont Mining Corp. 624,971 11,576 Nucor Corp. 510,965 9,373 Reliance Steel & Aluminum Co. 568,004 10,650 Steel Dynamics, Inc. 213,319 23,016 Stillwater Mining Co. (a) 219,112 21,002 TimkenSteel Corp. 391,267 21,398 United States Steel Corp. 416,619 7,339 Worthington Industries, Inc. 198,593 --------------- 5,346,366 --------------- MULTILINE RETAIL -- 0.8% 9,807 Big Lots, Inc. 423,466 13,581 Kohl's Corp. 832,787 4,065 Target Corp. 332,720 --------------- 1,588,973 --------------- MULTI-UTILITIES -- 4.9% 7,644 Alliant Energy Corp. 470,182 17,612 Ameren Corp. 723,501 8,703 Avista Corp. 287,373 10,108 Black Hills Corp. 421,099 34,873 CenterPoint Energy, Inc. 674,444 10,421 CMS Energy Corp. 357,023 11,466 Consolidated Edison, Inc. 729,123 8,891 DTE Energy Co. 715,370 11,296 MDU Resources Group, Inc. 220,385 4,293 NorthWestern Corp. 231,135 13,516 PG&E Corp. 709,725 21,647 Public Service Enterprise Group, Inc. 902,031 16,787 SCANA Corp. 919,928 5,156 Sempra Energy 524,778 37,578 TECO Energy, Inc. 831,225 11,466 Vectren Corp. 482,719 7,379 WEC Energy Group, Inc. 361,571 --------------- 9,561,612 --------------- OIL, GAS & CONSUMABLE FUELS -- 8.4% 38,942 Approach Resources, Inc. (a) 151,484 31,054 Bill Barrett Corp. (a) 176,387 11,469 Bonanza Creek Energy, Inc. (a) 89,573 73,051 California Resources Corp. 309,006 29,706 Chesapeake Energy Corp. 257,254 8,814 Chevron Corp. 779,863 57,244 Cloud Peak Energy, Inc. (a) 182,036 62,853 Comstock Resources, Inc. 79,195 13,846 ConocoPhillips 697,008 30,526 CONSOL Energy, Inc. 504,290 17,058 Contango Oil & Gas Co. (a) 156,592 89,128 Denbury Resources, Inc. 351,164 4,845 Energen Corp. 267,444 2,040 EQT Corp. 156,774 10,220 Exxon Mobil Corp. 809,526 9,683 Green Plains, Inc. 217,383 Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 14,083 Gulfport Energy Corp. (a) $ 461,359 12,714 Hess Corp. 750,253 10,336 HollyFrontier Corp. 498,815 25,005 Marathon Oil Corp. 525,355 16,255 Marathon Petroleum Corp. 888,661 20,454 Murphy Oil Corp. 670,687 18,373 Newfield Exploration Co. (a) 602,451 19,922 Noble Energy, Inc. 701,852 30,916 Northern Oil and Gas, Inc. (a) 147,160 4,973 PDC Energy, Inc. (a) 233,482 47,785 Penn Virginia Corp. (a) 64,032 10,555 Phillips 66 839,122 4,785 Pioneer Natural Resources Co. 606,594 37,442 Rex Energy Corp. (a) 83,870 12,291 SM Energy Co. 455,627 37,408 Southwestern Energy Co. (a) 695,789 10,073 Tesoro Corp. 980,506 13,583 Valero Energy Corp. 891,045 12,995 Western Refining, Inc. 573,859 6,901 World Fuel Services Corp. 280,526 46,161 WPX Energy, Inc. (a) 401,601 --------------- 16,537,625 --------------- PAPER & FOREST PRODUCTS -- 0.6% 13,692 Domtar Corp. 556,717 3,486 International Paper Co. 166,875 12,131 P.H. Glatfelter Co. 247,593 3,936 Schweitzer-Mauduit International, Inc. 156,259 --------------- 1,127,444 --------------- PERSONAL PRODUCTS -- 0.0% 1,619 Medifast, Inc. (a) 49,979 --------------- PHARMACEUTICALS -- 0.7% 3,405 Johnson & Johnson 341,215 14,936 Merck & Co., Inc. 880,627 4,948 Pfizer, Inc. 178,425 --------------- 1,400,267 --------------- PROFESSIONAL SERVICES -- 0.6% 4,025 CDI Corp. 48,743 5,350 FTI Consulting, Inc. (a) 218,922 10,226 Kelly Services, Inc., Class A 152,776 2,468 ManpowerGroup, Inc. 223,305 6,504 Resources Connection, Inc. 102,958 1,754 Towers Watson & Co., Class A 222,372 5,250 TrueBlue, Inc. (a) 135,240 --------------- 1,104,316 --------------- REAL ESTATE INVESTMENT TRUSTS -- 1.2% 1,794 Agree Realty Corp. 55,596 11,407 BioMed Realty Trust, Inc. 245,707 18,856 Capstead Mortgage Corp. 208,736 10,004 Corrections Corp. of America 351,841 1,910 EPR Properties 109,099 3,064 GEO Group (The), Inc. 115,666 SHARES DESCRIPTION VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 3,827 Hospitality Properties Trust $ 104,936 1,258 LTC Properties, Inc. 55,188 3,123 Potlatch Corp. 109,336 4,472 Prologis, Inc. 181,608 1,450 PS Business Parks, Inc. 111,636 6,285 Senior Housing Properties Trust 108,542 4,761 Taubman Centers, Inc. 356,123 8,403 Urstadt Biddle Properties, Inc., Class A 160,497 5,267 Weyerhaeuser Co. 161,644 --------------- 2,436,155 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 11,928 Forestar Group, Inc. (a) 152,678 --------------- ROAD & RAIL -- 1.7% 12,899 Celadon Group, Inc. 279,909 11,499 Con-way, Inc. 446,046 5,792 Genesee & Wyoming, Inc., Class A (a) 412,506 3,638 Kansas City Southern 360,853 7,597 Norfolk Southern Corp. 640,655 6,084 Roadrunner Transportation Systems, Inc. (a) 159,279 5,839 Ryder System, Inc. 528,546 21,594 Werner Enterprises, Inc. 609,815 --------------- 3,437,609 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.9% 3,807 Advanced Energy Industries, Inc. (a) 99,705 26,544 Applied Materials, Inc. 460,804 3,332 Cabot Microelectronics Corp. (a) 151,073 3,955 Cohu, Inc. 39,194 12,713 Cree, Inc. (a) 313,375 11,064 Diodes, Inc. (a) 245,510 14,126 First Solar, Inc. (a) 625,782 22,780 Kulicke & Soffa Industries, Inc. (a) 237,140 3,751 Linear Technology Corp. 153,791 3,498 Microchip Technology, Inc. 149,854 5,517 MKS Instruments, Inc. 195,853 11,937 Pericom Semiconductor Corp. 142,886 1,158 Power Integrations, Inc. 44,884 11,437 Teradyne, Inc. 220,277 9,904 Texas Instruments, Inc. 495,002 3,757 Xilinx, Inc. 156,855 --------------- 3,731,985 --------------- SOFTWARE -- 1.0% 22,657 CA, Inc. 660,112 3,100 Epiq Systems, Inc. 51,305 12,521 Mentor Graphics Corp. 326,673 2,170 Monotype Imaging Holdings, Inc. 54,098 See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 8,234 Oracle Corp. $ 328,866 21,943 Symantec Corp. 498,984 --------------- 1,920,038 --------------- SPECIALTY RETAIL -- 5.4% 12,185 Aaron's, Inc. 450,601 20,513 Abercrombie & Fitch Co., Class A 412,106 12,811 American Eagle Outfitters, Inc. 227,395 4,569 ANN, Inc. (a) 209,032 26,492 Ascena Retail Group, Inc. (a) 331,680 6,036 Barnes & Noble, Inc. (a) 158,686 9,621 Bed Bath & Beyond, Inc. (a) 627,578 20,351 Best Buy Co., Inc. 657,134 14,729 Big 5 Sporting Goods Corp. 162,166 2,286 Buckle (The), Inc. 101,110 4,414 Cabela's, Inc. (a) 196,114 4,939 Caleres, Inc. 163,185 4,050 Cato (The) Corp., Class A 155,561 6,633 Chico's FAS, Inc. 100,954 2,400 Children's Place (The), Inc. 138,960 66,522 Christopher & Banks Corp. (a) 214,866 8,472 CST Brands, Inc. 320,919 6,392 Dick's Sporting Goods, Inc. 325,864 7,523 Finish Line (The), Inc., Class A 206,807 19,792 GameStop Corp., Class A 907,463 17,386 Gap (The), Inc. 634,241 4,040 Genesco, Inc. (a) 261,348 29,570 Guess?, Inc. 647,287 2,420 Haverty Furniture Cos., Inc. 53,676 3,370 Hibbett Sports, Inc. (a) 153,504 3,755 Kirkland's, Inc. 102,436 12,880 Lumber Liquidators Holdings, Inc. (a) 248,584 10,155 Murphy USA, Inc. (a) 556,088 8,529 Pep Boys-Manny, Moe & Jack (The) (a) 101,069 19,995 Rent-A-Center, Inc. 535,666 6,587 Sonic Automotive, Inc., Class A 153,411 15,217 Stage Stores, Inc. 267,819 4,998 Stein Mart, Inc. 50,930 18,961 Urban Outfitters, Inc. (a) 618,508 5,616 Vitamin Shoppe, Inc. (a) 206,444 --------------- 10,659,192 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.2% 19,332 EMC Corp. 519,837 28,333 Hewlett-Packard Co. 864,723 4,991 Lexmark International, Inc., Class A 169,644 3,665 NCR Corp. (a) 100,934 16,165 NetApp, Inc. 503,540 14,750 QLogic Corp. (a) 130,833 --------------- 2,289,511 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.4% 9,587 Coach, Inc. $ 299,115 12,259 Fossil Group, Inc. (a) 842,806 9,822 Movado Group, Inc. 248,791 2,880 PVH Corp. 334,195 6,424 Ralph Lauren Corp. 808,717 4,686 Unifi, Inc. (a) 144,610 --------------- 2,678,234 --------------- THRIFTS & MORTGAGE FINANCE -- 0.4% 7,589 Astoria Financial Corp. 114,746 6,178 Dime Community Bancshares, Inc. 105,026 6,001 New York Community Bancorp, Inc. 114,199 4,082 Northwest Bancshares, Inc. 51,800 3,260 Oritani Financial Corp. 51,215 5,511 Provident Financial Services, Inc. 108,126 7,443 TrustCo Bank Corp. NY 46,370 9,448 Washington Federal, Inc. 219,949 --------------- 811,431 --------------- TOBACCO -- 0.1% 4,654 Universal Corp. 265,511 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.7% 5,279 Applied Industrial Technologies, Inc. 203,928 8,302 GATX Corp. 440,338 3,743 Kaman Corp. 147,736 4,743 MSC Industrial Direct Co., Inc., Class A 337,986 5,540 NOW, Inc. (a) 96,396 701 W.W. Grainger, Inc. 160,326 --------------- 1,386,710 --------------- WATER UTILITIES -- 0.1% 1,399 American States Water Co. 53,931 9,008 Aqua America, Inc. 229,164 --------------- 283,095 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 15,841 Spok Holdings, Inc. 265,020 15,008 Telephone and Data Systems, Inc. 441,385 --------------- 706,405 --------------- TOTAL COMMON STOCKS -- 100.0% 196,821,343 (Cost $203,393,415) Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 151,435 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) $ 151,435 (Cost $151,435) --------------- TOTAL INVESTMENTS -- 100.1% 196,972,778 (Cost $203,544,850) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (86,220) --------------- NET ASSETS -- 100.0% $ 196,886,558 =============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2015. (c) Aggregate cost for federal income tax purposes is $208,150,609. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,427,812 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $20,605,643. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 196,821,343 $ -- $ -- Money Market Funds 151,435 -- -- ---------------------------------------- Total Investments $ 196,972,778 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.8% 3,056 Aerojet Rocketdyne Holdings, Inc. (a) $ 71,541 1,232 Boeing (The) Co. 177,617 434 Curtiss-Wright Corp. 29,238 1,863 General Dynamics Corp. 277,792 460 Lockheed Martin Corp. 95,266 1,078 Northrop Grumman Corp. 186,505 2,859 Rockwell Collins, Inc. 241,929 4,728 TASER International, Inc. (a) 128,696 9,860 Textron, Inc. 430,882 --------------- 1,639,466 --------------- AIR FREIGHT & LOGISTICS -- 0.4% 4,822 Echo Global Logistics, Inc. (a) 155,750 3,709 Expeditors International of Washington, Inc. 173,841 1,205 Forward Air Corp. 58,503 --------------- 388,094 --------------- AIRLINES -- 1.1% 3,635 Alaska Air Group, Inc. 275,351 531 Allegiant Travel Co. 112,960 2,081 Delta Air Lines, Inc. 92,272 5,306 Hawaiian Holdings, Inc. (a) 115,246 18,801 JetBlue Airways Corp. (a) 432,047 --------------- 1,027,876 --------------- AUTO COMPONENTS -- 0.2% 1,629 Drew Industries, Inc. 95,557 2,295 Gentherm, Inc. (a) 115,507 --------------- 211,064 --------------- AUTOMOBILES -- 0.1% 4,005 Winnebago Industries, Inc. 89,432 --------------- BANKS -- 3.4% 8,532 Bank of the Ozarks, Inc. 376,432 1,971 Banner Corp. 93,938 2,349 Boston Private Financial Holdings, Inc. 29,550 4,337 Cardinal Financial Corp. 101,312 2,904 Columbia Banking System, Inc. 95,222 3,577 CVB Financial Corp. 63,349 6,967 East West Bancorp, Inc. 311,843 1,819 First Financial Bankshares, Inc. 61,810 9,964 First Horizon National Corp. 157,929 3,321 First Midwest Bancorp, Inc. 62,335 1,071 Glacier Bancorp, Inc. 30,095 2,585 Home BancShares, Inc. 102,935 1,343 Independent Bank Corp. 64,948 4,172 LegacyTexas Financial Group, Inc. 126,787 3,659 MB Financial, Inc. 124,772 3,338 PacWest Bancorp 154,516 2,317 Pinnacle Financial Partners, Inc. 123,010 3,164 PrivateBancorp, Inc. 130,800 2,133 Signature Bank (a) 310,543 2,025 Simmons First National Corp., Class A 92,036 SHARES DESCRIPTION VALUE ----------------------------------------------------------- BANKS (CONTINUED) 1,078 Southside Bancshares, Inc. $ 29,451 1,084 SVB Financial Group (a) 155,120 3,761 Talmer Bancorp, Inc., Class A 61,304 2,025 Texas Capital Bancshares, Inc. (a) 119,354 2,349 United Bankshares, Inc. 95,205 --------------- 3,074,596 --------------- BEVERAGES -- 1.0% 1,707 Brown-Forman Corp., Class B 185,056 2,947 Constellation Brands, Inc., Class A 353,699 1,172 Dr Pepper Snapple Group, Inc. 94,018 1,970 Monster Beverage Corp. (a) 302,493 --------------- 935,266 --------------- BIOTECHNOLOGY -- 2.8% 946 Alexion Pharmaceuticals, Inc. (a) 186,778 557 Amgen, Inc. 98,361 654 Biogen, Inc. (a) 208,482 1,477 Celgene Corp. (a) 193,856 4,780 Emergent BioSolutions, Inc. (a) 156,927 3,758 Gilead Sciences, Inc. 442,918 1,561 Ligand Pharmaceuticals, Inc. (a) 168,994 6,904 Momenta Pharmaceuticals, Inc. (a) 150,093 863 Regeneron Pharmaceuticals, Inc. (a) 477,809 2,289 Repligen Corp. (a) 80,138 9,210 Spectrum Pharmaceuticals, Inc. (a) 63,687 1,795 United Therapeutics Corp. (a) 304,001 --------------- 2,532,044 --------------- BUILDING PRODUCTS -- 1.8% 5,423 A.O. Smith Corp. 389,480 1,422 Allegion PLC 89,899 2,871 American Woodmark Corp. (a) 188,797 2,991 Apogee Enterprises, Inc. 165,043 1,704 Fortune Brands Home & Security, Inc. 81,366 1,449 Lennox International, Inc. 171,083 14,585 Masco Corp. 384,898 10,854 PGT, Inc. (a) 174,424 --------------- 1,644,990 --------------- CAPITAL MARKETS -- 2.4% 782 Affiliated Managers Group, Inc. (a) 162,578 685 Ameriprise Financial, Inc. 86,084 8,087 Charles Schwab (The) Corp. 282,074 5,709 E*TRADE Financial Corp. (a) 162,250 1,167 Evercore Partners, Inc., Class A 68,620 741 Financial Engines, Inc. 33,982 2,265 HFF, Inc., Class A 103,828 9,120 Janus Capital Group, Inc. 149,386 3,454 Northern Trust Corp. 264,196 3,930 Raymond James Financial, Inc. 231,870 6,369 SEI Investments Co. 339,531 Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 14,216 WisdomTree Investments, Inc. $ 353,978 --------------- 2,238,377 --------------- CHEMICALS -- 1.9% 640 Ashland, Inc. 73,165 565 Balchem Corp. 32,019 2,660 CF Industries Holdings, Inc. 157,472 5,158 Cytec Industries, Inc. 382,878 757 Ecolab, Inc. 87,668 2,291 Minerals Technologies, Inc. 148,342 176 NewMarket Corp. 69,997 1,993 PolyOne Corp. 68,300 745 PPG Industries, Inc. 80,743 354 Quaker Chemical Corp. 32,816 1,595 RPM International, Inc. 74,758 1,143 Sensient Technologies Corp. 78,170 960 Sherwin-Williams (The) Co. 266,650 614 Sigma-Aldrich Corp. 85,720 954 Valspar (The) Corp. 79,449 --------------- 1,718,147 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 3,121 Cintas Corp. 266,845 456 G&K Services, Inc., Class A 29,895 2,860 Healthcare Services Group, Inc. 99,843 4,579 HNI Corp. 227,073 2,371 Matthews International Corp., Class A 127,678 749 Mobile Mini, Inc. 27,810 10,945 Rollins, Inc. 317,405 638 Stericycle, Inc. (a) 89,939 1,939 US Ecology, Inc. 88,981 --------------- 1,275,469 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 7,654 ARRIS Group, Inc. (a) 236,662 3,070 Bel Fuse, Inc., Class B 67,786 1,725 CalAmp Corp. (a) 29,515 710 F5 Networks, Inc. (a) 95,239 5,489 InterDigital, Inc. 296,790 2,532 Ixia (a) 33,422 2,772 Plantronics, Inc. 160,998 --------------- 920,412 --------------- CONSTRUCTION & ENGINEERING -- 0.2% 2,676 Dycom Industries, Inc. (a) 176,777 --------------- CONSTRUCTION MATERIALS -- 1.0% 6,916 Headwaters, Inc. (a) 131,473 2,417 Martin Marietta Materials, Inc. 379,034 4,074 Vulcan Materials Co. 370,816 --------------- 881,323 --------------- CONSUMER FINANCE -- 0.1% 1,516 PRA Group, Inc. (a) 96,342 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CONTAINERS & PACKAGING -- 0.7% 2,438 Ball Corp. $ 165,394 8,565 Sealed Air Corp. 455,401 --------------- 620,795 --------------- DISTRIBUTORS -- 0.5% 12,905 LKQ Corp. (a) 405,991 1,346 Pool Corp. 94,786 --------------- 500,777 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 13,262 Service Corp. International 404,624 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.2% 765 Intercontinental Exchange, Inc. 174,451 1,358 MarketAxess Holdings, Inc. 132,812 1,703 McGraw Hill Financial, Inc. 173,280 3,167 Moody's Corp. 349,732 3,805 MSCI, Inc. 259,349 --------------- 1,089,624 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 7,031 8x8, Inc. (a) 61,240 24,738 Cincinnati Bell, Inc. (a) 96,726 1,499 Consolidated Communications Holdings, Inc. 29,875 9,259 General Communication, Inc., Class A (a) 170,366 5,013 Level 3 Communications, Inc. (a) 253,156 --------------- 611,363 --------------- ELECTRICAL EQUIPMENT -- 0.8% 1,735 Acuity Brands, Inc. 349,065 3,121 AMETEK, Inc. 165,569 1,824 AZZ, Inc. 94,392 686 Rockwell Automation, Inc. 80,111 2,584 Vicor Corp. (a) 26,899 --------------- 716,036 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 4,555 Amphenol Corp., Class A 256,947 992 Badger Meter, Inc. 58,349 961 Belden, Inc. 56,920 4,869 Cognex Corp. 220,420 1,034 DTS, Inc. (a) 29,459 1,833 IPG Photonics Corp. (a) 169,039 3,514 Zebra Technologies Corp., Class A (a) 378,212 --------------- 1,169,346 --------------- ENERGY EQUIPMENT & SERVICES -- 0.4% 6,531 Cameron International Corp. (a) 329,554 1,073 U.S. Silica Holdings, Inc. 24,164 --------------- 353,718 --------------- See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING -- 1.0% 4,196 CVS Health Corp. $ 471,924 12,138 Kroger (The) Co. 476,295 --------------- 948,219 --------------- FOOD PRODUCTS -- 3.5% 1,105 B&G Foods, Inc. 32,631 2,426 Calavo Growers, Inc. 132,241 3,017 Cal-Maine Foods, Inc. 163,401 3,589 Campbell Soup Co. 176,973 10,066 ConAgra Foods, Inc. 443,508 2,007 Diamond Foods, Inc. (a) 64,846 1,535 General Mills, Inc. 89,352 4,741 Hain Celestial Group (The), Inc. (a) 322,293 4,684 Hormel Foods Corp. 277,340 569 J&J Snack Foods Corp. 67,347 3,102 Kraft Heinz (The) Co. 246,516 2,112 McCormick & Co., Inc. 173,205 7,238 Post Holdings, Inc. (a) 388,970 2,929 Snyder's-Lance, Inc. 95,251 1,927 TreeHouse Foods, Inc. (a) 157,937 7,985 WhiteWave Foods (The) Co. (a) 412,186 --------------- 3,243,997 --------------- GAS UTILITIES -- 0.1% 2,266 UGI Corp. 82,800 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.1% 5,380 Abbott Laboratories 272,712 1,438 ABIOMED, Inc. (a) 111,387 3,735 Align Technology, Inc. (a) 234,185 2,250 Baxter International, Inc. 90,180 603 Becton, Dickinson and Co. 91,746 14,917 Boston Scientific Corp. (a) 258,661 1,002 C. R. Bard, Inc. 197,043 2,348 Cantel Medical Corp. 128,858 1,621 CONMED Corp. 91,943 439 Cooper (The) Cos., Inc. 77,703 5,585 CryoLife, Inc. 61,156 4,083 Cynosure, Inc., Class A (a) 158,420 2,401 Edwards Lifesciences Corp. (a) 365,336 7,184 Hill-Rom Holdings, Inc. 402,520 8,204 Hologic, Inc. (a) 341,779 659 ICU Medical, Inc. (a) 65,847 2,069 Integra LifeSciences Holdings Corp. (a) 132,685 4,065 Masimo Corp. (a) 169,429 1,154 Medtronic PLC 90,462 2,220 Natus Medical, Inc. (a) 100,255 664 Neogen Corp. (a) 38,638 1,330 NuVasive, Inc. (a) 73,163 1,554 Sirona Dental Systems, Inc. (a) 161,274 2,340 St. Jude Medical, Inc. 172,739 1,212 STERIS Corp. 83,786 1,789 Stryker Corp. 182,961 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 2,305 Teleflex, Inc. $ 308,847 3,629 Vascular Solutions, Inc. (a) 135,108 542 West Pharmaceutical Services, Inc. 32,450 --------------- 4,631,273 --------------- HEALTH CARE PROVIDERS & SERVICES -- 8.6% 5,115 Aceto Corp. 119,844 3,453 Aetna, Inc. 390,085 3,964 Amedisys, Inc. (a) 172,949 4,138 AmerisourceBergen Corp. 437,593 4,985 AMN Healthcare Services, Inc. (a) 146,709 2,251 AmSurg Corp. (a) 161,487 3,818 Bio-Reference Laboratories, Inc. (a) 169,405 4,855 Centene Corp. (a) 340,481 961 Chemed Corp. 142,670 2,717 Cigna Corp. 391,411 12,421 Cross Country Healthcare, Inc. (a) 149,921 3,323 DaVita HealthCare Partners, Inc. (a) 262,617 3,084 Ensign Group (The), Inc. 157,654 1,611 ExamWorks Group, Inc. (a) 56,514 3,845 Express Scripts Holding Co. (a) 346,319 4,851 HCA Holdings, Inc. (a) 451,191 2,407 Henry Schein, Inc. (a) 356,188 4,489 LifePoint Health, Inc. (a) 371,959 1,958 McKesson Corp. 431,876 3,160 MEDNAX, Inc. (a) 267,462 4,141 Omnicare, Inc. 401,056 7,030 Patterson Cos., Inc. 352,625 2,845 Providence Service (The) Corp. (a) 133,886 5,833 Select Medical Holdings Corp. 84,170 7,603 Tenet Healthcare Corp. (a) 428,049 3,607 UnitedHealth Group, Inc. 437,890 3,096 Universal Health Services, Inc., Class B 449,632 4,305 VCA, Inc. (a) 264,887 --------------- 7,876,530 --------------- HEALTH CARE TECHNOLOGY -- 0.7% 2,476 Cerner Corp. (a) 177,579 4,142 HealthStream, Inc. (a) 116,225 4,283 MedAssets, Inc. (a) 99,794 1,740 Medidata Solutions, Inc. (a) 93,612 3,341 Omnicell, Inc. (a) 122,013 3,802 Quality Systems, Inc. 48,475 --------------- 657,698 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.7% 1,300 BJ's Restaurants, Inc. (a) 67,028 Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,234 Bob Evans Farms, Inc. $ 61,601 1,354 Brinker International, Inc. 81,105 5,726 Cheesecake Factory (The), Inc. 330,619 3,442 Domino's Pizza, Inc. 391,837 4,258 Dunkin' Brands Group, Inc. 229,464 357 Jack in the Box, Inc. 33,915 1,149 Marriott International, Inc., Class A 83,429 1,373 Marriott Vacations Worldwide Corp. 114,783 894 Panera Bread Co., Class A (a) 182,483 2,082 Papa John's International, Inc. 157,316 4,225 Pinnacle Entertainment, Inc. (a) 162,662 1,050 Popeyes Louisiana Kitchen, Inc. (a) 63,714 5,862 Ruth's Hospitality Group, Inc. 102,761 10,135 Scientific Games Corp., Class A (a) 153,038 1,093 Sonic Corp. 32,484 8,207 Starbucks Corp. 475,432 3,366 Texas Roadhouse, Inc. 132,587 13,840 Wendy's (The) Co. 141,998 1,044 Wyndham Worldwide Corp. 86,151 2,931 Yum! Brands, Inc. 257,225 --------------- 3,341,632 --------------- HOUSEHOLD DURABLES -- 4.3% 12,499 D.R. Horton, Inc. 371,095 2,219 Harman International Industries, Inc. 238,898 1,615 Helen of Troy Ltd. (a) 141,765 6,033 Jarden Corp. (a) 331,815 9,040 Leggett & Platt, Inc. 432,202 8,621 Lennar Corp., Class A 457,258 2,675 Meritage Homes Corp. (a) 120,643 1,791 Mohawk Industries, Inc. (a) 361,048 8,319 Newell Rubbermaid, Inc. 360,046 175 NVR, Inc. (a) 260,757 2,718 Ryland Group (The), Inc. 123,587 14,141 Standard Pacific Corp. (a) 127,128 4,738 Tempur Sealy International, Inc. (a) 357,956 6,132 Toll Brothers, Inc. (a) 238,657 --------------- 3,922,855 --------------- HOUSEHOLD PRODUCTS -- 0.1% 962 Church & Dwight Co., Inc. 83,050 361 WD-40 Co. 32,356 --------------- 115,406 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 3,119 Carlisle Cos., Inc. 315,830 991 Roper Technologies, Inc. 165,765 --------------- 481,595 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- INSURANCE -- 0.7% 2,008 AMERISAFE, Inc. $ 100,500 857 Aon PLC 86,360 3,300 Arthur J. Gallagher & Co. 156,519 1,425 HCI Group, Inc. 63,954 1,508 Marsh & McLennan Cos., Inc. 87,374 612 RLI Corp. 33,801 5,207 Universal Insurance Holdings, Inc. 142,776 --------------- 671,284 --------------- INTERNET & CATALOG RETAIL -- 2.4% 1,014 Amazon.com, Inc. (a) 543,656 1,037 Blue Nile, Inc. (a) 32,894 4,024 Expedia, Inc. 488,674 2,225 HSN, Inc. 163,560 4,689 Netflix, Inc. (a) 536,000 6,330 Nutrisystem, Inc. 190,216 74 Priceline Group (The), Inc. (a) 92,024 1,962 TripAdvisor, Inc. (a) 155,744 --------------- 2,202,768 --------------- INTERNET SOFTWARE & SERVICES -- 2.1% 3,782 Akamai Technologies, Inc. (a) 290,117 1,775 comScore, Inc. (a) 103,837 2,509 Dealertrack Technologies, Inc. (a) 155,734 7,086 DHI Group, Inc. (a) 56,475 10,415 eBay, Inc. (a) 292,870 3,988 Facebook, Inc., Class A (a) 374,912 1,391 j2 Global, Inc. 97,926 2,442 LogMeIn, Inc. (a) 179,682 1,723 NIC, Inc. 31,083 9,767 QuinStreet, Inc. (a) 56,844 2,141 Stamps.com, Inc. (a) 146,873 1,386 VeriSign, Inc. (a) 98,323 --------------- 1,884,676 --------------- IT SERVICES -- 5.1% 3,534 Accenture PLC, Class A 364,391 586 Alliance Data Systems Corp. (a) 161,173 1,561 Broadridge Financial Solutions, Inc. 84,715 1,701 Cardtronics, Inc. (a) 63,056 5,598 Cognizant Technology Solutions Corp., Class A (a) 353,234 7,867 CoreLogic, Inc. (a) 310,274 3,099 DST Systems, Inc. 338,256 1,822 ExlService Holdings, Inc. (a) 70,639 3,188 Fiserv, Inc. (a) 276,910 1,820 Gartner, Inc. (a) 161,197 3,773 Global Payments, Inc. 422,916 2,331 Heartland Payment Systems, Inc. 145,221 2,825 MasterCard, Inc., Class A 275,155 4,751 MAXIMUS, Inc. 324,066 1,824 Paychex, Inc. 84,634 10,535 Total System Services, Inc. 486,928 See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 3,065 Virtusa Corp. (a) $ 146,936 2,547 Visa, Inc., Class A 191,891 8,411 Western Union (The) Co. 170,239 2,055 WEX, Inc. (a) 209,692 --------------- 4,641,523 --------------- LEISURE PRODUCTS -- 1.1% 4,605 Brunswick Corp. 244,479 5,884 Hasbro, Inc. 463,306 1,581 Polaris Industries, Inc. 216,692 1,096 Sturm, Ruger & Co., Inc. 65,782 --------------- 990,259 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.6% 2,884 Affymetrix, Inc. (a) 31,609 6,231 Albany Molecular Research, Inc. (a) 131,723 793 Bio-Techne Corp. 86,738 3,584 Cambrex Corp. (a) 176,512 2,219 Charles River Laboratories International, Inc. (a) 172,239 457 Mettler-Toledo International, Inc. (a) 154,283 980 PAREXEL International Corp. (a) 67,581 3,249 PerkinElmer, Inc. 171,937 1,318 Thermo Fisher Scientific, Inc. 183,901 2,057 Waters Corp. (a) 274,589 --------------- 1,451,112 --------------- MACHINERY -- 1.9% 1,865 ITT Corp. 70,870 3,352 John Bean Technologies Corp. 122,181 2,131 Lydall, Inc. (a) 63,312 1,815 Mueller Industries, Inc. 58,752 1,003 Nordson Corp. 74,332 2,747 Pall Corp. 347,358 2,763 Snap-on, Inc. 455,342 930 Toro (The) Co. 63,547 2,485 Wabtec Corp. 251,457 4,259 Woodward, Inc. 210,224 --------------- 1,717,375 --------------- MARINE -- 0.1% 2,997 Matson, Inc. 124,136 --------------- MEDIA -- 1.8% 4,768 AMC Networks, Inc., Class A (a) 401,561 2,570 Discovery Communications, Inc., Class A (a) 84,862 8,519 Live Nation Entertainment, Inc. (a) 223,368 1,920 Time Warner Cable, Inc. 364,819 1,956 Time Warner, Inc. 172,206 2,997 Walt Disney (The) Co. 359,640 --------------- 1,606,456 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- MULTILINE RETAIL -- 1.3% 5,661 Dollar General Corp. $ 454,974 4,330 Dollar Tree, Inc. (a) 337,870 3,914 Macy's, Inc. 270,301 1,148 Nordstrom, Inc. 87,604 --------------- 1,150,749 --------------- MULTI-UTILITIES -- 0.2% 9,545 NiSource, Inc. 166,656 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.4% 2,710 Cabot Oil & Gas Corp. 70,894 639 Carrizo Oil & Gas, Inc. (a) 24,365 4,600 Williams (The) Cos., Inc. 241,408 --------------- 336,667 --------------- PAPER & FOREST PRODUCTS -- 0.2% 3,435 Boise Cascade Co. (a) 113,973 534 Neenah Paper, Inc. 32,350 --------------- 146,323 --------------- PERSONAL PRODUCTS -- 0.3% 3,047 Estee Lauder (The) Cos., Inc., Class A 271,518 --------------- PHARMACEUTICALS -- 4.2% 3,929 AbbVie, Inc. 275,069 5,364 Akorn, Inc. (a) 247,334 1,127 Allergan PLC (a) 373,206 1,522 ANI Pharmaceuticals, Inc. (a) 108,108 1,285 Bristol-Myers Squibb Co. 84,347 5,871 Depomed, Inc. (a) 184,936 2,049 Eli Lilly and Co. 173,161 1,074 Endo International PLC (a) 94,018 4,961 Hospira, Inc. (a) 443,761 2,743 Impax Laboratories, Inc. (a) 132,926 1,060 Lannett Co., Inc. (a) 63,176 2,243 Mallinckrodt PLC (a) 278,042 6,485 Mylan N.V. (a) 363,095 2,518 Nektar Therapeutics (a) 31,752 1,850 Perrigo Co. PLC 355,570 2,725 Prestige Brands Holdings, Inc. (a) 129,765 1,296 Sagent Pharmaceuticals, Inc. (a) 31,856 9,275 Supernus Pharmaceuticals, Inc. (a) 196,723 5,475 Zoetis, Inc. 268,166 --------------- 3,835,011 --------------- PROFESSIONAL SERVICES -- 1.2% 3,586 CEB, Inc. 274,401 3,523 Equifax, Inc. 359,804 703 Exponent, Inc. 31,276 2,718 Korn/Ferry International 90,999 1,910 Nielsen N.V. 92,559 3,208 On Assignment, Inc. (a) 122,930 1,540 Robert Half International, Inc. 84,746 --------------- 1,056,715 --------------- Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 1.4% 916 American Tower Corp. $ 87,121 3,300 Associated Estates Realty Corp. 94,875 2,079 CoreSite Realty Corp. 104,366 1,064 Crown Castle International Corp. 87,152 1,346 Equinix, Inc. 375,413 402 Essex Property Trust, Inc. 90,414 1,197 Extra Space Storage, Inc. 88,003 1,069 Home Properties, Inc. 78,785 1,358 Lamar Advertising Co., Class A 81,548 1,073 Mid-America Apartment Communities, Inc. 86,205 4,842 Summit Hotel Properties, Inc. 65,996 2,438 UDR, Inc. 82,429 --------------- 1,322,307 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.9% 1,982 Alexander & Baldwin, Inc. 74,820 9,243 CBRE Group, Inc., Class A (a) 350,957 2,282 Jones Lang LaSalle, Inc. 406,287 --------------- 832,064 --------------- ROAD & RAIL -- 0.2% 2,335 Landstar System, Inc. 168,190 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.1% 6,680 Altera Corp. 331,729 4,114 Analog Devices, Inc. 239,970 3,311 Avago Technologies Ltd. 414,338 6,642 Broadcom Corp., Class A 336,152 4,628 Cirrus Logic, Inc. (a) 152,770 3,221 Exar Corp. (a) 25,349 14,389 Integrated Device Technology, Inc. (a) 274,974 9,130 Kopin Corp. (a) 27,207 4,204 Lam Research Corp. 323,161 2,704 Microsemi Corp. (a) 89,070 621 Monolithic Power Systems, Inc. 32,112 8,503 NVIDIA Corp. 169,635 4,261 Qorvo, Inc. (a) 246,925 4,336 Silicon Laboratories, Inc. (a) 195,077 4,227 Skyworks Solutions, Inc. 404,397 13,050 SunEdison, Inc. (a) 303,804 1,452 Synaptics, Inc. (a) 115,260 1,658 Tessera Technologies, Inc. 57,466 1,697 Ultratech, Inc. (a) 27,016 --------------- 3,766,412 --------------- SOFTWARE -- 6.3% 15,886 ACI Worldwide, Inc. (a) 376,022 2,110 Adobe Systems, Inc. (a) 172,999 1,711 ANSYS, Inc. (a) 161,091 2,765 Blackbaud, Inc. 169,107 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SOFTWARE (CONTINUED) 1,132 Bottomline Technologies (de), Inc. (a) $ 31,085 7,941 Cadence Design Systems, Inc. (a) 166,523 3,764 Citrix Systems, Inc. (a) 284,596 3,863 Ebix, Inc. 119,714 6,617 Electronic Arts, Inc. (a) 473,446 1,441 FactSet Research Systems, Inc. 238,716 3,439 Fair Isaac Corp. 311,883 9,444 Fortinet, Inc. (a) 450,857 6,442 Informatica Corp. (a) 312,566 848 Intuit, Inc. 89,693 6,543 Manhattan Associates, Inc. (a) 424,117 3,873 Microsoft Corp. 180,869 1,146 Progress Software Corp. (a) 34,013 3,806 PTC, Inc. (a) 138,348 3,477 Red Hat, Inc. (a) 274,961 4,911 salesforce.com, Inc. (a) 359,976 2,066 Synchronoss Technologies, Inc. (a) 98,755 4,624 Synopsys, Inc. (a) 235,084 1,143 Take-Two Interactive Software, Inc. (a) 36,096 2,413 Tyler Technologies, Inc. (a) 336,710 950 Ultimate Software Group (The), Inc. (a) 174,999 5,217 VASCO Data Security International, Inc. (a) 106,375 --------------- 5,758,601 --------------- SPECIALTY RETAIL -- 4.6% 5,430 AutoNation, Inc. (a) 338,506 256 AutoZone, Inc. (a) 179,441 5,166 CarMax, Inc. (a) 333,259 5,824 Foot Locker, Inc. 410,883 1,388 Group 1 Automotive, Inc. 134,594 2,376 Home Depot (The), Inc. 278,063 997 L Brands, Inc. 80,478 1,392 Lithia Motors, Inc., Class A 166,608 2,553 Lowe's Cos., Inc. 177,076 5,359 MarineMax, Inc. (a) 96,784 1,014 Monro Muffler Brake, Inc. 64,136 1,948 O'Reilly Automotive, Inc. (a) 468,124 1,241 Outerwall, Inc. 87,888 5,432 Ross Stores, Inc. 288,765 3,143 Select Comfort Corp. (a) 81,844 1,218 Signet Jewelers Ltd. 147,646 2,584 TJX (The) Cos., Inc. 180,415 4,893 Tractor Supply Co. 452,700 2,846 Williams-Sonoma, Inc. 240,942 --------------- 4,208,152 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 2,727 Apple, Inc. 330,785 724 Electronics For Imaging, Inc. (a) 33,087 2,130 Super Micro Computer, Inc. (a) 56,807 --------------- 420,679 --------------- See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 2.3% 3,672 Carter's, Inc. $ 372,378 2,239 G-III Apparel Group Ltd. (a) 161,723 10,263 Hanesbrands, Inc. 318,461 4,073 NIKE, Inc., Class B 469,291 1,801 Oxford Industries, Inc. 151,158 2,209 Steven Madden Ltd. (a) 92,071 5,274 Under Armour, Inc., Class A (a) 523,866 --------------- 2,088,948 --------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 8,214 Bank Mutual Corp. 59,716 1,490 BofI Holding, Inc. (a) 183,046 8,370 Brookline Bancorp, Inc. 94,330 5,890 Walker & Dunlop, Inc. (a) 141,066 --------------- 478,158 --------------- TOBACCO -- 0.3% 3,536 Reynolds American, Inc. 303,353 --------------- TOTAL COMMON STOCKS -- 99.9% 91,218,055 (Cost $81,109,801) MONEY MARKET FUNDS -- 0.3% 232,567 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.03% (b) 232,567 (Cost $232,567) --------------- TOTAL INVESTMENTS -- 100.2% 91,450,622 (Cost $81,342,368) (c) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (171,455) --------------- NET ASSETS -- 100.0% $ 91,279,167 =============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2015. (c) Aggregate cost for federal income tax purposes is $81,756,719. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $10,585,982 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $892,079. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 91,218,055 $ -- $ -- Money Market Funds 232,567 -- -- ---------------------------------------- Total Investments $ 91,450,622 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. Page 74 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.4% 4,450 Esterline Technologies Corp. (a) $ 394,537 2,512 Huntington Ingalls Industries, Inc. 294,934 6,409 KLX, Inc. (a) 251,746 4,021 Teledyne Technologies, Inc. (a) 416,857 8,573 Triumph Group, Inc. 461,656 --------------- 1,819,730 --------------- AUTO COMPONENTS -- 0.7% 27,488 Dana Holding Corp. 510,177 --------------- AUTOMOBILES -- 0.7% 10,052 Thor Industries, Inc. 561,706 --------------- BANKS -- 4.3% 13,954 Associated Banc-Corp. 275,033 5,490 BancorpSouth, Inc. 138,732 4,358 Cathay General Bancorp 139,935 1,800 Cullen/Frost Bankers, Inc. 130,410 13,579 FirstMerit Corp. 254,471 21,658 Fulton Financial Corp. 280,688 13,296 Hancock Holding Co. 388,509 15,790 International Bancshares Corp. 425,225 4,899 Prosperity Bancshares, Inc. 267,437 17,029 TCF Financial Corp. 280,297 16,985 Trustmark Corp. 408,319 13,717 Valley National Bancorp 136,073 3,576 Webster Financial Corp. 138,248 --------------- 3,263,377 --------------- CAPITAL MARKETS -- 0.9% 3,614 Eaton Vance Corp. 138,633 2,449 Stifel Financial Corp. (a) 134,572 8,968 Waddell & Reed Financial, Inc., Class A 402,753 --------------- 675,958 --------------- CHEMICALS -- 1.6% 2,559 Albemarle Corp. 138,698 19,490 Cabot Corp. 685,658 15,743 Olin Corp. (b) 361,932 --------------- 1,186,288 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.7% 6,843 Deluxe Corp. 440,894 9,777 Herman Miller, Inc. 274,147 2,915 MSA Safety, Inc. 150,560 8,114 R.R. Donnelley & Sons Co. 142,401 6,003 Waste Connections, Inc. 300,930 --------------- 1,308,932 --------------- COMMUNICATIONS EQUIPMENT -- 0.7% 49,449 Polycom, Inc. (a) 562,730 --------------- CONSTRUCTION & ENGINEERING -- 0.4% 7,965 Granite Construction, Inc. 270,969 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- CONTAINERS & PACKAGING -- 2.4% 4,435 AptarGroup, Inc. $ 300,648 9,426 Bemis Co., Inc. 420,117 11,835 Greif, Inc., Class A 366,767 2,681 Silgan Holdings, Inc. 143,353 13,199 Sonoco Products Co. 544,855 --------------- 1,775,740 --------------- DIVERSIFIED CONSUMER SERVICES -- 3.0% 56,426 Apollo Education Group, Inc. (a) 722,817 24,242 DeVry Education Group, Inc. 736,472 1,119 Graham Holdings Co., Class B 771,618 --------------- 2,230,907 --------------- ELECTRIC UTILITIES -- 5.0% 7,879 Cleco Corp. 428,854 23,415 Great Plains Energy, Inc. 611,366 9,514 Hawaiian Electric Industries, Inc. 284,944 10,077 IDACORP, Inc. 625,882 19,801 OGE Energy Corp. 589,278 22,996 PNM Resources, Inc. 606,635 16,531 Westar Energy, Inc. 622,392 --------------- 3,769,351 --------------- ELECTRICAL EQUIPMENT -- 0.4% 2,612 Hubbell, Inc., Class B 272,719 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.4% 13,025 Arrow Electronics, Inc. (a) 757,404 17,679 Avnet, Inc. 737,745 1,705 FEI Co. 146,579 22,601 Ingram Micro, Inc., Class A (a) 615,425 19,928 Jabil Circuit, Inc. 403,542 13,603 Keysight Technologies, Inc. (a) 415,435 4,801 National Instruments Corp. 139,037 12,626 Tech Data Corp. (a) 736,474 6,028 Trimble Navigation Ltd. (a) 139,247 62,223 Vishay Intertechnology, Inc. 714,320 --------------- 4,805,208 --------------- ENERGY EQUIPMENT & SERVICES -- 6.8% 27,488 Atwood Oceanics, Inc. 571,750 9,658 Dril-Quip, Inc. (a) 564,124 57,543 Helix Energy Solutions Group, Inc. (a) 481,635 29,402 Nabors Industries Ltd. 341,357 15,599 Oceaneering International, Inc. 624,272 19,521 Oil States International, Inc. (a) 587,777 38,627 Patterson-UTI Energy, Inc. 636,766 20,098 Rowan Cos. PLC, Class A 346,289 34,542 Superior Energy Services, Inc. 587,214 18,666 Tidewater, Inc. (b) 364,547 --------------- 5,105,731 --------------- See Notes to Financial Statements Page 75 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING -- 0.7% 2,954 Casey's General Stores, Inc. $ 301,943 4,442 United Natural Foods, Inc. (a) 202,244 --------------- 504,187 --------------- FOOD PRODUCTS -- 1.6% 13,374 Flowers Foods, Inc. 289,681 7,088 Ingredion, Inc. 625,162 1,557 Lancaster Colony Corp. 145,128 4,377 Tootsie Roll Industries, Inc. (b) 142,121 --------------- 1,202,092 --------------- GAS UTILITIES -- 3.5% 11,032 Atmos Energy Corp. 610,070 9,606 National Fuel Gas Co. 519,396 13,292 ONE Gas, Inc. 598,539 20,291 Questar Corp. 449,243 7,815 WGL Holdings, Inc. 436,858 --------------- 2,614,106 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.2% 2,509 ResMed, Inc. 145,397 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.5% 6,738 Community Health Systems, Inc. (a) 394,240 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.5% 11,570 International Speedway Corp., Class A 396,504 --------------- HOUSEHOLD DURABLES -- 1.3% 43,781 KB Home 699,620 4,719 M.D.C. Holdings, Inc. 140,909 2,191 Tupperware Brands Corp. 128,108 --------------- 968,637 --------------- INSURANCE -- 9.4% 1,207 Alleghany Corp. (a) 586,759 4,349 American Financial Group, Inc. 299,863 15,173 Aspen Insurance Holdings Ltd. 729,670 8,608 Brown & Brown, Inc. 287,938 30,828 CNO Financial Group, Inc. 549,971 3,993 Everest Re Group Ltd. 731,198 11,402 First American Financial Corp. 462,693 7,642 Hanover Insurance Group (The), Inc. 617,856 3,681 HCC Insurance Holdings, Inc. 284,026 3,669 Kemper Corp. 142,064 2,541 Mercury General Corp. 143,439 27,145 Old Republic International Corp. 454,136 5,963 Reinsurance Group of America, Inc. 575,549 5,611 StanCorp Financial Group, Inc. 639,766 10,894 W. R. Berkley Corp. 607,014 --------------- 7,111,942 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- IT SERVICES -- 2.3% 8,045 Acxiom Corp. (a) $ 144,086 22,193 Convergys Corp. 557,266 2,186 Jack Henry & Associates, Inc. 152,714 24,881 NeuStar, Inc., Class A (a) (b) 768,076 2,676 Science Applications International Corp. 143,648 --------------- 1,765,790 --------------- LEISURE PRODUCTS -- 0.2% 3,150 Vista Outdoor, Inc. (a) 148,586 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 939 Bio-Rad Laboratories, Inc., Class A (a) 141,545 --------------- MACHINERY -- 5.4% 9,963 AGCO Corp. 548,065 6,817 CLARCOR, Inc. 410,179 4,816 Crane Co. 256,211 3,950 Donaldson Co., Inc. 132,720 3,982 Graco, Inc. 284,673 1,800 IDEX Corp. 136,854 6,968 Lincoln Electric Holdings, Inc. 421,912 17,149 Oshkosh Corp. 626,625 1,954 SPX Corp. 127,811 31,259 Terex Corp. 692,699 3,569 Valmont Industries, Inc. 396,980 --------------- 4,034,729 --------------- MARINE -- 0.9% 9,480 Kirby Corp. (a) 686,447 --------------- MEDIA -- 2.0% 3,521 Cinemark Holdings, Inc. 138,939 7,803 John Wiley & Sons, Inc., Class A 413,637 5,424 Meredith Corp. 259,918 31,585 Time, Inc. 704,977 --------------- 1,517,471 --------------- METALS & MINING -- 5.2% 10,969 Carpenter Technology Corp. 411,776 45,197 Commercial Metals Co. 696,486 6,887 Compass Minerals International, Inc. 550,960 12,017 Reliance Steel & Aluminum Co. 728,230 13,654 Steel Dynamics, Inc. 273,490 26,927 TimkenSteel Corp. 501,650 27,435 United States Steel Corp. (b) 534,159 9,410 Worthington Industries, Inc. 254,635 --------------- 3,951,386 --------------- MULTILINE RETAIL -- 0.7% 12,574 Big Lots, Inc. 542,945 --------------- MULTI-UTILITIES -- 2.7% 9,801 Alliant Energy Corp. 602,860 12,960 Black Hills Corp. 539,914 14,483 MDU Resources Group, Inc. 282,563 14,701 Vectren Corp. 618,912 --------------- 2,044,249 --------------- Page 76 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS -- 6.1% 93,659 California Resources Corp. $ 396,178 114,272 Denbury Resources, Inc. 450,232 6,212 Energen Corp. 342,902 18,056 Gulfport Energy Corp. (a) 591,515 13,251 HollyFrontier Corp. 639,493 15,758 SM Energy Co. 584,149 16,661 Western Refining, Inc. 735,750 8,848 World Fuel Services Corp. 359,671 59,183 WPX Energy, Inc. (a) 514,892 --------------- 4,614,782 --------------- PAPER & FOREST PRODUCTS -- 0.9% 17,555 Domtar Corp. 713,786 --------------- PROFESSIONAL SERVICES -- 1.1% 6,859 FTI Consulting, Inc. (a) 280,670 3,165 ManpowerGroup, Inc. 286,369 2,248 Towers Watson & Co., Class A 285,002 --------------- 852,041 --------------- REAL ESTATE INVESTMENT TRUSTS -- 2.2% 14,625 BioMed Realty Trust, Inc. 315,023 12,826 Corrections Corp. of America 451,090 4,907 Hospitality Properties Trust 134,550 4,004 Potlatch Corp. 140,180 8,058 Senior Housing Properties Trust 139,162 6,105 Taubman Centers, Inc. 456,654 --------------- 1,636,659 --------------- ROAD & RAIL -- 2.5% 14,743 Con-way, Inc. 571,881 7,426 Genesee & Wyoming, Inc., Class A (a) 528,880 27,686 Werner Enterprises, Inc. 781,852 --------------- 1,882,613 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.9% 16,300 Cree, Inc. (a) (b) 401,795 14,663 Teradyne, Inc. 282,409 --------------- 684,204 --------------- SOFTWARE -- 0.6% 16,053 Mentor Graphics Corp. 418,823 --------------- SPECIALTY RETAIL -- 7.3% 15,623 Aaron's, Inc. 577,739 26,299 Abercrombie & Fitch Co., Class A (b) 528,347 16,426 American Eagle Outfitters, Inc. 291,561 5,857 ANN, Inc. (a) 267,958 33,966 Ascena Retail Group, Inc. (a) 425,254 5,659 Cabela's, Inc. (a) 251,429 8,504 Chico's FAS, Inc. 129,431 10,862 CST Brands, Inc. 411,453 8,195 Dick's Sporting Goods, Inc. 417,781 37,912 Guess?, Inc. 829,894 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 13,020 Murphy USA, Inc. (a) $ 712,975 25,636 Rent-A-Center, Inc. 686,788 --------------- 5,530,610 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 6,399 Lexmark International, Inc., Class A 217,502 4,699 NCR Corp. (a) 129,410 --------------- 346,912 --------------- THRIFTS & MORTGAGE FINANCE -- 0.6% 7,695 New York Community Bancorp, Inc. 146,436 12,114 Washington Federal, Inc. 282,014 --------------- 428,450 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.5% 10,643 GATX Corp. 564,505 6,081 MSC Industrial Direct Co., Inc., Class A 433,332 7,103 NOW, Inc. (a) 123,592 --------------- 1,121,429 --------------- WATER UTILITIES -- 0.4% 11,550 Aqua America, Inc. 293,832 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 19,242 Telephone and Data Systems, Inc. 565,907 --------------- TOTAL COMMON STOCKS -- 100.0% 75,379,824 (Cost $79,831,054) --------------- MONEY MARKET FUNDS -- 1.4% 1,054,636 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 1,054,636 (Cost $1,054,636) --------------- PRINCIPAL VALUE ------------- REPURCHASE AGREEMENTS -- 1.7% $ 330,489 JPMorgan Chase & Co., 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $330,491. Collateralized by U.S. Treasury Note, interest rate of 3.500%, due 05/15/20. The value of the collateral including accrued interest is $339,397.(d) 330,489 See Notes to Financial Statements Page 77 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 PRINCIPAL VALUE DESCRIPTION VALUE ----------------------------------------------------------- REPURCHASE AGREEMENTS (CONTINUED) $ 948,998 RBC Capital Markets LLC, 0.10% (c), dated 07/31/15, due 08/03/15, with a maturity value of $949,006. Collateralized by U.S. Treasury Notes, interest rates of 0.625% to 2.375%, due 12/15/16 to 09/30/19. The value of the collateral including accrued interest is $970,951.(d) $ 948,998 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.7% 1,279,487 (Cost $1,279,487) --------------- TOTAL INVESTMENTS -- 103.1% 77,713,947 (Cost $82,165,177) (e) NET OTHER ASSETS AND LIABILITIES -- (3.1)% (2,324,850) --------------- NET ASSETS -- 100.0% $ 75,389,097 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $2,298,827 and the total value of the collateral held by the Fund is $2,334,123. (c) Interest rate shown reflects yield as of July 31, 2015. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $83,441,845. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,038,724 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,766,622. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 75,379,824 $ -- $ -- Money Market Funds 1,054,636 -- -- Repurchase Agreements -- 1,279,487 -- ---------------------------------------- Total Investments $ 76,434,460 $ 1,279,487 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. Page 78 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 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) $ 2,298,827 Non-cash Collateral(2) (2,298,827) -------------- Net Amount $ -- ============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 1,279,487 Non-cash Collateral(4) (1,279,487) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2015, the value of collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 79 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AIRLINES -- 2.6% 15,186 Alaska Air Group, Inc. $ 1,150,339 78,552 JetBlue Airways Corp. (a) 1,805,125 --------------- 2,955,464 --------------- BANKS -- 5.4% 35,644 Bank of the Ozarks, Inc. 1,572,613 29,108 East West Bancorp, Inc. 1,302,874 41,626 First Horizon National Corp. 659,772 13,950 PacWest Bancorp 645,746 8,912 Signature Bank (a) 1,297,498 4,530 SVB Financial Group (a) 648,243 --------------- 6,126,746 --------------- BIOTECHNOLOGY -- 1.1% 7,501 United Therapeutics Corp. (a) 1,270,369 --------------- BUILDING PRODUCTS -- 2.3% 22,654 A.O. Smith Corp. 1,627,010 7,120 Fortune Brands Home & Security, Inc. 339,980 6,057 Lennox International, Inc. 715,150 --------------- 2,682,140 --------------- CAPITAL MARKETS -- 3.9% 38,102 Janus Capital Group, Inc. 624,111 16,422 Raymond James Financial, Inc. 968,898 26,607 SEI Investments Co. 1,418,419 59,395 WisdomTree Investments, Inc. 1,478,935 --------------- 4,490,363 --------------- CHEMICALS -- 3.6% 2,677 Ashland, Inc. 306,035 21,552 Cytec Industries, Inc. 1,599,805 9,574 Minerals Technologies, Inc. 619,916 735 NewMarket Corp. 292,317 8,326 PolyOne Corp. 285,332 6,659 RPM International, Inc. 312,107 4,771 Sensient Technologies Corp. 326,289 3,987 Valspar (The) Corp. 332,037 --------------- 4,073,838 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 19,129 HNI Corp. 948,607 45,726 Rollins, Inc. 1,326,054 --------------- 2,274,661 --------------- COMMUNICATIONS EQUIPMENT -- 2.5% 31,975 ARRIS Group, Inc. (a) 988,667 22,931 InterDigital, Inc. 1,239,879 11,585 Plantronics, Inc. 672,857 --------------- 2,901,403 --------------- DISTRIBUTORS -- 1.5% 53,919 LKQ Corp. (a) 1,696,292 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.5% 55,411 Service Corp. International 1,690,590 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 15,897 MSCI, Inc. $ 1,083,540 --------------- ELECTRICAL EQUIPMENT -- 1.3% 7,248 Acuity Brands, Inc. 1,458,225 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.0% 4,015 Belden, Inc. 237,808 20,343 Cognex Corp. 920,928 7,659 IPG Photonics Corp. (a) 706,313 14,684 Zebra Technologies Corp., Class A (a) 1,580,439 --------------- 3,445,488 --------------- FOOD PRODUCTS -- 4.7% 19,808 Hain Celestial Group (The), Inc. (a) 1,346,548 30,237 Post Holdings, Inc. (a) 1,624,936 8,049 TreeHouse Foods, Inc. (a) 659,696 33,362 WhiteWave Foods (The) Co. (a) 1,722,147 --------------- 5,353,327 --------------- GAS UTILITIES -- 0.3% 9,468 UGI Corp. 345,961 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.9% 15,603 Align Technology, Inc. (a) 978,308 1,832 Cooper (The) Cos., Inc. 324,264 30,015 Hill-Rom Holdings, Inc. 1,681,740 34,279 Hologic, Inc. (a) 1,428,063 6,496 Sirona Dental Systems, Inc. (a) 674,155 5,060 STERIS Corp. 349,798 9,632 Teleflex, Inc. 1,290,592 --------------- 6,726,920 --------------- HEALTH CARE PROVIDERS & SERVICES -- 6.0% 20,283 Centene Corp. (a) 1,422,447 18,755 LifePoint Health, Inc. (a) 1,554,039 13,203 MEDNAX, Inc. (a) 1,117,502 17,302 Omnicare, Inc. 1,675,699 17,983 VCA, Inc. (a) 1,106,494 --------------- 6,876,181 --------------- HOTELS, RESTAURANTS & LEISURE -- 5.0% 5,656 Brinker International, Inc. 338,795 23,923 Cheesecake Factory (The), Inc. 1,381,314 14,380 Domino's Pizza, Inc. 1,637,019 17,791 Dunkin' Brands Group, Inc. 958,757 3,732 Panera Bread Co., Class A (a) 761,776 57,827 Wendy's (The) Co. 593,305 --------------- 5,670,966 --------------- HOUSEHOLD DURABLES -- 4.3% 25,209 Jarden Corp. (a) 1,386,495 730 NVR, Inc. (a) 1,087,729 19,796 Tempur Sealy International, Inc. (a) 1,495,588 Page 80 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 25,621 Toll Brothers, Inc. (a) $ 997,169 --------------- 4,966,981 --------------- HOUSEHOLD PRODUCTS -- 0.3% 4,020 Church & Dwight Co., Inc. 347,047 --------------- INDUSTRIAL CONGLOMERATES -- 1.1% 13,029 Carlisle Cos., Inc. 1,319,317 --------------- INSURANCE -- 0.6% 13,791 Arthur J. Gallagher & Co. 654,107 --------------- INTERNET & CATALOG RETAIL -- 0.6% 9,292 HSN, Inc. 683,055 --------------- IT SERVICES -- 6.8% 6,521 Broadridge Financial Solutions, Inc. 353,895 32,869 CoreLogic, Inc. (a) 1,296,353 12,943 DST Systems, Inc. 1,412,729 7,604 Gartner, Inc. (a) 673,486 15,764 Global Payments, Inc. 1,766,987 19,848 MAXIMUS, Inc. 1,353,832 8,586 WEX, Inc. (a) 876,115 --------------- 7,733,397 --------------- LEISURE PRODUCTS -- 1.7% 19,239 Brunswick Corp. 1,021,399 6,605 Polaris Industries, Inc. 905,281 --------------- 1,926,680 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.5% 3,311 Bio-Techne Corp. 362,157 9,273 Charles River Laboratories International, Inc. (a) 719,770 1,910 Mettler-Toledo International, Inc. (a) 644,816 --------------- 1,726,743 --------------- MACHINERY -- 2.2% 7,796 ITT Corp. 296,248 4,186 Nordson Corp. 310,224 10,382 Wabtec Corp. 1,050,555 17,794 Woodward, Inc. 878,312 --------------- 2,535,339 --------------- MEDIA -- 2.3% 19,924 AMC Networks, Inc., Class A (a) 1,677,999 35,594 Live Nation Entertainment, Inc. (a) 933,275 --------------- 2,611,274 --------------- PHARMACEUTICALS -- 0.9% 22,411 Akorn, Inc. (a) 1,033,371 --------------- PROFESSIONAL SERVICES -- 1.0% 14,984 CEB, Inc. 1,146,576 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS -- 1.5% 4,999 Extra Space Storage, Inc. $ 367,526 4,464 Home Properties, Inc. 328,997 5,675 Lamar Advertising Co., Class A 340,784 4,478 Mid-America Apartment Communities, Inc. 359,762 10,181 UDR, Inc. 344,220 --------------- 1,741,289 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.8% 8,277 Alexander & Baldwin, Inc. 312,457 9,538 Jones Lang LaSalle, Inc. 1,698,145 --------------- 2,010,602 --------------- ROAD & RAIL -- 0.6% 9,756 Landstar System, Inc. 702,725 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.8% 60,121 Integrated Device Technology, Inc. (a) 1,148,912 18,115 Silicon Laboratories, Inc. (a) 814,994 54,522 SunEdison, Inc. (a) 1,269,272 --------------- 3,233,178 --------------- SOFTWARE -- 12.2% 66,371 ACI Worldwide, Inc. (a) 1,571,002 7,149 ANSYS, Inc. (a) 673,078 33,177 Cadence Design Systems, Inc. (a) 695,722 6,019 FactSet Research Systems, Inc. 997,107 14,371 Fair Isaac Corp. 1,303,306 39,455 Fortinet, Inc. (a) 1,883,582 26,916 Informatica Corp. (a) 1,305,964 27,337 Manhattan Associates, Inc. (a) 1,771,984 15,902 PTC, Inc. (a) 578,038 19,319 Synopsys, Inc. (a) 982,178 10,083 Tyler Technologies, Inc. (a) 1,406,982 3,968 Ultimate Software Group (The), Inc. (a) 730,945 --------------- 13,899,888 --------------- SPECIALTY RETAIL -- 2.9% 24,335 Foot Locker, Inc. 1,716,834 5,087 Signet Jewelers Ltd. 616,646 11,893 Williams-Sonoma, Inc. 1,006,862 --------------- 3,340,342 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.4% 15,340 Carter's, Inc. 1,555,629 --------------- TOTAL INVESTMENTS -- 100.0% 114,290,014 (Cost $103,845,729) (b) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (17,185) --------------- NET ASSETS -- 100.0% $ 114,272,829 =============== See Notes to Financial Statements Page 81 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $104,234,470. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $11,520,677 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,465,133. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 114,290,014 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. Page 82 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 1.8% 12,711 AAR Corp. $ 342,561 2,129 Cubic Corp. 94,464 4,025 Engility Holdings, Inc. 88,188 4,299 Moog, Inc., Class A (a) 287,431 6,428 National Presto Industries, Inc. 508,841 --------------- 1,321,485 --------------- AIR FREIGHT & LOGISTICS -- 0.6% 9,394 Atlas Air Worldwide Holdings, Inc. (a) 461,715 --------------- AIRLINES -- 1.0% 56,244 Republic Airways Holdings, Inc. (a) 283,470 26,936 SkyWest, Inc. 446,060 --------------- 729,530 --------------- AUTO COMPONENTS -- 1.1% 4,250 Dorman Products, Inc. (a) 224,315 8,651 Standard Motor Products, Inc. 316,367 16,594 Superior Industries International, Inc. 280,771 --------------- 821,453 --------------- BANKS -- 4.3% 13,695 BBCN Bancorp, Inc. 210,218 4,264 Central Pacific Financial Corp. 99,309 4,113 City Holding Co. 198,329 2,681 Community Bank System, Inc. 102,495 7,072 F.N.B. Corp. 97,523 107,120 First BanCorp (a) 461,687 10,561 First Commonwealth Financial Corp. 97,161 5,645 First Financial Bancorp 107,312 4,077 Hanmi Financial Corp. 103,189 17,957 National Penn Bancshares, Inc. 192,499 7,740 NBT Bancorp, Inc. 209,212 37,967 OFG Bancorp 306,014 14,008 Old National Bancorp 201,575 3,423 S&T Bancorp, Inc. 105,839 6,890 Sterling Bancorp 102,592 1,885 Tompkins Financial Corp. 101,884 1,776 UMB Financial Corp. 97,360 8,019 Wilshire Bancorp, Inc. 93,181 3,795 Wintrust Financial Corp. 204,626 --------------- 3,092,005 --------------- BUILDING PRODUCTS -- 1.7% 19,085 Griffon Corp. 329,025 4,726 Quanex Building Products Corp. 94,898 5,958 Simpson Manufacturing Co., Inc. 213,416 9,923 Universal Forest Products, Inc. 630,111 --------------- 1,267,450 --------------- CAPITAL MARKETS -- 2.0% 24,803 Calamos Asset Management, Inc., Class A 297,884 SHARES DESCRIPTION VALUE ----------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 8,168 Investment Technology Group, Inc. $ 166,219 11,831 Piper Jaffray Cos. (a) 530,620 3,904 Virtus Investment Partners, Inc. 471,838 --------------- 1,466,561 --------------- CHEMICALS -- 3.1% 2,317 A. Schulman, Inc. 86,262 15,678 Calgon Carbon Corp. 277,344 40,118 FutureFuel Corp. 458,950 7,523 Hawkins, Inc. 274,439 5,772 Innophos Holdings, Inc. 297,143 33,929 Intrepid Potash, Inc. (a) 289,754 4,241 Kraton Performance Polymers, Inc. (a) 87,025 5,615 Stepan Co. 275,191 13,742 Tredegar Corp. 231,690 --------------- 2,277,798 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.4% 6,162 ABM Industries, Inc. 203,099 7,741 Essendant, Inc. 285,024 15,800 Tetra Tech, Inc. 420,912 3,622 UniFirst Corp. 401,390 14,943 Viad Corp. 428,416 --------------- 1,738,841 --------------- COMMUNICATIONS EQUIPMENT -- 1.4% 12,465 ADTRAN, Inc. 205,673 20,256 Black Box Corp. 317,209 17,773 Comtech Telecommunications Corp. 512,040 --------------- 1,034,922 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 4,240 EMCOR Group, Inc. 202,799 71,512 Orion Marine Group, Inc. (a) 517,747 --------------- 720,546 --------------- CONSUMER FINANCE -- 3.2% 7,734 Cash America International, Inc. 214,464 7,109 Encore Capital Group, Inc. (a) 305,758 69,491 EZCORP, Inc., Class A (a) 492,691 6,664 First Cash Financial Services, Inc. (a) 271,025 27,004 Green Dot Corp., Class A (a) 559,523 8,394 World Acceptance Corp. (a) 456,801 --------------- 2,300,262 --------------- DISTRIBUTORS -- 0.3% 24,463 VOXX International Corp. (a) 195,704 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.6% 20,075 American Public Education, Inc. (a) 519,340 See Notes to Financial Statements Page 83 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 7,548 Capella Education Co. $ 388,798 35,330 Universal Technical Institute, Inc. 225,052 --------------- 1,133,190 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3% 4,398 Atlantic Tele-Network, Inc. 311,115 56,801 Iridium Communications, Inc. (a) 421,463 13,695 Lumos Networks Corp. 191,182 --------------- 923,760 --------------- ELECTRIC UTILITIES -- 1.6% 11,130 ALLETE, Inc. 537,467 11,688 El Paso Electric Co. 425,794 4,421 UIL Holdings Corp. 211,943 --------------- 1,175,204 --------------- ELECTRICAL EQUIPMENT -- 0.7% 4,573 Encore Wire Corp. 156,991 2,882 EnerSys 179,981 6,265 Franklin Electric Co., Inc. 180,808 --------------- 517,780 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 9.0% 4,664 Anixter International, Inc. (a) 308,803 23,706 Benchmark Electronics, Inc. (a) 522,954 19,897 Checkpoint Systems, Inc. 173,900 4,786 Coherent, Inc. (a) 277,349 10,511 CTS Corp. 197,502 17,079 Daktronics, Inc. 195,213 27,566 Fabrinet (a) 511,625 2,169 FARO Technologies, Inc. (a) 95,197 21,344 II-VI, Inc. (a) 362,848 10,158 Insight Enterprises, Inc. (a) 274,164 2,135 Littelfuse, Inc. 196,420 6,918 Mercury Systems, Inc. (a) 97,475 1,469 MTS Systems Corp. 94,912 16,025 Newport Corp. (a) 253,836 4,292 OSI Systems, Inc. (a) 301,213 5,286 Park Electrochemical Corp. 93,351 9,232 Plexus Corp. (a) 352,108 11,008 Rofin-Sinar Technologies, Inc. (a) 274,539 3,063 Rogers Corp. (a) 171,436 25,611 Sanmina Corp. (a) 565,235 10,644 ScanSource, Inc. (a) 402,663 5,535 SYNNEX Corp. 418,612 40,552 TTM Technologies, Inc. (a) 370,240 --------------- 6,511,595 --------------- ENERGY EQUIPMENT & SERVICES -- 5.8% 53,657 Basic Energy Services, Inc. (a) 324,088 7,601 Bristow Group, Inc. 342,425 SHARES DESCRIPTION VALUE ----------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 2,433 CARBO Ceramics, Inc. $ 79,924 19,781 Era Group, Inc. (a) 334,892 9,306 Exterran Holdings, Inc. 230,696 46,224 Gulf Island Fabrication, Inc. 527,416 44,510 GulfMark Offshore, Inc., Class A 419,284 25,150 Hornbeck Offshore Services, Inc. (a) 457,730 11,081 Matrix Service Co. (a) 214,750 63,508 Newpark Resources, Inc. (a) 459,163 63,898 Pioneer Energy Services Corp. (a) 233,867 7,278 SEACOR Holdings, Inc. (a) 459,751 9,292 Tesco Corp. 89,203 --------------- 4,173,189 --------------- FOOD & STAPLES RETAILING -- 1.1% 13,239 Andersons (The), Inc. 493,814 9,337 SpartanNash Co. 300,745 --------------- 794,559 --------------- FOOD PRODUCTS -- 1.8% 27,634 Darling Ingredients, Inc. (a) 355,097 6,870 Sanderson Farms, Inc. 494,708 14,588 Seneca Foods Corp., Class A (a) 425,824 --------------- 1,275,629 --------------- GAS UTILITIES -- 2.8% 7,782 Laclede Group (The), Inc. 421,084 11,028 New Jersey Resources Corp. 318,709 7,203 Northwest Natural Gas Co. 311,818 5,737 Piedmont Natural Gas Co., Inc. 218,063 12,286 South Jersey Industries, Inc. 297,813 7,613 Southwest Gas Corp. 428,917 --------------- 1,996,404 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.9% 2,567 Analogic Corp. 206,772 1,878 Greatbatch, Inc. (a) 102,407 5,433 Meridian Bioscience, Inc. 98,283 4,702 Merit Medical Systems, Inc. (a) 120,183 4,324 SurModics, Inc. (a) 101,571 --------------- 629,216 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.5% 7,350 Air Methods Corp. (a) 289,516 5,075 Almost Family, Inc. (a) 222,082 6,326 CorVel Corp. (a) 202,179 22,027 Hanger, Inc. (a) 476,664 25,362 Healthways, Inc. (a) 321,083 2,648 LHC Group, Inc. (a) 106,688 2,891 Magellan Health, Inc. (a) 175,166 --------------- 1,793,378 --------------- Page 84 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY -- 0.1% 1,896 Computer Programs & Systems, Inc. $ 88,676 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.3% 490 Biglari Holdings, Inc. (a) 213,057 8,865 Interval Leisure Group, Inc. 189,002 21,122 Marcus (The) Corp. 442,717 19,704 Monarch Casino & Resort, Inc. (a) 366,691 1,180 Red Robin Gourmet Burgers, Inc. (a) 108,147 48,458 Ruby Tuesday, Inc. (a) 355,682 --------------- 1,675,296 --------------- HOUSEHOLD DURABLES -- 1.6% 11,535 Ethan Allen Interiors, Inc. 348,241 3,177 iRobot Corp. (a) 97,820 11,535 La-Z-Boy, Inc. 292,989 16,421 M/I Homes, Inc. (a) 411,839 --------------- 1,150,889 --------------- HOUSEHOLD PRODUCTS -- 0.4% 26,629 Central Garden & Pet Co., Class A (a) 268,420 --------------- INSURANCE -- 5.1% 7,508 American Equity Investment Life Holding Co. 221,786 22,665 Employers Holdings, Inc. 543,960 5,568 Horace Mann Educators Corp. 196,216 5,342 Infinity Property & Casualty Corp. 414,059 5,223 Navigators Group (The), Inc. (a) 408,334 8,767 ProAssurance Corp. 423,359 18,407 Selective Insurance Group, Inc. 567,120 2,545 Stewart Information Services Corp. 104,650 12,366 United Fire Group, Inc. 427,369 26,069 United Insurance Holdings Corp. 418,668 --------------- 3,725,521 --------------- INTERNET & CATALOG RETAIL -- 0.4% 7,185 FTD Cos., Inc. (a) 209,299 5,864 PetMed Express, Inc. 98,808 --------------- 308,107 --------------- IT SERVICES -- 2.7% 5,008 CACI International, Inc., Class A (a) 411,307 3,199 CSG Systems International, Inc. 99,489 13,969 ManTech International Corp., Class A 416,416 10,528 Perficient, Inc. (a) 170,869 21,292 Sykes Enterprises, Inc. (a) 519,099 11,220 TeleTech Holdings, Inc. 304,399 --------------- 1,921,579 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 23,471 Luminex Corp. (a) $ 404,405 --------------- MACHINERY -- 3.2% 4,386 Actuant Corp., Class A 101,141 2,545 Albany International Corp., Class A 94,725 7,265 Astec Industries, Inc. 285,587 10,390 Barnes Group, Inc. 404,483 15,775 Briggs & Stratton Corp. 291,522 3,715 CIRCOR International, Inc. 177,688 5,414 ESCO Technologies, Inc. 206,111 27,170 Federal Signal Corp. 406,463 1,152 Lindsay Corp. 96,618 2,534 Standex International Corp. 189,645 1,550 Tennant Co. 92,706 --------------- 2,346,689 --------------- MEDIA -- 1.3% 28,957 Gannett Co., Inc. (a) 366,306 86,631 Harte-Hanks, Inc. 406,300 4,590 Scholastic Corp. 197,783 --------------- 970,389 --------------- METALS & MINING -- 1.4% 4,107 Haynes International, Inc. 174,835 14,647 Materion Corp. 448,198 44,549 Stillwater Mining Co. (a) 424,107 --------------- 1,047,140 --------------- MULTI-UTILITIES -- 1.4% 16,846 Avista Corp. 556,255 8,310 NorthWestern Corp. 447,410 --------------- 1,003,665 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.2% 75,375 Approach Resources, Inc. (a) 293,209 60,107 Bill Barrett Corp. (a) 341,408 22,198 Bonanza Creek Energy, Inc. (a) 173,366 110,798 Cloud Peak Energy, Inc. (a) 352,337 121,655 Comstock Resources, Inc. 153,285 33,016 Contango Oil & Gas Co. (a) 303,087 18,741 Green Plains, Inc. 420,735 59,839 Northern Oil and Gas, Inc. (a) 284,834 9,626 PDC Energy, Inc. (a) 451,941 92,491 Penn Virginia Corp. (a) 123,938 72,471 Rex Energy Corp. (a) 162,335 --------------- 3,060,475 --------------- PAPER & FOREST PRODUCTS -- 1.1% 23,480 P.H. Glatfelter Co. 479,227 7,619 Schweitzer-Mauduit International, Inc. 302,474 --------------- 781,701 --------------- PERSONAL PRODUCTS -- 0.1% 3,134 Medifast, Inc. (a) 96,747 --------------- PROFESSIONAL SERVICES -- 1.2% 7,791 CDI Corp. 94,349 19,794 Kelly Services, Inc., Class A 295,722 See Notes to Financial Statements Page 85 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 12,589 Resources Connection, Inc. $ 199,284 10,162 TrueBlue, Inc. (a) 261,773 --------------- 851,128 --------------- REAL ESTATE INVESTMENT TRUSTS -- 2.2% 3,472 Agree Realty Corp. 107,597 36,497 Capstead Mortgage Corp. 404,022 3,698 EPR Properties 211,230 5,930 GEO Group (The), Inc. 223,857 2,435 LTC Properties, Inc. 106,823 2,807 PS Business Parks, Inc. 216,111 16,265 Urstadt Biddle Properties, Inc., Class A 310,662 --------------- 1,580,302 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 23,088 Forestar Group, Inc. (a) 295,526 --------------- ROAD & RAIL -- 1.2% 24,967 Celadon Group, Inc. 541,784 11,777 Roadrunner Transportation Systems, Inc. (a) 308,322 --------------- 850,106 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.1% 7,368 Advanced Energy Industries, Inc. (a) 192,968 6,449 Cabot Microelectronics Corp. (a) 292,397 7,655 Cohu, Inc. 75,861 21,415 Diodes, Inc. (a) 475,199 44,092 Kulicke & Soffa Industries, Inc. (a) 458,998 10,678 MKS Instruments, Inc. 379,069 23,105 Pericom Semiconductor Corp. 276,567 2,242 Power Integrations, Inc. 86,900 --------------- 2,237,959 --------------- SOFTWARE -- 0.3% 6,000 Epiq Systems, Inc. 99,300 4,201 Monotype Imaging Holdings, Inc. 104,731 --------------- 204,031 --------------- SPECIALTY RETAIL -- 7.7% 11,704 Barnes & Noble, Inc. (a) 307,698 28,509 Big 5 Sporting Goods Corp. 313,884 4,426 Buckle (The), Inc. 195,762 9,561 Caleres, Inc. 315,895 7,839 Cato (The) Corp., Class A 301,096 4,645 Children's Place (The), Inc. 268,946 128,758 Christopher & Banks Corp. (a) 415,888 14,562 Finish Line (The), Inc., Class A 400,309 7,819 Genesco, Inc. (a) 505,811 4,684 Haverty Furniture Cos., Inc. 103,891 SHARES DESCRIPTION VALUE ----------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 6,523 Hibbett Sports, Inc. (a) $ 297,123 7,268 Kirkland's, Inc. 198,271 24,931 Lumber Liquidators Holdings, Inc. (a) 481,168 16,508 Pep Boys-Manny, Moe & Jack (The) (a) 195,620 12,750 Sonic Automotive, Inc., Class A 296,948 29,453 Stage Stores, Inc. 518,373 9,673 Stein Mart, Inc. 98,568 10,870 Vitamin Shoppe, Inc. (a) 399,581 --------------- 5,614,832 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 28,549 QLogic Corp. (a) 253,230 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.1% 19,010 Movado Group, Inc. 481,524 9,070 Unifi, Inc. (a) 279,900 --------------- 761,424 --------------- THRIFTS & MORTGAGE FINANCE -- 1.3% 14,689 Astoria Financial Corp. 222,098 11,957 Dime Community Bancshares, Inc. 203,269 7,900 Northwest Bancshares, Inc. 100,251 6,310 Oritani Financial Corp. 99,130 10,666 Provident Financial Services, Inc. 209,267 14,407 TrustCo Bank Corp. NY 89,755 --------------- 923,770 --------------- TOBACCO -- 0.7% 9,008 Universal Corp. 513,906 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 10,217 Applied Industrial Technologies, Inc. 394,683 7,244 Kaman Corp. 285,920 --------------- 680,603 --------------- WATER UTILITIES -- 0.1% 2,709 American States Water Co. 104,432 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 30,660 Spok Holdings, Inc. 512,942 --------------- TOTAL INVESTMENTS -- 100.1% 72,586,066 (Cost $79,180,857) (b) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (95,495) --------------- NET ASSETS -- 100.0% $ 72,490,571 =============== Page 86 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $80,978,704. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,819,398 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $11,212,036. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 72,586,066 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. See Notes to Financial Statements Page 87 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 1.3% 14,882 Aerojet Rocketdyne Holdings, Inc. (a) $ 348,387 2,114 Curtiss-Wright Corp. 142,420 23,012 TASER International, Inc. (a) 626,387 --------------- 1,117,194 --------------- AIR FREIGHT & LOGISTICS -- 1.2% 23,474 Echo Global Logistics, Inc. (a) 758,210 5,870 Forward Air Corp. 284,989 --------------- 1,043,199 --------------- AIRLINES -- 1.3% 2,586 Allegiant Travel Co. 550,120 25,826 Hawaiian Holdings, Inc. (a) 560,940 --------------- 1,111,060 --------------- AUTO COMPONENTS -- 1.2% 7,927 Drew Industries, Inc. 464,998 11,169 Gentherm, Inc. (a) 562,136 --------------- 1,027,134 --------------- AUTOMOBILES -- 0.5% 19,502 Winnebago Industries, Inc. 435,480 --------------- BANKS -- 8.8% 9,594 Banner Corp. 457,250 11,434 Boston Private Financial Holdings, Inc. 143,840 21,111 Cardinal Financial Corp. 493,153 14,136 Columbia Banking System, Inc. 463,519 17,416 CVB Financial Corp. 308,437 8,853 First Financial Bankshares, Inc. 300,825 16,166 First Midwest Bancorp, Inc. 303,436 5,213 Glacier Bancorp, Inc. 146,485 12,583 Home BancShares, Inc. 501,055 6,540 Independent Bank Corp. 316,274 20,307 LegacyTexas Financial Group, Inc. 617,130 17,809 MB Financial, Inc. 607,287 11,280 Pinnacle Financial Partners, Inc. 598,855 15,402 PrivateBancorp, Inc. 636,719 9,853 Simmons First National Corp., Class A 447,819 5,243 Southside Bancshares, Inc. 143,239 18,308 Talmer Bancorp, Inc., Class A 298,420 9,853 Texas Capital Bancshares, Inc. (a) 580,736 11,434 United Bankshares, Inc. 463,420 --------------- 7,827,899 --------------- BIOTECHNOLOGY -- 3.4% 23,266 Emergent BioSolutions, Inc. (a) 763,823 7,597 Ligand Pharmaceuticals, Inc. (a) 822,451 33,609 Momenta Pharmaceuticals, Inc. (a) 730,660 11,148 Repligen Corp. (a) 390,291 44,831 Spectrum Pharmaceuticals, Inc. (a) 310,006 --------------- 3,017,231 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- BUILDING PRODUCTS -- 2.9% 13,976 American Woodmark Corp. (a) $ 919,062 14,565 Apogee Enterprises, Inc. 803,697 52,837 PGT, Inc. (a) 849,090 --------------- 2,571,849 --------------- CAPITAL MARKETS -- 1.1% 5,681 Evercore Partners, Inc., Class A 334,043 3,612 Financial Engines, Inc. 165,646 11,020 HFF, Inc., Class A 505,157 --------------- 1,004,846 --------------- CHEMICALS -- 0.4% 2,752 Balchem Corp. 155,956 1,724 Quaker Chemical Corp. 159,815 --------------- 315,771 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.1% 2,216 G&K Services, Inc., Class A 145,281 13,917 Healthcare Services Group, Inc. 485,842 11,542 Matthews International Corp., Class A 621,537 3,645 Mobile Mini, Inc. 135,339 9,443 US Ecology, Inc. 433,339 --------------- 1,821,338 --------------- COMMUNICATIONS EQUIPMENT -- 0.7% 14,946 Bel Fuse, Inc., Class B 330,008 8,399 CalAmp Corp. (a) 143,707 12,325 Ixia (a) 162,690 --------------- 636,405 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 13,028 Dycom Industries, Inc. (a) 860,630 --------------- CONSTRUCTION MATERIALS -- 0.7% 33,661 Headwaters, Inc. (a) 639,896 --------------- CONSUMER FINANCE -- 0.5% 7,381 PRA Group, Inc. (a) 469,063 --------------- DISTRIBUTORS -- 0.5% 6,553 Pool Corp. 461,462 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.7% 6,610 MarketAxess Holdings, Inc. 646,458 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.0% 34,223 8x8, Inc. (a) 298,082 120,411 Cincinnati Bell, Inc. (a) 470,807 7,300 Consolidated Communications Holdings, Inc. 145,489 45,067 General Communication, Inc., Class A (a) 829,233 --------------- 1,743,611 --------------- Page 88 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT -- 0.7% 8,877 AZZ, Inc. $ 459,385 12,580 Vicor Corp. (a) 130,958 --------------- 590,343 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.5% 4,831 Badger Meter, Inc. 284,159 5,026 DTS, Inc. (a) 143,191 --------------- 427,350 --------------- ENERGY EQUIPMENT & SERVICES -- 0.1% 5,223 U.S. Silica Holdings, Inc. 117,622 --------------- FOOD PRODUCTS -- 3.1% 5,376 B&G Foods, Inc. 158,753 11,812 Calavo Growers, Inc. 643,872 14,686 Cal-Maine Foods, Inc. 795,394 9,774 Diamond Foods, Inc. (a) 315,798 2,769 J&J Snack Foods Corp. 327,739 14,253 Snyder's-Lance, Inc. 463,507 --------------- 2,705,063 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 7.1% 6,997 ABIOMED, Inc. (a) 541,988 11,429 Cantel Medical Corp. 627,223 7,897 CONMED Corp. 447,918 27,184 CryoLife, Inc. 297,665 19,869 Cynosure, Inc., Class A (a) 770,917 3,204 ICU Medical, Inc. (a) 320,144 10,071 Integra LifeSciences Holdings Corp. (a) 645,853 19,790 Masimo Corp. (a) 824,847 10,811 Natus Medical, Inc. (a) 488,225 3,233 Neogen Corp. (a) 188,128 6,474 NuVasive, Inc. (a) 356,135 17,663 Vascular Solutions, Inc. (a) 657,593 2,640 West Pharmaceutical Services, Inc. 158,057 --------------- 6,324,693 --------------- HEALTH CARE PROVIDERS & SERVICES -- 8.2% 24,902 Aceto Corp. 583,454 19,297 Amedisys, Inc. (a) 841,928 24,267 AMN Healthcare Services, Inc. (a) 714,178 10,958 AmSurg Corp. (a) 786,127 18,586 Bio-Reference Laboratories, Inc. (a) 824,661 4,678 Chemed Corp. 694,496 60,458 Cross Country Healthcare, Inc. (a) 729,728 15,014 Ensign Group (The), Inc. 767,516 7,845 ExamWorks Group, Inc. (a) 275,202 SHARES DESCRIPTION VALUE ----------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 13,852 Providence Service (The) Corp. (a) $ 651,875 28,392 Select Medical Holdings Corp. 409,696 --------------- 7,278,861 --------------- HEALTH CARE TECHNOLOGY -- 2.6% 20,164 HealthStream, Inc. (a) 565,802 20,851 MedAssets, Inc. (a) 485,828 8,468 Medidata Solutions, Inc. (a) 455,578 16,265 Omnicell, Inc. (a) 593,998 18,504 Quality Systems, Inc. 235,926 --------------- 2,337,132 --------------- HOTELS, RESTAURANTS & LEISURE -- 6.0% 6,329 BJ's Restaurants, Inc. (a) 326,323 6,006 Bob Evans Farms, Inc. 299,820 1,741 Jack in the Box, Inc. 165,395 6,687 Marriott Vacations Worldwide Corp. 559,033 10,137 Papa John's International, Inc. 765,952 20,565 Pinnacle Entertainment, Inc. (a) 791,752 5,112 Popeyes Louisiana Kitchen, Inc. (a) 310,196 28,536 Ruth's Hospitality Group, Inc. 500,236 49,333 Scientific Games Corp., Class A (a) 744,928 5,325 Sonic Corp. 158,259 16,386 Texas Roadhouse, Inc. 645,445 --------------- 5,267,339 --------------- HOUSEHOLD DURABLES -- 2.8% 7,864 Helen of Troy Ltd. (a) 690,302 13,025 Meritage Homes Corp. (a) 587,427 13,223 Ryland Group (The), Inc. 601,250 68,836 Standard Pacific Corp. (a) 618,836 --------------- 2,497,815 --------------- HOUSEHOLD PRODUCTS -- 0.2% 1,759 WD-40 Co. 157,659 --------------- INSURANCE -- 1.9% 9,776 AMERISAFE, Inc. 489,289 6,936 HCI Group, Inc. 311,288 2,982 RLI Corp. 164,696 25,344 Universal Insurance Holdings, Inc. 694,932 --------------- 1,660,205 --------------- INTERNET & CATALOG RETAIL -- 1.2% 5,047 Blue Nile, Inc. (a) 160,091 30,812 Nutrisystem, Inc. 925,900 --------------- 1,085,991 --------------- INTERNET SOFTWARE & SERVICES -- 4.6% 8,636 comScore, Inc. (a) 505,206 12,209 Dealertrack Technologies, Inc. (a) 757,812 See Notes to Financial Statements Page 89 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES (CONTINUED) 34,493 DHI Group, Inc. (a) $ 274,909 6,770 j2 Global, Inc. 476,608 11,887 LogMeIn, Inc. (a) 874,645 8,391 NIC, Inc. 151,374 47,540 QuinStreet, Inc. (a) 276,683 10,418 Stamps.com, Inc. (a) 714,675 --------------- 4,031,912 --------------- IT SERVICES -- 2.3% 8,274 Cardtronics, Inc. (a) 306,717 8,866 ExlService Holdings, Inc. (a) 343,735 11,345 Heartland Payment Systems, Inc. 706,794 14,914 Virtusa Corp. (a) 714,977 --------------- 2,072,223 --------------- LEISURE PRODUCTS -- 0.4% 5,337 Sturm Ruger & Co., Inc. 320,327 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.2% 14,039 Affymetrix, Inc. (a) 153,867 30,329 Albany Molecular Research, Inc. (a) 641,155 17,446 Cambrex Corp. (a) 859,216 4,770 PAREXEL International Corp. (a) 328,939 --------------- 1,983,177 --------------- MACHINERY -- 1.7% 16,318 John Bean Technologies Corp. 594,791 10,376 Lydall, Inc. (a) 308,271 8,835 Mueller Industries, Inc. 285,989 4,523 Toro (The) Co. 309,057 --------------- 1,498,108 --------------- MARINE -- 0.7% 14,587 Matson, Inc. 604,194 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.1% 3,116 Carrizo Oil & Gas, Inc. (a) 118,813 --------------- PAPER & FOREST PRODUCTS -- 0.8% 16,720 Boise Cascade Co. (a) 554,770 2,599 Neenah Paper, Inc. 157,447 --------------- 712,217 --------------- PHARMACEUTICALS -- 4.8% 7,414 ANI Pharmaceuticals, Inc. (a) 526,616 28,581 Depomed, Inc. (a) 900,302 13,357 Impax Laboratories, Inc. (a) 647,280 5,160 Lannett Co., Inc. (a) 307,536 12,257 Nektar Therapeutics (a) 154,561 13,263 Prestige Brands Holdings, Inc. (a) 631,584 6,309 Sagent Pharmaceuticals, Inc. (a) 155,075 SHARES DESCRIPTION VALUE ----------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 45,150 Supernus Pharmaceuticals, Inc. (a) $ 957,632 --------------- 4,280,586 --------------- PROFESSIONAL SERVICES -- 1.3% 3,422 Exponent, Inc. 152,245 13,232 Korn/Ferry International 443,007 15,614 On Assignment, Inc. (a) 598,329 --------------- 1,193,581 --------------- REAL ESTATE INVESTMENT TRUSTS -- 1.5% 16,066 Associated Estates Realty Corp. 461,898 10,122 CoreSite Realty Corp. 508,124 23,573 Summit Hotel Properties, Inc. 321,300 --------------- 1,291,322 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.9% 22,530 Cirrus Logic, Inc. (a) 743,715 15,677 Exar Corp. (a) 123,378 44,442 Kopin Corp. (a) 132,437 13,159 Microsemi Corp. (a) 433,458 3,024 Monolithic Power Systems, Inc. 156,371 7,074 Synaptics, Inc. (a) 561,534 8,075 Tessera Technologies, Inc. 279,880 8,260 Ultratech, Inc. (a) 131,499 --------------- 2,562,272 --------------- SOFTWARE -- 3.3% 13,463 Blackbaud, Inc. 823,397 5,512 Bottomline Technologies (de), Inc. (a) 151,360 18,808 Ebix, Inc. 582,860 5,573 Progress Software Corp. (a) 165,407 10,059 Synchronoss Technologies, Inc. (a) 480,820 5,561 Take-Two Interactive Software, Inc. (a) 175,616 25,395 VASCO Data Security International, Inc. (a) 517,804 --------------- 2,897,264 --------------- SPECIALTY RETAIL -- 3.5% 6,754 Group 1 Automotive, Inc. 654,935 6,774 Lithia Motors, Inc., Class A 810,780 26,085 MarineMax, Inc. (a) 471,095 4,935 Monro Muffler Brake, Inc. 312,139 6,044 Outerwall, Inc. 428,036 15,296 Select Comfort Corp. (a) 398,308 --------------- 3,075,293 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 3,523 Electronics For Imaging, Inc. (a) 161,001 10,364 Super Micro Computer, Inc. (a) 276,408 --------------- 437,409 --------------- Page 90 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 2.2% 10,897 G-III Apparel Group Ltd. (a) $ 787,090 8,764 Oxford Industries, Inc. 735,563 10,749 Steven Madden Ltd. (a) 448,018 --------------- 1,970,671 --------------- THRIFTS & MORTGAGE FINANCE -- 2.6% 39,981 Bank Mutual Corp. 290,662 7,253 BofI Holding, Inc. (a) 891,031 40,743 Brookline Bancorp, Inc. 459,174 28,668 Walker & Dunlop, Inc. (a) 686,598 --------------- 2,327,465 --------------- TOTAL INVESTMENTS -- 100.1% 88,577,433 (Cost $81,335,658) (b) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (85,774) --------------- NET ASSETS -- 100.0% $ 88,491,659 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $81,788,301. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $8,227,807 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,438,675. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 88,577,433 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. See Notes to Financial Statements Page 91 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS -- 100.0% AIR FREIGHT & LOGISTICS -- 2.0% 2,055 FedEx Corp. $ 352,268 --------------- AUTOMOBILES -- 3.8% 15,551 Ford Motor Co. 230,621 14,007 General Motors Co. 441,361 --------------- 671,982 --------------- BANKS -- 0.7% 1,722 JPMorgan Chase & Co. 118,009 --------------- BIOTECHNOLOGY -- 6.1% 4,984 Gilead Sciences, Inc. 587,414 915 Regeneron Pharmaceuticals, Inc. (a) 506,599 --------------- 1,094,013 --------------- CAPITAL MARKETS -- 1.3% 1,118 Goldman Sachs Group (The), Inc. 229,268 --------------- CHEMICALS -- 2.4% 2,281 Dow Chemical (The) Co. 107,344 3,382 LyondellBasell Industries N.V., Class A 317,333 --------------- 424,677 --------------- COMMUNICATIONS EQUIPMENT -- 5.4% 12,751 Cisco Systems, Inc. 362,383 9,318 QUALCOMM, Inc. 599,986 --------------- 962,369 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 3,286 AT&T, Inc. 114,156 --------------- ELECTRIC UTILITIES -- 2.1% 4,958 Duke Energy Corp. 367,983 --------------- ENERGY EQUIPMENT & SERVICES -- 0.6% 1,354 Schlumberger Ltd. 112,138 --------------- FOOD & STAPLES RETAILING -- 7.7% 5,564 CVS Health Corp. 625,783 4,147 Walgreens Boots Alliance, Inc. 400,725 4,936 Wal-Mart Stores, Inc. 355,293 --------------- 1,381,801 --------------- FOOD PRODUCTS -- 0.6% 1,371 Kraft Heinz (The) Co. 108,953 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.7% 2,378 Abbott Laboratories 120,541 --------------- HEALTH CARE PROVIDERS & SERVICES -- 7.8% 2,625 Express Scripts Holding Co. (a) 236,434 2,596 McKesson Corp. 572,600 4,783 UnitedHealth Group, Inc. 580,656 --------------- 1,389,690 --------------- SHARES DESCRIPTION VALUE ----------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 2.8% 8,707 Starbucks Corp. $ 504,396 --------------- INSURANCE -- 4.7% 7,552 American International Group, Inc. 484,234 6,254 MetLife, Inc. 348,598 --------------- 832,832 --------------- INTERNET & CATALOG RETAIL -- 4.0% 1,344 Amazon.com, Inc. (a) 720,586 --------------- INTERNET SOFTWARE & SERVICES -- 2.2% 4,603 eBay, Inc. (a) 129,437 2,722 Facebook, Inc., Class A (a) 255,895 --------------- 385,332 --------------- IT SERVICES -- 3.4% 3,618 Accenture PLC, Class A 373,052 2,497 MasterCard, Inc., Class A 243,208 --------------- 616,260 --------------- MACHINERY -- 1.2% 2,752 Caterpillar, Inc. 216,390 --------------- MEDIA -- 9.7% 1,941 Comcast Corp., Class A 121,138 2,620 Time Warner Cable, Inc. 497,826 17,931 Twenty-First Century Fox, Inc., Class A 618,440 4,090 Walt Disney (The) Co. 490,800 --------------- 1,728,204 --------------- MULTILINE RETAIL -- 1.3% 2,860 Target Corp. 234,091 --------------- OIL, GAS & CONSUMABLE FUELS -- 8.2% 6,049 Chevron Corp. 535,215 7,602 ConocoPhillips 382,685 7,014 Exxon Mobil Corp. 555,579 --------------- 1,473,479 --------------- PHARMACEUTICALS -- 4.8% 1,154 Allergan PLC (a) 382,147 8,200 Merck & Co., Inc. 483,472 --------------- 865,619 --------------- ROAD & RAIL -- 1.3% 2,448 Union Pacific Corp. 238,900 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.4% 19,187 Intel Corp. 555,464 4,532 Texas Instruments, Inc. 226,509 --------------- 781,973 --------------- SPECIALTY RETAIL -- 1.4% 2,100 Home Depot (The), Inc. 245,763 --------------- Page 92 See Notes to Financial Statements FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2015 SHARES DESCRIPTION VALUE ----------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 5.2% 2,792 Apple, Inc. $ 338,670 4,423 EMC Corp. 118,934 15,556 Hewlett-Packard Co. 474,769 --------------- 932,373 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.8% 4,322 NIKE, Inc., Class B 497,981 --------------- TOBACCO -- 0.8% 1,563 Reynolds American, Inc. 134,090 --------------- TOTAL INVESTMENTS -- 100.0% 17,856,117 (Cost $17,008,061) (b) NET OTHER ASSETS AND LIABILITIES -- 0.0% 7,664 --------------- NET ASSETS -- 100.0% $ 17,863,781 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $17,155,668. As of July 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,330,409 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $629,960. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 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* $ 17,856,117 $ -- $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2015. See Notes to Financial Statements Page 93 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2015
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............................................... $ 1,932,583,466 $ 1,038,883,659 $ 735,384,486 Cash .............................................................. 1,748,304 -- -- Receivables: Capital shares sold........................................... -- -- -- Investment securities sold.................................... 4,592,022 -- 5,650,822 Dividends..................................................... 1,375,989 348,102 240,541 Interest...................................................... 32 2 3 Securities lending income..................................... -- 48,239 93,735 Prepaid expenses.................................................... 6,885 4,697 3,659 ---------------- ---------------- ---------------- TOTAL ASSETS............................................. 1,940,306,698 1,039,284,699 741,373,246 ---------------- ---------------- ---------------- LIABILITIES: Due to investment advisor........................................... 816,679 430,718 302,688 Due to custodian.................................................... 1,701,148 -- 8,742 Payables: Capital shares redeemed....................................... 4,595,384 -- 2,198,960 Investment securities purchased............................... 47,156 -- 3,413,110 Licensing fees................................................ 237,481 147,206 119,605 Printing fees................................................. 67,870 42,394 32,137 Audit and tax fees............................................ 25,525 25,525 25,525 Trustees' fees................................................ 2,117 1,287 999 Collateral for securities on loan............................. -- 21,474,131 33,220,065 Other liabilities................................................... 389,771 211,464 168,987 ---------------- ---------------- ---------------- TOTAL LIABILITIES........................................ 7,883,131 22,332,725 39,490,818 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,932,423,567 $ 1,016,951,974 $ 701,882,428 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,935,394,302 $ 1,057,991,841 $ 757,823,999 Par value........................................................... 420,500 192,000 145,500 Accumulated net investment income (loss)............................ 951,349 297,557 159,294 Accumulated net realized gain (loss) on investments................. (102,474,099) (89,505,504) (77,220,712) Net unrealized appreciation (depreciation) on investments........... 98,131,515 47,976,080 20,974,347 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,932,423,567 $ 1,016,951,974 $ 701,882,428 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 45.96 $ 52.97 $ 48.24 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 42,050,002 19,200,002 14,550,002 ---------------- ---------------- ---------------- Investments, at cost................................................ $ 1,834,451,951 $ 990,907,579 $ 714,410,139 ================ ================ ================ Securities on loan, at value........................................ $ -- $ 20,925,201 $ 31,779,500 ================ ================ ================
Page 94 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH MID CAP VALUE MID CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FTA) (FTC) (FAB) (FAD) (FNK) (FNK) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,181,607,696 $ 682,683,775 $ 196,972,778 $ 91,450,622 $ 77,713,947 $ 114,290,014 -- 1,100,066 -- 5,985 11,755 31,519 -- 42,388,095 -- 2,602,222 -- 1,565,321 -- 3,582,912 339,961 234,120 -- -- 1,143,890 288,205 143,990 26,288 37,252 16,154 1 19 1 2 -- -- -- -- -- -- 5,973 41 6,444 3,327 2,732 2,283 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,182,758,031 730,046,399 197,459,462 94,321,522 77,768,927 115,903,049 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 508,281 263,747 83,441 28,754 45,707 65,175 -- 1,093,272 -- -- -- -- -- -- -- -- -- -- -- 46,630,415 339,995 2,909,630 -- 1,565,045 173,235 107,669 69,062 55,821 -- -- 52,747 22,056 9,990 4,739 -- -- 25,525 25,525 25,525 25,525 -- -- 1,523 890 532 406 -- -- -- -- -- -- 2,334,123 -- 249,692 137,516 44,359 17,480 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,011,003 48,281,090 572,904 3,042,355 2,379,830 1,630,220 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,181,747,028 $ 681,765,309 $ 196,886,558 $ 91,279,167 $ 75,389,097 $ 114,272,829 ================ ================ ================ ================ ================ ================ $ 1,315,343,412 $ 657,965,417 $ 226,534,994 $ 99,012,182 $ 84,465,439 $ 112,201,592 284,000 136,500 44,000 17,500 25,500 36,500 1,072,659 24,632 117,883 -- 45,244 -- (104,010,794) (51,322,070) (23,238,247) (17,858,769) (4,695,856) (8,409,548) (30,942,249) 74,960,830 (6,572,072) 10,108,254 (4,451,230) 10,444,285 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,181,747,028 $ 681,765,309 $ 196,886,558 $ 91,279,167 $ 75,389,097 $ 114,272,829 ================ ================ ================ ================ ================ ================ $ 41.61 $ 49.95 $ 44.75 $ 52.16 $ 29.56 $ 31.31 ================ ================ ================ ================ ================ ================ 28,400,002 13,650,002 4,400,002 1,750,002 2,550,002 3,650,002 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,212,549,945 $ 607,722,945 $ 203,544,850 $ 81,342,368 $ 82,165,177 $ 103,845,729 ================ ================ ================ ================ ================ ================ $ -- $ -- $ -- $ -- $ 2,298,827 $ -- ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 95 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JULY 31, 2015
FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYT) (FYC) (FMK) ---------------- ---------------- ---------------- ASSETS: Investments, at value............................................... $ 72,586,066 $ 88,577,433 $ 17,856,117 Cash .............................................................. 22,528 -- 78,968 Receivables: Capital shares sold........................................... -- 3,198,720 -- Investment securities sold.................................... 3,672,033 -- -- Dividends..................................................... 34,665 16,830 19,097 Interest...................................................... -- -- -- Securities lending income..................................... -- -- -- Prepaid expenses.................................................... -- -- -- ---------------- ---------------- ---------------- TOTAL ASSETS............................................. 76,315,292 91,792,983 17,954,182 ---------------- ---------------- ---------------- LIABILITIES: Due to investment advisor........................................... 45,493 48,464 10,506 Due to custodian.................................................... -- 51,239 -- Payables: Capital shares redeemed....................................... 3,020,318 -- -- Investment securities purchased............................... 758,910 3,201,621 79,895 Licensing fees................................................ -- -- -- Printing fees................................................. -- -- -- Audit and tax fees............................................ -- -- -- Trustees' fees................................................ -- -- -- Collateral for securities on loan............................. -- -- -- Other liabilities................................................... -- -- -- ---------------- ---------------- ---------------- TOTAL LIABILITIES........................................ 3,824,721 3,301,324 90,401 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 72,490,571 $ 88,491,659 $ 17,863,781 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 85,900,424 $ 90,085,081 $ 19,393,019 Par value........................................................... 24,000 27,500 6,500 Accumulated net investment income (loss)............................ 10,494 -- 13,210 Accumulated net realized gain (loss) on investments................. (6,849,556) (8,862,697) (2,397,004) Net unrealized appreciation (depreciation) on investments........... (6,594,791) 7,241,775 848,056 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 72,490,571 $ 88,491,659 $ 17,863,781 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 30.20 $ 32.18 $ 27.48 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 2,400,002 2,750,002 650,002 ---------------- ---------------- ---------------- Investments, at cost................................................ $ 79,180,857 $ 81,335,658 $ 17,008,061 ================ ================ ================ Securities on loan, at value........................................ $ -- $ -- $ -- ================ ================ ================
Page 96 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2015
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............................................................. $ 30,336,696 $ 13,923,870 $ 7,601,064 Interest.............................................................. 408 203 184 Foreign tax withholding............................................... (3,635) -- (5,814) Securities lending income (net of fees)............................... -- 608,336 884,162 ---------------- ---------------- ---------------- Total investment income......................................... 30,333,469 14,532,409 8,479,596 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees.............................................. 8,127,839 4,547,238 3,097,801 Accounting and administration fees.................................... 759,588 462,102 320,537 Licensing fees........................................................ 507,670 292,834 205,868 Custodian fees........................................................ 187,980 147,545 125,887 Printing fees......................................................... 149,653 93,299 66,239 Transfer agent fees................................................... 65,657 45,410 30,978 Legal fees............................................................ 62,371 28,759 17,449 Registration and filing fees.......................................... 40,627 (8,424) 5,673 Audit and tax fees.................................................... 26,059 26,059 26,059 Trustees' fees and expenses........................................... 24,899 15,783 11,947 Listing fees.......................................................... 10,288 8,836 8,255 Expenses previously waived or reimbursed.............................. -- -- -- Other expenses........................................................ 33,166 23,021 14,913 ---------------- ---------------- ---------------- Total expenses.................................................. 9,995,797 5,682,462 3,931,606 Less fees waived and expenses reimbursed by the investment advisor........................................... -- -- -- ---------------- ---------------- ---------------- Net expenses.................................................... 9,995,797 5,682,462 3,931,606 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS).......................................... 20,337,672 8,849,947 4,547,990 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments..................................................... (51,827,777) (23,133,250) (36,803,393) In-kind redemptions............................................. 117,815,553 49,697,181 45,600,476 ---------------- ---------------- ---------------- Net realized gain (loss).............................................. 65,987,776 26,563,931 8,797,083 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments... 22,668,735 1,230,195 11,325,066 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................... 88,656,511 27,794,126 20,122,149 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................... $ 108,994,183 $ 36,644,073 $ 24,670,139 ================ ================ ================
See Notes to Financial Statements Page 97 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE YEAR ENDED JULY 31, 2015
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............................................................. $ 28,975,155 $ 6,524,910 $ 3,944,351 Interest.............................................................. 241 146 52 Foreign tax withholding............................................... -- (2,180) (592) Securities lending income (net of fees)............................... -- -- -- ---------------- ---------------- ---------------- Total investment income......................................... 28,975,396 6,522,876 3,943,811 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees.............................................. 6,068,137 2,492,600 960,372 Accounting and administration fees.................................... 590,697 254,434 110,101 Licensing fees........................................................ 384,088 169,556 77,622 Custodian fees........................................................ 147,168 62,315 24,009 Printing fees......................................................... 118,369 46,337 22,348 Transfer agent fees................................................... 55,343 24,926 9,604 Legal fees............................................................ 49,997 17,523 6,867 Registration and filing fees.......................................... 1,303 12,020 (1,635) Audit and tax fees.................................................... 26,059 26,059 26,059 Trustees' fees and expenses........................................... 20,000 10,424 6,539 Listing fees.......................................................... 10,288 8,836 9,998 Expenses previously waived or reimbursed.............................. -- -- 81,545 Other expenses........................................................ 27,960 10,329 5,593 ---------------- ---------------- ---------------- Total expenses.................................................. 7,499,409 3,135,359 1,339,022 Less fees waived and expenses reimbursed by the investment advisor........................................... -- -- -- ---------------- ---------------- ---------------- Net expenses.................................................... 7,499,409 3,135,359 1,339,022 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS).......................................... 21,475,987 3,387,517 2,604,789 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments........................................................... (76,401,902) (6,165,121) (13,663,852) In-kind redemptions................................................... 130,400,264 25,588,406 19,822,587 ---------------- ---------------- ---------------- Net realized gain (loss).............................................. 53,998,362 19,423,285 6,158,735 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments... (77,570,887) 53,218,109 (10,980,973) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................... (23,572,525) 72,641,394 (4,822,238) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................... $ (2,096,538) $ 76,028,911 $ (2,217,449) ================ ================ ================
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). Page 98 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 862,827 $ 1,379,865 $ 822,261 $ 1,107,752 $ 365,960 $ 353,530 46 -- -- -- -- -- (252) -- -- (1,152) (161) -- -- 81,736 4,529 -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 862,621 1,461,601 826,790 1,106,600 365,799 353,530 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 366,988 520,444 (a) 515,800 (a) 495,146 (a) 325,856 (a) 117,913 (a) 49,102 -- -- -- -- -- 42,019 -- -- -- -- -- 9,174 -- -- -- -- -- 9,892 -- -- -- -- -- 3,670 -- -- -- -- -- 2,617 -- -- -- -- -- (1,543) -- -- -- -- -- 26,059 -- -- -- -- -- 4,920 -- -- -- -- -- 9,594 -- -- -- -- -- -- -- -- -- -- -- 3,072 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 525,564 520,444 515,800 495,146 325,856 117,913 (11,781) -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 513,783 520,444 515,800 495,146 325,856 117,913 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 348,838 941,157 310,990 611,454 39,943 235,617 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (4,353,844) (3,626,832) (4,083,123) (5,179,587) (4,329,202) (746,782) 8,867,362 3,934,647 4,151,769 6,499,372 2,875,692 1,745,450 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 4,513,518 307,815 68,646 1,319,785 (1,453,510) 998,668 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 6,006,422 (2,241,372) 8,532,300 (3,567,066) 6,782,813 (81,912) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 10,519,940 (1,933,557) 8,600,946 (2,247,281) 5,329,303 916,756 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 10,868,778 $ (992,400) $ 8,911,936 $ (1,635,827) $ 5,369,246 $ 1,152,373 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 99 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) ------------------------------------ ------------------------------------ For the For the For the For the Year Ended Year Ended Year Ended Year Ended 7/31/2015 7/31/2014 7/31/2015 7/31/2014 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss).......................... $ 20,337,672 $ 10,003,201 $ 8,849,947 $ 4,370,490 Net realized gain (loss).............................. 65,987,776 99,136,248 26,563,931 80,616,413 Net change in unrealized appreciation (depreciation).. 22,668,735 6,067,281 1,230,195 (19,018,658) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations.................................... 108,994,183 115,206,730 36,644,073 65,968,245 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................. (20,028,256) (9,604,681) (8,693,486) (4,823,561) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................. 1,308,357,788 1,141,302,405 380,892,336 809,847,236 Cost of shares redeemed............................... (616,442,267) (596,190,976) (252,985,305) (495,353,124) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions...................... 691,915,521 545,111,429 127,907,031 314,494,112 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets............... 780,881,448 650,713,478 155,857,618 375,638,796 NET ASSETS: Beginning of period................................... 1,151,542,119 500,828,641 861,094,356 485,455,560 --------------- --------------- --------------- --------------- End of period......................................... $ 1,932,423,567 $ 1,151,542,119 $ 1,016,951,974 $ 861,094,356 =============== =============== =============== =============== Accumulated net investment income (loss) at end of period................................... $ 951,349 $ 641,933 $ 297,557 $ 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........................................... 28,800,000 27,500,000 7,050,000 16,100,000 Shares redeemed....................................... (13,400,000) (14,350,000) (4,850,000) (9,900,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period..................... 42,050,002 26,650,002 19,200,002 17,000,002 =============== =============== =============== ===============
Page 100 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYX) (FTA) (FTC) (FAB) ------------------------------- ------------------------------- ------------------------------- ------------------------------- For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended Ended Ended Ended 7/31/2015 7/31/2014 7/31/2015 7/31/2014 7/31/2015 7/31/2014 7/31/2015 7/31/2014 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 4,547,990 $ 2,291,970 $ 21,475,987 $ 12,673,053 $ 3,387,517 $ 1,395,421 $ 2,604,789 $ 1,668,271 8,797,083 50,833,040 53,998,362 95,461,724 19,423,285 36,409,563 6,158,735 19,614,446 11,325,066 (29,785,571) (77,570,887) (4,308,460) 53,218,109 (1,622,852) (10,980,973) (5,792,479) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 24,670,139 23,339,439 (2,096,538) 103,826,317 76,028,911 36,182,132 (2,217,449) 15,490,238 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (4,451,731) (2,230,680) (21,473,202) (12,117,591) (3,360,670) (1,448,805) (2,607,591) (1,601,926) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 358,071,930 550,328,851 1,002,793,376 1,040,544,629 436,368,800 387,122,970 137,296,874 181,135,122 (196,957,460) (339,969,860) (819,084,676) (577,769,511) (131,564,680) (287,982,101) (111,571,399) (111,263,952) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 161,114,470 210,358,991 183,708,700 462,775,118 304,804,120 99,140,869 25,725,475 69,871,170 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 181,332,878 231,467,750 160,138,960 554,483,844 377,472,361 133,874,196 20,900,435 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 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 701,882,428 $ 520,549,550 $1,181,747,028 $1,021,608,068 $ 681,765,309 $ 304,292,948 $ 196,886,558 $ 175,986,123 ============== ============== ============== ============== ============== ============== ============== ============== $ 159,294 $ 64,436 $ 1,072,659 $ 1,069,874 $ 24,632 $ -- $ 117,883 $ 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 7,200,000 11,700,000 23,300,000 25,600,000 9,300,000 9,400,000 2,950,000 4,050,000 (3,950,000) (7,250,000) (18,950,000) (14,250,000) (2,750,000) (7,000,000) (2,400,000) (2,500,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 14,550,002 11,300,002 28,400,002 24,050,002 13,650,002 7,100,002 4,400,002 3,850,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 101 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST MULTI CAP GROWTH MID CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) ------------------------------------ ------------------------------------ For the For the For the For the Year Ended Year Ended Year Ended Year Ended 7/31/2015 7/31/2014 7/31/2015 7/31/2014 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss).......................... $ 348,838 $ 139,894 $ 941,157 $ 355,442 Net realized gain (loss).............................. 4,513,518 7,085,414 307,815 4,588,303 Net change in unrealized appreciation (depreciation).. 6,006,422 (1,665,748) (2,241,372) (3,547,279) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations.................................... 10,868,778 5,559,560 (992,400) 1,396,466 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................. (360,300) (175,020) (931,865) (323,976) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................. 69,661,337 77,991,482 30,751,492 119,534,369 Cost of shares redeemed............................... (49,952,550) (59,923,009) (54,611,356) (40,735,289) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions...................... 19,708,787 18,068,473 (23,859,864) 78,799,080 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets............... 30,217,265 23,453,013 (25,784,129) 79,871,570 NET ASSETS: Beginning of period................................... 61,061,902 37,608,889 101,173,226 21,301,656 --------------- --------------- --------------- --------------- End of period......................................... $ 91,279,167 $ 61,061,902 $ 75,389,097 $ 101,173,226 =============== =============== =============== =============== Accumulated net investment income (loss) at end of period................................... $ -- $ -- $ 45,244 $ 35,952 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period............... 1,350,002 950,002 3,350,002 800,002 Shares sold........................................... 1,400,000 1,750,000 1,000,000 3,900,000 Shares redeemed....................................... (1,000,000) (1,350,000) (1,800,000) (1,350,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period..................... 1,750,002 1,350,002 2,550,002 3,350,002 =============== =============== =============== ===============
Page 102 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FNY) (FYT) (FYC) (FMK) ------------------------------- ------------------------------- ------------------------------- ------------------------------- For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended Ended Ended Ended 7/31/2015 7/31/2014 7/31/2015 7/31/2014 7/31/2015 7/31/2014 7/31/2015 7/31/2014 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 310,990 $ 28,813 $ 611,454 $ 508,388 $ 39,943 $ (27,457) $ 235,617 $ 148,164 68,646 4,029,420 1,319,785 11,215,988 (1,453,510) 1,049,533 998,668 1,249,401 8,532,300 (866,673) (3,567,066) (5,226,471) 6,782,813 (1,233,096) (81,912) 192,423 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 8,911,936 3,191,560 (1,635,827) 6,497,905 5,369,246 (211,020) 1,152,373 1,589,988 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (338,555) (90,705) (624,290) (485,305) (34,135) (5,440) (239,441) (139,321) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 90,321,466 60,182,014 56,706,307 119,587,054 70,180,467 44,280,002 19,813,751 16,149,225 (26,044,308) (44,021,563) (44,065,997) (108,232,517) (20,581,155) (23,513,424) (15,980,041) (14,817,375) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 64,277,158 16,160,451 12,640,310 11,354,537 49,599,312 20,766,578 3,833,710 1,331,850 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 72,850,539 19,261,306 10,380,193 17,367,137 54,934,423 20,550,118 4,746,642 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 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 114,272,829 $ 41,422,290 $ 72,490,571 $ 62,110,378 $ 88,491,659 $ 33,557,236 $ 17,863,781 $ 13,117,139 ============== ============== ============== ============== ============== ============== ============== ============== $ -- $ -- $ 10,494 $ 23,330 $ -- $ (32,320) $ 13,210 $ 17,034 ============== ============== ============== ============== ============== ============== ============== ============== 1,500,002 900,002 2,000,002 1,600,002 1,200,002 500,002 500,002 450,002 3,000,000 2,200,000 1,750,000 3,850,000 2,250,000 1,500,000 750,000 650,000 (850,000) (1,600,000) (1,350,000) (3,450,000) (700,000) (800,000) (600,000) (600,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 3,650,002 1,500,002 2,400,002 2,000,002 2,750,002 1,200,002 650,002 500,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 103 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 43.21 $ 37.10 $ 28.66 $ 28.38 $ 23.76 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.57 0.49 0.48 0.35 0.25 Net realized and unrealized gain (loss) 2.75 6.10 8.45 0.26 4.63 ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.32 6.59 8.93 0.61 4.88 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.57) (0.48) (0.49) (0.33) (0.26) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 45.96 $ 43.21 $ 37.10 $ 28.66 $ 28.38 ========== ========== ========== ========== ========== TOTAL RETURN (a) 7.67% 17.83% 31.41% 2.20% 20.54% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,932,424 $1,151,542 $ 500,829 $ 326,690 $ 273,861 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.64% 0.66% 0.70% 0.70% Ratio of net expenses to average net assets 0.61% 0.64% 0.66% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.25% 1.25% 1.47% 1.27% 1.04% Portfolio turnover rate (b) 91% 78% 78% 95% 81%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 50.65 $ 44.95 $ 34.19 $ 34.17 $ 27.10 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.51 0.31 0.42 0.21 0.12 Net realized and unrealized gain (loss) 2.31 5.75 10.71 0.01 7.09 ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.82 6.06 11.13 0.22 7.21 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.50) (0.36) (0.37) (0.20) (0.14) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 52.97 $ 50.65 $ 44.95 $ 34.19 $ 34.17 ========== ========== ========== ========== ========== TOTAL RETURN (a) 5.55% 13.49% 32.71% 0.66% 26.60% RATIOS/SUPPLEMENTAL DATA: $1,016,952 $ 861,094 $ 485,456 $ 294,075 $ 319,491 Net assets, end of period (in 000's) RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.64% 0.66% 0.70% 0.70% Ratio of net expenses to average net assets 0.62% 0.64% 0.66% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.97% 0.64% 1.04% 0.63% 0.44% Portfolio turnover rate (b) 102% 81% 81% 94% 86%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 104 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 46.07 $ 42.20 $ 31.20 $ 30.93 $ 24.98 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.35 0.22 0.34 0.17 0.07 Net realized and unrealized gain (loss) 2.17 3.86 11.00 0.27 5.97 ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.52 4.08 11.34 0.44 6.04 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.35) (0.21) (0.34) (0.17) (0.09) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 48.24 $ 46.07 $ 42.20 $ 31.20 $ 30.93 ========== ========== ========== ========== ========== TOTAL RETURN (a) 5.45% 9.66% 36.58% 1.42% 24.20% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 701,882 $ 520,550 $ 289,082 $ 140,384 $ 117,530 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.66% 0.70% 0.70% 0.74% Ratio of net expenses to average net assets 0.63% 0.66% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.73% 0.49% 0.87% 0.56% 0.24% Portfolio turnover rate (b) 97% 89% 85% 101% 90%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 42.48 $ 36.78 $ 28.11 $ 27.18 $ 23.24 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.77 0.69 0.58 0.40 0.32 Net realized and unrealized gain (loss) (0.87) 5.69 8.66 0.93 3.93 ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.10) 6.38 9.24 1.33 4.25 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.77) (0.68) (0.57) (0.40) (0.31) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 41.61 $ 42.48 $ 36.78 $ 28.11 $ 27.18 ========== ========== ========== ========== ========== TOTAL RETURN (a) (0.29)% 17.46% 33.15% 4.96% 18.30% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,181,747 $1,021,608 $ 467,124 $ 247,370 $ 178,052 Ratios to average net assets: Ratio of total expenses to average net assets 0.62% 0.64% 0.67% 0.70% 0.71% Ratio of net expenses to average net assets 0.62% 0.64% 0.67% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.77% 1.80% 1.85% 1.56% 1.47% Portfolio turnover rate (b) 78% 68% 69% 88% 76%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 105 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 42.86 $ 36.26 $ 28.54 $ 29.33 $ 23.91 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.32 0.23 0.30 0.24 0.17 Net realized and unrealized gain (loss) 7.09 6.61 7.75 (0.80) 5.43 ---------- ---------- ---------- ---------- ---------- Total from investment operations 7.41 6.84 8.05 (0.56) 5.60 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.32) (0.24) (0.33) (0.23) (0.18) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 49.95 $ 42.86 $ 36.26 $ 28.54 $ 29.33 ========== ========== ========== ========== ========== TOTAL RETURN (a) 17.32% 18.88% 28.42% (1.89)% 23.43% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 681,765 $ 304,293 $ 170,419 $ 129,864 $ 139,322 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.66% 0.70% 0.70% 0.72% Ratio of net expenses to average net assets 0.63% 0.66% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.68% 0.58% 0.88% 0.86% 0.59% Portfolio turnover rate (b) 143% 138% 141% 162% 146%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 45.71 $ 40.10 $ 29.93 $ 29.24 $ 24.61 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.64 0.55 0.51 0.36 0.32 Net realized and unrealized gain (loss) (0.96) 5.60 10.16 0.69 4.64 ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.32) 6.15 10.67 1.05 4.96 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.64) (0.54) (0.50) (0.36) (0.33) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 44.75 $ 45.71 $ 40.10 $ 29.93 $ 29.24 ========== ========== ========== ========== ========== TOTAL RETURN (a) (0.74)% 15.38% 35.92% 3.62% 20.13% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 196,887 $ 175,986 $ 92,227 $ 47,882 $ 39,470 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.76% 0.80% 0.87% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.36% 1.29% 1.46% 1.24% 1.16% Portfolio turnover rate (b) 82% 74% 70% 90% 74%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 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 TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 7/31/2015 7/31/2014 7/31/2013 7/31/2012 7/31/2011 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 45.23 $ 39.59 $ 31.16 $ 31.66 $ 25.07 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.23 0.12 0.26 0.16 0.08 Net realized and unrealized gain (loss) 6.94 5.67 8.42 (0.51) 6.62 ---------- ---------- ---------- ---------- ---------- Total from investment operations 7.17 5.79 8.68 (0.35) 6.70 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.24) (0.15) (0.25) (0.15) (0.11) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 52.16 $ 45.23 $ 39.59 $ 31.16 $ 31.66 ========== ========== ========== ========== ========== TOTAL RETURN (a) 15.89% 14.63% 28.01% (1.10)% 26.74% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 91,279 $ 61,062 $ 37,609 $ 29,606 $ 37,990 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.72% 0.74% 0.85% 0.85% 0.95% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.48% 0.27% 0.74% 0.48% 0.20% Portfolio turnover rate (b) 135% 139% 147% 155% 149%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 107 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 PERIOD 4/19/2011 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 7/31/2015 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) 0.39 0.24 0.25 0.15 0.04 Net realized and unrealized gain (loss) (0.64) 3.56 6.89 0.47 (0.79) ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.25) 3.80 7.14 0.62 (0.75) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.39) (0.23) (0.25) (0.15) (0.04) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.56 $ 30.20 $ 26.63 $ 19.74 $ 19.27 ========== ========== ========== ========== ========== TOTAL RETURN (b) (0.87)% 14.30% 36.37% 3.23% (3.75)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 75,389 $ 101,173 $ 21,302 $ 8,885 $ 1,927 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (c) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 1.27% 0.90% 0.96% 0.98% 0.74% (c) Portfolio turnover rate (d) 88% 84% 66% 100% 14%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
FOR THE PERIOD 4/19/2011 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 7/31/2015 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) 0.13 0.07 0.18 0.02 (0.00) (e) Net realized and unrealized gain (loss) 3.71 3.00 5.07 (0.44) (0.24) ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.84 3.07 5.25 (0.42) (0.24) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.14) (0.08) (0.13) (0.01) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 31.31 $ 27.61 $ 24.62 $ 19.50 $ 19.93 ========== ========== ========== ========== ========== TOTAL RETURN (b) 13.91% 12.49% 27.05% (2.11)% (1.19)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 114,273 $ 41,422 $ 22,161 $ 16,572 $ 6,976 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (c) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 0.42% 0.08% 0.83% 0.11% (0.18)% (c) Portfolio turnover rate (d) 159% 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 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 SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
FOR THE PERIOD 4/19/2011 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 7/31/2015 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) 0.28 0.23 0.20 0.14 0.03 Net realized and unrealized gain (loss) (0.85) 3.09 8.15 0.01 (0.17) ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.57) 3.32 8.35 0.15 (0.14) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.29) (0.22) (0.20) (0.14) (0.03) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.20 $ 31.06 $ 27.96 $ 19.81 $ 19.80 ========== ========== ========== ========== ========== TOTAL RETURN (b) (1.89)% 11.86% 42.34% 0.75% (0.70)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 72,491 $ 62,110 $ 44,743 $ 5,944 $ 1,980 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (c) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 0.86% 0.72% 1.32% 0.82% 0.57% (c) Portfolio turnover rate (d) 96% 86% 104% 103% 15%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
FOR THE PERIOD 4/19/2011 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 7/31/2015 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) 4.20 1.97 5.66 0.46 (0.15) ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.24 1.96 5.71 0.48 (0.16) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.02) (0.01) (0.07) (0.03) -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 32.18 $ 27.96 $ 26.01 $ 20.37 $ 19.92 ========== ========== ========== ========== ========== TOTAL RETURN (b) 15.17% 7.52% 28.14% 2.38% (0.80)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 88,492 $ 33,557 $ 13,007 $ 9,167 $ 5,977 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (c) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 0.09% (0.10)% 0.17% 0.14% (0.36)% (c) Portfolio turnover rate (d) 153% 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 109 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 PERIOD 5/11/2011 (a) YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH 7/31/2015 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) 0.37 0.31 0.28 0.18 0.03 Net realized and unrealized gain (loss) 1.27 3.24 4.97 (0.90) (0.79) ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.64 3.55 5.25 (0.72) (0.76) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.39) (0.29) (0.28) (0.17) (0.02) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.48 $ 26.23 $ 22.97 $ 18.00 $ 18.89 ========== ========== ========== ========== ========== TOTAL RETURN (b) 6.29% 15.54% 29.42% (3.78)% (3.88)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 17,864 $ 13,117 $ 10,335 $ 10,801 $ 3,777 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (c) Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% (c) Ratio of net investment income (loss) to average net assets 1.40% 1.28% 1.32% 1.28% 0.77% (c) Portfolio turnover rate (d) 134% 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 110 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one exchange-traded funds considered either a Sector Fund or Style Fund. This report covers the twelve Style Funds listed below. The shares of each Style Fund are listed and traded on the 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, each Fund's shares are not redeemable securities. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Large Cap Core AlphaDEX(R) Fund 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 Funds, each of which is an investment company within the scope of Financial Accounting Standards Board ("FASB") Accounting Standards Update 2013-08, follow accounting and reporting guidance under FASB Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Page 111 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 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 will be 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. Shares of open-end mutual funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. Page 112 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of July 31, 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 available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities require entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At July 31, 2015, only FNX, FYX and FNK have securities in the securities lending program. During the fiscal year ended July 31, 2015, FNX, FYX, FNK and FNY participated in the securities lending program. Page 113 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury Notes. The U.S. Treasury Notes are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury Notes can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund is less than the repurchase price and the Fund's costs associated with the delay and enforcement of the repurchase agreement. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 2015, were received as collateral for lending securities. 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, 2015 was as follows:
Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 20,028,256 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 8,693,486 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 4,451,731 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 21,473,202 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 3,360,670 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 2,607,591 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 360,300 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 931,865 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 338,555 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 624,290 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 34,135 -- -- First Trust Mega Cap AlphaDEX(R) Fund 239,441 -- --
Page 114 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 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 -- --
As of July 31, 2015, 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 $ 951,349 $ (85,136,105) $ 80,793,521 First Trust Mid Cap Core AlphaDEX(R) Fund 297,557 (78,489,037) 36,959,613 First Trust Small Cap Core AlphaDEX(R) Fund 159,294 (64,460,303) 8,213,938 First Trust Large Cap Value AlphaDEX(R) Fund 1,072,659 (86,955,396) (47,997,647) First Trust Large Cap Growth AlphaDEX(R) Fund 24,632 (49,371,200) 73,009,960 First Trust Multi Cap Value AlphaDEX(R) Fund 117,883 (18,632,488) (11,177,831) First Trust Multi Cap Growth AlphaDEX(R) Fund -- (17,444,418) 9,693,903 First Trust Mid Cap Value AlphaDEX(R) Fund 45,244 (3,419,188) (5,727,898) First Trust Mid Cap Growth AlphaDEX(R) Fund -- (8,020,807) 10,055,544 First Trust Small Cap Value AlphaDEX(R) Fund 10,494 (5,051,709) (8,392,638) First Trust Small Cap Growth AlphaDEX(R) Fund -- (8,410,054) 6,789,132 First Trust Mega Cap AlphaDEX(R) Fund 13,210 (2,249,397) 700,449
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 2012, 2013, 2014 and 2015 remain open to federal and state audit. As of July 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, 2015, 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 115 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015
Capital Loss Capital Loss Capital Loss Capital Loss Post Total Available Available Available Available Enactment - Capital through through through through No Loss 7/31/2016 7/31/2017 7/31/2018 7/31/2019 Expiration Available ------------- ------------- ------------- ------------- -------------- ------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 8,528 $ 2,600,275 $ 2,800,653 $ 1,020,863 $ 78,705,786 $ 85,136,105 First Trust Mid Cap Core AlphaDEX(R) Fund 84,882 1,985,474 2,119,642 1,502,304 72,796,735 78,489,037 First Trust Small Cap Core AlphaDEX(R) Fund 111,735 1,882,188 1,600,982 1,258,833 59,606,565 64,460,303 First Trust Large Cap Value AlphaDEX(R) Fund 80,299 2,272,260 5,098,300 298,768 79,205,769 86,955,396 First Trust Large Cap Growth AlphaDEX(R) Fund 162,514 10,217,162 3,224,180 1,803,151 33,964,193 49,371,200 First Trust Multi Cap Value AlphaDEX(R) Fund 56,799 1,331,945 1,180,819 322,362 15,740,563 18,632,488 First Trust Multi Cap Growth AlphaDEX(R) Fund 241,100 2,554,292 1,438,794 345,171 12,865,061 17,444,418 First Trust Mid Cap Value AlphaDEX(R) Fund -- -- -- -- 3,419,188 3,419,188 First Trust Mid Cap Growth AlphaDEX(R) Fund -- -- -- -- 8,020,807 8,020,807 First Trust Small Cap Value AlphaDEX(R) Fund -- -- -- -- 5,051,709 5,051,709 First Trust Small Cap Growth AlphaDEX(R) Fund -- -- -- -- 8,410,054 8,410,054 First Trust Mega Cap AlphaDEX(R) Fund -- -- -- -- 2,249,397 2,249,397
At the taxable year ended July 31, 2015, the following Funds' capital loss carryforwards expired in the following amounts: Capital Loss Expired ----------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 15,102 First Trust Mid Cap Core AlphaDEX(R) Fund 7,911 First Trust Small Cap Core AlphaDEX(R) Fund 14,770 First Trust Large Cap Value AlphaDEX(R) Fund 1,854 First Trust Multi Cap Value AlphaDEX(R) Fund 8,569 First Trust Multi Cap Growth AlphaDEX(R) Fund 26,562 Page 116 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 In order to present paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2015, the adjustments for each Fund were as follows:
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ----------------- ----------------- ----------------- First Trust Large Cap Core AlphaDEX(R) Fund $ -- $ (112,963,607) $ 112,963,607 First Trust Mid Cap Core AlphaDEX(R) Fund (2,290) (47,761,807) 47,764,097 First Trust Small Cap Core AlphaDEX(R) Fund (1,401) (43,504,701) 43,506,102 First Trust Large Cap Value AlphaDEX(R) Fund -- (120,473,540) 120,473,540 First Trust Large Cap Growth AlphaDEX(R) Fund (2,215) (25,068,110) 25,070,325 First Trust Multi Cap Value AlphaDEX(R) Fund -- (18,354,921) 18,354,921 First Trust Multi Cap Growth AlphaDEX(R) Fund 11,462 (8,582,196) 8,570,734 First Trust Mid Cap Value AlphaDEX(R) Fund -- (3,470,617) 3,470,617 First Trust Mid Cap Growth AlphaDEX(R) Fund 27,565 (3,972,722) 3,945,157 First Trust Small Cap Value AlphaDEX(R) Fund -- (5,919,535) 5,919,535 First Trust Small Cap Growth AlphaDEX(R) Fund 26,512 (2,807,371) 2,780,859 First Trust Mega Cap AlphaDEX(R) Fund -- (1,653,341) 1,653,341
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 S&P 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, FASB issued Accounting Standards Update ("ASU") No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. A repurchase-to-maturity transaction is one where the repurchase agreement settles at the same time as the maturity of the transferred financial asset. These transactions, unlike other repurchase agreements, were accounted for as sales and purchases instead of being treated as secured borrowings. This ASU changes that accounting practice and treats all repurchase agreements as secured borrowings. The ASU additionally requires two new disclosures which are intended to: a) disclose information on transferred assets accounted for as sales in transactions that are economically similar to repurchase agreements, and b) provide increased transparency about the types of collateral pledged in repurchase agreements and similar transactions accounted for as secured borrowings. The ASU impacts all entities that enter into repurchase-to-maturity transactions, entities that account for these transactions as a sale and a purchase, and entities that engage in repurchase agreements and securities lending transactions. The ASU is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds' financial statement disclosures. Page 117 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. For the Unitary Fee Funds, First Trust is paid an annual unitary management fee of 0.70% of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit and other services, and excluding distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. For such Funds, the Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each such Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). These Funds will have the Expense Cap in effect until at least November 30, 2016. Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee 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 fiscal year ended July 31, 2015 and the fees waived or expenses borne by First Trust subject to recovery from the applicable Fund for the periods indicated were as follows:
Fees Waived or Expenses Borne by First Trust Subject to Recovery ----------------------------------------------------- Advisory Expense Year Year Year Fee Reim- Ended Ended Ended Waivers bursements 7/31/2013 7/31/2014 7/31/2015 Total ----------- ----------- ----------- ----------- ----------- ----------- First Trust Multi Cap Growth AlphaDEX(R) Fund $ 11,781 $ -- $ 49,813 $ 23,302 $ 11,781 $ 84,896
During the fiscal year ended July 31, 2015, First Trust recovered fees that were previously waived from First Trust Multi Cap Value AlphaDEX(R) Fund of $81,545. At July 31, 2015, none of the Funds, other than First Trust Multi Cap Growth AlphaDEX(R) Fund, had previously waived fees or expenses reimbursed that are subject to recovery. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. 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 118 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended July 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 $ 1,476,157,725 $ 1,474,931,744 First Trust Mid Cap Core AlphaDEX(R) Fund 933,047,763 931,710,507 First Trust Small Cap Core AlphaDEX(R) Fund 601,054,468 599,776,162 First Trust Large Cap Value AlphaDEX(R) Fund 946,668,786 944,506,102 First Trust Large Cap Growth AlphaDEX(R) Fund 716,092,576 716,123,621 First Trust Multi Cap Value AlphaDEX(R) Fund 158,067,803 157,725,621 First Trust Multi Cap Growth AlphaDEX(R) Fund 99,395,060 99,278,036 First Trust Mid Cap Value AlphaDEX(R) Fund 67,128,576 66,972,719 First Trust Mid Cap Growth AlphaDEX(R) Fund 118,457,037 118,354,152 First Trust Small Cap Value AlphaDEX(R) Fund 67,651,647 67,445,844 First Trust Small Cap Growth AlphaDEX(R) Fund 74,828,735 74,766,947 First Trust Mega Cap AlphaDEX(R) Fund 22,331,639 22,309,781
For the fiscal year ended July 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 $ 1,307,523,855 $ 616,110,378 First Trust Mid Cap Core AlphaDEX(R) Fund 380,563,736 252,916,609 First Trust Small Cap Core AlphaDEX(R) Fund 357,756,479 197,225,533 First Trust Large Cap Value AlphaDEX(R) Fund 1,001,893,634 818,314,355 First Trust Large Cap Growth AlphaDEX(R) Fund 436,125,496 131,618,542 First Trust Multi Cap Value AlphaDEX(R) Fund 137,192,646 111,435,178 First Trust Multi Cap Growth AlphaDEX(R) Fund 69,556,074 49,855,127 First Trust Mid Cap Value AlphaDEX(R) Fund 30,727,704 54,517,356 First Trust Mid Cap Growth AlphaDEX(R) Fund 90,223,160 26,008,159 First Trust Small Cap Value AlphaDEX(R) Fund 56,713,524 44,129,409 First Trust Small Cap Growth AlphaDEX(R) Fund 70,119,694 20,445,065 First Trust Mega Cap AlphaDEX(R) Fund 19,793,417 15,982,283
5. CREATION, REDEMPTION AND TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares in transactions with broker-dealers or large institutional investors that have entered into a participation agreement (an "Authorized Participant"). Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per Share of each Fund on the transaction date times the number of Shares in a Creation Unit. Authorized Participants 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. Page 119 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 Authorized Participants redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Redemption in a Creation Unit Transaction Fee -------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, the Funds will not pay 12b-1 fees any time before December 31, 2016. 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 120 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND: We have audited the accompanying statements of assets and liabilities of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund, each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), including the portfolios of investments, as of July 31, 2015, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2015 by correspondence with the Funds' custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds listed above included in the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2015, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP Chicago, Illinois September 23, 2015 Page 121 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 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 Form N-Qs are available (1) by calling (800) 988-5891; (2) on the Funds' website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. FEDERAL TAX INFORMATION For the taxable year ended July 31, 2015, the following percentages of income dividend paid by the Funds qualified for the dividends received deduction available to corporations: Dividends Received Deduction ---------------------------- First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 100.00% First Trust Small Cap Growth AlphaDEX(R) Fund 100.00% First Trust Small Cap Value AlphaDEX(R) Fund 100.00% First Trust Mega Cap AlphaDEX(R) Fund 100.00% For the taxable year ended July 31, 2015, the following percentages of income dividend paid by the Funds is hereby designated as qualified dividend income: Qualified Dividend Income ---------------------------- First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 100.00% First Trust Small Cap Growth AlphaDEX(R) Fund 100.00% First Trust Small Cap Value AlphaDEX(R) Fund 100.00% First Trust Mega Cap AlphaDEX(R) Fund 100.00% Page 122 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 (UNAUDITED) ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor" or "First Trust") on behalf of the following twelve series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Mega Cap AlphaDEX(R) Fund (FMK) The Board approved the continuation of the Agreement for each Fund for a one-year period ending March 31, 2016, at a meeting held on March 8-9, 2015. The Board of Trustees determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the extent and quality of services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreement for each Fund, the Independent Trustees received a report in advance of the Board meeting responding to a request for information from counsel to the Independent Trustees. The report, among other things, outlined the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee or unitary fee for each Fund as compared to fees charged to a peer group of funds (all of which were exchange-traded funds or "ETFs") compiled by Management Practice Inc. ("MPI"), an independent source (the "MPI Peer Group"), and as compared to fees charged to other clients of the Advisor with similar investment objectives and to other ETFs managed by the Advisor; expenses of each Fund compared to expense ratios of the funds in the Fund's MPI Peer Group; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and a summary of the Advisor's compliance program. Following receipt of this information, the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor is a reasonable business arrangement from each Fund's perspective as well as from the perspective of shareholders. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee or unitary fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of services provided under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all the services provided by the Advisor to the Funds. The Board also considered the background and experience of the persons responsible for the day-to-day management of the Funds. The Board considered the compliance program that had been developed by the Advisor and the procedures in place to monitor each Fund's investment program. The Board considered the significant asset growth of the First Trust Fund Complex (particularly in ETFs) and the Advisor's concomitant investment in infrastructure and personnel dedicated to the First Trust funds. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective and policies. For FEX, FNX, FYX, FAD, FAB, FTC and FTA (the "Non-Unitary Fee Funds"), the Board considered the advisory fee payable by each Non-Unitary Fee Fund under the Agreement. The Board considered that the Advisor agreed to extend the current expense cap for each Non-Unitary Fee Fund through November 30, 2016. For each Non-Unitary Fee Fund, the Board noted that expenses borne or fees waived by the Advisor are to be subject to reimbursement by the Non-Unitary Fee Fund for up to three years from the date the expense was incurred or fee was waived, but no Page 123 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 (UNAUDITED) reimbursement payment would be made by the Non-Unitary Fee Fund if it would result in the Non-Unitary Fee Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. The Board considered the advisory fees charged by the Advisor to other First Trust ETFs not paying a unitary fee and other advisory clients with investment objectives and policies similar to the Funds', noting that those fees generally were similar to the advisory fees charged to these Funds. For FNK, FNY, FYT, FYC and FMK (the "Unitary Fee Funds"), the Board considered the unitary fee payable by each Unitary Fee Fund under the Agreement, noting that each Unitary Fee Fund pays the Advisor a fee equal to an annual rate of 0.70% of its average daily net assets and that the Advisor is responsible for each Unitary Fee Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit, licensing and other services, but excluding interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Board compared each Unitary Fee Fund's unitary fee to the total expense ratios (after fee waivers and/or expense reimbursements, if any) of other First Trust ETFs, including First Trust ETFs that pay a unitary fee. The Board also reviewed data prepared by MPI showing the advisory fee and expense ratio of each Non-Unitary Fee Fund and the unitary fee for each Unitary Fee Fund as compared to the advisory fees and expense ratios of the peer funds in each Fund's MPI Peer Group. Because each Non-Unitary Fee Fund's MPI Peer Group included peer funds that pay a unitary fee and because the Unitary Fee Funds pay a unitary fee, the Board determined that expense ratios were the most relevant data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Non-Unitary Fee Fund and the unitary fee for each Unitary Fee Fund was above the median total (net) expense ratio of the peer funds in each Fund's respective MPI Peer Group. The Independent Trustees discussed with representatives of the Advisor and independent counsel limitations in creating peer groups for ETFs and different business models that affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the MPI data. The Board considered performance information for each Fund, noting that the performance information included each Fund's quarterly performance report, which is part of the process that the Board has established for monitoring each Fund's performance on an ongoing basis. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board also considered information regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, the Fund's tracking error and the Fund's excess return as compared to a benchmark index. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking error for each Fund was consistent with the Fund's prospectus. In addition, the Board reviewed data prepared by MPI comparing each Fund's performance to its respective MPI Peer Group and to a broad-based benchmark, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of tracking error and correlation. On the basis of all the information provided on the fees, expenses and performance of each Fund, the Board concluded that the advisory fee or unitary fee for each Fund was reasonable and appropriate in light of the nature, extent and quality of services provided by the Advisor to each Fund under the Agreement. The Board noted that the Advisor has made and continues to make significant investments in personnel and infrastructure and considered whether fee levels reflect any economies of scale for the benefit of shareholders. For the Unitary Fee funds, the Board noted that any reduction in fixed costs associated with the management of the Unitary Fee Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Unitary Fee Funds. The Board also considered the costs of the services provided and profits realized by the Advisor from serving as investment advisor to each Fund for the twelve months ended December 31, 2014, as well as product-line profitability data for the same period, as set forth in the materials provided to the Board. Based on the information provided, the Board concluded that the pre-tax profits estimated to have been realized by the Advisor in connection with the management of each Fund for calendar year 2014 were not unreasonable. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, in the absence of the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with its management of the Funds' portfolios. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Trust and each Fund. No single factor was determinative in the Board's analysis. Page 124 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 (UNAUDITED) BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreements (as applicable to a specific Fund, the "Agreement" and collectively, the "Agreements") with First Trust Advisors L.P. (the "Advisor" or "First Trust") on behalf of the following twelve series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Mega Cap AlphaDEX(R) Fund (FMK) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2016, at a meeting held on June 16, 2015. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the extent and quality of services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on March 8-9, 2015, April 20, 2015 and June 16, 2015, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees that, among other things, outlined the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee or unitary fee for each Fund as compared to fees charged to a peer group of funds (all of which were exchange-traded funds or "ETFs") selected by Management Practice, Inc. ("MPI"), an independent source (the "MPI Peer Group"), and as compared to fees charged to other clients of the Advisor with similar investment objectives and to other ETFs managed by the Advisor; expenses of each Fund compared to expense ratios of the funds in the Fund's MPI Peer Group; performance information for each Fund; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and a summary of the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on March 8-9, 2015, and additional materials at a special meeting held on April 20, 2015, at each of which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and those were considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 16, 2015 meeting, as well as at the meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor is a reasonable business arrangement from each Fund's perspective as well as from the perspective of shareholders. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee or unitary fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of services provided under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all the services provided by the Advisor to the Funds. The Board also considered the background and experience of the persons responsible for the day-to-day management of the Funds. The Board considered the compliance program that had been developed by the Advisor and the procedures in place to monitor each Fund's investment program. The Board considered the significant asset growth of the First Trust Fund Complex (particularly in ETFs) and the Advisor's concomitant investment in infrastructure and personnel dedicated to the First Trust funds. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of services provided to the Trust and each Fund by the Advisor under the Agreements have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with the Fund's investment objective and policies. Page 125 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 (UNAUDITED) For FEX, FNX, FYX, FAD, FAB, FTC and FTA (the "Non-Unitary Fee Funds"), the Board considered the advisory fee payable by each Non-Unitary Fee Fund under the applicable Agreement. The Board considered that the Advisor agreed to extend the current expense cap for each Non-Unitary Fee Fund through November 30, 2016. For each Non-Unitary Fee Fund, the Board noted that expenses borne or fees waived by the Advisor are to be subject to reimbursement by the Non-Unitary Fee Fund for up to three years from the date the expense was incurred or fee was waived, but no reimbursement payment would be made by the Non-Unitary Fee Fund if it would result in the Non-Unitary Fee Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. The Board considered the advisory fees charged by the Advisor to other First Trust ETFs not paying a unitary fee and other advisory clients with investment objectives and policies similar to the Funds', noting that those fees generally were similar to the advisory fees charged to these Funds. For FNK, FNY, FYT, FYC and FMK (the "Unitary Fee Funds"), the Board considered the unitary fee payable by each Unitary Fee Fund under the applicable Agreement, noting that each Unitary Fee Fund pays the Advisor a fee equal to an annual rate of 0.70% of its average daily net assets and that the Advisor is responsible for each Unitary Fee Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit, licensing and other services, but excluding interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Board compared each Unitary Fee Fund's unitary fee to the total expense ratios (after fee waivers and/or expense reimbursements, if any) of other First Trust ETFs, including First Trust ETFs that pay a unitary fee. The Board also reviewed data prepared by MPI showing the advisory fee and expense ratio of each Non-Unitary Fee Fund and the unitary fee for each Unitary Fee Fund as compared to the advisory fees and expense ratios of the peer funds in each Fund's MPI Peer Group. Because each Non-Unitary Fee Fund's MPI Peer Group included peer funds that pay a unitary fee and because the Unitary Fee Funds pay a unitary fee, the Board determined that expense ratios were the most relevant data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Non-Unitary Fee Fund and the unitary fee for each Unitary Fee Fund was above the median total (net) expense ratio of the peer funds in each Fund's respective MPI Peer Group. The Independent Trustees discussed with representatives of the Advisor and independent counsel limitations in creating peer groups for ETFs and different business models that affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the MPI data. The Board considered performance information for each Fund, noting that the performance information included each Fund's quarterly performance report, which is part of the process that the Board has established for monitoring each Fund's performance on an ongoing basis. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board also considered information for periods ended December 31, 2014 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, the Fund's tracking error and the Fund's excess return as compared to a benchmark index. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking error for each Fund was consistent with the Fund's prospectus. In addition, the Board reviewed data prepared by MPI comparing each Fund's performance to its respective MPI Peer Group and to a broad-based benchmark, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking error. On the basis of all the information provided on the fees, expenses and performance of each Fund, the Board concluded that the advisory fee or unitary fee for each Fund was reasonable and appropriate in light of the nature, extent and quality of services provided by the Advisor to each Fund under the Agreements. The Board noted that the Advisor has made and continues to make significant investments in personnel and infrastructure and considered whether the Funds' fee levels reflect any economies of scale for the benefit of shareholders. For the Unitary Fee funds, the Board noted that any reduction in fixed costs associated with the management of the Unitary Fee Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Unitary Fee Funds. The Board also considered the costs of the services provided and profits realized by the Advisor from serving as investment advisor to each Fund for the twelve months ended December 31, 2014, as well as product-line profitability data for the same period, as set forth in the materials provided to the Board. The Board noted the inherent limitations in the profitability analysis, and concluded that the pre-tax profits estimated to have been realized by the Advisor in connection with the management of each Fund were not unreasonable. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, in the absence of the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with its management of the Funds' portfolios. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of the Trust and each Fund. No single factor was determinative in the Board's analysis. Page 126 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 (UNAUDITED) RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND. 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. 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. Page 127 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 (UNAUDITED) 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 128 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2015 (UNAUDITED) REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Fund it manages (the "Funds") in the United Kingdom in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2014, the amount of remuneration paid (or to be paid) by First Trust in respect of the Funds is $32,091,721. This figure is comprised of $2,739,160 paid (or to be paid) in fixed compensation and $29,352,561 paid (or to be paid) in variable compensation. There were a total of 402 beneficiaries of the remuneration described above. Those amounts include $3,298,925 paid (or to be paid) to senior management of First Trust and $1,011,708 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust or the Funds. Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. Page 129 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2015 (UNAUDITED) The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, ADDRESS, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE DATE OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton 115 None c/o First Trust Advisors L.P. Orthopedics; Limited Partner, 120 E. Liberty Drive, o Since Inception Gundersen Real Estate Limited Suite 400 Partnership; Member, Sportsmed LLC Wheaton, IL 60187 D.O.B.: 04/51 Thomas R. Kadlec, Trustee o Indefinite Term President (March 2010 to Present), Senior 115 Director of ADM c/o First Trust Advisors L.P. Vice President and Chief Financial Officer Investor Services, 120 E. Liberty Drive, o Since Inception (May 2007 to March 2010), ADM Investor Inc., ADM Suite 400 Services, Inc. (Futures Commission Investor Services Wheaton, IL 60187 Merchant) International and D.O.B.: 11/57 Futures Industry Association Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), Hibs 115 Director of Trust c/o First Trust Advisors L.P. Enterprises (Financial and Management Company of 120 E. Liberty Drive, o Since Inception Consulting) Illinois Suite 400 Wheaton, IL 60187 D.O.B.: 11/56 Niel B. Nielson, Trustee o Indefinite Term Managing Director and Chief Operating 115 Director of c/o First Trust Advisors L.P. Officer (January 2015 to Present), Pelita Covenant 120 E. Liberty Drive, o Since Inception Harapan Educational Foundation (Educational Transport Inc. Suite 400 Products and Services); President and Chief (May 2003 to Wheaton, IL 60187 Executive Officer (June 2012 to September May 2014) D.O.B.: 03/54 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services); President (June 2002 to June 2012), Covenant College
------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer (December 2010 115 None Chairman of the Board to Present), President (until December 120 E. Liberty Drive, o Since Inception 2010), First Trust Advisors L.P. and Suite 400 First Trust Portfolios L.P.; Chairman of Wheaton, IL 60187 the Board of Directors, BondWave LLC D.O.B.: 09/55 (Software Development Company/ Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor)
----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 130 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2015 (UNAUDITED)
POSITION AND TERM OF OFFICE NAME, ADDRESS OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS AND DATE OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS -------------------------------------------------------------------------------------------------------------------------------- OFFICERS(2) -------------------------------------------------------------------------------------------------------------------------------- Mark R. Bradley President and o Indefinite Term Chief Operating Officer (December 2010 to Present) 120 E. Liberty Drive, Chief Executive and Chief Financial Officer, First Trust Advisors L.P. Suite 400 Officer o Since January 2012 and First Trust Portfolios L.P.; Chief Financial Wheaton, IL 60187 Officer, BondWave LLC (Software Development D.O.B.: 11/57 Company/Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor) James M. Dykas Treasurer, Chief o Indefinite Term Controller (January 2011 to Present), Senior Vice 120 E. Liberty Drive, Financial Officer President (April 2007 to Present), First Trust Advisors Suite 400 and Chief o Since January 2012 L.P. and First Trust Portfolios L.P. Wheaton, IL 60187 Accounting D.O.B.: 01/66 Officer W. Scott Jardine Secretary and o Indefinite Term General Counsel, First Trust Advisors L.P. and First 120 E. Liberty Drive, Chief Legal Trust Portfolios L.P.; Secretary and General Counsel, Suite 400 Officer o Since Inception BondWave LLC (Software Development Company/ Wheaton, IL 60187 Investment Advisor) and Secretary, Stonebridge D.O.B.: 05/60 Advisors LLC (Investment Advisor) Daniel J. Lindquist Vice President o Indefinite Term Managing Director (July 2012 to Present), Senior 120 E. Liberty Drive, Vice President (September 2005 to July 2012), First Suite 400 o Since Inception Trust Advisors L.P. and First Trust Portfolios L.P. Wheaton, IL 60187 D.O.B.: 02/70 Kristi A. Maher Chief Compliance o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. 120 E. Liberty Drive, and Officer and First Trust Portfolios L.P. Suite 400 Assistant o Chief Compliance Officer Wheaton, IL 60187 Secretary Since January 2011 D.O.B.: 12/66 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President (November 2003 to Present), 120 E. Liberty Drive, Vice President (August 2001 to November 2003), Suite 400 o Since Inception First Trust Advisors L.P. and First Trust Wheaton, IL 60187 Portfolios L.P. D.O.B.: 06/66 Stan Ueland Vice President o Indefinite Term Senior Vice President (September 2012 to Present) 120 E. Liberty Drive, Vice President (August 2005 to September 2012), Suite 400 o Since Inception First Trust Advisors L.P. and First Trust Wheaton, IL 60187 Portfolios L.P. D.O.B.: 11/70
----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 131 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2015 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We may collect nonpublic personal information about you from the following sources: o Information we receive from you or your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required by law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information with affiliates of the Fund. PRIVACY ONLINE We allow third-party companies, including AddThis, to collect certain anonymous information when you visit our website. These companies may use non-personally identifiable information during your visits to this and other websites in order to provide advertisements about goods and services likely to be of greater interest to you. These companies typically use a cookie, third party web beacon or pixel tags, to collect this information. To learn more about this behavioral advertising practice, you can visit www.networkadvertising.org. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, we restrict access to your nonpublic personal information to those individuals who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time; however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). Page 132 FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 101 Barclay Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603 [BLANK BACK COVER] ITEM 2. CODE OF ETHICS. (a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. (c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. (d) The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item's instructions. (e) Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. As of the end of the period covered by the report, the registrant's board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $420,000 for 2014 and $420,000 for 2015. (b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2014 and $0 for 2015. Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2014 and $0 for 2015. (c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $61,425 for 2014 and $61,425 for 2015. These fees were for tax consultation. Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant's adviser and distributor were $0 for 2014 and $0 for 2015. (d) All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2014 and $0 for 2015. All Other Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant's investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2013 and $0 for 2014 for the Adviser and $0 for 2014 and $0 for 2015 for the Distributor. (e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X. Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the "Committee") is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee. The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence. (e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment adviser and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: Registrant: Adviser and Distributor: ----------- ------------------------ (b) 0% (b) 0% (c) 0% (c) 0% (d) 0% (d) 0% (f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. (g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for 2014 were $61,425 for the registrant, $36,800 for the registrant's investment adviser and $57,500 for the registrant's distributor, and for 2015 were $61,425 for the registrant, $12,700 for the registrant's investment adviser and $36,700 for the registrant's distributor. (h) The registrant's audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson. ITEM 6. INVESTMENTS. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a) (1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. (a) (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a) (3) Not Applicable (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (registrant) First Trust Exchange-Traded AlphaDEX(R) Fund --------------------------------------------------- By (Signature and Title)* /s/ Mark R. Bradley ---------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: September 23, 2015 ---------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Mark R. Bradley ---------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: September 23, 2015 ---------------------- By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: September 23, 2015 ---------------------- * Print the name and title of each signing officer under his or her signature.