0001445546-16-010889.txt : 20161006 0001445546-16-010889.hdr.sgml : 20161006 20161006103644 ACCESSION NUMBER: 0001445546-16-010889 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20160731 FILED AS OF DATE: 20161006 DATE AS OF CHANGE: 20161006 EFFECTIVENESS DATE: 20161006 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED ALPHADEX FUND CENTRAL INDEX KEY: 0001383496 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-22019 FILM NUMBER: 161924113 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 0001383496 S000017337 First Trust Large Cap Core AlphaDEX Fund C000047995 First Trust Large Cap Core AlphaDEX Fund FEX 0001383496 S000017338 First Trust Mid Cap Core AlphaDEX Fund C000047996 First Trust Mid Cap Core AlphaDEX Fund FNX 0001383496 S000017339 First Trust Small Cap Core AlphaDEX Fund C000047997 First Trust Small Cap Core AlphaDEX Fund FYX 0001383496 S000017340 First Trust Large Cap Value AlphaDEX Fund C000047998 First Trust Large Cap Value Opportunities AlphaDEX Fund FTA 0001383496 S000017341 First Trust Large Cap Growth AlphaDEX Fund C000047999 First Trust Large Cap Growth AlphaDEX Fund FTC 0001383496 S000017342 First Trust Multi Cap Value AlphaDEX Fund C000048000 First Trust Multi Cap Value AlphaDEX Fund FAB 0001383496 S000017343 First Trust Multi Cap Growth AlphaDEX Fund C000048001 First Trust Multi Cap Growth AlphaDEX Fund FAD 0001383496 S000017696 First Trust Consumer Discretionary AlphaDEX Fund C000048896 First Trust Consumer Discretionary AlphaDEX Fund FXD 0001383496 S000017697 First Trust Consumer Staples AlphaDEX Fund C000048897 First Trust Consumer Staples AlphaDEX Fund FXG 0001383496 S000017698 First Trust Energy AlphaDEX Fund C000048898 First Trust Energy AlphaDEX Fund FXN 0001383496 S000017699 First Trust Financials AlphaDEX Fund C000048899 First Trust Financials AlphaDEX Fund FXO 0001383496 S000017700 First Trust Health Care AlphaDEX Fund C000048900 First Trust Health Care AlphaDEX Fund FXH 0001383496 S000017701 First Trust Industrials/Producer Durables AlphaDEX Fund C000048901 First Trust Industrials/Producer Durables AlphaDEX Fund FXR 0001383496 S000017702 First Trust Materials AlphaDEX Fund C000048902 First Trust Materials AlphaDEX Fund FXZ 0001383496 S000017703 First Trust Technology AlphaDEX Fund C000048903 First Trust Technology AlphaDEX Fund FXL 0001383496 S000017704 First Trust Utilities AlphaDEX Fund C000048904 First Trust Utilities AlphaDEX Fund FXU 0001383496 S000031804 First Trust Mid Cap Growth AlphaDEX Fund C000099059 First Trust Mid Cap Growth AlphaDEX Fund FNY 0001383496 S000031805 First Trust Mid Cap Value AlphaDEX Fund C000099060 First Trust Mid Cap Value AlphaDEX Fund FNK 0001383496 S000031806 First Trust Small Cap Growth AlphaDEX Fund C000099061 First Trust Small Cap Growth AlphaDEX Fund FYC 0001383496 S000031807 First Trust Small Cap Value AlphaDEX Fund C000099062 First Trust Small Cap Value AlphaDEX Fund FYT 0001383496 S000032963 First Trust Mega Cap AlphaDEX Fund C000101702 First Trust Mega Cap AlphaDEX Fund FMK 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, 2016 --------------- 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, 2016 -------------------------------------------------------------------------------- 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, 2016 Shareholder Letter........................................................... 2 Market Overview.............................................................. 3 Fund Performance Overview First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 4 First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 6 First Trust Energy AlphaDEX(R) Fund (FXN).............................. 8 First Trust Financials AlphaDEX(R) Fund (FXO).......................... 10 First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 12 First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 14 First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 16 First Trust Technology AlphaDEX(R) Fund (FXL).......................... 18 First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 20 Notes to Fund Performance Overview........................................... 22 Understanding Your Fund Expenses............................................. 23 Portfolio of Investments First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 25 First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 28 First Trust Energy AlphaDEX(R) Fund (FXN).............................. 30 First Trust Financials AlphaDEX(R) Fund (FXO).......................... 32 First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 36 First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 38 First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 40 First Trust Technology AlphaDEX(R) Fund (FXL).......................... 42 First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 45 Statements of Assets and Liabilities......................................... 48 Statements of Operations..................................................... 50 Statements of Changes in Net Assets.......................................... 52 Financial Highlights......................................................... 56 Notes to Financial Statements................................................ 61 Report of Independent Registered Public Accounting Firm...................... 69 Additional Information....................................................... 70 Board of Trustees and Officers............................................... 76 Privacy Policy............................................................... 78 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at http://www.ftportfolios.com HOW TO READ THIS REPORT This This report contains information that may help you evaluate your investment in each Fund. It includes details about each Fund's portfolio and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL LETTER FROM THE CHAIRMAN AND CEO JULY 31, 2016 Dear Shareholders: Thank you for your investment in the Sector Funds of First Trust Exchange-Traded AlphaDEX(R) Fund. First Trust Advisors L.P. ("First Trust") is pleased to provide you with the annual report which contains detailed information about your investment for the 12 months ended July 31, 2016, including a market overview and a performance analysis for the period. We encourage you to read this report and discuss it with your financial advisor. While markets were up and down during 2015, we believe there are three important things to remember. First, the U.S. economy grew, despite the massive decline in oil prices. Second, the tapering that began in 2014 by the Federal Reserve (the "Fed") did not stop growth in the U.S. economy. Finally, the long-anticipated rate hike by the Fed in December 2015 had little effect on the money supply, and the stock market was not shocked by the hike. Early in 2016, many investors were concerned that the volatility we saw in the market in 2015 would continue, and it did. From December 31, 2015 through February 11, 2016, the S&P 500(R) Index declined by 10.27%. Since then, the market has made a steady comeback, and from February 11, 2016 to July 31, 2016, the S&P 500(R) Index was up 19.99%. First Trust believes that having a long-term investment horizon and investing in quality products can help you reach your goals, regardless of how the market behaves. We have always maintained perspective about the markets and believe investors should as well. We will continue to strive to provide quality investment opportunities each and every day, which has been one of the hallmarks of our firm since its inception 25 years ago. Thank you for giving First Trust the opportunity to be a part of your investment plan. We value our relationship with you and will continue to focus on helping investors like you reach your financial goals. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 31, 2016 ROBERT F. CAREY, CFA SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST FIRST TRUST ADVISORS L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has over 25 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. STATE OF THE U.S. ECONOMY One of the reasons cited by the Federal Reserve for not raising interest rates beyond the initial 0.25% hike in the federal funds target rate on December 16, 2015 is the slowdown in global growth. The International Monetary Fund reduced its global growth estimate for 2016 from 3.3% in April to 3.2% in July. It also shaved its 2017 estimate by 0.1% to 3.5%, according to its own release. To help put this concern into perspective, the rate was 5.4% in 2010. The rebound in the price of crude oil is boosting Mergers & Acquisitions ("M&A") activity in the energy sector, according to Bloomberg. From February 11, 2016 (multi-year low) through August 25, 2016, the price of a barrel of crude oil rose 80.6%, from $26.21 to $47.33. Wood Mackenzie, a consulting firm, reported that more than $11 billion worth of oil and gas transactions were announced globally in July. It was the highest monthly total so far this year. Since May, deal volume has totaled $32 billion. Wood Mackenzie believes that M&A activity will continue to accelerate as oil prices stabilize. Higher energy prices, if sustained, could help boost global economic growth moving forward. Many nations around the globe rely fairly heavily on the sale of crude oil to help fund their economies, in our opinion. ETFGI, an industry research group, reported that total assets invested in exchange-traded funds (ETFs) and other exchange-traded products (ETPs) reached a record high of $3.34 trillion globally in July 2016, according to its own release. Total assets invested in U.S. ETFs/ETPs reached a record high of $2.37 trillion in July 2016. SECTOR INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end mutual funds and ETFs. For the 12-month period ended July 31, 2016, U.S. Equity funds/ETFs reported net outflows totaling over $47 billion, according to data from Morningstar. Investors continue to favor passive funds over actively managed funds. Passive U.S. Equity funds/ETFs reported net inflows totaling $163.6 billion, compared to net outflows totaling $211.0 billion for actively managed U.S. Equity funds/ETFs. For the 12-month period ended July 2016, investors pulled capital from sector funds/ETFs, which reported net outflows totaling $18.1 billion. Passive Sector Equity funds/ETFs reported net inflows totaling $3.1 billion, compared to net outflows totaling $21.2 billion for actively managed Sector Equity funds/ETFs. Using Morningstar fund categories, some of the major sectors reporting the highest net inflows over the past 12 months were Real Estate ($7.3 billion), Equity Energy ($5.6 billion), Utilities ($2.8 billion), Consumer Defensive ($2.3 billion) and Communications ($1.3 billion). Slow and steady appears to be winning the race, in our opinion. Despite the moderate pace of economic growth since the previous recession ended in 2009, the current bull market in stocks is the second-longest in U.S. history at 2,701 days through July, as measured by the S&P 500(R) Index, according to Bespoke Investment Group. From March 9, 2009 to July 29, 2016, the S&P 500(R) Index posted a cumulative total return of 275.51%, according Bloomberg. From 2009 to 2015, the S&P 500(R) Index increased its annual earnings from $58.15 to $109.32, according to Bloomberg. As of August 5, 2016, Bloomberg's consensus estimates for 2016 and 2017 are $117.73 and $133.11, respectively. Page 3 -------------------------------------------------------------------------------- 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 in the consumer discretionary sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Consumer Discretionary Index using the Russell Global Sectors (the "RGS") sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV -2.34% 12.00% 7.36% 76.26% 92.58% Market Price -2.39% 12.00% 7.35% 76.21% 92.52% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index -1.74% 12.77% 8.15% 82.36% 106.08% Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45% S&P 500(R) Consumer Discretionary Index 3.53% 17.50% 10.05% 123.97% 142.01% Russell 1000(R) Consumer Discretionary Index(1) 2.81% 16.74% NA 116.82% NA -----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXD's one-year net asset value ("NAV") return of -2.34% underperformed the benchmark S&P 500(R) Consumer Discretionary Index return of 3.53% by -5.87%. The Auto Components industry was the best contributing and best performing industry during the period, with a 0.97% contribution and 17.4% return. The Textiles Apparel & Luxury Goods industry was the worst contributing and second worst performing industry during the period, with a -1.7% contribution and -17.1% return. The highest weighted industry during the period was Specialty Retail at an average 23.2% weighting. This industry had an average return of -0.7%. On a relative basis, the Fund underperformed the benchmark primarily because the Fund was underweight Amazon.com, Inc. within the Internet & Catalog Retail industry. Amazon.com, Inc. was held at an average weighting of 1.3% during the period versus the benchmark weighting of 10.4%. Amazon.com, Inc.'s return of 41.5% caused -2.9% of relative underperformance. The Fund's underweighting of Walt Disney Co. by 6.5%, relative to the benchmark, reversed 1.6% of underperformance. Walt Disney Co. had a return of -18.6% during the period. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 92.37% Industrials 3.57 Information Technology 1.44 Consumer Staples 1.33 Financials 1.29 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Penske Automotive Group, Inc. 1.64% Gap (The), Inc. 1.58 GameStop Corp., Class A 1.51 Burlington Stores, Inc. 1.49 Gentex Corp. 1.49 BorgWarner, Inc. 1.46 Dillard's, Inc., Class A 1.45 Lear Corp. 1.45 General Motors Co. 1.45 Best Buy Co., Inc. 1.43 ------- Total 14.95% ======= ----------------------------- (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, 2016 First Trust Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Discretionary Index Index Discretionary Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 9,415 9,439 9,674 9,418 1/31/08 8,296 8,349 9,261 8,326 7/31/08 7,133 7,194 8,647 7,355 1/31/09 4,347 4,406 5,911 5,679 7/31/09 6,482 6,601 6,903 6,667 1/31/10 7,427 7,592 7,611 7,697 7/31/10 8,108 8,319 7,904 8,410 1/31/11 9,984 10,281 9,387 10,051 7/31/11 10,925 11,302 9,539 10,806 1/31/12 10,699 11,120 9,757 11,372 7/31/12 10,591 11,024 10,298 12,091 1/31/13 12,657 13,228 11,419 14,063 7/31/13 15,057 15,791 12,998 16,770 1/31/14 15,938 16,781 13,957 17,911 7/31/14 16,920 17,876 15,216 18,899 1/31/15 18,238 19,332 15,878 20,241 7/31/15 19,719 20,976 16,926 23,374 1/31/16 17,144 18,291 15,591 21,815 7/31/16 19,259 20,608 17,745 24,200
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 130 0 0 0 8/1/12 - 7/31/13 178 0 0 0 8/1/13 - 7/31/14 213 0 0 0 8/1/14 - 7/31/15 200 0 0 0 8/1/15 - 7/31/16 146 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 123 0 0 0 8/1/12 - 7/31/13 72 0 0 0 8/1/13 - 7/31/14 39 0 0 0 8/1/14 - 7/31/15 52 0 0 0 8/1/15 - 7/31/16 105 0 0 0 Page 5 -------------------------------------------------------------------------------- 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 in the consumer staples sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Consumer Staples Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 9.19% 16.64% 11.69% 115.93% 177.34% Market Price 9.14% 16.65% 11.68% 116.02% 177.32% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index 9.85% 17.54% 12.53% 124.30% 197.21% Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45% S&P 500(R) Consumer Staples Index 11.67% 15.22% 10.89% 103.08% 159.73% Russell 1000(R) Consumer Staples Index(1) 11.46% 15.60% NA 106.42% NA -----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXG's one-year NAV return of 9.19% underperformed the benchmark S&P 500(R) Consumer Staples Index return of 11.67% by -2.48%. With a return of 7.8% and average weighting of 44.9%, Food Products was the top performing and highest weighted industry during the period, contributing 7.8% to the Fund's return. Within the industry, Tyson Foods, Inc. was the top returning security with a 67.6% return. The Food & Staples Retailing was the only industry to have a negative return during the period, with a -9.6% return. The Fund held this industry at an average 21.9% weighting, leading to a contribution of -2.0% during the period. Rite Aid Corp. was the worst performing security with a -21.4% return. On a relative basis, the Fund underperformed the benchmark primarily due to the Fund overweighting Rite Aid Corp. by 3.8%, creating -1.5% of drag, and due to the Fund underweighting the Tobacco industry by 9.7%, creating -1.2% of drag. The Tobacco industry had a return of 22.7% during the period. The well-performing Food Products industry reversed 2.3% of drag by being overweight 27.8% in the well performing industry. Tyson Foods, Inc., as mentioned above, created 1.8% of relative outperformance. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Staples 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Spectrum Brands Holdings, Inc. 5.08% Post Holdings, Inc. 4.93 Ingredion, Inc. 4.84 Sysco Corp. 4.80 TreeHouse Foods, Inc. 4.73 Energizer Holdings, Inc. 4.71 Mondelez International, Inc., Class A 4.55 WhiteWave Foods (The) Co. 3.89 Bunge Ltd. 3.67 Tyson Foods, Inc., Class A 3.63 ------- Total 44.83% ======= ----------------------------- (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, 2016 First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Staples Index Index Staples Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 9,555 9,574 9,674 9,747 1/31/08 8,917 8,971 9,261 10,285 7/31/08 9,091 9,180 8,647 10,386 1/31/09 7,142 7,224 5,646 8,404 7/31/09 8,442 8,577 6,903 9,587 1/31/10 9,133 9,311 7,611 10,426 7/31/10 9,790 10,017 7,904 10,865 1/31/11 10,958 11,264 9,387 11,840 7/31/11 12,844 13,250 9,539 12,790 1/31/12 12,410 12,853 9,757 13,505 7/31/12 12,455 12,989 10,298 15,305 1/31/13 14,509 15,186 11,419 16,073 7/31/13 17,921 18,842 12,998 18,201 1/31/14 18,572 19,596 13,957 18,172 7/31/14 20,635 21,857 15,216 19,497 1/31/15 23,342 24,784 15,878 21,971 7/31/15 25,401 27,057 16,926 23,258 1/31/16 24,327 25,980 15,591 23,835 7/31/16 27,737 29,721 17,745 25,973
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 158 0 0 0 8/1/12 - 7/31/13 155 0 0 0 8/1/13 - 7/31/14 213 0 0 0 8/1/14 - 7/31/15 204 0 0 0 8/1/15 - 7/31/16 164 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 94 1 0 0 8/1/12 - 7/31/13 95 0 0 0 8/1/13 - 7/31/14 39 0 0 0 8/1/14 - 7/31/15 48 0 0 0 8/1/15 - 7/31/16 87 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXN." The Energy Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index in the energy sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Energy Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV -12.67% -8.20% -2.56% -34.80% -21.28% Market Price -12.67% -8.21% -2.56% -34.85% -21.28% INDEX PERFORMANCE StrataQuant(R) Energy Index -12.52% -7.73% -1.98% -33.13% -16.85% Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45% S&P 500(R) Energy Index 2.03% 0.23% 2.35% 1.17% 23.89% Russell 1000(R) Energy Index(1) -0.66% -0.71% NA -3.51% NA -----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXN's one-year NAV return of -12.67% underperformed the benchmark S&P 500(R) Energy Index return of 2.03% by -14.70%. The Energy Equipment & Services and Oil Gas & Consumable Fuels industries each contributed about -5.75% during the period. California Resources Corp. stands out as the worst performing security with a -69.6% return during the period, contributing -2.3% to the Fund's return. Exxon Mobil Corp. and Chevron Co., the two largest energy conglomerates held within the Fund, posted solid returns of 16.4% and 21.5%, respectively, during the period. On a relative basis, the Fund underperformed the benchmark. Exxon Mobil Corp. and Chevron Co. were two of the leading contributors to the underperformance as the Fund was underweight the benchmark -25.4% and -11.3%, respectively, causing in total -5.1% of relative underperformance. Because the benchmark is market cap weighted, these two securities take the lion's share of the weighting at 41.6%. The Fund reversed 1.7% of the relative underperformance by holding Kinder Morgan, Inc., which returned -38.9% during the period, at a 2% smaller weighting. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Energy 96.71% Information Technology 3.29 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- HollyFrontier Corp. 3.65% Marathon Petroleum Corp. 3.54 Valero Energy Corp. 3.50 Tesoro Corp. 3.47 Antero Resources Corp. 3.44 First Solar, Inc. 3.29 Phillips 66 3.27 Dril-Quip, Inc. 3.18 Transocean Ltd. 3.15 Noble Corp. PLC 3.06 ------- Total 33.55% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell combined the Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index into one index, the Russell 1000(R) Energy Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Energy Index because this index did not exist until on or about September 18, 2008. The StrataQuant(R) Energy Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Energy AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Energy Index in connection with the trading of the Fund. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Energy Index Index Energy Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 10,370 10,387 9,674 10,743 1/31/08 10,594 10,638 9,261 10,891 7/31/08 11,990 12,080 8,647 11,455 1/31/09 4,831 4,864 6,047 7,332 7/31/09 6,865 6,965 6,903 8,138 1/31/10 8,005 8,153 7,611 8,656 7/31/10 8,119 8,301 7,904 8,601 1/31/11 11,422 11,720 9,387 11,719 7/31/11 12,073 12,437 9,539 12,248 1/31/12 10,110 10,453 9,757 11,606 7/31/12 9,477 9,838 10,298 11,633 1/31/13 11,278 11,755 11,419 12,874 7/31/13 11,715 12,244 12,998 13,799 1/31/14 12,399 13,006 13,957 14,020 7/31/14 14,678 15,444 15,216 16,343 1/31/15 10,559 11,126 15,878 13,133 7/31/15 9,013 9,506 16,926 12,144 1/31/16 6,948 7,329 15,591 10,554 7/31/16 7,871 8,316 17,745 12,392
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 156 0 0 0 8/1/12 - 7/31/13 178 0 0 0 8/1/13 - 7/31/14 223 0 0 0 8/1/14 - 7/31/15 161 1 0 0 8/1/15 - 7/31/16 151 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 96 1 0 0 8/1/12 - 7/31/13 72 0 0 0 8/1/13 - 7/31/14 29 0 0 0 8/1/14 - 7/31/15 90 0 0 0 8/1/15 - 7/31/16 100 0 0 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO." The Financials Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index in the financial services sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Financials Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 0.22% 13.15% 3.73% 85.48% 40.18% Market Price 0.18% 13.17% 3.73% 85.61% 40.17% INDEX PERFORMANCE StrataQuant(R) Financials Index 0.87% 13.99% 4.61% 92.49% 51.64% Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45% S&P 500(R) Financials Index -3.77% 12.05% -2.85% 76.62% -23.42% Russell 1000(R) Financial Services Index(1) -1.39% 12.97% NA 83.96% NA -----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXO's one-year NAV return of 0.22% outperformed the benchmark S&P 500(R) Financials Index return of -3.77% by 3.99%. It was the Real Estate Investment Trust ("REIT") industry that contributed the most to the Fund's return during the period. This industry had a return of 19.9%, an average weighting of 20.8%, and contribution of 4.4%. Digital Realty Trust, Inc. also stood out as the top performing security within the REIT industry with a 69.9% return. The Capital Market industry was the worst contributing industry with a -2.2% contribution. Notably, Waddell & Reed Financial, Inc. returned -60.9% during the period creating -0.8% contribution. On a relative basis, the Fund outperformed the benchmark primarily due to the Fund's holdings within the Banking industry. The Fund underweighted this poor performing industry (-10.3% return) by 18.6%, creating 2.5% of relative outperformance. Amongst the Diversified Financial Services industry, the Fund lost -1.2% of relative performance by having a 7.4% lower allocation and -7.3% lower return. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 90.27% Information Technology 6.55 Industrials 2.61 Consumer Discretionary 0.57 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Lazard Ltd., Class A 1.10% Popular, Inc. 1.05 Jones Lang LaSalle, Inc. 1.03 MarketAxess Holdings, Inc. 1.01 Franklin Resources, Inc. 0.99 CIT Group, Inc. 0.99 Fidelity National Information Services, Inc. 0.99 Fifth Third Bancorp 0.99 Senior Housing Properties Trust 0.97 Santander Consumer USA Holdings, Inc. 0.97 ------- Total 10.09% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Financial Services Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Financials Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Financials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Financials Index in connection with the trading of the Fund. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Financials Index Index Financials Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 8,955 8,986 9,674 8,883 1/31/08 7,939 8,017 9,261 7,875 7/31/08 6,363 6,450 8,647 5,950 1/31/09 3,908 3,976 5,646 3,444 7/31/09 5,412 5,550 6,903 3,713 1/31/10 6,429 6,618 7,611 4,081 7/31/10 6,856 7,086 7,904 4,253 1/31/11 7,898 8,199 9,387 4,772 7/31/11 7,558 7,878 9,539 4,336 1/31/12 7,621 7,979 9,757 4,162 7/31/12 7,904 8,307 10,298 4,385 1/31/13 9,367 9,886 11,419 5,255 7/31/13 11,021 11,675 12,998 6,245 1/31/14 11,646 12,384 13,957 6,482 7/31/14 12,228 13,050 15,216 6,957 1/31/15 12,750 13,656 15,878 7,213 7/31/15 13,987 15,034 16,926 7,959 1/31/16 12,337 13,296 15,591 6,954 7/31/16 14,018 15,165 17,745 7,659
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 151 0 0 0 8/1/12 - 7/31/13 189 0 0 0 8/1/13 - 7/31/14 219 0 0 0 8/1/14 - 7/31/15 200 0 0 0 8/1/15 - 7/31/16 151 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 102 0 0 0 8/1/12 - 7/31/13 61 0 0 0 8/1/13 - 7/31/14 33 0 0 0 8/1/14 - 7/31/15 52 0 0 0 8/1/15 - 7/31/16 100 0 0 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXH." The Health Care Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index in the health care sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Health Care Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV -11.60% 16.72% 13.03% 116.63% 209.81% Market Price -11.64% 16.71% 13.03% 116.55% 209.81% INDEX PERFORMANCE StrataQuant(R) Health Care Index -11.08% 17.50% 13.87% 123.99% 231.63% Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45% S&P 500(R) Health Care Index 0.01% 19.37% 10.23% 142.33% 145.74% Russell 1000(R) Health Care Index(1) -1.42% 19.63% NA 145.01% NA -----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXH's one-year NAV return of -11.60% underperformed the benchmark S&P 500(R) Health Care Index return of 0.01% by -11.61%. The Health Care Equipment & Supplies industry, held at an average weighting of 24.5%, had the best return of 18.8%, resulting in a contribution of 5.8%. Intuitive Surgical, Inc. was the best performing security at 48.4%. Biotechnology was the worst performing industry during the period with a return of -35.8%. This industry was held at an average weighting of 11.4%, resulting in a contribution of -9.3%. Intrexon Co. was the worst performing security with a -68.9% return. On a relative basis, the Fund underperformed the benchmark. The relative underperformance can almost all be attributed to the Health Care Providers & Services industry. In this industry, the Fund underperformed the benchmark by -11.8% and overweighted the benchmark by 23.8% in this industry during the period, creating -6.0% of relative underperformance. The Fund had a 1.4% position in Community Health Systems, Inc., a security that returned -75.2% during the period which contributed -2.4% of the drag. Relative to the benchmark, the Fund overweighted the Health Care Equipment & Supplies industry and outperformed, which reversed 1.3% of underperformance. Align Technology, Inc. led the industry in this regard with a 42.2% return, and 1.8% overweighting. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Edwards Lifesciences Corp. 2.44% United Therapeutics Corp. 2.43 Veeva Systems, Inc., Class A 2.37 Zimmer Biomet Holdings, Inc. 2.32 ABIOMED, Inc. 2.30 Laboratory Corp. of America Holdings 2.28 Baxter International, Inc. 2.26 VCA, Inc. 2.24 Boston Scientific Corp. 2.21 Becton, Dickinson and Co. 2.21 ------- Total 23.06% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Health Care Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Health Care Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Health Care AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Health Care Index in connection with the trading of the Fund. Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund (FXH) Health Care Index Index Health Care Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 9,740 9,764 9,674 9,222 1/31/08 9,645 9,702 9,261 9,269 7/31/08 9,465 9,573 8,647 8,940 1/31/09 7,330 7,443 5,646 7,696 7/31/09 8,830 9,001 6,903 7,974 1/31/10 10,750 10,993 7,611 9,042 7/31/10 10,780 11,068 7,904 8,318 1/31/11 13,190 13,601 9,387 9,306 7/31/11 14,302 14,805 9,539 10,142 1/31/12 14,342 14,909 9,757 10,762 7/31/12 15,042 15,667 10,298 11,706 1/31/13 17,867 18,682 11,419 13,226 7/31/13 21,434 22,504 12,998 15,877 1/31/14 25,169 26,517 13,957 17,571 7/31/14 26,745 28,259 15,216 19,279 1/31/15 30,802 32,650 15,878 22,086 7/31/15 35,050 37,293 16,926 24,576 1/31/16 26,992 28,798 15,591 21,549 7/31/16 30,984 33,161 17,745 24,575
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 135 0 0 0 8/1/12 - 7/31/13 187 0 0 0 8/1/13 - 7/31/14 217 0 0 0 8/1/14 - 7/31/15 220 0 0 0 8/1/15 - 7/31/16 136 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 118 0 0 0 8/1/12 - 7/31/13 63 0 0 0 8/1/13 - 7/31/14 35 0 0 0 8/1/14 - 7/31/15 32 0 0 0 8/1/15 - 7/31/16 115 0 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXR." The Industrials Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index in the industrials and producer durables sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Industrials Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV -0.82% 10.99% 4.91% 68.43% 55.69% Market Price -0.86% 11.03% 4.91% 68.71% 55.70% INDEX PERFORMANCE StrataQuant(R) Industrials Index -0.18% 11.78% 5.68% 74.51% 66.52% Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45% S&P 500(R) Industrials Index 10.46% 13.60% 6.70% 89.15% 81.91% Russell 1000(R) Producer Durables Index(1) 8.69% 13.61% NA 89.24% NA -----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXR's one-year NAV return of -0.82% underperformed the benchmark S&P 500(R) Industrials Index return of 10.46% by -11.28%. The Commercial Services & Supplies industry led the Fund in contribution with a 1.4% contribution. This industry had a 20.8% return and was held at an average weighting of 5.6%. Tyco International PLC also led the industry with a 36.8% return. The Machinery industry was given the highest allocation during the period at 25.7%. With a relatively flat return of -0.1%, the Machinery industry contributed -1.0% to the Fund's return because of the high allocation. On a relative basis, the Fund underperformed the benchmark. The Machinery industry created -3.0% of relative underperformance by overweighting the industry by 13.2% and underperforming by -7.8%. Joy Global, Inc., in particular, was the cause of -1.1% of the relative underperformance as the Fund was overweight the -58.8% performing security by 0.6%. American Airlines Group, Inc., held within the Airlines industry, reversed 0.64% of underperformance as the Fund held the name at a 21.9% return versus the benchmarks 1.4% return. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 90.55% Information Technology 7.23 Health Care 1.12 Materials 1.10 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- American Airlines Group, Inc. 2.20% Trinity Industries, Inc. 2.19 Alaska Air Group, Inc. 2.02 United Continental Holdings, Inc. 2.00 JetBlue Airways Corp. 1.94 WESCO International, Inc. 1.90 Air Lease Corp. 1.88 Delta Air Lines, Inc. 1.86 KBR, Inc. 1.85 Copart, Inc. 1.80 ------- Total 19.64% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Producer Durables Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Industrials Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Industrials Index in connection with the trading of the Fund. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Industrials/ Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Industrials Index Index Industrials Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 9,435 9,457 9,674 10,400 1/31/08 8,770 8,820 9,261 9,935 7/31/08 8,792 8,874 8,647 9,138 1/31/09 4,967 5,030 5,646 5,934 7/31/09 6,081 6,182 6,903 6,422 1/31/10 7,233 7,384 7,611 7,464 7/31/10 7,854 8,048 7,904 8,263 1/31/11 9,675 9,954 9,387 9,982 7/31/11 9,243 9,542 9,539 9,618 1/31/12 9,549 9,904 9,757 10,177 7/31/12 9,177 9,552 10,298 10,257 1/31/13 10,955 11,446 11,419 11,594 7/31/13 12,656 13,270 12,998 13,198 1/31/14 14,598 15,368 13,957 14,747 7/31/14 15,496 16,375 15,216 15,405 1/31/15 15,548 16,486 15,878 16,340 7/31/15 15,698 16,682 16,926 16,469 1/31/16 13,029 13,885 15,591 15,578 7/31/16 15,567 16,652 17,745 18,192
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 111 0 0 0 8/1/12 - 7/31/13 177 0 0 0 8/1/13 - 7/31/14 217 0 0 0 8/1/14 - 7/31/15 167 0 0 0 8/1/15 - 7/31/16 153 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 142 0 0 0 8/1/12 - 7/31/13 73 0 0 0 8/1/13 - 7/31/14 35 0 0 0 8/1/14 - 7/31/15 85 0 0 0 8/1/15 - 7/31/16 98 0 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXZ." The Materials Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index in the materials and processing sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Materials Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 13.48% 8.82% 7.49% 52.56% 94.81% Market Price 13.52% 8.80% 7.49% 52.44% 94.80% INDEX PERFORMANCE StrataQuant(R) Materials Index 14.25% 9.64% 8.30% 58.41% 108.79% Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45% S&P 500(R) Materials Index 8.40% 7.55% 4.65% 43.87% 52.08% Russell 1000(R) Materials and Processing Index(1) 11.02% 8.56% NA 50.75% NA -----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXZ's one-year NAV return of 13.48% outperformed the benchmark S&P 500(R) Materials Index return of 8.40% by 5.08%. Resulting from an 18.8% average weighting and a 55.8% return, the Metals & Mining industry accounted for 9.2% of the Fund's return during the period. Several securities posted high returns; among them was Newmont Mining Co., which returned 157.4% and contributed 3.6% to the Fund's return. The Chemicals industry, which was given the greatest allocation during the period at 34.5%, was the worst performing and contributing industry during the period, with a -1.1% return and -0.4% contribution. On a relative basis, the Fund outperformed the benchmark. The majority of the outperformance came from the Metals & Mining industry where the Fund posted a 13.5% higher return than the benchmark and an 8.8% greater allocation, which created 4.3% of outperformance. The Chemical industry reversed -0.8% of outperformance by underperforming (-5.5%) and underweighting (-39.7%) the benchmark during the period. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Materials 79.99% Industrials 20.01 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Royal Gold, Inc. 3.70% Domtar Corp. 3.55 Dow Chemical (The) Co. 3.41 Westlake Chemical Corp. 3.36 Martin Marietta Materials, Inc. 3.33 Berry Plastics Group, Inc. 3.33 USG Corp. 3.29 Mosaic (The) Co. 3.25 Vulcan Materials Co. 3.25 CF Industries Holdings, Inc. 3.23 ------- Total 33.70% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Materials and Processing Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Materials Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Materials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Materials Index in connection with the trading of the Fund. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Materials Index Index Materials Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 10,085 10,104 9,674 9,956 1/31/08 10,310 10,362 9,261 10,271 7/31/08 11,037 11,128 8,647 10,387 1/31/09 5,255 5,323 5,646 5,394 7/31/09 7,814 7,950 6,903 7,499 1/31/10 9,265 9,468 7,611 7,890 7/31/10 10,371 10,617 7,904 8,450 1/31/11 12,736 13,090 9,387 10,544 7/31/11 12,769 13,180 9,539 10,572 1/31/12 12,616 13,091 9,757 10,586 7/31/12 12,159 12,665 10,298 10,021 1/31/13 14,771 15,454 11,419 11,369 7/31/13 15,248 16,011 12,998 11,899 1/31/14 17,100 18,026 13,957 13,120 7/31/14 17,952 18,987 15,216 14,650 1/31/15 16,665 17,673 15,878 14,420 7/31/15 17,168 18,274 16,926 14,029 1/31/16 14,697 15,690 15,591 12,042 7/31/16 19,481 20,876 17,745 15,207
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 119 0 0 0 8/1/12 - 7/31/13 162 0 0 0 8/1/13 - 7/31/14 200 1 0 0 8/1/14 - 7/31/15 163 0 0 0 8/1/15 - 7/31/16 147 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 134 0 0 0 8/1/12 - 7/31/13 87 1 0 0 8/1/13 - 7/31/14 49 2 0 0 8/1/14 - 7/31/15 89 0 0 0 8/1/15 - 7/31/16 104 0 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL." The Technology Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index in the technology sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Technology Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 0.42% 10.30% 6.45% 63.29% 78.12% Market Price 0.39% 10.31% 6.46% 63.34% 78.17% INDEX PERFORMANCE StrataQuant(R) Technology Index 1.09% 11.12% 7.32% 69.39% 91.91% Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45% S&P 500(R) Information Technology Index 9.77% 14.79% 9.31% 99.29% 127.33% Russell 1000(R) Technology Index(1) 9.14% 13.67% NA 89.76% NA -----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXL's one-year NAV return of 0.42% underperformed the benchmark S&P 500(R) Information Technology Index return of 9.77% by -9.35%. The Fund saw the majority of its positive return from the Electronic Equipment Instruments & Components Industry and Semiconductors & Semiconductor Equipment industry, which contributed 2.6% and 2.7%, respectively. NVIDIA Corp., held within the Semiconductors & Semiconductor Equipment industry, stood out as the top performing security in the Fund with a 190.3% return. The Communications Equipment industry lagged with a return of -16.0% and -2.1% contribution. Within this industry, Arista Networks, Inc. had a return of -33.5% and -0.8% contribution to the Fund's return. On a relative basis, the Fund underperformed the benchmark. The Software industry was the leading cause of the underperformance. The Fund held this industry at an average weighting of 23.7%, 3% higher than the benchmark, and had a return 0.5%, 17.1% lower than the benchmark. Microsoft Co.'s 10.1% lower weighting and -11.6% worse relative return caused -1.3% of the underperformance. Several other securities within the Software industry contributed to an additional -3.3% of drag. Apple, Inc., held within the Technology Hardware Storage & Peripherals industry, reversed 3.7% of relative underperformance from holding the -12.3% returning security at a 15.5% lower weighting. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 99.16% Health Care 0.44 Telecommunication Services 0.40 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- NVIDIA Corp. 2.40% ON Semiconductor Corp. 2.25 Jabil Circuit, Inc. 2.18 Applied Materials, Inc. 2.17 Apple, Inc. 2.15 Arrow Electronics, Inc. 2.12 Cisco Systems, Inc. 2.10 Intel Corp. 2.10 Skyworks Solutions, Inc. 2.06 Avnet, Inc. 2.00 ------- Total 21.53% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Technology Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Technology Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Technology AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Technology Index in connection with the trading of the Fund. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information AlphaDEX(R) Fund Technology Index Index Technology Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 10,235 10,252 9,674 10,160 1/31/08 9,030 9,078 9,261 9,501 7/31/08 8,815 8,895 8,647 9,320 1/31/09 5,205 5,295 5,646 6,101 7/31/09 7,236 7,397 6,903 8,416 1/31/10 8,246 8,457 7,611 9,142 7/31/10 9,060 9,330 7,904 9,570 1/31/11 11,868 12,273 9,387 11,466 7/31/11 10,908 11,328 9,539 11,407 1/31/12 11,048 11,523 9,757 12,125 7/31/12 10,493 10,986 10,298 12,896 1/31/13 11,488 12,077 11,419 13,111 7/31/13 13,069 13,792 12,998 14,332 1/31/14 15,047 15,945 13,957 16,195 7/31/14 16,021 17,035 15,216 18,362 1/31/15 16,916 18,044 15,878 19,186 7/31/15 17,738 18,982 16,926 20,708 1/31/16 15,400 16,535 15,591 20,116 7/31/16 17,812 19,189 17,745 22,733
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 161 0 0 0 8/1/12 - 7/31/13 136 0 0 0 8/1/13 - 7/31/14 218 0 0 0 8/1/14 - 7/31/15 177 0 0 0 8/1/15 - 7/31/16 140 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 92 0 0 0 8/1/12 - 7/31/13 114 0 0 0 8/1/13 - 7/31/14 34 0 0 0 8/1/14 - 7/31/15 75 0 0 0 8/1/15 - 7/31/16 111 0 0 0 Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXU." The Utilities Index is a modified equal-dollar weighted index designed by the NYSE to objectively identify and select stocks from the Russell 1000(R) Index in the utilities sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The NYSE constructs the Utilities Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 22.66% 12.64% 6.76% 81.36% 82.86% Market Price 22.61% 12.64% 6.75% 81.29% 82.77% INDEX PERFORMANCE StrataQuant(R) Utilities Index 23.62% 13.62% 7.68% 89.38% 97.99% Russell 1000(R) Index 4.84% 13.22% 6.41% 86.03% 77.45% S&P 500(R) Utilities Index 23.10% 13.87% 6.47% 91.43% 78.42% Russell 1000(R) Utilities Index(1) 24.67% 13.39% NA 87.46% NA -----------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXU's one-year NAV return of 22.66% underperformed the benchmark S&P 500(R) Utilities Index return of 23.10% by -0.44%. Electric Utilities, with the greatest allocation of 42.6%, was the top contributing industry with a 10.5% contribution. The top performing industry, Gas Utilities, had a 48.8% return, but only contributed 2.9% due to its lower allocation of 5.3% during the period. The Independent Power & Renewable Electricity Producers industry, with an allocation of 7.4% during the period, returned -25.5% and contributed -3.1% to the Fund's return. On a relative basis, the Fund underperformed the benchmark. The Independent Power & Renewable Electricity Producers industry accounted for -3.6% of the underperformance due to having a 5.3% greater allocation and -8.9% worse performance. Calpine Corp. accounted for -2.1% of the drag by the Fund having a 3.4% greater allocation than the benchmark in the -24.9% returning security. The Multi-Utilities industry reversed 1.8% of underperformance by having a 6.5% higher return than the benchmark during the period. SCANA Corp., within this industry, was the cause of 0.5% relative outperformance due to the Fund having a 2.5% greater allocation to the 41.8% returning security. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Utilities 63.33% Telecommunication Services 36.67 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Sprint Corp. 4.45% CenturyLink, Inc. 4.45 T-Mobile US, Inc. 4.40 Telephone and Data Systems, Inc. 4.36 AT&T, Inc. 4.11 FirstEnergy Corp. 4.11 Verizon Communications, Inc. 4.07 Public Service Enterprise Group, Inc. 4.05 Level 3 Communications, Inc. 4.03 Frontier Communications Corp. 3.46 ------- Total 41.49% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Utilities Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. The StrataQuant(R) Utilities Index is a registered trademark of the NYSE and has been licensed for use by First Trust Portfolios L.P., which has sub-licensed the Index for use by the Fund. The First Trust Utilities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by the NYSE, and the NYSE makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Utilities Index in connection with the trading of the Fund. Page 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Utilities Index Index Utilities Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 9,185 9,205 9,674 9,034 1/31/08 8,789 8,856 9,261 9,588 7/31/08 8,506 8,601 8,647 9,394 1/31/09 6,660 6,760 5,646 7,262 7/31/09 7,440 7,593 6,903 7,463 1/31/10 8,033 8,229 7,611 7,777 7/31/10 8,616 8,863 7,904 8,170 1/31/11 9,597 9,912 9,387 8,727 7/31/11 10,083 10,456 9,539 9,322 1/31/12 10,008 10,420 9,757 9,970 7/31/12 10,753 11,245 10,298 11,120 1/31/13 11,197 11,750 11,419 10,990 7/31/13 12,464 13,196 12,998 12,011 1/31/14 12,818 13,628 13,957 12,220 7/31/14 14,094 15,046 15,216 13,123 1/31/15 15,906 17,032 15,878 15,666 7/31/15 14,907 16,015 16,926 14,497 1/31/16 15,062 16,242 15,591 15,276 7/31/16 18,283 19,798 17,745 17,843
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 157 0 0 0 8/1/12 - 7/31/13 141 0 0 0 8/1/13 - 7/31/14 193 0 0 0 8/1/14 - 7/31/15 136 0 0 0 8/1/15 - 7/31/16 173 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 96 0 0 0 8/1/12 - 7/31/13 109 0 0 0 8/1/13 - 7/31/14 59 0 0 0 8/1/14 - 7/31/15 116 0 0 0 8/1/15 - 7/31/16 78 0 0 0 Page 21 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading) the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 22 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES JULY 31, 2016 As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2016. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
-------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2016 JULY 31, 2016 PERIOD PERIOD (a) -------------------------------------------------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) Actual $1,000.00 $1,123.40 0.61% $3.22 Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) Actual $1,000.00 $1,140.20 0.61% $3.25 Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) Actual $1,000.00 $1,132.80 0.62% $3.29 Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) Actual $1,000.00 $1,136.30 0.64% $3.40 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.64% $3.22 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) Actual $1,000.00 $1,147.90 0.62% $3.31 Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12
Page 23 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2016
-------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2016 JULY 31, 2016 PERIOD PERIOD (a) -------------------------------------------------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) Actual $1,000.00 $1,194.80 0.68% $3.71 Hypothetical (5% return before expenses) $1,000.00 $1,021.48 0.68% $3.42 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) Actual $1,000.00 $1,325.50 0.66% $3.82 Hypothetical (5% return before expenses) $1,000.00 $1,021.58 0.66% $3.32 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) Actual $1,000.00 $1,156.60 0.63% $3.38 Hypothetical (5% return before expenses) $1,000.00 $1,021.73 0.63% $3.17 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) Actual $1,000.00 $1,213.90 0.61% $3.36 Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07
(a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2016 through July 31, 2016), multiplied by 182/366 (to reflect the one-half year period). Page 24 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 5.8% 778,528 BorgWarner, Inc. $ 25,831,559 1,487,492 Gentex Corp. 26,283,984 537,387 Goodyear Tire & Rubber (The) Co. 15,406,885 207,696 Johnson Controls, Inc. 9,537,401 225,856 Lear Corp. 25,623,363 --------------- 102,683,192 --------------- AUTOMOBILES -- 4.0% 1,828,296 Ford Motor Co. 23,146,227 812,069 General Motors Co. 25,612,656 283,983 Thor Industries, Inc. 21,736,059 --------------- 70,494,942 --------------- BUILDING PRODUCTS -- 1.1% 317,144 Fortune Brands Home & Security, Inc. 20,065,701 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 440,488 KAR Auction Services, Inc. 18,839,672 --------------- DISTRIBUTORS -- 2.8% 136,188 Genuine Parts Co. 13,923,861 289,988 LKQ Corp. (a) 9,972,687 244,420 Pool Corp. 24,999,278 --------------- 48,895,826 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.3% 399,679 H&R Block, Inc. 9,508,363 163,169 Service Corp. International 4,523,045 230,964 ServiceMaster Global Holdings, Inc. (a) 8,737,368 --------------- 22,768,776 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 1,128,415 Fitbit, Inc., Class A (a) (b) 15,414,149 --------------- FOOD & STAPLES RETAILING -- 1.3% 58,530 Costco Wholesale Corp. 9,787,387 188,832 Wal-Mart Stores, Inc. 13,779,071 --------------- 23,566,458 --------------- HOTELS, RESTAURANTS & LEISURE -- 8.9% 132,024 Aramark 4,733,060 96,911 Brinker International, Inc. 4,568,385 415,973 Carnival Corp. 19,434,259 69,667 Darden Restaurants, Inc. 4,288,701 104,959 Domino's Pizza, Inc. 15,460,461 295,156 Extended Stay America, Inc. 4,179,409 408,031 Hilton Worldwide Holdings, Inc. 9,462,239 89,785 Hyatt Hotels Corp., Class A (a) 4,528,755 66,386 Marriott International, Inc., Class A (b) 4,759,876 194,984 MGM Resorts International (a) 4,675,716 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 346,116 Norwegian Cruise Line Holdings Ltd. (a) $ 14,744,542 65,073 Panera Bread Co., Class A (a) 14,271,810 205,335 Royal Caribbean Cruises Ltd. 14,874,467 158,628 Six Flags Entertainment Corp. 8,945,033 99,748 Vail Resorts, Inc. 14,270,946 955,587 Wendy's (The) Co. 9,230,970 53,223 Yum! Brands, Inc. 4,759,201 --------------- 157,187,830 --------------- HOUSEHOLD DURABLES -- 12.3% 375,630 CalAtlantic Group, Inc. 13,601,562 584,035 D.R. Horton, Inc. 19,203,071 433,422 Garmin Ltd. 23,547,817 255,999 Harman International Industries, Inc. 21,155,757 269,801 Leggett & Platt, Inc. 14,183,439 398,815 Lennar Corp., Class A 18,664,542 72,671 Mohawk Industries, Inc. (a) 15,183,879 283,892 Newell Brands, Inc. 14,892,974 12,914 NVR, Inc. (a) 22,018,370 943,316 PulteGroup, Inc. 19,979,433 683,225 Toll Brothers, Inc. (a) 19,137,132 82,760 Whirlpool Corp. 15,919,714 --------------- 217,487,690 --------------- INTERNET & CATALOG RETAIL -- 2.5% 32,108 Amazon.com, Inc. (a) 24,363,872 41,519 Expedia, Inc. 4,843,191 543,509 Liberty Interactive Corp. QVC Group, Class A (a) 14,571,476 --------------- 43,778,539 --------------- INTERNET SOFTWARE & SERVICES -- 0.6% 738,384 Pandora Media, Inc. (a) (b) 10,042,022 --------------- LEISURE PRODUCTS -- 2.6% 202,840 Brunswick Corp. 10,064,921 218,911 Hasbro, Inc. 17,782,140 141,017 Mattel, Inc. 4,707,147 288,892 Vista Outdoor, Inc. (a) 14,459,045 --------------- 47,013,253 --------------- MEDIA -- 11.3% 26,947 Cable One, Inc. 14,116,994 81,044 CBS Corp., Class B 4,232,118 60,297 Charter Communications, Inc., Class A (a) 14,161,956 252,140 Cinemark Holdings, Inc. 9,480,464 282,023 Comcast Corp., Class A 18,966,047 728,703 Discovery Communications, Inc., Class A (a) 18,283,158 84,206 DISH Network Corp., Class A (a) 4,498,285 397,956 Interpublic Group of Cos. (The), Inc. 9,176,865 176,167 John Wiley & Sons, Inc., Class A 10,164,836 See Notes to Financial Statements Page 25 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 391,185 Live Nation Entertainment, Inc. (a) $ 10,726,293 54,155 Omnicom Group, Inc. 4,456,415 834,192 Regal Entertainment Group, Class A (b) 19,620,196 70,870 Scripps Networks Interactive, Inc., Class A 4,681,672 1,117,088 Sirius XM Holdings, Inc. (a) 4,904,016 595,135 TEGNA, Inc. 13,033,457 187,514 Time Warner, Inc. 14,372,948 112,619 Tribune Media Co., Class A 4,172,534 443,355 Viacom, Inc., Class B 20,159,352 --------------- 199,207,606 --------------- MULTILINE RETAIL -- 7.7% 379,237 Dillard's, Inc., Class A 25,666,760 244,501 Dollar General Corp. 23,164,025 243,860 Dollar Tree, Inc. (a) 23,481,279 606,072 Kohl's Corp. 25,206,535 547,029 Macy's, Inc. 19,600,049 263,318 Target Corp. 19,835,745 --------------- 136,954,393 --------------- PROFESSIONAL SERVICES -- 0.2% 84,895 Nielsen Holdings PLC 4,572,445 --------------- REAL ESTATE INVESTMENT TRUSTS -- 1.3% 138,667 Lamar Advertising Co., Class A 9,409,943 570,509 Outfront Media, Inc. 13,275,744 --------------- 22,685,687 --------------- ROAD & RAIL -- 1.1% 36,803 AMERCO 14,555,955 136,899 Avis Budget Group, Inc. (a) 5,028,300 --------------- 19,584,255 --------------- SPECIALTY RETAIL -- 27.5% 27,296 Advance Auto Parts, Inc. 4,636,499 391,356 AutoNation, Inc. (a) 20,878,843 11,575 AutoZone, Inc. (a) 9,421,703 531,729 Bed Bath & Beyond, Inc. 23,901,218 751,050 Best Buy Co., Inc. 25,235,280 344,491 Burlington Stores, Inc. (a) 26,357,006 275,453 Cabela's, Inc. (a) 14,221,638 213,380 CST Brands, Inc. 9,542,354 408,031 Dick's Sporting Goods, Inc. 20,927,910 335,134 Foot Locker, Inc. 19,980,689 864,636 GameStop Corp., Class A 26,760,484 1,083,030 Gap (The), Inc. 27,931,344 34,564 Home Depot (The), Inc. 4,778,127 65,733 L Brands, Inc. 4,857,669 174,163 Lowe's Cos., Inc. 14,330,132 646,455 Michaels (The) Cos., Inc. (a) 17,040,554 309,901 Murphy USA, Inc. (a) 23,750,813 33,898 O'Reilly Automotive, Inc. (a) 9,851,776 730,521 Penske Automotive Group, Inc. 28,943,242 162,171 Ross Stores, Inc. 10,027,033 150,037 Sally Beauty Holdings, Inc. (a) 4,400,585 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 278,859 Signet Jewelers Ltd. $ 24,514,495 2,666,088 Staples, Inc. 24,767,957 303,200 Tiffany & Co. 19,562,464 119,043 TJX (The) Cos., Inc. 9,728,194 100,816 Tractor Supply Co. 9,239,786 94,334 Ulta Salon, Cosmetics & Fragrance, Inc. (a) 24,640,984 835,696 Urban Outfitters, Inc. (a) 24,987,310 --------------- 485,216,089 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 5.7% 86,344 Carter's, Inc. 8,742,330 225,651 Coach, Inc. 9,727,815 214,108 Kate Spade & Co. (a) 4,644,003 248,923 lululemon athletica, Inc. (a) 19,328,871 185,775 Michael Kors Holdings Ltd. (a) 9,608,283 243,887 PVH Corp. 24,647,220 205,158 Ralph Lauren Corp. 20,123,948 148,473 Skechers U.S.A., Inc., Class A (a) 3,566,321 --------------- 100,388,791 --------------- TOTAL COMMON STOCKS -- 100.0% 1,766,847,316 (Cost $1,668,799,712) --------------- MONEY MARKET FUNDS -- 1.1% 18,153,271 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 18,153,271 675,809 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (c) 675,809 --------------- TOTAL MONEY MARKET FUNDS -- 1.1% 18,829,080 (Cost $18,829,080) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.2% $ 7,188,372 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $7,188,528. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $7,351,112. (d) 7,188,372 Page 26 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS (CONTINUED) $ 14,891,405 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $14,891,777. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $15,236,789. (d) $ 14,891,405 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.2% 22,079,777 (Cost $22,079,777) --------------- TOTAL INVESTMENTS -- 102.3% 1,807,756,173 (Cost $1,709,708,569) (e) NET OTHER ASSETS AND LIABILITIES -- (2.3)% (40,854,316) --------------- NET ASSETS -- 100.0% $ 1,766,901,857 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $39,628,777 and the total value of the collateral held by the Fund is $40,233,048. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,713,732,997. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $155,764,081 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $61,740,905. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks* $1,766,847,316 $ -- $ -- Money Market Funds 18,829,080 -- -- Repurchase Agreements -- 22,079,777 -- ------------------------------------------ Total Investments $1,785,676,396 $22,079,777 $ -- ========================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 39,628,777 Non-cash Collateral(2) (39,628,777) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 22,079,777 Non-cash Collateral(4) (22,079,777) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 27 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% BEVERAGES -- 6.6% 508,557 Constellation Brands, Inc., Class A $ 83,723,739 435,246 Dr Pepper Snapple Group, Inc. 42,876,084 261,699 Monster Beverage Corp. (a) 42,036,710 --------------- 168,636,533 --------------- FOOD & STAPLES RETAILING -- 13.6% 639,614 Casey's General Stores, Inc. 85,414,053 219,644 CVS Health Corp. 20,365,392 571,593 Kroger (The) Co. 19,542,765 2,807,595 Rite Aid Corp. (a) 19,653,165 2,368,251 Sysco Corp. 122,651,719 505,079 Walgreens Boots Alliance, Inc. 40,027,511 1,313,486 Whole Foods Market, Inc. 40,035,053 --------------- 347,689,658 --------------- FOOD PRODUCTS -- 57.1% 1,681,021 Archer-Daniels-Midland Co. 75,780,427 1,422,074 Bunge Ltd. 93,629,352 632,164 Campbell Soup Co. 39,364,852 439,841 ConAgra Foods, Inc. 20,566,965 2,243,080 Flowers Foods, Inc. 41,250,241 1,010,924 General Mills, Inc. 72,675,327 1,449,230 Hain Celestial Group (The), Inc. (a) 76,504,852 741,171 Hershey (The) Co. 82,092,100 574,560 Hormel Foods Corp. 21,459,816 928,563 Ingredion, Inc. 123,721,734 137,977 J.M. Smucker (The) Co. 21,270,534 257,549 Kellogg Co. 21,301,878 950,675 Kraft Heinz (The) Co. 82,128,813 675,908 McCormick & Co., Inc. 69,111,593 2,640,409 Mondelez International, Inc., Class A 116,125,188 2,829,633 Pilgrim's Pride Corp. 65,788,967 1,453,202 Post Holdings, Inc. (a) 125,949,017 1,170,631 TreeHouse Foods, Inc. (a) 120,797,413 1,259,406 Tyson Foods, Inc., Class A 92,692,282 1,791,981 WhiteWave Foods (The) Co. (a) 99,437,026 --------------- 1,461,648,377 --------------- HOUSEHOLD PRODUCTS -- 14.8% 700,738 Church & Dwight Co., Inc. 68,840,501 303,909 Clorox (The) Co. 39,833,353 2,333,754 Energizer Holdings, Inc. 120,258,343 152,958 Kimberly-Clark Corp. 19,815,709 1,007,166 Spectrum Brands Holdings, Inc. 129,692,766 --------------- 378,440,672 --------------- PERSONAL PRODUCTS -- 1.9% 910,538 Nu Skin Enterprises, Inc., Class A (b) 48,622,729 --------------- TOBACCO -- 5.8% 1,045,521 Altria Group, Inc. 70,781,772 1,559,720 Reynolds American, Inc. 78,079,583 --------------- 148,861,355 --------------- TOTAL COMMON STOCKS -- 99.8% 2,553,899,324 (Cost $2,296,599,377) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- RIGHTS -- 0.0% FOOD & STAPLES RETAILING -- 0.0% 5,790 Safeway Casa Ley, S.A., CVR (a) (c) $ 5,876 5,790 Safeway PDC, LLC, CVR (a) (c) 283 --------------- TOTAL RIGHTS -- 0.0% 6,159 (Cost $6,008) --------------- MONEY MARKET FUNDS -- 0.3% 2,092,713 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (d) (e) 2,092,713 4,910,823 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (d) 4,910,823 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 7,003,536 (Cost $7,003,536) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 828,677 JPMorgan Chase & Co., 0.26% (d), dated 07/29/16, due 08/01/16, with a maturity value of $828,695. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $847,438. (e) 828,677 1,716,685 RBC Capital Markets LLC, 0.30% (d), dated 07/29/16, due 08/01/16, with a maturity value of $1,716,727. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $1,756,501. (e) 1,716,685 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.1% 2,545,362 (Cost $2,545,362) --------------- TOTAL INVESTMENTS -- 100.2% 2,563,454,381 (Cost $2,306,154,283) (f) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (5,154,214) --------------- NET ASSETS -- 100.0% $ 2,558,300,167 =============== Page 28 See Notes to Financial Statements FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $4,651,140 and the total value of the collateral held by the Fund is $4,638,075. (c) This investment is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended. At July 31, 2016, securities noted as such amounted to $6,159 or 0.0% of net assets. (d) Interest rate shown reflects yield as of July 31, 2016. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for federal income tax purposes is $2,312,339,341. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $278,358,117 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $27,243,077. CVR - Contingent Value Rights ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks* $2,553,899,324 $ -- $ -- Rights* -- 6,159 -- Money Market Funds 7,003,536 -- -- Repurchase Agreements -- 2,545,362 -- ------------------------------------------ Total Investments $2,560,902,860 $ 2,551,521 $ -- ========================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 4,651,140 Non-cash Collateral(2) (4,638,075) --------------- Net Amount $ 13,065 =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On July 29, 2016, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 29, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 2,545,362 Non-cash Collateral(4) (2,545,362) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 29 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% ENERGY EQUIPMENT & SERVICES -- 25.9% 200,402 Baker Hughes, Inc. $ 9,585,228 1,486,942 Diamond Offshore Drilling, Inc. 33,783,322 851,347 Dril-Quip, Inc. (a) 46,338,817 931,449 Ensco PLC, Class A 8,541,387 1,119,085 FMC Technologies, Inc. (a) 28,402,377 444,592 Helmerich & Payne, Inc. (b) 27,551,366 899,917 Nabors Industries Ltd. 8,099,253 268,774 National Oilwell Varco, Inc. 8,694,839 6,036,851 Noble Corp. PLC 44,551,961 1,211,557 Oceaneering International, Inc. 33,778,209 1,696,861 Patterson-UTI Energy, Inc. 32,902,135 2,048,541 Rowan Cos. PLC, Class A 31,219,765 114,368 Schlumberger Ltd. 9,208,911 4,183,631 Transocean Ltd. (b) 45,978,105 1,629,611 Weatherford International PLC (a) 9,256,191 --------------- 377,891,866 --------------- OIL, GAS & CONSUMABLE FUELS -- 70.8% 1,914,699 Antero Resources Corp. (a) 50,145,967 324,924 Apache Corp. 17,058,510 702,751 Cabot Oil & Gas Corp. 17,336,867 2,113,163 Chesapeake Energy Corp. (a) 11,453,343 345,104 Chevron Corp. 35,366,258 151,585 Cimarex Energy Co. 18,193,232 684,552 ConocoPhillips 27,943,413 1,124,224 CONSOL Energy, Inc. 21,787,461 659,281 Continental Resources, Inc. (a) 29,041,328 498,987 Devon Energy Corp. 19,101,222 327,229 Diamondback Energy, Inc. (a) 28,727,434 216,840 EOG Resources, Inc. 17,715,828 233,627 EQT Corp. 17,022,063 318,385 Exxon Mobil Corp. 28,320,346 300,976 Hess Corp. 16,147,362 2,092,710 HollyFrontier Corp. 53,196,688 966,259 Kinder Morgan, Inc. 19,644,045 1,659,509 Kosmos Energy Ltd. (a) 9,210,275 2,410,203 Marathon Oil Corp. 32,875,169 1,310,428 Marathon Petroleum Corp. 51,617,759 1,139,074 Memorial Resource Development Corp. (a) 17,063,329 675,549 Newfield Exploration Co. (a) 29,251,272 762,428 ONEOK, Inc. 34,149,150 1,336,936 Parsley Energy, Inc., Class A (a) 38,116,045 1,255,084 PBF Energy, Inc., Class A 28,038,577 626,954 Phillips 66 47,686,121 512,996 QEP Resources, Inc. 9,336,527 1,105,413 SM Energy Co. 29,989,855 1,437,877 Southwestern Energy Co. (a) 20,964,247 814,806 Spectra Energy Corp. 29,308,572 858,497 Targa Resources Corp. 31,987,598 663,956 Tesoro Corp. 50,560,249 975,369 Valero Energy Corp. 50,992,291 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 976,701 Whiting Petroleum Corp. (a) $ 7,198,286 418,148 Williams (The) Cos., Inc. 10,023,008 761,778 World Fuel Services Corp. 36,260,633 3,885,837 WPX Energy, Inc. (a) 38,819,512 --------------- 1,031,649,842 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3% 1,026,074 First Solar, Inc. (a) 47,897,134 --------------- TOTAL COMMON STOCKS -- 100.0% 1,457,438,842 (Cost $1,465,330,063) --------------- MONEY MARKET FUNDS -- 1.4% 20,846,570 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 20,846,570 347,425 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (c) 347,425 --------------- TOTAL MONEY MARKET FUNDS -- 1.4% 21,193,995 (Cost $21,193,995) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.7% $ 8,254,871 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $8,255,049. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $8,441,756. (d) 8,254,871 17,100,759 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $17,101,186. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $17,497,386. (d) 17,100,759 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.7% 25,355,630 (Cost $25,355,630) --------------- Page 30 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 103.1% $ 1,503,988,467 (Cost $1,511,879,688) (e) NET OTHER ASSETS AND LIABILITIES -- (3.1)% (45,911,167) --------------- NET ASSETS -- 100.0% $ 1,458,077,300 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $46,071,713 and the total value of the collateral held by the Fund is $46,202,200. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,515,067,665. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $76,281,228 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $87,360,426. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks* $1,457,438,842 $ -- $ -- Money Market Funds 21,193,995 -- -- Repurchase Agreements -- 25,355,630 -- ------------------------------------------ Total Investments $1,478,632,837 $25,355,630 $ -- ========================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 46,071,713 Non-cash Collateral(2) (46,071,713) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 25,355,630 Non-cash Collateral(4) (25,355,630) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 31 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% BANKS -- 19.0% 226,629 Associated Banc-Corp. $ 4,215,299 390,519 Bank of America Corp. 5,658,620 126,527 BankUnited, Inc. 3,798,341 109,145 BB&T Corp. 4,024,176 41,326 BOK Financial Corp. 2,695,695 203,002 CIT Group, Inc. 7,015,749 152,814 Citigroup, Inc. 6,694,781 194,522 Citizens Financial Group, Inc. 4,343,676 62,994 Comerica, Inc. 2,849,849 27,044 Commerce Bancshares, Inc. 1,278,911 40,656 Cullen/Frost Bankers, Inc. 2,760,136 113,707 East West Bancorp, Inc. 3,891,054 368,267 Fifth Third Bancorp 6,989,708 188,029 First Horizon National Corp. 2,737,702 399,047 First Niagara Financial Group, Inc. 4,062,298 37,016 First Republic Bank 2,652,937 579,674 Huntington Bancshares, Inc. 5,506,903 83,402 JPMorgan Chase & Co. 5,335,226 351,737 KeyCorp 4,115,323 21,918 M&T Bank Corp. 2,510,926 97,697 PacWest Bancorp 4,039,771 176,739 People's United Financial, Inc. 2,679,363 63,670 PNC Financial Services Group (The), Inc. 5,262,325 221,079 Popular, Inc. 7,448,151 608,958 Regions Financial Corp. 5,584,145 10,363 Signature Bank (a) 1,246,047 94,619 SunTrust Banks, Inc. 4,001,438 27,231 SVB Financial Group (a) 2,734,537 44,685 Synovus Financial Corp. 1,360,211 409,667 TCF Financial Corp. 5,567,375 64,246 U.S. Bancorp 2,709,254 82,121 Wells Fargo & Co. 3,939,344 39,684 Western Alliance Bancorp (a) 1,350,447 154,665 Zions Bancorporation 4,312,060 --------------- 135,371,778 --------------- CAPITAL MARKETS -- 10.2% 27,606 Affiliated Managers Group, Inc. (a) 4,052,009 28,836 Ameriprise Financial, Inc. 2,763,642 100,035 Bank of New York Mellon (The) Corp. 3,941,379 3,790 BlackRock, Inc. 1,388,088 110,306 E*TRADE Financial Corp. (a) 2,766,475 45,021 Federated Investors, Inc., Class B 1,421,313 194,120 Franklin Resources, Inc. 7,025,203 26,165 Goldman Sachs Group (The), Inc. 4,155,264 36,598 Interactive Brokers Group, Inc., Class A 1,275,074 202,904 Invesco Ltd. 5,920,739 217,515 Lazard Ltd., Class A (b) 7,773,986 230,011 LPL Financial Holdings, Inc. (c) 6,198,796 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 199,471 Morgan Stanley $ 5,730,802 19,555 Northern Trust Corp. 1,321,722 52,559 Raymond James Financial, Inc. 2,885,489 26,923 SEI Investments Co. 1,211,535 96,108 State Street Corp. 6,321,984 71,025 T. Rowe Price Group, Inc. 5,020,757 45,500 TD Ameritrade Holding Corp. 1,381,380 --------------- 72,555,637 --------------- CONSUMER FINANCE -- 6.4% 379,486 Ally Financial, Inc. 6,845,927 42,650 American Express Co. 2,749,219 81,602 Capital One Financial Corp. 5,473,862 72,524 Discover Financial Services 4,122,264 433,658 Navient Corp. 6,157,944 113,554 OneMain Holdings, Inc. (a) 3,274,897 627,080 Santander Consumer USA Holdings, Inc. (a) 6,891,609 628,908 SLM Corp. (a) 4,521,849 205,001 Synchrony Financial (a) 5,715,428 --------------- 45,752,999 --------------- DIVERSIFIED FINANCIAL SERVICES -- 5.1% 44,736 Berkshire Hathaway, Inc., Class B (a) 6,454,063 19,446 CBOE Holdings, Inc. 1,337,885 13,293 CME Group, Inc. 1,359,076 8,019 FactSet Research Systems, Inc. 1,378,947 10,126 Intercontinental Exchange, Inc. 2,675,289 44,543 MarketAxess Holdings, Inc. 7,200,821 13,833 Moody's Corp. 1,466,436 33,597 MSCI, Inc. 2,890,686 60,097 Nasdaq, Inc. 4,252,464 24,156 S&P Global, Inc. 2,951,863 156,974 Voya Financial, Inc. 4,023,244 --------------- 35,990,774 --------------- INSURANCE -- 24.0% 53,867 Aflac, Inc. 3,893,507 9,429 Alleghany Corp. (a) 5,124,661 37,039 Allstate (The) Corp. 2,530,875 35,055 American Financial Group, Inc. 2,562,520 48,991 American International Group, Inc. 2,667,070 211,511 AmTrust Financial Services, Inc. 5,048,768 23,725 Aon PLC 2,540,236 18,002 Arch Capital Group Ltd. (a) 1,307,485 136,082 Arthur J. Gallagher & Co. 6,693,874 139,662 Aspen Insurance Holdings Ltd. 6,418,866 30,019 Assurant, Inc. 2,491,877 255,327 Assured Guaranty Ltd. 6,840,210 94,217 Axis Capital Holdings Ltd. 5,236,581 103,724 Brown & Brown, Inc. 3,802,522 9,908 Chubb Ltd. 1,241,076 34,593 Cincinnati Financial Corp. 2,584,097 77,158 Endurance Specialty Holdings Ltd. 5,218,196 Page 32 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 35,464 Everest Re Group Ltd. $ 6,703,051 128,853 First American Financial Corp. 5,387,344 103,638 FNF Group 3,904,043 61,237 Hanover Insurance Group (The), Inc. 5,042,255 87,585 Hartford Financial Services Group (The), Inc. 3,490,262 133,658 Lincoln National Corp. 5,836,845 1,365 Markel Corp. (a) 1,295,044 75,702 Marsh & McLennan Cos., Inc. 4,977,406 130,100 MetLife, Inc. 5,560,474 268,653 Old Republic International Corp. 5,206,495 94,547 Principal Financial Group, Inc. 4,408,727 24,193 ProAssurance Corp. 1,249,810 116,013 Progressive (The) Corp. 3,771,583 90,800 Prudential Financial, Inc. 6,836,332 26,720 Reinsurance Group of America, Inc. 2,651,960 33,097 RenaissanceRe Holdings Ltd. 3,889,559 41,914 Torchmark Corp. 2,593,219 54,421 Travelers (The) Cos., Inc. 6,324,809 203,774 Unum Group 6,808,089 133,314 Validus Holdings Ltd. 6,589,711 64,863 W. R. Berkley Corp. 3,774,378 1,532 White Mountains Insurance Group Ltd. 1,258,262 194,462 XL Group Ltd. 6,730,330 --------------- 170,492,409 --------------- IT SERVICES -- 6.5% 99,359 Broadridge Financial Solutions, Inc. 6,724,617 134,677 CoreLogic, Inc. (a) 5,424,790 18,720 Euronet Worldwide, Inc. (a) 1,427,587 87,918 Fidelity National Information Services, Inc. 6,992,118 35,738 Fiserv, Inc. (a) 3,944,046 72,601 Global Payments, Inc. 5,420,391 44,545 Jack Henry & Associates, Inc. 3,975,641 97,582 Total System Services, Inc. 4,968,875 114,448 Vantiv, Inc., Class A (a) 6,268,317 67,555 Western Union (The) Co. 1,351,100 --------------- 46,497,482 --------------- MEDIA -- 0.6% 96,156 Thomson Reuters Corp. 4,049,129 --------------- PROFESSIONAL SERVICES -- 2.6% 42,534 Dun & Bradstreet (The) Corp. 5,497,520 50,442 Equifax, Inc. 6,681,547 193,719 TransUnion (a) 6,338,486 --------------- 18,517,553 --------------- REAL ESTATE INVESTMENT TRUSTS -- 23.0% 50,057 Alexandria Real Estate Equities, Inc. 5,621,401 SHARES DESCRIPTION VALUE ------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 45,620 American Tower Corp. $ 5,281,427 68,871 Apple Hospitality REIT, Inc. 1,402,902 7,185 AvalonBay Communities, Inc. 1,333,895 9,816 Boston Properties, Inc. 1,395,148 247,550 Chimera Investment Corp. 4,153,889 87,617 Corporate Office Properties Trust 2,625,005 110,986 Corrections Corp. of America 3,557,101 38,318 Crown Castle International Corp. 3,717,996 41,956 CubeSmart 1,246,513 116,385 CyrusOne, Inc. 6,380,226 59,430 Digital Realty Trust, Inc. 6,208,058 136,451 Empire State Realty Trust, Inc., Class A 2,864,107 16,062 EPR Properties 1,349,529 16,713 Equinix, Inc. 6,231,776 44,481 Equity Commonwealth (a) 1,335,320 64,732 Equity LifeStyle Properties, Inc. 5,323,560 94,051 Equity Residential 6,394,527 28,008 Extra Space Storage, Inc. 2,409,248 23,473 Federal Realty Investment Trust 3,983,368 290,355 Forest City Realty Trust, Inc., Class A 6,866,896 75,155 Gaming and Leisure Properties, Inc. 2,692,804 160,235 Healthcare Trust of America, Inc., Class A 5,456,002 44,989 Hospitality Properties Trust 1,435,599 159,845 Host Hotels & Resorts, Inc. 2,835,650 162,629 Iron Mountain, Inc. 6,701,941 58,638 Kilroy Realty Corp. 4,292,888 82,571 Kimco Realty Corp. 2,650,529 32,622 Liberty Property Trust 1,349,898 45,519 Macerich (The) Co. 4,062,116 891,031 MFA Financial, Inc. 6,700,553 12,170 Mid-America Apartment Communities, Inc. 1,290,263 38,155 Omega Healthcare Investors, Inc. 1,316,348 120,291 Piedmont Office Realty Trust, Inc., Class A 2,639,185 5,061 Public Storage 1,209,174 61,890 Regency Centers Corp. 5,256,318 76,659 Retail Properties of America, Inc., Class A 1,351,498 310,984 Senior Housing Properties Trust 6,906,955 11,951 Simon Property Group, Inc. 2,713,355 125,053 Starwood Property Trust, Inc. 2,726,155 128,968 Tanger Factory Outlet Centers, Inc. 5,383,124 605,400 Two Harbors Investment Corp. 5,297,250 88,952 Ventas, Inc. 6,774,584 31,735 Weingarten Realty Investors 1,370,635 43,515 Weyerhaeuser Co. 1,423,811 --------------- 163,518,527 --------------- See Notes to Financial Statements Page 33 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.4% 56,664 Howard Hughes (The) Corp. (a) $ 6,769,081 66,467 Jones Lang LaSalle, Inc. 7,276,143 89,293 Realogy Holdings Corp. (a) 2,767,190 --------------- 16,812,414 --------------- TOTAL COMMON STOCKS -- 99.8% 709,558,702 (Cost $700,887,495) --------------- MONEY MARKET FUNDS -- 0.4% 1,635,566 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (d) (e) 1,635,566 1,045,018 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (d) 1,045,018 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 2,680,584 (Cost $2,680,584) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 647,655 JPMorgan Chase & Co., 0.26% (d), dated 07/29/16, due 08/01/16, with a maturity value of $647,669. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $662,317. (e) 647,655 1,341,679 RBC Capital Markets LLC, 0.30% (d), dated 07/29/16, due 08/01/16, with a maturity value of $1,341,713. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $1,372,798. (e) 1,341,679 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.3% 1,989,334 (Cost $1,989,334) --------------- TOTAL INVESTMENTS -- 100.5% 714,228,620 (Cost $705,557,413) (f) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (3,536,271) --------------- NET ASSETS -- 100.0% $ 710,692,349 =============== (a) Non-income producing security. (b) Master Limited Partnership ("MLP"). (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $3,786,475 and the total value of the collateral held by the Fund is $3,624,900. (d) Interest rate shown reflects yield as of July 31, 2016. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for federal income tax purposes is $707,044,298. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $46,894,589 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $39,710,267. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks* $ 709,558,702 $ -- $ -- Money Market Funds 2,680,584 -- -- Repurchase Agreements -- 1,989,334 -- ------------------------------------------ Total Investments $ 712,239,286 $ 1,989,334 $ -- ========================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. Page 34 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 3,786,475 Non-cash Collateral(2) (3,624,900) --------------- Net Amount $ 161,575 =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On July 29, 2016, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 29, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,989,334 Non-cash Collateral(4) (1,989,334) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 35 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 5.6% 157,551 AbbVie, Inc. $ 10,434,603 323,511 Medivation, Inc. (a) 20,701,469 113,145 Seattle Genetics, Inc. (a) 5,437,748 230,217 United Therapeutics Corp. (a) 27,858,559 --------------- 64,432,379 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 34.6% 248,126 Abbott Laboratories 11,103,639 223,118 ABIOMED, Inc. (a) 26,321,230 242,181 Align Technology, Inc. (a) 21,590,436 539,238 Baxter International, Inc. 25,894,209 143,788 Becton, Dickinson and Co. 25,306,688 1,043,410 Boston Scientific Corp. (a) 25,333,995 82,957 C. R. Bard, Inc. 18,559,970 85,273 Cooper (The) Cos., Inc. 15,559,764 73,692 DENTSPLY SIRONA, Inc. 4,719,236 122,949 DexCom, Inc. (a) 11,339,586 244,501 Edwards Lifesciences Corp. (a) 28,000,255 193,338 Hill-Rom Holdings, Inc. 10,330,049 262,594 IDEXX Laboratories, Inc. (a) 24,628,691 29,494 Intuitive Surgical, Inc. (a) 20,520,745 52,694 Medtronic PLC 4,617,575 231,390 ResMed, Inc. 15,938,143 187,572 St. Jude Medical, Inc. 15,575,979 162,797 Stryker Corp. 18,930,035 110,019 Teleflex, Inc. 19,837,526 55,602 Varian Medical Systems, Inc. (a) 5,267,734 257,086 West Pharmaceutical Services, Inc. 20,638,864 202,563 Zimmer Biomet Holdings, Inc. 26,564,112 --------------- 396,578,461 --------------- HEALTH CARE PROVIDERS & SERVICES -- 37.2% 82,530 Acadia Healthcare Co., Inc. (a) 4,662,945 159,730 Aetna, Inc. 18,402,493 57,637 AmerisourceBergen Corp. 4,910,096 251,584 AmSurg Corp. (a) 18,871,316 111,393 Anthem, Inc. 14,630,357 631,719 Brookdale Senior Living, Inc. (a) 11,667,850 125,034 Cardinal Health, Inc. 10,452,842 341,662 Centene Corp. (a) 24,104,254 76,209 Cigna Corp. 9,827,913 189,224 DaVita HealthCare Partners, Inc. (a) 14,672,429 576,692 Envision Healthcare Holdings, Inc. (a) 14,180,856 193,020 Express Scripts Holding Co. (a) 14,683,031 189,986 HCA Holdings, Inc. (a) 14,653,620 110,336 Henry Schein, Inc. (a) 19,968,609 54,227 Humana, Inc. 9,356,869 187,182 Laboratory Corp. of America Holdings (a) 26,123,120 373,022 LifePoint Health, Inc. (a) 22,075,442 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 78,387 McKesson Corp. $ 15,250,975 201,994 MEDNAX, Inc. (a) 13,919,406 407,342 Patterson Cos., Inc. 20,106,401 139,818 Premier, Inc., Class A (a) 4,572,049 239,624 Quest Diagnostics, Inc. 20,693,929 165,419 Tenet Healthcare Corp. (a) 5,063,476 172,694 UnitedHealth Group, Inc. 24,729,781 145,470 Universal Health Services, Inc., Class B 18,842,729 360,663 VCA, Inc. (a) 25,729,698 227,300 WellCare Health Plans, Inc. (a) 24,275,640 --------------- 426,428,126 --------------- HEALTH CARE TECHNOLOGY -- 4.1% 360,008 Allscripts Healthcare Solutions, Inc. (a) 5,083,313 33,127 athenahealth, Inc. (a) 4,233,300 166,449 Cerner Corp. (a) 10,384,753 714,667 Veeva Systems, Inc., Class A (a) 27,150,199 --------------- 46,851,565 --------------- LIFE SCIENCES TOOLS & SERVICES -- 9.6% 219,881 Agilent Technologies, Inc. 10,578,475 68,197 Bio-Rad Laboratories, Inc., Class A (a) 9,894,703 172,984 Bio-Techne Corp. 19,446,861 177,469 Charles River Laboratories International, Inc. (a) 15,604,849 186,068 PerkinElmer, Inc. 10,590,991 447,216 QIAGEN N.V. (a) 11,985,389 69,993 Quintiles Transnational Holdings, Inc. (a) 5,434,256 66,011 Thermo Fisher Scientific, Inc. 10,485,187 506,253 VWR Corp. (a) 15,855,844 --------------- 109,876,555 --------------- PHARMACEUTICALS -- 8.9% 160,511 Akorn, Inc. (a) 5,494,292 132,611 Bristol-Myers Squibb Co. 9,920,629 58,055 Eli Lilly and Co. 4,812,179 293,272 Endo International PLC (a) 5,091,202 120,618 Johnson & Johnson 15,104,992 320,957 Mallinckrodt PLC (a) 21,613,244 79,361 Merck & Co., Inc. 4,655,316 338,360 Mylan N.V. (a) 15,831,865 415,526 Pfizer, Inc. 15,328,754 96,337 Zoetis, Inc. 4,862,128 --------------- 102,714,601 --------------- TOTAL COMMON STOCKS -- 100.0% 1,146,881,687 (Cost $1,047,707,021) --------------- Page 36 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 1,706,929 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (b) $ 1,706,929 (Cost $1,706,929) --------------- TOTAL INVESTMENTS -- 100.1% 1,148,588,616 (Cost $1,049,413,950) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (696,098) --------------- NET ASSETS -- 100.0% $ 1,147,892,518 =============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2016. (c) Aggregate cost for federal income tax purposes is $1,051,363,181. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $121,262,959 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $24,037,524. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks* $1,146,881,687 $ -- $ -- Money Market Funds 1,706,929 -- -- ------------------------------------------ Total Investments $1,148,588,616 $ -- $ -- ========================================== * See Portfolio of In vestments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. See Notes to Financial Statements Page 37 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 14.7% 4,068 Boeing (The) Co. $ 543,729 29,541 BWX Technologies, Inc. 1,087,404 7,589 General Dynamics Corp. 1,114,748 31,633 HEICO Corp. 2,198,810 4,544 Honeywell International, Inc. 528,604 16,595 Huntington Ingalls Industries, Inc. 2,863,965 11,238 Lockheed Martin Corp. 2,840,180 9,510 Northrop Grumman Corp. 2,060,151 20,515 Raytheon Co. 2,862,458 64,850 Spirit AeroSystems Holdings, Inc., Class A (a) 2,813,193 57,807 Textron, Inc. 2,254,473 8,014 TransDigm Group, Inc. (a) 2,240,073 --------------- 23,407,788 --------------- AIR FREIGHT & LOGISTICS -- 2.0% 22,534 C.H. Robinson Worldwide, Inc. 1,568,817 10,774 Expeditors International of Washington, Inc. 532,559 9,811 United Parcel Service, Inc., Class B 1,060,569 --------------- 3,161,945 --------------- AIRLINES -- 11.7% 47,841 Alaska Air Group, Inc. 3,215,872 98,506 American Airlines Group, Inc. 3,496,963 76,548 Delta Air Lines, Inc. 2,966,235 168,396 JetBlue Airways Corp. (a) 3,086,699 62,150 Spirit Airlines, Inc. (a) 2,656,912 67,948 United Continental Holdings, Inc. (a) 3,186,082 --------------- 18,608,763 --------------- BUILDING PRODUCTS -- 1.8% 23,987 A.O. Smith Corp. 2,228,153 7,611 Allegion PLC 550,960 --------------- 2,779,113 --------------- COMMERCIAL SERVICES & SUPPLIES -- 8.4% 17,051 Cintas Corp. 1,829,061 20,281 Clean Harbors, Inc. (a) 1,042,849 56,901 Copart, Inc. (a) 2,870,087 62,455 R.R. Donnelley & Sons Co. 1,119,194 32,612 Republic Services, Inc. 1,671,691 18,052 Rollins, Inc. 508,705 49,613 Tyco International PLC 2,260,864 31,892 Waste Management, Inc. 2,108,699 --------------- 13,411,150 --------------- CONSTRUCTION & ENGINEERING -- 4.8% 33,265 AECOM (a) 1,180,575 33,951 Fluor Corp. 1,817,058 10,610 Jacobs Engineering Group, Inc. (a) 567,847 210,622 KBR, Inc. 2,952,920 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONSTRUCTION & ENGINEERING (CONTINUED) 45,705 Quanta Services, Inc. (a) $ 1,170,048 --------------- 7,688,448 --------------- CONTAINERS & PACKAGING -- 1.1% 22,386 Avery Dennison Corp. 1,743,646 --------------- ELECTRICAL EQUIPMENT -- 4.9% 22,858 AMETEK, Inc. 1,075,012 35,383 Eaton Corp. PLC 2,243,636 20,261 Emerson Electric Co. 1,132,590 5,007 Hubbell, Inc. 539,905 38,392 Regal Beloit Corp. 2,342,296 4,601 Rockwell Automation, Inc. 526,354 --------------- 7,859,793 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.5% 34,146 FLIR Systems, Inc. 1,112,477 95,865 Keysight Technologies, Inc. (a) 2,803,092 --------------- 3,915,569 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.1% 21,910 Danaher Corp. 1,784,350 --------------- INDUSTRIAL CONGLOMERATES -- 1.6% 3,019 3M Co. 538,469 19,998 Carlisle Cos., Inc. 2,065,593 --------------- 2,604,062 --------------- INTERNET SOFTWARE & SERVICES -- 0.6% 4,833 CoStar Group, Inc. (a) 1,004,781 --------------- IT SERVICES -- 4.2% 4,666 Accenture PLC, Class A 526,372 5,753 Automatic Data Processing, Inc. 511,729 17,827 Booz Allen Hamilton Holding Corp. 550,498 39,372 Genpact Ltd. (a) 1,053,988 28,119 Paychex, Inc. 1,666,894 222,707 Xerox Corp. 2,293,882 --------------- 6,603,363 --------------- MACHINERY -- 20.3% 44,842 AGCO Corp. 2,159,591 6,971 Caterpillar, Inc. 576,920 63,234 Colfax Corp. (a) 1,856,550 29,500 Crane Co. 1,837,850 18,796 Cummins, Inc. 2,307,585 6,521 Deere & Co. 506,747 15,377 Donaldson Co., Inc. 555,571 15,242 Dover Corp. 1,088,736 11,699 Flowserve Corp. 559,797 6,437 IDEX Corp. 577,978 87,198 ITT, Inc. 2,765,049 9,171 Middleby (The) Corp. (a) 1,104,005 20,012 Nordson Corp. 1,766,860 Page 38 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 35,069 Oshkosh Corp. $ 1,931,951 10,185 PACCAR, Inc. 600,610 9,780 Parker-Hannifin Corp. 1,116,778 6,695 Snap-on, Inc. 1,052,253 9,503 Stanley Black & Decker, Inc. 1,156,515 52,031 Terex Corp. 1,256,028 23,962 Toro (The) Co. 2,203,306 150,170 Trinity Industries, Inc. 3,485,446 37,472 Xylem, Inc. 1,791,536 --------------- 32,257,662 --------------- MARINE -- 1.5% 44,699 Kirby Corp. (a) 2,435,648 --------------- PROFESSIONAL SERVICES -- 1.8% 32,847 ManpowerGroup, Inc. 2,279,582 6,518 Verisk Analytics, Inc. (a) 555,855 --------------- 2,835,437 --------------- ROAD & RAIL -- 10.3% 81,038 CSX Corp. 2,295,806 35,852 Genesee & Wyoming, Inc., Class A (a) 2,321,417 18,572 Kansas City Southern 1,784,955 24,367 Landstar System, Inc. 1,717,630 19,653 Norfolk Southern Corp. 1,764,446 35,042 Old Dominion Freight Line, Inc. (a) 2,441,026 34,570 Ryder System, Inc. 2,278,163 19,179 Union Pacific Corp. 1,784,606 --------------- 16,388,049 --------------- TRADING COMPANIES & DISTRIBUTORS -- 6.8% 104,130 Air Lease Corp. 2,999,985 48,052 HD Supply Holdings, Inc. (a) 1,739,002 14,977 MSC Industrial Direct Co., Inc., Class A 1,075,798 24,934 United Rentals, Inc. (a) 1,986,492 54,161 WESCO International, Inc. (a) 3,018,934 --------------- 10,820,211 --------------- TOTAL INVESTMENTS -- 100.1% 159,309,778 (Cost $161,903,113) (b) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (141,227) --------------- NET ASSETS -- 100.0% $ 159,168,551 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $162,224,678. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,391,918 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $12,306,818. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks* $ 159,309,778 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. See Notes to Financial Statements Page 39 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BUILDING PRODUCTS -- 8.9% 44,343 Lennox International, Inc. $ 6,952,982 102,183 Masco Corp. 3,727,636 61,363 Owens Corning 3,246,716 293,161 USG Corp. (a) 8,255,414 --------------- 22,182,748 --------------- CHEMICALS -- 36.7% 22,255 Air Products and Chemicals, Inc. 3,325,342 59,797 Albemarle Corp. 5,033,113 13,771 Ashland, Inc. 1,559,428 24,149 Celanese Corp., Series A 1,531,530 327,956 CF Industries Holdings, Inc. 8,093,954 158,998 Dow Chemical (The) Co. 8,533,423 93,124 Eastman Chemical Co. 6,074,479 136,536 FMC Corp. 6,490,921 352,586 Huntsman Corp. 5,450,980 12,540 International Flavors & Fragrances, Inc. 1,670,955 84,965 LyondellBasell Industries N.V., Class A 6,394,466 301,903 Mosaic (The) Co. 8,151,381 3,814 NewMarket Corp. 1,632,163 14,063 Praxair, Inc. 1,638,902 94,939 RPM International, Inc. 5,151,390 67,835 Scotts Miracle-Gro (The) Co., Class A 5,002,831 10,767 Sherwin-Williams (The) Co. 3,227,193 43,900 Valspar (The) Corp. 4,674,033 184,150 Westlake Chemical Corp. 8,423,021 --------------- 92,059,505 --------------- CONSTRUCTION & ENGINEERING -- 1.8% 35,057 Valmont Industries, Inc. 4,590,714 --------------- CONSTRUCTION MATERIALS -- 9.3% 81,955 Eagle Materials, Inc. 6,880,122 41,166 Martin Marietta Materials, Inc. 8,342,290 65,670 Vulcan Materials Co. 8,141,767 --------------- 23,364,179 --------------- CONTAINERS & PACKAGING -- 16.7% 39,956 AptarGroup, Inc. 3,123,760 61,402 Bemis Co., Inc. 3,133,958 203,436 Berry Plastics Group, Inc. (a) 8,340,876 31,199 Crown Holdings, Inc. (a) 1,652,611 378,171 Graphic Packaging Holding Co. 5,158,252 74,600 International Paper Co. 3,417,426 175,540 Owens-Illinois, Inc. (a) 3,298,397 70,852 Packaging Corp. of America 5,291,936 63,663 Sonoco Products Co. 3,242,357 122,006 WestRock Co. 5,235,277 --------------- 41,894,850 --------------- ELECTRICAL EQUIPMENT -- 2.7% 25,503 Acuity Brands, Inc. 6,692,752 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY -- 4.1% 49,647 Ingersoll-Rand PLC $ 3,289,610 206,234 Timken (The) Co. 6,898,528 --------------- 10,188,138 --------------- METALS & MINING -- 13.7% 170,524 Alcoa, Inc. 1,810,965 63,921 Compass Minerals International, Inc. 4,448,262 141,900 Freeport-McMoRan, Inc. 1,839,024 40,410 Newmont Mining Corp. 1,778,040 31,992 Nucor Corp. 1,716,051 82,223 Reliance Steel & Aluminum Co. 6,449,572 109,747 Royal Gold, Inc. 9,278,011 258,085 Steel Dynamics, Inc. 6,921,840 --------------- 34,241,765 --------------- PAPER & FOREST PRODUCTS -- 3.5% 225,756 Domtar Corp. 8,888,014 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.6% 44,944 Watsco, Inc. 6,473,734 --------------- TOTAL COMMON STOCKS -- 100.0% 250,576,399 (Cost $237,443,597) MONEY MARKET FUNDS -- 0.0% 81,483 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (b) 81,483 (Cost $81,483) --------------- TOTAL INVESTMENTS -- 100.0% 250,657,882 (Cost $237,525,080) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (99,910) --------------- NET ASSETS -- 100.0% $ 250,557,972 =============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2016. (c) Aggregate cost for federal income tax purposes is $237,852,443. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $17,994,793 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $5,189,354. Page 40 See Notes to Financial Statements FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS JULY 31, 2016 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks* $ 250,576,399 $ -- $ -- Money Market Funds 81,483 -- -- ------------------------------------------ Total Investments $ 250,657,882 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. See Notes to Financial Statements Page 41 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 9.8% 87,235 ARRIS International PLC (a) $ 2,376,281 1,058,116 Brocade Communications Systems, Inc. 9,840,479 338,568 Cisco Systems, Inc. 10,336,481 313,036 CommScope Holding Co., Inc. (a) 9,375,428 51,197 F5 Networks, Inc. (a) 6,318,734 431,903 Juniper Networks, Inc. 9,799,879 --------------- 48,047,282 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% 16,939 SBA Communications Corp., Class A (a) 1,947,985 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 15.8% 31,893 Amphenol Corp., Class A 1,898,271 156,923 Arrow Electronics, Inc. (a) 10,433,810 239,780 Avnet, Inc. 9,854,958 193,883 CDW Corp. 8,323,397 90,148 Cognex Corp. 4,071,985 284,576 Corning, Inc. 6,323,279 121,799 Dolby Laboratories, Inc., Class A 6,127,708 72,705 FEI Co. 7,737,266 111,714 Ingram Micro, Inc., Class A 3,825,087 97,136 IPG Photonics Corp. (a) 8,187,594 525,908 Jabil Circuit, Inc. 10,702,228 --------------- 77,485,583 --------------- HEALTH CARE TECHNOLOGY -- 0.4% 72,097 IMS Health Holdings, Inc. (a) 2,164,352 --------------- INTERNET SOFTWARE & SERVICES -- 7.2% 104,205 Akamai Technologies, Inc. (a) 5,265,479 2,599 Alphabet, Inc., Class A (a) 2,056,693 50,998 Facebook, Inc., Class A (a) 6,320,692 186,859 GoDaddy, Inc., Class A (a) 5,590,821 69,011 IAC/InterActiveCorp 3,999,878 20,530 LinkedIn Corp., Class A (a) 3,956,747 21,148 VeriSign, Inc. (a) 1,831,628 191,973 Yelp, Inc. (a) 6,175,771 --------------- 35,197,709 --------------- IT SERVICES -- 8.5% 134,630 Amdocs Ltd. 7,857,007 31,944 Cognizant Technology Solutions Corp., Class A (a) 1,836,461 36,825 Computer Sciences Corp. 1,761,340 33,372 DST Systems, Inc. 4,115,769 79,774 Gartner, Inc. (a) 7,997,343 51,204 International Business Machines Corp. 8,224,386 SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES (CONTINUED) 162,333 Leidos Holdings, Inc. (b) $ 8,118,273 68,250 Sabre Corp. 1,989,488 --------------- 41,900,067 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 26.4% 68,599 Analog Devices, Inc. 4,378,674 405,242 Applied Materials, Inc. 10,653,812 37,504 Broadcom Ltd. 6,074,898 296,144 Intel Corp. 10,323,580 53,043 KLA-Tencor Corp. 4,015,886 92,443 Lam Research Corp. 8,298,608 83,503 Linear Technology Corp. 5,009,345 36,020 Microchip Technology, Inc. 2,004,153 705,924 Micron Technology, Inc. (a) 9,699,396 206,628 NVIDIA Corp. 11,798,459 1,101,305 ON Semiconductor Corp. (a) 11,046,089 105,467 Qorvo, Inc. (a) 6,668,678 145,059 QUALCOMM, Inc. 9,077,792 153,501 Skyworks Solutions, Inc. 10,134,136 493,322 Teradyne, Inc. 9,743,109 93,026 Texas Instruments, Inc. 6,488,564 84,227 Xilinx, Inc. 4,302,315 --------------- 129,717,494 --------------- SOFTWARE -- 23.5% 196,084 Activision Blizzard, Inc. 7,874,733 40,561 Adobe Systems, Inc. (a) 3,969,299 20,149 ANSYS, Inc. (a) 1,800,515 236,698 CA, Inc. 8,201,586 319,786 Cadence Design Systems, Inc. (a) 7,690,853 105,031 CDK Global, Inc. 6,069,742 48,513 Citrix Systems, Inc. (a) 4,323,964 76,928 Electronic Arts, Inc. (a) 5,871,145 57,880 Fortinet, Inc. (a) 2,007,857 94,367 Guidewire Software, Inc. (a) 5,800,739 69,624 Intuit, Inc. 7,727,568 60,586 Manhattan Associates, Inc. (a) 3,517,017 25,116 NetSuite, Inc. (a) 2,733,877 142,391 Oracle Corp. 5,843,727 48,656 PTC, Inc. (a) 1,933,103 73,393 salesforce.com, Inc. (a) 6,003,547 27,535 ServiceNow, Inc. (a) 2,062,922 33,746 Splunk, Inc. (a) 2,110,475 143,692 Synopsys, Inc. (a) 7,782,359 46,613 Tyler Technologies, Inc. (a) 7,598,851 36,953 Ultimate Software Group (The), Inc. (a) 7,726,872 67,902 VMware, Inc., Class A (a) (b) 4,955,488 24,486 Workday, Inc., Class A (a) 2,040,663 --------------- 115,646,902 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 8.0% 101,606 Apple, Inc. 10,588,361 214,506 EMC Corp. 6,066,230 309,595 HP, Inc. 4,337,426 Page 42 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 139,914 NCR Corp. (a) $ 4,612,964 158,008 NetApp, Inc. 4,163,511 205,533 Western Digital Corp. 9,764,873 --------------- 39,533,365 --------------- TOTAL COMMON STOCKS -- 100.0% 491,640,739 (Cost $471,381,977) --------------- MONEY MARKET FUNDS -- 1.0% 4,528,501 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 4,528,501 190,632 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (c) 190,632 --------------- TOTAL MONEY MARKET FUNDS -- 1.0% 4,719,133 (Cost $4,719,133) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.1% $ 1,793,206 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $1,793,245. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $1,833,803. (d) 1,793,206 3,714,798 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $3,714,891. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $3,800,958. (d) 3,714,798 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.1% 5,508,004 (Cost $5,508,004) --------------- TOTAL INVESTMENTS -- 102.1% 501,867,876 (Cost $481,609,114) (e) NET OTHER ASSETS AND LIABILITIES -- (2.1)% (10,389,780) --------------- NET ASSETS -- 100.0% $ 491,478,096 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $9,568,082 and the total value of the collateral held by the Fund is $10,036,505. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $483,064,157. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $41,360,389 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $22,556,670. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks* $ 491,640,739 $ -- $ -- Money Market Funds 4,719,133 -- -- Repurchase Agreements -- 5,508,004 -- ------------------------------------------ Total Investments $ 496,359,872 $ 5,508,004 $ -- ========================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. See Notes to Financial Statements Page 43 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 9,568,082 Non-cash Collateral(2) (9,568,082) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 5,508,004 Non-cash Collateral(4) (5,508,004) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 44 See Notes to Financial Statements FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% DIVERSIFIED TELECOMMUNICATION SERVICES -- 23.4% 1,738,618 AT&T, Inc. $ 75,264,773 2,589,647 CenturyLink, Inc. 81,418,502 12,166,099 Frontier Communications Corp. 63,263,715 1,459,034 Level 3 Communications, Inc. (a) 73,827,120 1,345,372 Verizon Communications, Inc. 74,547,063 2,151,827 Zayo Group Holdings, Inc. (a) 60,896,704 --------------- 429,217,877 --------------- ELECTRIC UTILITIES -- 42.3% 378,466 Alliant Energy Corp. 15,233,257 857,477 American Electric Power Co., Inc. 59,423,156 700,554 Duke Energy Corp. 59,960,417 580,346 Edison International 44,907,174 184,698 Entergy Corp. 15,032,570 501,674 Eversource Energy 29,342,912 1,652,930 Exelon Corp. 61,621,230 2,151,982 FirstEnergy Corp. 75,147,211 1,976,991 Great Plains Energy, Inc. 58,874,792 916,445 Hawaiian Electric Industries, Inc. 28,455,617 962,737 ITC Holdings Corp. 44,526,586 115,224 NextEra Energy, Inc. 14,782,087 917,565 OGE Energy Corp. 29,518,066 705,183 PG&E Corp. 45,089,401 741,432 Pinnacle West Capital Corp. 58,476,742 1,194,051 PPL Corp. 45,027,663 560,326 Southern (The) Co. 29,977,441 267,875 Westar Energy, Inc. 14,885,814 1,006,596 Xcel Energy, Inc. 44,270,092 --------------- 774,552,228 --------------- GAS UTILITIES -- 2.5% 1,184,481 Questar Corp. 29,813,387 332,047 UGI Corp. 15,028,447 --------------- 44,841,834 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 2.3% 1,203,936 AES (The) Corp. 14,868,610 2,037,306 Calpine Corp. (a) 27,992,584 --------------- 42,861,194 --------------- MULTI-UTILITIES -- 16.2% 841,272 Ameren Corp. 44,116,304 560,360 Consolidated Edison, Inc. 44,873,629 303,172 DTE Energy Co. 29,565,333 626,047 MDU Resources Group, Inc. 15,056,430 1,611,793 Public Service Enterprise Group, Inc. 74,158,596 397,175 SCANA Corp. 29,764,295 131,776 Sempra Energy 14,743,099 855,807 Vectren Corp. 44,270,896 --------------- 296,548,582 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES -- 13.2% 13,267,226 Sprint Corp. (a) (b) $ 81,460,768 2,532,894 Telephone and Data Systems, Inc. 79,760,832 1,736,206 T-Mobile US, Inc. (a) 80,455,786 --------------- 241,677,386 --------------- TOTAL COMMON STOCKS -- 99.9% 1,829,699,101 (Cost $1,672,189,224) --------------- MONEY MARKET FUNDS -- 1.2% 22,416,177 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 22,416,177 178,204 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (c) 178,204 --------------- TOTAL MONEY MARKET FUNDS -- 1.2% 22,594,381 (Cost $22,594,381) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.5% $ 8,876,407 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $8,876,599. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $9,077,363. (d) 8,876,407 18,388,331 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $18,388,791. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $18,814,822. (d) 18,388,331 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.5% 27,264,738 (Cost $27,264,738) --------------- TOTAL INVESTMENTS -- 102.6% 1,879,558,220 (Cost $1,722,048,343) (e) NET OTHER ASSETS AND LIABILITIES -- (2.6)% (48,260,110) --------------- NET ASSETS -- 100.0% $ 1,831,298,110 =============== See Notes to Financial Statements Page 45 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $49,465,682 and the total value of the collateral held by the Fund is $49,680,915. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,724,115,745. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $159,195,166 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,752,691. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 ------------------------------------------ Common Stocks* $1,829,699,101 $ -- $ -- Money Market Funds 22,594,381 -- -- Repurchase Agreements -- 27,264,738 -- ------------------------------------------ Total Investments $1,852,293,482 $27,264,738 $ -- ========================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 49,465,682 Non-cash Collateral(2) (49,465,682) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 27,264,738 Non-cash Collateral(4) (27,264,738) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 46 See Notes to Financial Statements This page is intentionally left blank. FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2016
FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) (FXN) -------------------- -------------------- -------------------- ASSETS: Investments, at value............................................. $1,807,756,173 $2,563,454,381 $1,503,988,467 Cash ............................................................ -- -- 71,375 Receivables: Capital shares sold......................................... 10,817,766 -- -- Investment securities sold.................................. 21,590,521 -- 9,289,344 Dividends................................................... 660,258 1,368,510 1,279,084 Securities lending income................................... 64,578 9,129 67,656 Interest.................................................... 1,110 453 43 Reclaims.................................................... -- -- -- Prepaid expenses.................................................. 10,817 11,857 2,393 -------------- -------------- -------------- TOTAL ASSETS................................................ 1,840,901,223 2,564,844,330 1,514,698,362 -------------- -------------- -------------- LIABILITIES: Due to custodian.................................................. -- -- -- Payables: Capital shares redeemed..................................... 21,591,454 -- 9,287,395 Investment securities purchased............................. 10,815,522 -- -- Investment advisory fees.................................... 738,326 1,079,001 638,129 Collateral for securities on loan........................... 40,233,048 4,638,075 46,202,200 Licensing fees.............................................. 244,859 336,349 198,489 Printing fees............................................... 53,875 69,052 10,105 Audit and tax fees.......................................... 25,525 25,525 25,525 Trustees' fees.............................................. 1,101 1,118 953 Other liabilities................................................. 295,656 395,043 258,266 -------------- -------------- -------------- TOTAL LIABILITIES........................................... 73,999,366 6,544,163 56,621,062 -------------- -------------- -------------- NET ASSETS........................................................ $1,766,901,857 $2,558,300,167 $1,458,077,300 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital................................................... $2,038,228,034 $2,502,696,929 $1,773,443,757 Par value......................................................... 490,000 521,500 1,003,000 Accumulated net investment income (loss).......................... 1,688,212 2,198,320 455,296 Accumulated net realized gain (loss) on investments............... (371,551,993) (204,416,680) (308,933,532) Net unrealized appreciation (depreciation) on investments......... 98,047,604 257,300,098 (7,891,221) -------------- -------------- -------------- NET ASSETS........................................................ $1,766,901,857 $2,558,300,167 $1,458,077,300 ============== ============== ============== NET ASSET VALUE, per share........................................ $ 36.06 $ 49.06 $ 14.54 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)......................... 49,000,002 52,150,002 100,300,002 ============== ============== ============== Investments, at cost.............................................. $1,709,708,569 $2,306,154,283 $1,511,879,688 ============== ============== ============== Securities on loan, at value...................................... $ 39,628,777 $ 4,651,140 $ 46,071,713 ============== ============== ==============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXO) (FXH) (FXR) (FXZ) (FXL) (FXU) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 714,228,620 $1,148,588,616 $ 159,309,778 $ 250,657,882 $ 501,867,876 $1,879,558,220 -- -- -- -- -- -- -- -- -- 6,864,600 -- -- -- -- -- -- -- -- 689,660 251,793 48,186 94,978 35,350 2,753,848 1,679 8,723 441 71 19,384 25,031 54 193 3 2 20 23 -- -- -- 5,558 -- -- 5,047 13,628 1,485 2,132 3,084 1,833 -------------- -------------- -------------- -------------- -------------- -------------- 714,925,060 1,148,862,953 159,359,893 257,625,223 501,925,714 1,882,338,955 -------------- -------------- -------------- -------------- -------------- -------------- -- -- 29,607 -- -- 21,780 -- -- -- -- -- -- -- -- -- 6,865,701 -- -- 298,836 482,223 67,086 99,342 202,820 773,318 3,624,900 -- -- -- 10,036,505 49,680,915 98,108 156,427 22,292 27,245 65,446 232,484 32,132 80,298 7,665 5,817 20,716 10,778 25,525 25,525 25,525 25,525 25,525 25,525 825 893 725 732 778 984 152,385 225,069 38,442 42,889 95,828 295,061 -------------- -------------- -------------- -------------- -------------- -------------- 4,232,711 970,435 191,342 7,067,251 10,447,618 51,040,845 -------------- -------------- -------------- -------------- -------------- -------------- $ 710,692,349 $1,147,892,518 $ 159,168,551 $ 250,557,972 $ 491,478,096 $1,831,298,110 ============== ============== ============== ============== ============== ============== $ 788,590,490 $1,610,685,403 $ 266,782,478 $ 348,669,027 $ 638,498,812 $1,716,400,601 295,000 186,500 55,000 73,000 141,050 667,000 1,666,832 -- 13 207,379 50,357 3,278,572 (88,531,180) (562,154,051) (105,075,605) (111,524,236) (167,470,885) (46,557,940) 8,671,207 99,174,666 (2,593,335) 13,132,802 20,258,762 157,509,877 -------------- -------------- -------------- -------------- -------------- -------------- $ 710,692,349 $1,147,892,518 $ 159,168,551 $ 250,557,972 $ 491,478,096 $1,831,298,110 ============== ============== ============== ============== ============== ============== $ 24.09 $ 61.55 $ 28.94 $ 34.32 $ 34.84 $ 27.46 ============== ============== ============== ============== ============== ============== 29,500,002 18,650,002 5,500,002 7,300,002 14,105,000 66,700,002 ============== ============== ============== ============== ============== ============== $ 705,557,413 $1,049,413,950 $ 161,903,113 $ 237,525,080 $ 481,609,114 $1,722,048,343 ============== ============== ============== ============== ============== ============== $ 3,786,475 $ -- $ -- $ -- $ 9,568,082 $ 49,465,682 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2016
FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) (FXN) -------------------- -------------------- -------------------- INVESTMENT INCOME: Dividends......................................................... $ 41,847,564 $ 56,456,211 $ 11,390,144 Securities lending income (net of fees)........................... 998,831 1,951,348 2,005,428 Interest.......................................................... 5,880 5,561 1,386 Foreign tax withholding........................................... (9,299) -- (39,310) -------------- -------------- -------------- Total investment income..................................... 42,842,976 58,413,120 13,357,648 -------------- -------------- -------------- EXPENSES: Investment advisory fees.......................................... 10,677,932 13,246,253 3,300,775 Accounting and administration fees................................ 921,207 1,106,487 311,239 Licensing fees.................................................... 854,236 1,059,699 264,065 Custodian fees.................................................... 270,639 332,615 109,883 Printing fees..................................................... 122,425 147,075 22,890 Legal fees........................................................ 79,573 82,710 24,917 Transfer agent fees............................................... 78,390 91,231 28,936 Audit and tax fees................................................ 23,636 23,636 23,636 Trustees' fees and expenses....................................... 20,344 22,706 8,538 Listing fees...................................................... 12,359 10,907 8,407 Registration and filing fees...................................... (60,332) (38,699) -- Other expenses.................................................... 54,063 58,958 14,514 -------------- -------------- -------------- Total expenses.............................................. 13,054,472 16,143,578 4,117,800 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)...................................... 29,788,504 42,269,542 9,239,848 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................. (164,152,377) (113,764,347) (166,669,557) In-kind redemptions......................................... 83,817,698 234,535,376 58,618,772 -------------- -------------- -------------- Net realized gain (loss).......................................... (80,334,679) 120,771,029 (108,050,785) -------------- -------------- -------------- Net change in unrealized appreciation (depreciation) on investments................................................. (100,608,196) 14,709,674 87,116,140 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)........................... (180,942,875) 135,480,703 (20,934,645) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ (151,154,371) $ 177,750,245 $ (11,694,797) ============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXO) (FXH) (FXR) (FXZ) (FXL) (FXU) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 19,855,916 $ 15,131,993 $ 3,389,993 $ 2,641,526 $ 8,620,925 $ 29,464,969 257,285 593,786 76,242 83,774 100,670 182,440 1,452 3,418 275 269 1,524 2,530 (54,052) -- (2,398) (8,707) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 20,060,601 15,729,197 3,464,112 2,716,862 8,723,119 29,649,939 -------------- -------------- -------------- -------------- -------------- -------------- 4,260,705 12,689,023 1,090,088 707,555 3,000,554 4,356,466 412,505 1,016,903 106,058 70,577 289,115 405,635 340,860 1,015,112 87,208 56,602 240,042 348,520 214,949 366,283 64,937 35,492 125,136 138,068 74,603 187,868 14,448 10,313 42,438 1,959 24,445 91,282 1,231 709 8,233 21,932 42,418 88,445 10,901 7,076 30,005 36,241 23,636 23,636 23,636 23,636 23,636 23,636 11,785 25,667 8,049 7,345 10,324 9,231 10,907 10,908 9,455 8,407 9,859 9,860 (17,475) (58,887) -- -- (7,270) -- 24,428 73,384 13,952 8,335 20,196 12,408 -------------- -------------- -------------- -------------- -------------- -------------- 5,423,766 15,529,624 1,429,963 936,047 3,792,268 5,363,956 -------------- -------------- -------------- -------------- -------------- -------------- 14,636,835 199,573 2,034,149 1,780,815 4,930,851 24,285,983 -------------- -------------- -------------- -------------- -------------- -------------- (46,074,609) (456,095,790) (39,068,472) (14,786,104) (69,022,364) (20,012,206) 11,098,526 30,021,852 (9,071,656) 9,652,604 38,745,859 71,816,475 -------------- -------------- -------------- -------------- -------------- -------------- (34,976,083) (426,073,938) (48,140,128) (5,133,500) (30,276,505) 51,804,269 -------------- -------------- -------------- -------------- -------------- -------------- (22,876,460) (359,011,037) 17,783,566 20,741,252 (7,729,201) 169,798,579 -------------- -------------- -------------- -------------- -------------- -------------- (57,852,543) (785,084,975) (30,356,562) 15,607,752 (38,005,706) 221,602,848 -------------- -------------- -------------- -------------- -------------- -------------- $ (43,215,708) $ (784,885,402) $ (28,322,413) $ 17,388,567 $ (33,074,855) $ 245,888,831 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 51 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST CONSUMER DISCRETIONARY CONSUMER STAPLES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) ---------------------------------- ---------------------------------- For the For the For the For the Year Ended Year Ended Year Ended Year Ended 7/31/2016 7/31/2015 7/31/2016 7/31/2015 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)........................... $ 29,788,504 $ 17,144,908 $ 42,269,542 $ 37,687,210 Net realized gain (loss)............................... (80,334,679) 6,981,710 120,771,029 136,844,520 Net change in unrealized appreciation (depreciation)... (100,608,196) 155,287,353 14,709,674 249,584,367 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations..................................... (151,154,371) 179,413,971 177,750,245 424,116,097 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.................................. (20,327,690) (15,778,306) (43,760,331) (34,623,996) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.............................. 528,560,536 2,396,912,813 1,224,704,586 2,761,117,420 Cost of shares redeemed................................ (1,149,847,535) (943,937,264) (1,694,753,288) (1,315,978,826) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions....................... (621,286,999) 1,452,975,549 (470,048,702) 1,445,138,594 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................ (792,769,060) 1,616,611,214 (336,058,788) 1,834,630,695 NET ASSETS: Beginning of period.................................... 2,559,670,917 943,059,703 2,894,358,955 1,059,728,260 -------------- -------------- -------------- -------------- End of period.......................................... $1,766,901,857 $2,559,670,917 $2,558,300,167 $2,894,358,955 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period.................................... $ 1,688,212 $ 1,366,558 $ 2,198,320 $ 3,689,109 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................ 68,650,002 29,250,002 63,350,002 28,100,002 Shares sold............................................ 15,500,000 67,900,000 26,950,000 65,700,000 Shares redeemed........................................ (35,150,000) (28,500,000) (38,150,000) (30,450,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period...................... 49,000,002 68,650,002 52,150,002 63,350,002 ============== ============== ============== ==============
Page 52 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST ENERGY FINANCIALS HEALTH CARE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXN) (FXO) (FXH) ---------------------------------- ---------------------------------- ---------------------------------- For the For the For the For the For the For the Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2016 7/31/2015 7/31/2016 7/31/2015 7/31/2016 7/31/2015 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 9,239,848 $ 7,901,012 $ 14,636,835 $ 13,561,391 $ 199,573 $ (3,100,423) (108,050,785) (130,793,657) (34,976,083) 43,627,483 (426,073,938) 454,459,652 87,116,140 (103,382,250) (22,876,460) 23,304,273 (359,011,037) 286,370,731 -------------- -------------- -------------- -------------- -------------- -------------- (11,694,797) (226,274,895) (43,215,708) 80,493,147 (784,885,402) 737,729,960 -------------- -------------- -------------- -------------- -------------- -------------- (9,168,230) (8,031,831) (14,585,861) (13,727,056) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 1,744,096,367 591,038,970 330,067,936 1,345,673,913 499,800,743 3,908,392,289 (611,447,932) (824,365,559) (636,550,366) (1,241,912,041) (2,800,608,199) (2,564,443,942) -------------- -------------- -------------- -------------- -------------- -------------- 1,132,648,435 (233,326,589) (306,482,430) 103,761,872 (2,300,807,456) 1,343,948,347 -------------- -------------- -------------- -------------- -------------- -------------- 1,111,785,408 (467,633,315) (364,283,999) 170,527,963 (3,085,692,858) 2,081,678,307 346,291,892 813,925,207 1,074,976,348 904,448,385 4,233,585,376 2,151,907,069 -------------- -------------- -------------- -------------- -------------- -------------- $1,458,077,300 $ 346,291,892 $ 710,692,349 $1,074,976,348 $1,147,892,518 $4,233,585,376 ============== ============== ============== ============== ============== ============== $ 455,296 $ 383,678 $ 1,666,832 $ 1,697,737 $ -- $ (2,978,788) ============== ============== ============== ============== ============== ============== 20,450,002 29,000,002 44,000,002 41,800,002 60,800,002 40,500,002 121,250,000 27,050,000 13,900,000 57,400,000 8,400,000 61,900,000 (41,400,000) (35,600,000) (28,400,000) (55,200,000) (50,550,000) (41,600,000) -------------- -------------- -------------- -------------- -------------- -------------- 100,300,002 20,450,002 29,500,002 44,000,002 18,650,002 60,800,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 53 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST INDUSTRIALS/PRODUCER DURABLES MATERIALS ALPHADEX(R) FUND ALPHADEX(R) FUND (FXR) (FXZ) ---------------------------------- ---------------------------------- For the For the For the For the Year Ended Year Ended Year Ended Year Ended 7/31/2016 7/31/2015 7/31/2016 7/31/2015 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)........................... $ 2,034,149 $ 3,489,163 $ 1,780,815 $ 3,915,971 Net realized gain (loss)............................... (48,140,128) (33,929,358) (5,133,500) (41,504,452) Net change in unrealized appreciation (depreciation)... 17,783,566 8,231,674 20,741,252 7,329,419 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations..................................... (28,322,413) (22,208,521) 17,388,567 (30,259,062) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.................................. (2,100,096) (4,499,510) (1,770,475) (4,431,046) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.............................. 130,231,645 593,203,217 233,779,536 414,961,450 Cost of shares redeemed................................ (320,727,167) (1,067,446,111) (155,309,996) (930,224,509) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions....................... (190,495,522) (474,242,894) 78,469,540 (515,263,059) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................ (220,918,031) (500,950,925) 94,087,632 (549,953,167) NET ASSETS: Beginning of period.................................... 380,086,582 881,037,507 156,470,340 706,423,507 -------------- -------------- -------------- -------------- End of period.......................................... $ 159,168,551 $ 380,086,582 $ 250,557,972 $ 156,470,340 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period.................................... $ 13 $ -- $ 207,379 $ 197,039 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................ 12,900,002 30,100,002 5,100,002 21,700,002 Shares sold............................................ 4,700,000 19,800,000 7,400,000 13,250,000 Shares redeemed........................................ (12,100,000) (37,000,000) (5,200,000) (29,850,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period...................... 5,500,002 12,900,002 7,300,002 5,100,002 ============== ============== ============== ==============
Page 54 See Notes to Financial Statements
FIRST TRUST FIRST TRUST TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXL) (FXU) ---------------------------------- ---------------------------------- For the For the For the For the Year Ended Year Ended Year Ended Year Ended 7/31/2016 7/31/2015 7/31/2016 7/31/2015 ---------------- ---------------- ---------------- ---------------- $ 4,930,851 $ 4,742,762 $ 24,285,983 $ 7,696,336 (30,276,505) 101,421,052 51,804,269 (13,177,956) (7,729,201) (1,528,398) 169,798,579 (1,552,502) -------------- -------------- -------------- -------------- (33,074,855) 104,635,416 245,888,831 (7,034,122) -------------- -------------- -------------- -------------- (4,908,173) (5,153,656) (21,192,761) (8,094,481) -------------- -------------- -------------- -------------- 175,513,323 973,443,594 2,662,292,317 720,678,747 (547,023,151) (1,006,921,759) (1,188,257,991) (1,207,833,663) -------------- -------------- -------------- -------------- (371,509,828) (33,478,165) 1,474,034,326 (487,154,916) -------------- -------------- -------------- -------------- (409,492,856) 66,003,595 1,698,730,396 (502,283,519) 900,970,952 834,967,357 132,567,714 634,851,233 -------------- -------------- -------------- -------------- $ 491,478,096 $ 900,970,952 $1,831,298,110 $ 132,567,714 ============== ============== ============== ============== $ 50,357 $ -- $ 3,278,572 $ 169,461 ============== ============== ============== ============== 25,755,000 26,305,000 5,750,002 28,100,002 5,450,000 29,150,000 109,500,000 28,700,000 (17,100,000) (29,700,000) (48,550,000) (51,050,000) -------------- -------------- -------------- -------------- 14,105,000 25,755,000 66,700,002 5,750,002 ============== ============== ============== ==============
See Notes to Financial Statements Page 55 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
YEAR ENDED JULY 31, ------------------------------------------------------------------- 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 37.29 $ 32.24 $ 28.81 $ 20.52 $ 21.35 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.53 0.30 0.13 0.29 0.18 Net realized and unrealized gain (loss) (1.43) 5.03 3.43 8.29 (0.84) ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.90) 5.33 3.56 8.58 (0.66) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.33) (0.28) (0.13) (0.29) (0.17) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 36.06 $ 37.29 $ 32.24 $ 28.81 $ 20.52 ========== ========== ========== ========== ========== TOTAL RETURN (a) (2.34)% 16.54% 12.37% 42.17% (3.06)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,766,902 $2,559,671 $ 943,060 $ 737,449 $ 424,739 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.63% 0.70% 0.72% 0.72% Ratio of net expenses to average net assets 0.61% 0.63% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.39% 0.91% 0.42% 1.20% 0.84% Portfolio turnover rate (b) 103% 131% 100% 99% 98%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
YEAR ENDED JULY 31, ------------------------------------------------------------------- 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 45.69 $ 37.71 $ 33.22 $ 23.50 $ 24.49 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.76 0.72 0.51 0.35 0.42 Net realized and unrealized gain (loss) 3.38 7.95 4.51 9.85 (1.16) ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.14 8.67 5.02 10.20 (0.74) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.77) (0.69) (0.53) (0.48) (0.25) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 49.06 $ 45.69 $ 37.71 $ 33.22 $ 23.50 ========== ========== ========== ========== ========== TOTAL RETURN (a) 9.19% 23.09% 15.14% 43.89% (3.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,558,300 $2,894,359 $1,059,728 $ 657,759 $ 347,740 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.62% 0.69% 0.71% 0.74% Ratio of net expenses to average net assets 0.61% 0.62% 0.69% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.60% 1.75% 1.59% 1.37% 1.97% Portfolio turnover rate (b) 102% 87% 100% 107% 126%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 56 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
YEAR ENDED JULY 31, ------------------------------------------------------------------- 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 16.93 $ 28.07 $ 22.62 $ 18.51 $ 23.75 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.22 0.40 0.27 0.23 0.14 Net realized and unrealized gain (loss) (2.37) (11.14) 5.43 4.12 (5.25) ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.15) (10.74) 5.70 4.35 (5.11) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.24) (0.40) (0.25) (0.24) (0.13) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 14.54 $ 16.93 $ 28.07 $ 22.62 $ 18.51 ========== ========== ========== ========== ========== TOTAL RETURN (a) (12.67)% (38.59)% 25.30% 23.62% (21.50)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,458,077 $ 346,292 $ 813,925 $ 191,135 $ 123,065 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.64% 0.70% 0.74% 0.76% Ratio of net expenses to average net assets 0.62% 0.64% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.40% 1.68% 1.10% 0.82% 0.63% Portfolio turnover rate (b) 112% 97% 72% 93% 90%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
YEAR ENDED JULY 31, ------------------------------------------------------------------- 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 24.43 $ 21.64 $ 19.79 $ 14.47 $ 14.04 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.39 0.30 0.33 0.32 0.21 Net realized and unrealized gain (loss) (0.36) 2.79 1.83 5.32 0.42 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.03 3.09 2.16 5.64 0.63 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.37) (0.30) (0.31) (0.32) (0.20) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 24.09 $ 24.43 $ 21.64 $ 19.79 $ 14.47 ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.22% 14.39% 10.95% 39.45% 4.57% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 710,692 $1,074,976 $ 904,448 $ 398,820 $ 208,369 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.64% 0.69% 0.72% 0.74% Ratio of net expenses to average net assets 0.64% 0.64% 0.69% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.72% 1.59% 1.61% 1.92% 1.61% Portfolio turnover rate (b) 75% 80% 55% 65% 93%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 57 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
YEAR ENDED JULY 31, ---------------------------------------------------------------------- 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 69.63 $ 53.13 $ 42.58 $ 30.00 $ 28.54 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.00 (c) (d) (0.05) (0.01) 0.13 0.02 Net realized and unrealized gain (loss) (8.08) 16.55 10.56 12.58 1.46 ---------- ---------- ---------- ---------- ---------- Total from investment operations (8.08) 16.50 10.55 12.71 1.48 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- (0.13) (0.02) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 61.55 $ 69.63 $ 53.13 $ 42.58 $ 30.00 ========== ========== ========== ========== ========== TOTAL RETURN (a) (11.60)% 31.06% 24.78% 42.49% 5.17% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,147,893 $4,233,585 $2,151,907 $ 981,566 $ 532,448 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.62% 0.67% 0.71% 0.73% Ratio of net expenses to average net assets 0.61% 0.62% 0.67% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.01% (0.10)% (0.01)% 0.36% 0.07% Portfolio turnover rate (b) 118% 125% 81% 96% 109%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
YEAR ENDED JULY 31, ------------------------------------------------------------------- 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 29.46 $ 29.27 $ 24.11 $ 17.76 $ 18.06 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.24 0.13 0.24 0.32 0.16 Net realized and unrealized gain (loss) (0.51) 0.26 5.16 6.34 (0.29) ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.27) 0.39 5.40 6.66 (0.13) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.25) (0.20) (0.24) (0.31) (0.17) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 28.94 $ 29.46 $ 29.27 $ 24.11 $ 17.76 ========== ========== ========== ========== ========== TOTAL RETURN (a) (0.82)% 1.30% 22.44% 37.92% (0.72)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 159,169 $ 380,087 $ 881,038 $ 231,413 $ 103,876 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.66% 0.63% 0.69% 0.74% 0.78% Ratio of net expenses to average net assets 0.66% 0.63% 0.69% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.93% 0.55% 0.99% 1.65% 0.77% Portfolio turnover rate (b) 103% 105% 95% 110% 97%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemption and in-kind transactions. (c) Based on average shares outstanding. (d) Amount is less than $0.01. Page 58 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
YEAR ENDED JULY 31, ------------------------------------------------------------------- 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 30.68 $ 32.55 $ 27.93 $ 22.79 $ 24.22 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.41 0.47 0.35 0.57 0.29 Net realized and unrealized gain (loss) 3.65 (1.88) 4.60 5.17 (1.45) ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.06 (1.41) 4.95 5.74 (1.16) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.42) (0.46) (0.33) (0.60) (0.27) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.32 $ 30.68 $ 32.55 $ 27.93 $ 22.79 ========== ========== ========== ========== ========== TOTAL RETURN (a) 13.48% (4.36)% 17.73% 25.39% (4.78)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 250,558 $ 156,470 $ 706,424 $ 251,349 $ 144,689 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.66% 0.64% 0.70% 0.73% 0.73% Ratio of net expenses to average net assets 0.66% 0.64% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.26% 1.25% 1.16% 1.75% 1.14% Portfolio turnover rate (b) 113% 104% 76% 82% 92%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
YEAR ENDED JULY 31, ------------------------------------------------------------------- 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 34.98 $ 31.74 $ 25.97 $ 20.97 $ 21.81 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.27 0.14 0.08 0.13 (0.01) Net realized and unrealized gain (loss) (0.14) 3.26 5.78 5.00 (0.82) ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.13 3.40 5.86 5.13 (0.83) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.27) (0.16) (0.09) (0.13) (0.01) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.84 $ 34.98 $ 31.74 $ 25.97 $ 20.97 ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.42% 10.72% 22.59% 24.54% (3.80)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 491,478 $ 900,971 $ 834,967 $ 284,543 $ 216,060 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.63% 0.70% 0.72% 0.74% Ratio of net expenses to average net assets 0.63% 0.63% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.82% 0.53% 0.28% 0.53% (0.06)% Portfolio turnover rate (b) 109% 91% 85% 82% 101%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemption and in-kind transactions. See Notes to Financial Statements Page 59 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
YEAR ENDED JULY 31, ------------------------------------------------------------------- 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 23.06 $ 22.59 $ 20.56 $ 18.34 $ 17.65 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.73 0.83 0.59 0.64 0.45 Net realized and unrealized gain (loss) 4.38 0.47 2.04 2.22 0.70 ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.11 1.30 2.63 2.86 1.15 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.71) (0.83) (0.60) (0.64) (0.46) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.46 $ 23.06 $ 22.59 $ 20.56 $ 18.34 ========== ========== ========== ========== ========== TOTAL RETURN (a) 22.66% 5.77% 13.08% 15.91% 6.65% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,831,298 $ 132,568 $ 634,851 $ 205,554 $ 147,658 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.69% 0.70% 0.73% 0.72% Ratio of net expenses to average net assets 0.62% 0.69% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 2.79% 2.58% 2.31% 3.53% 2.83% Portfolio turnover rate (b) 71% 94% 83% 74% 72%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemption and in-kind transactions. Page 60 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one exchange-traded funds considered either a Sector Fund or a Style Fund. This report covers the nine Sector Funds listed below. The shares of each Sector Fund are listed and traded on NYSE Arca, Inc. First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD") First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG") First Trust Energy AlphaDEX(R) Fund - (ticker "FXN") First Trust Financials AlphaDEX(R) Fund - (ticker "FXO") First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH") First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker "FXR") First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ") First Trust Technology AlphaDEX(R) Fund - (ticker "FXL") First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU") Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Creation Units are issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, each Fund's shares are not redeemable securities. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index (1) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index (1) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index (1) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index (1) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index (1) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index (1) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index (1) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index (1) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index (1)
(1) This index is developed, maintained and sponsored by NYSE Group, Inc. or its affiliates ("NYSE Group"), and licensed to First Trust Portfolios L.P. ("FTP"), the distributor of the Trust, by Archipelago Holdings, Inc. ("Archipelago"), an affiliate of NYSE Group. Prior to the acquisition of the American Stock Exchange LLC (the "AMEX") by NYSE Group, the index was developed, maintained and sponsored by AMEX. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds, each of which is an investment company within the scope of Financial Accounting Standards Board ("FASB") Accounting Standards Update 2013-08, follow accounting and reporting guidance under FASB Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of July 31, 2016, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities require entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At July 31, 2016, all the Funds except FXH, FXR and FXZ have securities in the securities lending program. During the fiscal year ended July 31, 2016, all the Funds participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Funds sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury Notes. The U.S. Treasury Notes are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury Notes can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund is less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 2016, were received as collateral for lending securities. F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2016 was as follows:
Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 20,327,690 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 43,760,331 -- -- First Trust Energy AlphaDEX(R) Fund 9,168,230 -- -- First Trust Financials AlphaDEX(R) Fund 14,585,861 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 2,100,096 -- -- First Trust Materials AlphaDEX(R) Fund 1,770,475 -- -- First Trust Technology AlphaDEX(R) Fund 4,908,173 -- -- First Trust Utilities AlphaDEX(R) Fund 21,192,761 -- --
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2015 was as follows:
Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 15,778,306 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 34,623,996 -- -- First Trust Energy AlphaDEX(R) Fund 8,031,831 -- -- First Trust Financials AlphaDEX(R) Fund 13,727,056 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 4,499,510 -- -- First Trust Materials AlphaDEX(R) Fund 4,431,046 -- -- First Trust Technology AlphaDEX(R) Fund 5,153,656 -- -- First Trust Utilities AlphaDEX(R) Fund 8,094,481 -- --
Page 64 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 As of July 31, 2016, the components of distributable earnings on a tax basis for each Fund were as follows:
Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ----------------------- ----------------------- ----------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 1,688,212 $ (367,527,565) $ 94,023,176 First Trust Consumer Staples AlphaDEX(R) Fund 2,198,320 (198,231,622) 251,115,040 First Trust Energy AlphaDEX(R) Fund 455,296 (305,745,555) (11,079,198) First Trust Financials AlphaDEX(R) Fund 1,666,832 (87,044,295) 7,184,322 First Trust Health Care AlphaDEX(R) Fund -- (560,204,820) 97,225,435 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 13 (104,754,040) (2,914,900) First Trust Materials AlphaDEX(R) Fund 207,379 (111,196,873) 12,805,439 First Trust Technology AlphaDEX(R) Fund 50,357 (166,015,842) 18,803,719 First Trust Utilities AlphaDEX(R) Fund 3,278,572 (44,490,538) 155,442,475
G. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2013, 2014, 2015 and 2016 remain open to federal and state audit. As of July 31, 2016, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Under the Regulated Investment Company Modernization Act of 2010 (the "Act"), net capital losses arising in taxable years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for up to eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. At July 31, 2016, the Funds had pre-enactment and post-enactment net capital losses for federal income tax purposes as shown in the following table. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to Fund shareholders. The Funds are subject to certain limitations, under U.S. tax rules, on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership.
Capital Loss Capital Loss Capital Loss Post Total Available Available Available Enactment - Capital through through through No Loss 7/31/2017 7/31/2018 7/31/2019 Expiration Available ------------- ------------- ------------- ------------- ------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 783,283 $ 1,138,594 $ 9,617,858 $ 355,987,830 $ 367,527,565 First Trust Consumer Staples AlphaDEX(R) Fund 422,511 1,058,131 -- 196,750,980 198,231,622 First Trust Energy AlphaDEX(R) Fund 2,326,320 2,084,336 3,349,453 297,985,446 305,745,555 First Trust Financials AlphaDEX(R) Fund 671,958 1,630,337 3,464,108 81,277,892 87,044,295 First Trust Health Care AlphaDEX(R) Fund 774,570 2,582,977 1,764,162 555,083,111 560,204,820 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 798,398 1,325,584 1,133,736 101,496,322 104,754,040 First Trust Materials AlphaDEX(R) Fund 1,265,429 886,622 7,397,299 101,647,523 111,196,873 First Trust Technology AlphaDEX(R) Fund 1,608,491 2,508,150 2,516,610 159,382,591 166,015,842 First Trust UtilitiesAlphaDEX(R) Fund 557,777 1,956,482 -- 41,976,279 44,490,538
Page 65 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 At the taxable year ended July 31, 2016, the following Funds' capital loss carryforwards expired in the following amounts: Capital Loss Expired -------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 64,889 First Trust Consumer Staples AlphaDEX(R) Fund 63,580 First Trust Energy AlphaDEX(R) Fund 73,845 First Trust Financials AlphaDEX(R) Fund 13,300 First Trust Health Care AlphaDEX(R) Fund 28,397 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 183,210 First Trust Materials AlphaDEX(R) Fund 13,424 First Trust Technology AlphaDEX(R) Fund 22,456 In order to present paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2016, the adjustments for each Fund were as follows:
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital --------------- --------------- --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ (9,139,160) $ (71,694,601) $ 80,833,761 First Trust Consumer Staples AlphaDEX(R) Fund -- (222,572,039) 222,572,039 First Trust Energy AlphaDEX(R) Fund -- (53,441,384) 53,441,384 First Trust Financials AlphaDEX(R) Fund (81,879) (8,321,640) 8,403,519 First Trust Health Care AlphaDEX(R) Fund 2,779,215 (17,369,453) 14,590,238 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 65,960 11,033,355 (11,099,315) First Trust Materials AlphaDEX(R) Fund -- (8,814,673) 8,814,673 First Trust Technology AlphaDEX(R) Fund 27,679 (34,153,810) 34,126,131 First Trust Utilities AlphaDEX(R) Fund 15,889 (69,993,282) 69,977,393
H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. FTP has entered into licensing agreements with Archipelago for each of the Funds. The license agreements allow for the use by FTP of certain trademarks and trade names of Archipelago and certain trademarks and trade names of NYSE Group. The Funds and First Trust are sub-licensees to the license agreement. The Funds are required to pay licensing fees, which are shown on the Statements of Operations. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Funds. For these services, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least November 30, 2017. Page 66 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses were reimbursed or fees waived by First Trust. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. For the fiscal year ended July 31, 2016 there were no fees waived or expenses reimbursed by First Trust for the Funds. As of July 31, 2016, none of the Funds had remaining fees previously waived or expenses reimbursed that were still subject to recovery. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. At a meeting held on December 7, 2015, the Board of Trustees accepted Mr. Mark Bradley's resignation from his position as the President and Chief Executive Officer of the Trust, effective December 31, 2015. At the same meeting, the Board of Trustees elected Mr. James Dykas, formerly Chief Financial Officer and Treasurer of the Trust, to serve as the President and Chief Executive Officer, and Mr. Donald Swade, formerly an Assistant Treasurer of the Trust, to serve as the Treasurer, Chief Financial Officer and Chief Accounting Officer of the Trust. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Prior to January 1, 2016, the fixed annual retainer was allocated pro rata based on each fund's net assets. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund or is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended July 31, 2016, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:
Purchases Sales --------------- --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,217,171,599 $ 2,204,922,044 First Trust Consumer Staples AlphaDEX(R) Fund 2,705,041,798 2,710,327,708 First Trust Energy AlphaDEX(R) Fund 793,855,587 789,889,216 First Trust Financials AlphaDEX(R) Fund 644,177,663 642,000,616 First Trust Health Care AlphaDEX(R) Fund 2,975,136,627 2,973,841,647 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 226,584,500 226,241,875 First Trust Materials AlphaDEX(R) Fund 163,482,308 163,197,898 First Trust Technology AlphaDEX(R) Fund 670,215,674 669,240,140 First Trust Utilities AlphaDEX(R) Fund 613,839,582 610,265,048
For the fiscal year ended July 31, 2016, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
Purchases Sales --------------- --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 528,038,924 $ 1,148,158,112 First Trust Consumer Staples AlphaDEX(R) Fund 1,223,292,518 1,691,784,562 First Trust Energy AlphaDEX(R) Fund 1,743,186,484 614,519,710 First Trust Financials AlphaDEX(R) Fund 329,077,172 634,499,617 First Trust Health Care AlphaDEX(R) Fund 499,248,808 2,795,216,339 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 130,076,498 320,369,979 First Trust Materials AlphaDEX(R) Fund 233,576,833 155,317,413 First Trust Technology AlphaDEX(R) Fund 175,077,410 546,444,463 First Trust Utilities AlphaDEX(R) Fund 2,657,024,824 1,184,684,038
Page 67 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 5. CREATION, REDEMPTION AND TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares in transactions with broker-dealers or large institutional investors that have entered into a participation agreement (an "Authorized Participant"). Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per Share of each Fund on the transaction date times the number of Shares in a Creation Unit. Authorized Participants purchasing Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Creation in a Creation Unit Transaction Fee ------------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per Share of a Fund on the transaction date times the number of Shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes. Authorized Participants redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Redemption in a Creation Unit Transaction Fee ------------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before June 30, 2017. 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 68 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND: We have audited the accompanying statements of assets and liabilities of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, and First Trust Utilities AlphaDEX(R) Fund, each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), including the portfolios of investments, as of July 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2016 by correspondence with the Funds' custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds listed above included in the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP Chicago, Illinois September 22, 2016 Page 69 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Funds' website located at http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. PORTFOLIO HOLDINGS The Trust files its complete schedule of each Fund's portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trust's Form N-Qs are available (1) by calling (800) 988-5891; (2) on the Funds' website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. FEDERAL TAX INFORMATION For the taxable year ended July 31, 2016, the following percentages of income dividend paid by the Funds qualified for the dividends received deduction available to corporations:
Dividends Received Deduction -------------------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00% First Trust Consumer Staples AlphaDEX(R) Fund 99.89% First Trust Energy AlphaDEX(R) Fund 94.97% First Trust Financials AlphaDEX(R) Fund 67.02% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 100.00% First Trust Utilities AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2016, the following percentages of income dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income -------------------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00% First Trust Consumer Staples AlphaDEX(R) Fund 100.00% First Trust Energy AlphaDEX(R) Fund 100.00% First Trust Financials AlphaDex(R) Fund 72.62% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 100.00% First Trust Utilities AlphaDEX(R) Fund 100.00%
RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND. The following summarizes some of the risks that should be considered for the Funds. CONSUMER DISCRETIONARY COMPANIES RISK. Certain of the Funds invest in consumer discretionary companies. Consumer discretionary companies are companies that provide non-essential goods and services, such as retailers, media companies and consumer services. These companies manufacture products and provide discretionary services directly to the consumer, and the success of these companies is tied closely to the performance of the overall domestic and Page 70 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 (UNAUDITED) international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace. CONSUMER STAPLES COMPANIES RISK. Certain of the Funds invest in consumer staples companies. Consumer staples companies provide products directly to the consumer that are typically considered non-discretionary items based on consumer purchasing habits. The success of these companies is affected by a variety of factors, such as government regulations, which may affect the permissibility of using various food additives and the production methods of companies that manufacture food products. ENERGY COMPANIES RISK. Certain of the Funds invest in energy companies. Energy companies include integrated oil companies that are involved in the exploration, production and refining process, gas distributors and pipeline-related companies and other energy companies involved with mining, producing and delivering energy-related services and drilling. General problems of energy companies include volatile fluctuations in price and supply of energy fuels, international politics, terrorist attacks, reduced demand, the success of exploration projects, clean-up and litigation costs relating to oil spills and environmental damage, and tax and other regulatory policies of various governments. Natural disasters such as hurricanes in the Gulf of Mexico also impact the petroleum industry. Oil production and refining companies are subject to extensive federal, state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials. In addition, oil prices are generally subject to extreme volatility. EQUITY SECURITIES RISK. Because the Funds invest in equity securities, the value of the Funds' shares will fluctuate with changes in the value of these equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. FINANCIAL COMPANIES RISK. Certain of the Funds invest in financial companies. Financial companies are especially subject to the adverse effects of economic recession, currency exchange rates, government regulation, decreases in the availability of capital, volatile interest rates, portfolio concentrations in geographic markets and in commercial and residential real estate loans, and competition from new entrants in their fields of business. GROWTH STOCKS INVESTMENT RISK. Growth stocks tend to be more volatile than certain other types of stocks and their prices usually fluctuate more dramatically than the overall stock market. A stock with growth characteristics can have sharp price declines due to decreases in current or expected earnings. HEALTH CARE COMPANIES RISK. Certain of the Funds invest in health care companies. Health care companies are companies involved in medical services or health care, including biotechnology research and production, drugs and pharmaceuticals and health care facilities and services. These companies are subject to extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation. Research and development costs of bringing new drugs to market are substantial, and there is no guarantee that the product will ever come to market. Health care facility operators may be affected by the demand for services, efforts by government or insurers to limit rates, restriction of government financial assistance and competition from other providers. INDEX CONSTITUENT RISK. One or more of the Funds may be a constituent of one or more indices. As a result, the Fund may be included in one or more index-tracking ETFs or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving the Fund, the size of the Fund and the market volatility of the Fund. Inclusion in an index could significantly increase demand for the Fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, the Fund's NAV could be negatively impacted and the Fund's market price may be significantly below the Fund's net asset value during certain periods In addition, index rebalances may potentially result in increased trading activity. To the extent buying or selling activity increases, the Fund can be exposed to increased brokerage costs and adverse tax consequences and the market price of the Fund can be negatively affected. INDUSTRIALS COMPANIES RISK. Certain of the Funds invest in industrials companies. Industrials companies convert unfinished goods into finished durables used to manufacture other goods or provide services. Some industrials companies are involved in electrical equipment and components, industrial products, manufactured housing and telecommunications equipment. General risks of industrials companies include the general state of the economy, intense competition, consolidation, domestic and international politics, excess capacity and consumer demand and spending trends. In addition, they may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, government regulations and e-commerce initiatives. Page 71 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 (UNAUDITED) INFORMATION TECHNOLOGY COMPANIES RISK. Certain of the Funds invest in information technology companies. Information technology companies are generally subject to the following risks: rapidly changing technologies; short product life cycles; fierce competition; aggressive pricing and reduced profit margins; the loss of patent, copyright and trademark protections; cyclical market patterns; evolving industry standards; and frequent new product introductions. Information technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel. Information technology company stocks, especially those which are Internet related, have experienced extreme price and volume fluctuations that are often unrelated to their operating performance. MARKET RISK. Market risk is the risk that a particular security owned by a Fund or shares of a Fund in general may fall in value. Securities are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of the Funds could decline in value or underperform other investments. MATERIALS AND PROCESSING COMPANIES RISK. Certain of the Funds invest in materials and processing companies. General risks of the materials sector include the general state of the economy, consolidation, domestic and international politics and excess capacity. In addition, basic materials companies may also be significantly affected by volatility of commodity prices, import controls, worldwide competition, liability for environmental damage, depletion of resources and mandated expenditures for safety and pollution control devices. NON-CORRELATION RISK. A Fund's return may not match the return of its Index for a number of reasons. For example, a Fund incurs operating expenses not applicable to its Index, and may incur costs in buying and selling securities, especially when rebalancing the Fund's portfolio holdings to reflect changes in the composition of the Index. In addition, a Fund's portfolio holdings may not exactly replicate the securities included in its Index or the ratios between the securities included in the Index. PORTFOLIO TURNOVER RISK. Certain Funds' strategies may frequently involve buying and selling portfolio securities to rebalance the Funds' exposure to various market sectors. High portfolio turnover may result in a Fund paying higher levels of transaction costs and generating greater tax liabilities for shareholders. Portfolio turnover risk may cause a Fund's performance to be less than you expect. REPLICATION MANAGEMENT RISK. The Funds are exposed to additional market risk due to their policy of investing principally in the securities included in the Indices. As a result of this policy, securities held by the Funds will generally not be bought or sold in response to market fluctuations. SMALLER COMPANIES RISK. Small and/or mid capitalization companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies. TELECOMMUNICATIONS COMPANIES RISK. Certain of the Funds invest in telecommunications companies. Telecommunications companies are subject to risks, which include increased competition and regulation by various regulatory authorities, the need to commit substantial capital and technological obsolescence. UTILITIES COMPANIES RISK. Certain of the Funds invest in utilities companies. General problems of utilities companies include the imposition of rate caps, increased competition due to deregulation, the difficulty in obtaining an adequate return on invested capital or in financing large construction projects, the limitations on operations and increased costs and delays attributable to environmental considerations and the capital market's ability to absorb utility debt. In addition, taxes, government regulation, international politics, price and supply fluctuations, volatile interest rates and energy conservation may cause difficulties for utilities. All of such issuers have been experiencing certain of these problems in varying degrees. VALUE STOCKS INVESTMENT RISK. The intrinsic value of a stock with value characteristics may not be fully recognized by the market for a long time or a stock judged to be undervalued may actually be appropriately priced at a low level. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 72 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 (UNAUDITED) REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Fund it manages (the "Funds") in the United Kingdom in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2015, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $9,067,727. This figure is comprised of $453,849 paid (or to be paid) in fixed compensation and $8,613,878 paid (or to be paid) in variable compensation. There were a total of 13 beneficiaries of the remuneration described above. Those amounts include $5,011,396 paid (or to be paid) to senior management of First Trust Advisors L.P. and $4,056,331 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees (the "Board") of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor" or "First Trust") on behalf of the following nine series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD) First Trust Consumer Staples AlphaDEX(R) Fund (FXG) First Trust Energy AlphaDEX(R) Fund (FXN) First Trust Financials AlphaDEX(R) Fund (FXO) First Trust Health Care AlphaDEX(R) Fund (FXH) First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR) First Trust Materials AlphaDEX(R) Fund (FXZ) First Trust Technology AlphaDEX(R) Fund (FXL) First Trust Utilities AlphaDEX(R) Fund (FXU) Page 73 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 (UNAUDITED) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2017 at a meeting held on June 13, 2016. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 22, 2016 and June 13, 2016, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees that, among other things, outlined the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by each Fund as compared to fees charged to a peer group of funds (all of which were exchange-traded funds ("ETFs")) compiled by Management Practice, Inc. ("MPI"), an independent source (the "MPI Peer Group"), and as compared to fees charged to other clients of the Advisor, including other ETFs managed by the Advisor; expenses of each Fund as compared to expense ratios of the funds in the Fund's MPI Peer Group; performance information for each Fund; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at a special meeting held on April 22, 2016, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 13, 2016 meeting, as well as at the meeting held that day. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective as well as from the perspective of shareholders. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective and policies. In addition, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 22, 2016 meeting, described to the Board the scope of its ongoing investment in additional infrastructure and personnel to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with the Fund's investment objective and policies. The Board considered the advisory fee rate payable by each Fund under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through November 30, 2017. For each Fund, the Board noted that expenses borne or fees waived by the Advisor are to be subject to reimbursement by the Fund for up to three years from the date the expense was incurred or fee was waived, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the MPI Peer Groups, as well as advisory fee and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients. Because each Fund's MPI Peer Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Fund was above the median total (net) expense ratio of the peer funds in each Fund's respective MPI Peer Group. With respect to the MPI Peer Groups, the Board discussed with representatives of the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With Page 74 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2016 (UNAUDITED) respect to fees charged to other clients, the Board considered differences between the Funds and other clients that limited their comparability. In considering the advisory fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's description of its long-term commitment to each Fund. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2015 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was consistent with the Fund's prospectus. In addition, the Board reviewed data prepared by MPI comparing each Fund's performance to its respective MPI Peer Group and to one or more broad-based benchmark indexes, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it expects its expenses to increase over the next twelve months as the Advisor continues to make investments in personnel and infrastructure. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2015 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data for the same period. The Board noted the inherent limitations in the profitability analysis, and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with its management of the Funds' portfolios. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Trust and each Fund. No single factor was determinative in the Board's analysis. Page 75 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2016 (UNAUDITED) The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, ADDRESS, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE DATE OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton 126 None c/o First Trust Advisors L.P. Orthopedics; Limited Partner 120 E. Liberty Drive, o Since Inception Gundersen Real Estate Limited Suite 400 Partnership; Member, Sportsmed LLC Wheaton, IL 60187 (April 2007 to November 2015) D.O.B.: 04/51 Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investor Services, Inc. 126 Director of ADM c/o First Trust Advisors L.P. (Futures Commission Merchant) Investor Services, 120 E. Liberty Drive, o Since Inception Inc., ADM Suite 400 Investor Services Wheaton, IL 60187 International and D.O.B.: 11/57 Futures Industry Association Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises 126 Director of Trust c/o First Trust Advisors L.P. (Financial and Management Consulting) Company of 120 E. Liberty Drive, o Since Inception Illinois Suite 400 Wheaton, IL 60187 D.O.B.: 11/56 Niel B. Nielson, Trustee o Indefinite Term Managing Director and Chief Operating 126 Director of c/o First Trust Advisors L.P. Officer (January 2015 to Present), Pelita Covenant 120 E. Liberty Drive, o Since Inception Harapan Educational Foundation (Educational Transport Inc. Suite 400 Products and Services); President and Chief (May 2003 to Wheaton, IL 60187 Executive Officer (June 2012 to September May 2014) D.O.B.: 03/54 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services); President (June 2002 to June 2012), Covenant College ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 126 None Chairman of the Board Advisors L.P. and First Trust 120 E. Liberty Drive, o Since Inception Portfolios L.P.; Chairman of the Suite 400 Board of Directors, BondWave LLC Wheaton, IL 60187 (Software Development Company/ D.O.B.: 09/55 Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor)
----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 76 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2016 (UNAUDITED)
POSITION AND TERM OF OFFICE NAME, ADDRESS OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS AND DATE OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS -------------------------------------------------------------------------------------------------------------------------------- OFFICERS(2) -------------------------------------------------------------------------------------------------------------------------------- James M. Dykas President and o Indefinite Term Managing Director and Chief Financial Officer 120 E. Liberty Drive, Chief Executive (January 2016 to Present), Controller (January 2011 Suite 400 Officer o Since January 2016 to January 2016), Senior Vice President (April 2007 Wheaton, IL 60187 to January 2016), First Trust Advisors L.P. and First D.O.B: 01/66 Trust Portfolios L.P. Donald P. Swade Treasurer, Chief o Indefinite Term Senior Vice President (July 2016 to Present), 120 E. Liberty Drive, Financial Officer Vice President (April 2012 to July 2016), Suite 400 and Chief o Since January 2016 First Trust Advisors L.P. and First Trust Portfolios Wheaton, IL 60187 Accounting Officer L.P., Vice President (September 2006 to April 2012), D.O.B.: 08/72 Guggenheim Funds Investment Advisors, LLC/ Claymore Securities, Inc. W. Scott Jardine Secretary and o Indefinite Term General Counsel, First Trust Advisors L.P. and First 120 E. Liberty Drive, Chief Legal Trust Portfolios L.P.; Secretary and General Counsel, Suite 400 Officer o Since Inception BondWave LLC (Software Development Company/ Wheaton, IL 60187 Investment Advisor); Secretary of Stonebridge D.O.B.: 05/60 Advisors LLC (Investment Advisor) Daniel J. Lindquist Vice President o Indefinite Term Managing Director (July 2012 to Present), Senior Vice 120 E. Liberty Drive, President (September 2005 to July 2012), First Trust Suite 400 o Since Inception Advisors L.P. and First Trust Portfolios L.P. Wheaton, IL 60187 D.O.B.: 02/70 Kristi A. Maher Chief Compliance o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. 120 E. Liberty Drive, Officer and and First Trust Portfolios L.P. Suite 400 Assistant o Chief Compliance Wheaton, IL 60187 Secretary Officer Since D.O.B.: 12/66 January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. 120 E. Liberty Drive, and First Trust Portfolios L.P. Suite 400 o Since Inception Wheaton, IL 60187 D.O.B.: 06/66 Stan Ueland Vice President o Indefinite Term Senior Vice President (September 2012 to Present), 120 E. Liberty Drive, Vice President (August 2005 to September 2012), First Suite 400 o Since Inception Trust Advisors L.P. and First Trust Portfolios L.P. Wheaton, IL 60187 D.O.B.: 11/70
----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 77 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2016 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We may collect nonpublic personal information about you from the following sources: o Information we receive from you or your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required by law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information with affiliates of the Fund. PRIVACY ONLINE We allow third-party companies, including AddThis, to collect certain anonymous information when you visit our website. These companies may use non-personally identifiable information during your visits to this and other websites in order to provide advertisements about goods and services likely to be of greater interest to you. These companies typically use a cookie, third party web beacon or pixel tags, to collect this information. To learn more about this behavioral advertising practice, you can visit www.networkadvertising.org. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, we restrict access to your nonpublic personal information to those individuals who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time; however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). Page 78 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, 2016 -------------------------------------------------------------------------------- AlphaDEX(R) Style Funds ------------------------ First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Mega Cap AlphaDEX(R) Fund (FMK) ALPHADEX(R) FAMILY OF ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 Shareholder Letter.......................................................... 2 Market Overview............................................................. 3 Fund Performance Overview First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 4 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 6 First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 8 First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 10 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 12 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 14 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 16 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 18 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 20 First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 22 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 24 First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 26 Notes to Fund Performance Overview.......................................... 28 Understanding Your Fund Expenses............................................ 29 Portfolio of Investments First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 31 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 38 First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 46 First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 55 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 60 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 65 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 75 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 85 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 90 First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 95 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 101 First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 107 Statements of Assets and Liabilities........................................ 110 Statements of Operations.................................................... 113 Statements of Changes in Net Assets......................................... 116 Financial Highlights........................................................ 120 Notes to Financial Statements............................................... 127 Report of Independent Registered Public Accounting Firm..................... 136 Additional Information...................................................... 137 Board of Trustees and Officers.............................................. 143 Privacy Policy.............................................................. 145 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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, 2016 Dear Shareholders: Thank you for your investment in the Style Funds of First Trust Exchange-Traded AlphaDEX(R) Fund. First Trust Advisors L.P. ("First Trust") is pleased to provide you with the annual report which contains detailed information about your investment for the 12 months ended July 31, 2016, including a market overview and a performance analysis for the period. We encourage you to read this report and discuss it with your financial advisor. While markets were up and down during 2015, we believe there are three important things to remember. First, the U.S. economy grew, despite the massive decline in oil prices. Second, the tapering that began in 2014 by the Federal Reserve (the "Fed") did not stop growth in the U.S. economy. Finally, the long-anticipated rate hike by the Fed in December 2015 had little effect on the money supply, and the stock market was not shocked by the hike. Early in 2016, many investors were concerned that the volatility we saw in the market in 2015 would continue, and it did. From December 31, 2015 through February 11, 2016, the S&P 500(R) Index declined by 10.27%. Since then, the market has made a steady comeback, and from February 11, 2016 to July 31, 2016, the S&P 500(R) Index was up 19.99%. First Trust believes that having a long-term investment horizon and investing in quality products can help you reach your goals, regardless of how the market behaves. We have always maintained perspective about the markets and believe investors should as well. We will continue to strive to provide quality investment opportunities each and every day, which has been one of the hallmarks of our firm since its inception 25 years ago. Thank you for giving First Trust the opportunity to be a part of your investment plan. We value our relationship with you and will continue to focus on helping investors like you reach your financial goals. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 31, 2016 ROBERT F. CAREY, CFA SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST FIRST TRUST ADVISORS L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has over 25 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. STATE OF THE U.S./GLOBAL ECONOMY One of the reasons cited by the Federal Reserve for not raising interest rates beyond the initial 0.25% hike in the federal funds target rate on December 16, 2015 is the slowdown in global growth. The International Monetary Fund reduced its global growth estimate for 2016 from 3.3% in April to 3.2% in July. It also shaved its 2017 estimate by 0.1% to 3.5%, according to its own release. To help put this concern into perspective, the rate was 5.4% in 2010. The rebound in the price of crude oil is boosting Mergers & Acquisitions ("M&A") activity in the energy sector, according to Bloomberg. From February 11, 2016 (multi-year low) through August 25, 2016, the price of a barrel of crude oil rose 80.6%, from $26.21 to $47.33. Wood Mackenzie, a consulting firm, reported that more than $11 billion worth of oil and gas transactions were announced globally in July. It was the highest monthly total so far this year. Since May, deal volume has totaled $32 billion. Wood Mackenzie believes that M&A activity will continue to accelerate as oil prices stabilize. Higher energy prices, if sustained, could help boost global economic growth moving forward. Many nations around the globe rely fairly heavily on the sale of crude oil to help fund their economies, in our opinion. ETFGI, an industry research group, reported that total assets invested in exchange-traded funds (ETFs) and other exchange-traded products (ETPs) reached a record high of $3.34 trillion globally in July 2016, according to its own release. Total assets invested in U.S. ETFs/ETPs reached a record high of $2.37 trillion in July 2016. STYLE/MARKET CAP INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end mutual funds and ETFs. For the 12-month period ended July 31, 2016, U.S. Equity funds/ETFs reported net outflows totaling over $47 billion, according to data from Morningstar. Investors continue to favor passive funds over actively managed funds. Passive U.S. Equity funds/ETFs reported net inflows totaling $163.6 billion, compared to net outflows totaling $211.0 billion for actively managed U.S. Equity funds/ETFs. For the 12-month period ended July 2016, Morningstar reported the following net flows for these nine Style/Market Cap fund categories: $51.2 billion (Large Blend); $1.1 billion (Large Value); -$58.8 billion (Large Growth); -$2.2 billion (Mid-Cap Blend); -$6.4 billion (Mid-Cap Value); -$20.3 billion (Mid-Cap Growth); -$0.4 billion (Small Blend); $2.6 billion (Small Value); and -$14.4 billion (Small Growth). Slow and steady appears to be winning the race, in our opinion. Despite the moderate pace of economic growth since the previous recession ended in 2009, the current bull market in stocks is the second-longest in U.S. history at 2,701 days through July, as measured by the S&P 500(R) Index, according to Bespoke Investment Group. From March 9, 2009 to July 29, 2016, the S&P 500(R) Index posted a cumulative total return of 275.51%, according Bloomberg. From 2009 to 2015, the S&P 500(R) Index increased its annual earnings from $58.15 to $109.32, according to Bloomberg. Currently, Bloomberg's consensus estimates for 2016 and 2017 are $117.73 and $133.11, respectively. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) From the beginning of the period covered by this report until April 8, 2016, the First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Core Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FEX." The Fund commenced trading on May 9, 2007. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 3.59% 12.03% 6.22% 76.51% 74.58% Market Price 3.53% 12.05% 6.22% 76.63% 74.61% INDEX PERFORMANCE Defined Large Cap Core Index(1) 4.13% 12.79% 6.98% 82.50% 86.43% Nasdaq AlphaDEX(R) Large Cap Core Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(2) N/A N/A N/A N/A N/A S&P 500(R) Index 5.61% 13.38% 6.31% 87.36% 75.97% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Large Cap Core Index was replaced with the Nasdaq AlphaDEX(R) Large Cap Core Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns from April 8, 2016 through July 31, 2016 were 7.33% and 7.38% at NAV and Market Price, respectively. That compares to an Index return of 7.54% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FEX's one-year net asset value ("NAV") return of 3.59% underperformed the benchmark S&P 500(R) Index return of 5.61% by -2.02%. The Utilities sector was the leading contributing sector during the period with a 1.9% contribution, 24.2% return, and 8.4% average weighting. The Gas Utilities industry had an impressive 51.9% return, but was limited to a 0.2% contribution due to its small allocation of 0.4%. The Consumer Discretionary sector was given the highest weighting during the period at 19%, and due to its -3.6% return, contributed -1.1% to the Fund's return. Amongst the Consumer Discretionary sector, securities held within the Multiline Retail industry such as Kohls Co., Macy's Inc., and Nordstrom, Inc. had a -21.9% return and contributed -0.4% to the Fund's return. On a relative basis the Fund underperformed the benchmark primarily due to the Consumer Discretionary sector where the Fund was overweight the sector by 6.2% and underperformed by -7.1%, creating -1.7% of relative underperformance. The Financials sector, the second highest weighted sector during the period at 15.2%, reversed 1.3% of underperformance by outperforming the benchmark by 4.9%. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 22.72% Consumer Discretionary 16.89 Information Technology 13.40 Industrials 12.79 Health Care 8.81 Consumer Staples 7.46 Utilities 7.35 Energy 4.02 Materials 3.99 Telecommunication Services 2.57 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- American Airlines Group, Inc. 0.54% Gap (The), Inc. 0.52 NVIDIA Corp. 0.52 WhiteWave Foods (The) Co. 0.50 Hewlett Packard Enterprise Co. 0.49 Edwards Lifesciences Corp. 0.49 United Continental Holdings, Inc. 0.49 BorgWarner, Inc. 0.48 Lear Corp. 0.48 General Motors Co. 0.48 ------- Total 4.99% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Large Cap Core Defined Large Cap S&P 500(R) AlphaDEX(R) Fund Core Index Index 5/8/07 $10,000 $10,000 $10,000 7/31/07 9,560 9,579 9,690 1/31/08 9,022 9,071 9,271 7/31/08 8,304 8,383 8,615 1/31/09 5,325 5,398 5,690 7/31/09 6,711 6,830 6,896 1/31/10 7,618 7,783 7,576 7/31/10 8,205 8,410 7,850 1/31/11 9,765 10,049 9,257 7/31/11 9,891 10,216 9,393 1/31/12 9,963 10,335 9,647 7/31/12 10,109 10,520 10,250 1/31/13 11,623 12,141 11,266 7/31/13 13,283 13,921 12,813 1/31/14 14,276 15,018 13,690 7/31/14 15,651 16,520 14,983 1/31/15 16,264 17,222 15,637 7/31/15 16,852 17,904 16,662 1/31/16 15,087 16,079 15,534 7/31/16 17,457 18,644 17,598
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 190 2 0 0 8/1/12 - 7/31/13 149 0 0 0 8/1/13 - 7/31/14 236 0 0 0 8/1/14 - 7/31/15 201 0 0 0 8/1/15 - 7/31/16 148 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 61 0 0 0 8/1/12 - 7/31/13 101 0 0 0 8/1/13 - 7/31/14 16 0 0 0 8/1/14 - 7/31/15 51 0 0 0 8/1/15 - 7/31/16 103 0 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) From the beginning of the period covered by this report until April 8, 2016, the First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Core Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNX." The Fund commenced trading on May 9, 2007. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
---------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ---------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 0.76% 10.03% 7.11% 61.25% 88.55% Market Price 0.76% 10.04% 7.11% 61.34% 88.55% INDEX PERFORMANCE Defined Mid Cap Core Index(1) 2.17% 10.95% 7.97% 68.11% 102.93% Nasdaq AlphaDEX(R) Mid Cap Core Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US 600 Mid Cap Index(2) N/A N/A N/A N/A N/A S&P MidCap 400(R) Index 5.53% 12.28% 7.85% 78.48% 100.92% ----------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mid Cap Core Index was replaced with the Nasdaq AlphaDEX(R) Mid Cap Core Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 8.40% and 8.39% at NAV and Market Price, respectively. That compares to an Index return of 8.59% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FNX's one-year NAV return of 0.76% underperformed the benchmark S&P MidCap 400(R) Index return of 5.53% by -4.77%. The Financials sector contributed the most during the period to the Fund's return, with a 2.5% contribution stemming from its high 21.8% allocation and 6.6% return. Amongst this sector, the Real Estate Investment Trust ("REIT") industry contributed 2.8% to the Fund's return. REITs had a return of 29.8% during the period. The Energy sector was the Fund's worst performing sector with a -29.3% return, contributing -3.1% to the Fund's return, and given an average allocation of 6.4% during the period. The two industries within the Energy sector, the Oil Gas & Consumable Fuels and the Energy Equipment & Services contributed -1.9% and -1.2%, respectively, to the Fund's return. On a relative basis the Fund underperformed the benchmark. The Energy sector caused -1.4% of the underperformance by allocating 2.8% more of the Fund's weighting to the -29.3% returning sector. Several securities contributed to this sectors underperformance including Atwood Oceanics, Inc. (-0.40%), SM Energy Co. (-0.30%), and Western Refining, Inc. (-0.20%). The Utilities sector, which was the top returning sector during the period at 31.0%, reversed 0.6% of underperformance as the Fund was slightly overweight the benchmark by 0.6%. Most securities held within the sector contributed to the outperformance as they were given slightly higher allocations than the benchmark. Page 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 29.35% Industrials 18.50 Consumer Discretionary 15.82 Information Technology 12.26 Health Care 7.68 Materials 4.75 Energy 3.58 Utilities 3.51 Consumer Staples 3.24 Telecommunication Services 1.31 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Hertz Global Holdings, Inc. 0.93% Penske Automotive Group, Inc. 0.44 Cirrus Logic, Inc. 0.44 Trinity Industries, Inc. 0.44 Radian Group, Inc. 0.43 MGIC Investment Corp. 0.42 LaSalle Hotel Properties 0.41 GameStop Corp., Class A 0.41 Popular, Inc. 0.40 Burlington Stores, Inc. 0.40 ------- Total 4.72% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Mid Cap Core Defined Mid Cap S&P MidCap AlphaDEX(R) Fund Core Index 400(R) Index 5/8/07 $10,000 $10,000 $10,000 7/31/07 9,527 9,540 9,615 1/31/08 8,872 8,911 9,091 7/31/08 8,812 8,889 9,138 1/31/09 5,561 5,625 5,731 7/31/09 7,453 7,576 7,288 1/31/10 8,498 8,674 8,215 7/31/10 9,236 9,464 8,951 1/31/11 11,339 11,665 10,964 7/31/11 11,693 12,072 11,256 1/31/12 11,880 12,312 11,260 7/31/12 11,771 12,248 11,391 1/31/13 13,743 14,352 13,350 7/31/13 15,621 16,365 15,152 1/31/14 17,060 17,932 16,269 7/31/14 17,728 18,701 17,103 1/31/15 18,033 19,086 18,039 7/31/15 18,711 19,861 19,034 1/31/16 16,103 17,142 16,830 7/31/16 18,853 20,291 20,087
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 151 0 0 0 8/1/12 - 7/31/13 177 0 0 0 8/1/13 - 7/31/14 214 0 0 0 8/1/14 - 7/31/15 176 0 0 0 8/1/15 - 7/31/16 138 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 102 0 0 0 8/1/12 - 7/31/13 73 0 0 0 8/1/13 - 7/31/14 38 0 0 0 8/1/14 - 7/31/15 76 0 0 0 8/1/15 - 7/31/16 113 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) From the beginning of the period covered by this report until April 8, 2016, the First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Core Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYX." The Fund commenced trading on May 9, 2007. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 2.20% 10.36% 6.00% 63.71% 71.23% Market Price 2.20% 10.36% 5.99% 63.72% 71.13% INDEX PERFORMANCE Defined Small Cap Core Index(1) 1.46% 10.83% 6.66% 67.20% 81.33% Nasdaq AlphaDEX(R) Small Cap Core Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US 700 Small Cap Index(2) N/A N/A N/A N/A N/A S&P SmallCap 600(R) Index 5.96% 13.05% 7.43% 84.63% 93.75% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Small Cap Core Index was replaced with the Nasdaq AlphaDEX(R) Small Cap Core Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 12.13% and 12.33% at NAV and Market Price, respectively. That compares to an Index return of 12.33% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FYX's one-year NAV return of 2.20% underperformed the benchmark S&P SmallCap 600(R) Index return of 5.96% by -3.76%. The Information Technology sector contributed the most to the Fund's return during the period with a 2.8% contribution. This sector had a 16.2% allocation and 19.5% return. Within the Information Technology sector, the Diversified Telecommunication Services industry had an impressive 57.9% return. The Energy sector contributed -3.8% to the Fund's return as a result of the Fund allocating 4.9% to the -37.8% returning sector. The Energy Equipment & Services industry, in particular, returned -46.7% and contributed -2.3% to the Fund's return. On a relative basis the Fund underperformed the benchmark primarily due to the Energy sector. This sector had a -7.5% lower return during the period and was given a 2.0% greater allocation. It was the Energy Equipment & Services industry that created the most underperformance within the Energy sector, creating -1.6% drag from its -19.1% lower return, relative to the benchmark. The Financials and Information Technology sectors each reversed about 0.34% of drag by outperforming the benchmark. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 24.04% Industrials 18.25 Consumer Discretionary 16.30 Information Technology 16.24 Health Care 9.90 Materials 4.77 Consumer Staples 3.89 Energy 2.59 Utilities 2.55 Telecommunication Services 1.47 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Advanced Micro Devices, Inc. 0.40% CBL & Associates Properties, Inc. 0.39 DigitalGlobe, Inc. 0.38 Gigamon, Inc. 0.37 DeVry Education Group, Inc. 0.37 Navigant Consulting, Inc. 0.36 MaxLinear, Inc., Class A 0.36 TrueBlue, Inc. 0.35 Exelixis, Inc. 0.35 Universal Forest Products, Inc. 0.35 ------- Total 3.68% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Small Cap Core Defined Small Cap S&P SmallCap AlphaDEX(R) Fund Core Index 600(R) Index 5/8/07 $10,000 $10,000 $10,000 7/31/07 9,433 9,454 9,535 1/31/08 8,476 8,534 8,771 7/31/08 8,288 8,382 8,746 1/31/09 5,043 5,124 5,550 7/31/09 6,981 7,125 7,060 1/31/10 7,805 8,001 7,712 7/31/10 8,421 8,667 8,414 1/31/11 10,106 10,442 10,097 7/31/11 10,460 10,846 10,494 1/31/12 10,881 11,315 10,855 7/31/12 10,608 11,080 10,914 1/31/13 12,343 12,944 12,533 7/31/13 14,489 15,241 14,707 1/31/14 15,900 16,802 16,098 7/31/14 15,888 16,844 16,333 1/31/15 16,261 17,300 17,089 7/31/15 16,755 17,873 18,288 1/31/16 14,334 15,335 16,288 7/31/16 17,124 18,134 19,377
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 146 0 0 0 8/1/12 - 7/31/13 190 0 0 0 8/1/13 - 7/31/14 184 1 0 0 8/1/14 - 7/31/15 189 0 0 0 8/1/15 - 7/31/16 94 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 106 1 0 0 8/1/12 - 7/31/13 60 0 0 0 8/1/13 - 7/31/14 67 0 0 0 8/1/14 - 7/31/15 63 0 0 0 8/1/15 - 7/31/16 157 0 0 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) From the beginning of the period covered by this report until April 8, 2016, the First Trust Large Cap Value AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Value Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FTA." The Fund commenced trading on May 9, 2007. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Value Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 2.94% 11.00% 5.51% 68.49% 64.02% Market Price 2.94% 11.00% 5.51% 68.49% 64.01% INDEX PERFORMANCE Defined Large Cap Value Index(1) 4.12% 11.90% 6.36% 75.46% 76.72% Nasdaq AlphaDEX(R) Large Cap Value Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Value Index(2) N/A N/A N/A N/A N/A S&P 500(R) Index 5.61% 13.38% 6.31% 87.36% 75.97% S&P 500(R) Value Index 5.79% 12.59% 4.30% 80.91% 47.50% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Large Cap Value Index was replaced with the Nasdaq AlphaDEX(R) Large Cap Value Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 6.78% and 6.74% at NAV and Market Price, respectively. That compares to an Index return of 6.99% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FTA's one-year NAV return of 2.94% underperformed the benchmark S&P 500(R) Value Index return of 5.79% by -2.85%. The Energy sector contributed -1.9% to the Fund's return during the period as it had a -9.8% return and 12.3% allocation. The Oil Gas & Consumables industry contributed -1.2% of the -1.9% due to the fact that the Fund had a return of -8.6% and 9.5% allocation within the industry. The Utilities sector was by far the leading sector in terms of contribution. The Utilities sector contributed 2.9% as a result of the Fund's 23.5% return and 13.5% allocation. The Multi-Utilities and Electric Utilities industries each accounted for about 1.5% of contribution. On a relative basis, the Fund underperformed the benchmark. The Energy sector accounted for -2.3% of the underperformance due to the Fund having a -17.1% worse relative return. Several securities contributed to the sectors underperformance, including Southwestern Energy Co. (-0.4% of underperformance), Exxon Mobil Corp. (-0.38%), and HollyFrontier Co., (-0.28%). The Financials sector reversed close to 2.1% of underperformance within the Banking industry by underweighting the benchmark by 5.3% and outperforming the benchmark by 1.8%. Wells Fargo & Co., Citigroup Inc., and Bank of America Co. were the three largest contributors to the outperformance, each creating about 0.5% outperformance. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 27.96% Consumer Discretionary 18.52 Industrials 11.90 Information Technology 10.96 Utilities 8.90 Energy 6.82 Health Care 3.93 Materials 3.85 Consumer Staples 3.78 Telecommunication Services 3.38 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- American Airlines Group, Inc. 1.07% Gap (The), Inc. 1.04 Hewlett Packard Enterprise Co. 0.98 United Continental Holdings, Inc. 0.98 BorgWarner, Inc. 0.96 Lear Corp. 0.95 General Motors Co. 0.95 Bunge Ltd. 0.95 Best Buy Co., Inc. 0.94 Kohl's Corp. 0.94 ------- Total 9.76% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Large Cap Value Defined Large Cap S&P 500(R) S&P 500(R) AlphaDEX(R) Fund Value Index Index Value Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 9,450 9,462 9,690 9,586 1/31/08 8,821 8,870 9,271 9,148 7/31/08 7,858 7,933 8,615 8,066 1/31/09 4,993 5,064 5,690 5,060 7/31/09 6,661 6,790 6,896 6,157 1/31/10 7,765 7,947 7,576 6,840 7/31/10 8,228 8,447 7,850 7,079 1/31/11 9,688 9,988 9,257 8,294 7/31/11 9,733 10,072 9,393 8,153 1/31/12 10,072 10,465 9,647 8,388 7/31/12 10,216 10,655 10,250 8,784 1/31/13 11,957 12,519 11,266 10,021 7/31/13 13,602 14,296 12,813 11,446 1/31/14 14,364 15,152 13,690 11,922 7/31/14 15,977 16,912 14,983 13,081 1/31/15 16,113 17,110 15,637 13,335 7/31/15 15,931 16,973 16,662 13,944 1/31/16 14,030 14,993 15,534 12,856 7/31/16 16,398 17,673 17,598 14,750
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 193 0 0 0 8/1/12 - 7/31/13 201 0 0 0 8/1/13 - 7/31/14 231 0 0 0 8/1/14 - 7/31/15 197 0 0 0 8/1/15 - 7/31/16 115 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 60 0 0 0 8/1/12 - 7/31/13 49 0 0 0 8/1/13 - 7/31/14 21 0 0 0 8/1/14 - 7/31/15 55 0 0 0 8/1/15 - 7/31/16 136 0 0 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) From the beginning of the period covered by this report until April 8, 2016, the First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Growth Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FTC." The Fund commenced trading on May 9, 2007. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Growth Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 3.96% 12.81% 6.73% 82.70% 82.43% Market Price 3.86% 12.81% 6.73% 82.72% 82.39% INDEX PERFORMANCE Defined Large Cap Growth Index(1) 4.56% 13.58% 7.49% 89.04% 94.86% Nasdaq AlphaDEX(R) Large Cap Growth Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Growth Index(2) N/A N/A N/A N/A N/A S&P 500(R) Index 5.61% 13.38% 6.31% 87.36% 75.97% S&P 500(R) Growth Index 5.28% 14.08% 8.23% 93.23% 107.54% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Large Cap Growth Index was replaced with the Nasdaq AlphaDEX(R) Large Cap Growth Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 7.26% and 7.31% at NAV and Market Price, respectively. That compares to an Index return of 7.47% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FTC's one-year NAV return of 3.96% underperformed the benchmark S&P 500(R) Growth Index return of 5.28% by -1.32%. The Information Technology sector was the leading contributing sector with a 2.1% contribution. This sector was given the second highest weighting of 18.8% and had a return of 10.8%. NVIDIA Corp. notably had 190.3% return during the period and contributed 1.0%. The Health Care sector, the third highest weighted sector at 15.7%, was the worst contributing sector with a return of -1.8%, causing a -2.3% contribution. The Health Care Providers & Services industry contributed -1.3%, containing securities such as Tenet Healthcare Co. (-32.1% return), HCA Holdings, Inc. (-32.4% return), and AmerisourceBergen Co. (-17.2% return). On a relative basis, the Fund underperformed the benchmark primarily due to the Fund having a 4.6% greater allocation and -6.2% lower relative return within the Consumer Discretionary sector, causing -1.7% of underperformance. Amazon.com, Inc., held within the Consumer Discretionary sector, was held at a 1.6% lower weighting relative to the benchmark throughout the period, which created -0.5% of underperformance. The Energy sector, which made up a small portion of the Fund throughout the period at 0.7%, reversed 0.9% of underperformance by having a notable 36.6% higher return than the benchmark. Cameron International Co., within the Energy sector, in particular, had a 38.4% higher return than the benchmark. Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 17.77% Financials 16.62 Health Care 14.67 Consumer Discretionary 14.13 Consumer Staples 12.86 Industrials 12.84 Utilities 4.64 Materials 3.59 Telecommunication Services 1.81 Energy 1.07 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- NVIDIA Corp. 1.06% WhiteWave Foods (The) Co. 1.03 Edwards Lifesciences Corp. 1.00 Prologis, Inc. 0.97 Tyson Foods, Inc., Class A 0.96 Applied Materials, Inc. 0.96 Cintas Corp. 0.96 Ulta Salon, Cosmetics & Fragrance, Inc. 0.94 T-Mobile US, Inc. 0.94 Amazon.com, Inc. 0.93 ------- Total 9.75% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Large Cap Growth Defined Large Cap S&P 500(R) S&P 500(R) AlphaDEX(R) Fund Growth Index Index Growth Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 9,740 9,757 9,690 9,802 1/31/08 9,341 9,388 9,271 9,410 7/31/08 8,900 8,982 8,615 9,185 1/31/09 5,737 5,807 5,690 6,357 7/31/09 6,730 6,840 6,896 7,675 1/31/10 7,373 7,518 7,576 8,341 7/31/10 8,090 8,282 7,850 8,651 1/31/11 9,790 10,064 9,257 10,272 7/31/11 9,985 10,309 9,393 10,740 1/31/12 9,674 10,028 9,647 11,023 7/31/12 9,797 10,191 10,250 11,854 1/31/13 10,970 11,446 11,266 12,612 7/31/13 12,582 13,178 12,813 14,284 1/31/14 13,817 14,525 13,690 15,633 7/31/14 14,957 15,778 14,983 17,068 1/31/15 16,060 16,999 15,637 18,198 7/31/15 17,549 18,638 16,662 19,712 1/31/16 16,078 17,130 15,534 18,545 7/31/16 18,245 19,487 17,598 20,753
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 153 0 0 0 8/1/12 - 7/31/13 102 0 0 0 8/1/13 - 7/31/14 206 0 0 0 8/1/14 - 7/31/15 206 0 0 0 8/1/15 - 7/31/16 182 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 100 0 0 0 8/1/12 - 7/31/13 148 0 0 0 8/1/13 - 7/31/14 46 0 0 0 8/1/14 - 7/31/15 46 0 0 0 8/1/15 - 7/31/16 69 0 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) From the beginning of the period covered by this report until April 8, 2016, the First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Value Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FAB." The Fund commenced trading on May 9, 2007. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select value stocks from the Nasdaq US 500 Large Cap Index, Nasdaq US 600 Mid Cap Index and Nasdaq US 700 Small Cap Index (together the "Nasdaq US Multi Cap Value Index") that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 1.98% 10.47% 5.93% 64.50% 70.16% Market Price 2.05% 10.48% 5.93% 64.63% 70.11% INDEX PERFORMANCE Defined Multi Cap Value Index(1) 2.96% 11.37% 6.79% 71.34% 83.45% Nasdaq AlphaDEX(R) Multi Cap Value Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US Multi Cap Value Index(2) N/A N/A N/A N/A N/A S&P Composite 1500(R) Index 5.60% 13.28% 6.48% 86.52% 78.52% S&P Composite 1500(R) Value Index 6.03% 12.61% 4.59% 81.10% 51.30% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Multi Cap Value Index was replaced with the Nasdaq AlphaDEX(R) Multi Cap Value Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 8.04% and 8.31% at NAV and Market Price, respectively. That compares to an Index return of 8.28% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FAB's one-year NAV return of 1.98% underperformed the benchmark S&P Composite 1500(R) Value Index return of 6.03% by -4.05%. The Utilities sector contributed the most to the Fund's return, with a 2.5% contribution, coming from the sector's 27.7% return and 10.0% allocation. Electric Utilities were the cause of 1.2% of the Fund's return. This industry had a 5.3% allocation and 25.3% return. The Energy sector contributed -3.9% to the Fund's return as it returned -21.9% and was given an allocation of 11%. On a relative basis, the Fund underperformed the benchmark. The Energy sector contributed the most to the relative underperformance. The Fund and benchmark each had an allocation of about 11%, but the Fund had a -26.8% lower return than the benchmark. The return difference is attributable to the Energy Equipment & Services and Oil Gas & Consumable Fuels industries, having -20.4% and -26.8% lower returns than the benchmark, respectively. The Financials sector reversed 2.6% of underperformance as the Fund was underweight the benchmark in this relatively poor performing sector (0.4% return) by 4.9%. The Banking industry, in particular, was the cause of 1.9% of the outperformance as the Fund underweighted the benchmark by 5.3% and outperformed the benchmark by 6.9%. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 27.88% Consumer Discretionary 19.12 Industrials 16.93 Information Technology 10.86 Utilities 5.96 Energy 5.55 Materials 5.01 Health Care 3.28 Consumer Staples 3.00 Telecommunication Services 2.41 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Hertz Global Holdings, Inc. 0.55% American Airlines Group, Inc. 0.53 Gap (The), Inc. 0.52 Hewlett Packard Enterprise Co. 0.49 United Continental Holdings, Inc. 0.49 BorgWarner, Inc. 0.48 Lear Corp. 0.47 General Motors Co. 0.47 Bunge Ltd. 0.47 Best Buy Co., Inc. 0.47 ------- Total 4.94% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Multi Cap Value Defined Multi Cap S&P Composite S&P Composite 1500(R) AlphaDEX(R) Fund Value Index 1500(R) Index Value Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 9,317 9,334 9,678 9,567 1/31/08 8,603 8,655 9,241 9,092 7/31/08 7,870 7,948 8,661 8,123 1/31/09 4,973 5,045 5,446 5,336 7/31/09 6,964 7,099 6,931 6,238 1/31/10 8,086 8,275 7,629 6,942 7/31/10 8,611 8,845 7,953 7,218 1/31/11 10,279 10,602 9,414 8,479 7/31/11 10,345 10,707 9,571 8,355 1/31/12 10,799 11,224 9,811 8,592 7/31/12 10,720 11,185 10,362 8,955 1/31/13 12,639 13,242 11,467 10,254 7/31/13 14,571 15,324 13,054 11,730 1/31/14 15,610 16,484 13,966 12,266 7/31/14 16,812 17,824 15,195 13,398 1/31/15 16,811 17,890 15,875 13,675 7/31/15 16,688 17,822 16,905 14,271 1/31/16 14,408 15,444 15,674 13,108 7/31/16 17,018 18,351 17,851 15,131
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 141 0 0 0 8/1/12 - 7/31/13 165 1 0 0 8/1/13 - 7/31/14 224 0 0 0 8/1/14 - 7/31/15 132 0 0 0 8/1/15 - 7/31/16 109 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 111 1 0 0 8/1/12 - 7/31/13 84 0 0 0 8/1/13 - 7/31/14 28 0 0 0 8/1/14 - 7/31/15 120 0 0 0 8/1/15 - 7/31/16 142 0 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) From the beginning of the period covered by this report until April 8, 2016, the First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Growth Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FAD." The Fund commenced trading on May 9, 2007. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select growth stocks from the Nasdaq US 500 Large Cap Index, Nasdaq US 600 Mid Cap Index and Nasdaq US 700 Small Cap Index (together the "Nasdaq US Multi Cap Growth Index") that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/8/07) Ended (5/8/07) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 2.66% 11.54% 6.82% 72.66% 83.79% Market Price 2.60% 11.54% 6.81% 72.68% 83.75% INDEX PERFORMANCE Defined Multi Cap Growth Index(1) 3.55% 12.42% 7.65% 79.60% 97.51% Nasdaq AlphaDEX(R) Multi Cap Growth Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US Multi Cap Growth Index(2) N/A N/A N/A N/A N/A S&P Composite 1500(R) Index 5.60% 13.28% 6.48% 86.52% 78.52% S&P Composite 1500(R) Growth Index 5.06% 13.87% 8.30% 91.43% 108.81% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Multi Cap Growth Index was replaced with the Nasdaq AlphaDEX(R) Multi Cap Growth Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 8.67% and 8.89% at NAV and Market Price, respectively. That compares to an Index return of 8.91% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FAD's one-year NAV return of 2.66% underperformed the benchmark S&P Composite 1500(R) Growth Index return of 5.06% by -2.40%. The Financials sector contributed the most to the Fund's return with a 2.3% contribution. This sector had a 9.1% return and was given the third highest allocation amongst the various sectors at 16.1%. The REIT industry, in particular, contributed 2.8% to the Fund's return due to its 32.5% return and 7.6% allocation. The Health Care sector posted the worst return during the period at -4.2%, and due to its high allocation of 16.3%, the sector contributed -2.1% to the Fund's return. The Pharmaceuticals industry in particular had a -28.2% return and -1.1% relative contribution. On a relative basis, the Fund underperformed the benchmark primarily due to the Consumer Discretionary sector. Within this sector, -1.8% of drag was created by having a 1.9% higher weighting than the benchmark and a -6.8% lower return. Securities within the Internet & Catalog Retail industry, such as Amazon.com, Inc., which had a 41.5% return, caused -0.8% of drag as the Fund was underweight the benchmark. The Energy sector reversed 0.9% of underperformance as the Fund outperformed the benchmark by 41.8%. Several securities contributed to this outperformance including Rice Energy, Inc., which had a 59.6% return, and Parsley Energy, Inc., Class A, which had a 25.1% return. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 22.11% Information Technology 18.15 Health Care 15.27 Consumer Discretionary 13.15 Industrials 12.52 Consumer Staples 8.86 Utilities 3.83 Materials 3.05 Telecommunication Services 1.58 Energy 1.48 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- NVIDIA Corp. 0.53% WhiteWave Foods (The) Co. 0.51 Edwards Lifesciences Corp. 0.50 Prologis, Inc. 0.48 Tyson Foods, Inc., Class A 0.48 Applied Materials, Inc. 0.48 Cintas Corp. 0.47 Ulta Salon, Cosmetics & Fragrance, Inc. 0.46 T-Mobile US, Inc. 0.46 TransDigm Group, Inc. 0.46 ------- Total 4.83% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 8, 2007 - JULY 31, 2016 First Trust Multi Cap Growth Defined Multi Cap S&P Composite S&P Composite 1500(R) AlphaDEX(R) Fund Growth Index 1500(R) Index Growth Index 5/8/07 $10,000 $10,000 $10,000 $10,000 7/31/07 9,797 9,818 9,678 9,796 1/31/08 9,217 9,265 9,241 9,396 7/31/08 9,224 9,309 8,661 9,223 1/31/09 5,782 5,854 5,689 6,307 7/31/09 6,961 7,078 6,931 7,669 1/31/10 7,641 7,801 7,629 8,350 7/31/10 8,399 8,608 7,953 8,725 1/31/11 10,221 10,518 9,414 10,412 7/31/11 10,644 10,997 9,571 10,907 1/31/12 10,438 10,827 9,811 11,155 7/31/12 10,528 10,963 10,362 11,916 1/31/13 11,853 12,387 11,467 12,794 7/31/13 13,476 14,136 13,054 14,496 1/31/14 14,858 15,648 13,966 15,849 7/31/14 15,448 16,332 15,195 17,180 1/31/15 16,440 17,449 15,875 18,331 7/31/15 17,901 19,072 16,905 19,873 1/31/16 16,034 17,153 15,674 18,571 7/31/16 18,377 19,750 17,851 20,879
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 156 0 0 0 8/1/12 - 7/31/13 111 0 0 0 8/1/13 - 7/31/14 196 0 0 0 8/1/14 - 7/31/15 162 0 0 0 8/1/15 - 7/31/16 106 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 97 0 0 0 8/1/12 - 7/31/13 139 0 0 0 8/1/13 - 7/31/14 56 0 0 0 8/1/14 - 7/31/15 90 0 0 0 8/1/15 - 7/31/16 145 0 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) From the beginning of the period covered by this report until April 8, 2016, the First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Value Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNK." The Fund commenced trading on April 20, 2011. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select value stocks from the Nasdaq US 600 Mid Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (4/19/11) Ended (4/19/11) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 1.22% 10.05% 8.70% 61.45% 55.40% Market Price 1.29% 10.03% 8.70% 61.28% 55.40% INDEX PERFORMANCE Defined Mid Cap Value Index(1) 2.45% 10.96% 9.60% 68.24% 62.30% Nasdaq AlphaDEX(R) Mid Cap Value Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US 600 Mid Cap Value Index(2) N/A N/A N/A N/A N/A S&P MidCap 400(R) Value Index 7.81% 12.76% 11.14% 82.33% 74.70% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mid Cap Value Index was replaced with the Nasdaq AlphaDEX(R) Mid Cap Value Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 7.93% and 8.11% at NAV and Market Price, respectively. That compares to an Index return of 8.16% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FNK's one-year NAV return of 1.22% underperformed the benchmark S&P MidCap 400(R) Value Index return of 7.81% by -6.59%. The Utilities and Financials sectors each contributed about 2.4% to the Fund's return. The Utilities sector had a high contribution due to its 34.0% return during the period, the highest return amongst the sectors during the period. The Financials sector had a high contribution due to its high allocation of 22.2%, the highest allocation amongst the sectors during the period. The REIT industry in particular, within the Financials sector, contributed 1.5% alone to the Fund's return from its 4.4% allocation and 15.2% return. On a relative basis, the Fund underperformed the benchmark. The Energy sector caused -2.3% of underperformance as the Fund was overweight the benchmark by 3.8% and underperformed the benchmark by -4.0%. Both of the industries within the Energy sector, the Energy Equipment & Services and Oil Gas & Consumable Fuels industries, contributed about -1.15% to the Fund's return. The Utilities sector reversed 0.6% of underperformance as the Fund outperformed the benchmark by 3.2%. Electric Utilities accounted for nearly half of the Utilities sector's outperformance by having a 3.5% higher return than the benchmark. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 30.51% Industrials 21.82 Consumer Discretionary 18.40 Information Technology 9.37 Materials 6.08 Energy 4.59 Utilities 3.41 Health Care 2.58 Telecommunication Services 2.03 Consumer Staples 1.21 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Hertz Global Holdings, Inc. 1.83% Trinity Industries, Inc. 0.87 Radian Group, Inc. 0.86 MGIC Investment Corp. 0.84 LaSalle Hotel Properties 0.81 GameStop Corp., Class A 0.81 Popular, Inc. 0.80 American Eagle Outfitters, Inc. 0.78 Jones Lang LaSalle, Inc. 0.78 Rackspace Hosting, Inc. 0.78 ------- Total 9.16% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2016 First Trust Mid Cap Value Defined Mid Cap S&P MidCap 400(R) AlphaDEX(R) Fund Value Index Value Index 4/19/11 $10,000 $10,000 $10,000 7/31/11 9,625 9,646 9,581 1/31/12 9,982 10,041 9,720 7/31/12 9,935 10,036 9,869 1/31/13 11,765 11,928 11,640 7/31/13 13,549 13,787 13,358 1/31/14 14,657 14,977 14,305 7/31/14 15,487 15,880 15,311 1/31/15 15,205 15,640 15,816 7/31/15 15,351 15,837 16,204 1/31/16 13,091 13,549 14,376 7/31/16 15,539 16,226 17,468
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 198 0 0 0 8/1/12 - 7/31/13 157 2 0 0 8/1/13 - 7/31/14 211 1 0 0 8/1/14 - 7/31/15 188 0 0 0 8/1/15 - 7/31/16 140 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 55 0 0 0 8/1/12 - 7/31/13 91 0 0 0 8/1/13 - 7/31/14 40 0 0 0 8/1/14 - 7/31/15 64 0 0 0 8/1/15 - 7/31/16 111 0 0 0 Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) From the beginning of the period covered by this report until April 8, 2016, the First Trust Mid Cap Growth AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Growth Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNY." The Fund commenced trading on April 20, 2011. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select growth stocks from the Nasdaq US 600 Mid Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (4/19/11) Ended (4/19/11) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 0.03% 9.77% 8.98% 59.41% 57.51% Market Price -0.10% 9.73% 8.96% 59.09% 57.36% INDEX PERFORMANCE Defined Mid Cap Growth Index(1) 2.27% 10.93% 10.12% 68.01% 66.38% Nasdaq AlphaDEX(R) Mid Cap Growth Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US 600 Mid Cap Growth Index(2) N/A N/A N/A N/A N/A S&P MidCap 400(R) Growth Index 3.32% 11.74% 10.89% 74.24% 72.67% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mid Cap Growth Index was replaced with the Nasdaq AlphaDEX(R) Mid Cap Growth Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 8.57% and 8.43% at NAV and Market Price, respectively. That compares to an Index return of 8.79% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FNY's one-year NAV return of 0.03% underperformed the benchmark S&P MidCap 400(R) Growth Index return of 3.32% by -3.29%. The Financials sector contributed the most during the period to the Fund's return, with a 2.9% contribution stemming from its high 21.8% allocation and 8.1% return. Amongst this sector, the REIT industry contributed 4.7% to the Fund's return. REITs had a return of 38.9% during the period. The Consumer Discretionary sector was the Fund's third highest weighted sector during the period at 17.8% and the Fund's worst contributing sector with a -2.7% contribution, stemming from its -5.8% return. The Hotels Restaurants & Leisure industry in particular contributed -1.1% to the Fund's return due to its higher weighting of 5.1% and return of -4.4%. On a relative basis, the Fund underperformed the benchmark. The underperformance can be attributed primarily to the Health Care sector, which was given a 13.9% allocation during the period, where the Fund underperformed the benchmark by -10.1%, creating -1.8% of drag. The Life Sciences Tools & Services industry, within the Health Care sector, was the cause of -0.8% of the underperformance. The Industrials sector, which was given a weighting of 11.1% during the period, reversed close to 1.1% of underperformance by outperforming the benchmark by 8.1%. The Airlines industry alone, within the Industrials sector, reversed 0.5% of underperformance by underweighting the poor performing industry (-26.9% return). Page 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 28.65% Information Technology 17.59 Health Care 14.01 Consumer Discretionary 13.52 Industrials 11.88 Consumer Staples 5.51 Utilities 3.34 Materials 2.51 Energy 2.41 Telecommunication Services 0.58 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Cirrus Logic, Inc. 0.89% Ubiquiti Networks, Inc. 0.82 Burlington Stores, Inc. 0.82 Veeva Systems, Inc., Class A 0.79 MarketAxess Holdings, Inc. 0.79 Align Technology, Inc. 0.79 Lennox International, Inc. 0.78 Pool Corp. 0.77 ABIOMED, Inc. 0.77 Douglas Emmett, Inc. 0.76 ------- Total 7.98% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2016 First Trust Mid Cap Growth Defined Mid Cap S&P MidCap 400(R) AlphaDEX(R) Fund Growth Index Growth Index 4/19/11 $10,000 $10,000 $10,000 7/31/11 9,881 9,903 9,910 1/31/12 9,804 9,866 9,779 7/31/12 9,673 9,765 9,861 1/31/13 11,050 11,201 11,485 7/31/13 12,290 12,507 12,894 1/31/14 13,612 13,902 13,883 7/31/14 13,824 14,174 14,345 1/31/15 14,646 15,076 15,414 7/31/15 15,748 16,268 16,711 1/31/16 13,744 14,256 14,724 7/31/16 15,753 16,638 17,266
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 201 1 0 0 8/1/12 - 7/31/13 169 0 0 0 8/1/13 - 7/31/14 200 0 0 0 8/1/14 - 7/31/15 192 0 0 0 8/1/15 - 7/31/16 106 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 51 0 0 0 8/1/12 - 7/31/13 81 0 0 0 8/1/13 - 7/31/14 52 0 0 0 8/1/14 - 7/31/15 60 0 0 0 8/1/15 - 7/31/16 145 0 0 0 Page 21 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) From the beginning of the period covered by this report until April 8, 2016, the First Trust Small Cap Value AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Value Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYT." The Fund commenced trading on April 20, 2011. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select value stocks from the Nasdaq US 700 Small Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (4/19/11) Ended (4/19/11) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 0.79% 9.67% 8.98% 58.64% 57.52% Market Price 0.76% 9.61% 8.97% 58.22% 57.42% INDEX PERFORMANCE Defined Small Cap Value Index(1) 0.73% 10.40% 9.72% 64.04% 63.22% Nasdaq AlphaDEX(R) Small Cap Value Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US 700 Small Cap Value Index(2) N/A N/A N/A N/A N/A S&P SmallCap 600(R) Value Index 8.95% 13.14% 12.00% 85.42% 81.96% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Small Cap Value Index was replaced with the Nasdaq AlphaDEX(R) Small Cap Value Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 11.42% and 11.43% at NAV and Market Price, respectively. That compares to an Index return of 11.67% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FYT's one-year NAV return of 0.79% underperformed the benchmark S&P SmallCap 600(R) Value Index return of 8.95% by -8.16%. Several sectors contributed equally to the Fund's return during the period including the Information Technology (2% contribution), Industrials (1.9% contribution), Financials (1.7% contribution), and Utilities (1.6% contribution) sectors. The highest weighted sector during the period was the Consumer Discretionary sector at 19.4%, but it had a near flat contribution due to its -8.4% return. The Energy sector was the worst performing and contributing sector during the period. This sector had a -40.9% return and -7.1% contribution to the Fund's return. The contribution was tampered due to its relatively low weighting of 8.5% during the period. On a relative basis, the Fund underperformed the benchmark. It was the Energy sector that contributed the most to the relative underperformance. The Fund held the Energy sector at a 4.2% greater allocation and had a -8.2% lower return, leading to -4.7% of relative underperformance. The two industries within the Energy sector, the Oil Gas & Consumable Fuels and Energy Equipment & Services industries, each contributed about -2.3% to the underperformance, each overweighting and underperforming the benchmark. The Health Care sector reversed 0.5% of drag by underweighting the benchmark by 3.8% and outperforming the benchmark by 1.5%. Page 22 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 23.71% Industrials 22.00 Consumer Discretionary 21.69 Information Technology 12.84 Materials 6.26 Energy 3.86 Consumer Staples 3.74 Health Care 2.77 Utilities 2.54 Telecommunication Services 0.59 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- DigitalGlobe, Inc. 0.76% DeVry Education Group, Inc. 0.75 Navigant Consulting, Inc. 0.73 TrueBlue, Inc. 0.71 Nelnet, Inc., Class A 0.70 Abercrombie & Fitch Co., Class A 0.70 PRA Group, Inc. 0.69 NRG Yield, Inc., Class C 0.69 Barnes Group, Inc. 0.69 Maiden Holdings Ltd. 0.69 ------- Total 7.11% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2016 First Trust Small Cap Value Defined Small Cap S&P SmallCap 600(R) AlphaDEX(R) Fund Value Index Value Index 4/19/11 $10,000 $10,000 $10,000 7/31/11 9,930 9,950 9,813 1/31/12 10,692 10,748 10,331 7/31/12 10,005 10,103 10,231 1/31/13 11,945 12,115 11,945 7/31/13 14,241 14,499 14,054 1/31/14 15,577 15,946 15,278 7/31/14 15,931 16,372 15,723 1/31/15 15,996 16,517 16,154 7/31/15 15,630 16,203 16,701 1/31/16 13,090 13,632 14,973 7/31/16 15,754 16,322 18,195
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 154 3 0 0 8/1/12 - 7/31/13 177 5 0 0 8/1/13 - 7/31/14 167 0 0 0 8/1/14 - 7/31/15 164 0 0 0 8/1/15 - 7/31/16 100 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 95 1 0 0 8/1/12 - 7/31/13 67 1 0 0 8/1/13 - 7/31/14 84 0 1 0 8/1/14 - 7/31/15 88 0 0 0 8/1/15 - 7/31/16 151 0 0 0 Page 23 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) From the beginning of the period covered by this report until April 8, 2016, the First Trust Small Cap Growth AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Growth Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYC." The Fund commenced trading on April 20, 2011. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select growth stocks from the Nasdaq US 700 Small Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (4/19/11) Ended (4/19/11) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 3.54% 10.96% 10.18% 68.20% 66.86% Market Price 3.60% 10.93% 10.18% 68.00% 66.91% INDEX PERFORMANCE Defined Small Cap Growth Index(1) 2.70% 11.49% 10.72% 72.25% 71.25% Nasdaq AlphaDEX(R) Small Cap Growth Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US 700 Small Cap Growth Index(2) N/A N/A N/A N/A N/A S&P SmallCap 600(R) Growth Index 3.27% 12.96% 12.19% 83.94% 83.61% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Small Cap Growth Index was replaced with the Nasdaq AlphaDEX(R) Small Cap Growth Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 12.48% and 12.61% at NAV and Market Price, respectively. That compares to an Index return of 12.75% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FYC's one-year NAV return of 3.54% outperformed the benchmark S&P SmallCap 600(R) Growth Index return of 3.27% by 0.27%. The Information Technology sector was the top contributing sector during the period at 3.8%. This sector had an 18.2% allocation and 19.3% return. Several industries within the Information Technology sector posted high returns during the period including Diversified Telecommunication Services (57.9%), IT Services (31.1%), and Semiconductors & Semiconductor Equipment (29.0%). The Health Care sector was the worst contributing sector during the period at -3.3%. This sector had a 21.1% allocation during the period, the highest amongst the sectors, and a -5.2% return. The Pharmaceuticals industry returned -27.4% during the period and contributed -1.6% to the Fund's return. On a relative basis, the Fund outperformed the benchmark primarily due to the Financials sector. This sector was given the second highest allocation during the period at 20.9%, 3.7% lower than the benchmark. The sector also had a 6.3% higher return than the benchmark, leading to 1.5% of relative outperformance. The Health Care sector reversed 2.5% of outperformance as the Fund was overweight the benchmark by 2.4% and underperformed by -8.1%. Page 24 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 25.83% Information Technology 19.87 Health Care 18.56 Industrials 12.72 Consumer Discretionary 10.21 Consumer Staples 4.07 Utilities 2.58 Materials 2.57 Telecommunication Services 2.50 Energy 1.09 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Advanced Micro Devices, Inc. 0.81% Gigamon, Inc. 0.76 Five Prime Therapeutics, Inc. 0.74 MaxLinear, Inc., Class A 0.73 Exelixis, Inc. 0.71 Universal Forest Products, Inc. 0.70 Trinseo S.A. 0.70 Lexicon Pharmaceuticals, Inc. 0.69 Nevro Corp. 0.68 Cooper-Standard Holding, Inc. 0.67 ------- Total 7.19% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2016 First Trust Small Cap Growth Defined Small Cap S&P SmallCap 600(R) AlphaDEX(R) Fund Growth Index Growth Index 4/19/11 $10,000 $10,000 $10,000 7/31/11 9,920 9,942 9,982 1/31/12 9,826 9,878 10,155 7/31/12 10,157 10,253 10,362 1/31/13 11,338 11,488 11,710 7/31/13 13,014 13,244 13,710 1/31/14 14,413 14,723 15,107 7/31/14 13,992 14,362 15,093 1/31/15 14,637 15,088 16,071 7/31/15 16,115 16,676 17,778 1/31/16 14,186 14,743 15,737 7/31/16 16,685 17,126 18,361
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 145 1 0 0 8/1/12 - 7/31/13 126 3 0 0 8/1/13 - 7/31/14 164 0 0 0 8/1/14 - 7/31/15 209 0 0 0 8/1/15 - 7/31/16 141 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 105 2 0 0 8/1/12 - 7/31/13 116 5 0 0 8/1/13 - 7/31/14 87 1 0 0 8/1/14 - 7/31/15 43 0 0 0 8/1/15 - 7/31/16 110 0 0 0 Page 25 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) From the beginning of the period covered by this report until April 8, 2016, the First Trust Mega Cap AlphaDEX(R) Fund (the "Fund") sought investment results that corresponded generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mega Cap Index. Effective April 8, 2016, the Fund changed its investment objective to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mega Cap Index (the "Index"). The Fund will normally invest at least 90% of its net assets in common stocks that comprise the Index. From the beginning of the period covered by this report until April 8, 2016, the shares of the Fund traded on the NYSE Arca. Effective April 8, 2016, the shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FMK." The Fund commenced trading on May 12, 2011. The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select mega cap stocks from the Nasdaq US 500 Large Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/11/11) Ended (5/11/11) 7/31/16 7/31/16 to 7/31/16 7/31/16 to 7/31/16 FUND PERFORMANCE NAV 0.19% 8.91% 7.69% 53.21% 47.27% Market Price 0.04% 8.88% 7.67% 53.04% 47.10% INDEX PERFORMANCE Defined Mega Cap Index(1) 1.44% 9.89% 8.67% 60.27% 54.38% Nasdaq AlphaDEX(R) Mega Cap Index(2) (3) N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(2) N/A N/A N/A N/A N/A S&P 100(R) Index 5.75% 13.26% 12.14% 86.37% 81.92% -------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mega Cap Index was replaced with the Nasdaq AlphaDEX(R) Mega Cap Index. The new index is substantially similar to the old index. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for each of the entire periods. (3) The Fund's cumulative total returns for the period from April 8, 2016 through July 31, 2016 were 4.86% and 5.19% at NAV and Market Price, respectively. That compares to an Index return of 5.10% for the same period. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FMK's one-year NAV return of 0.19% underperformed the benchmark S&P 100(R) Index return of 5.75% by -5.56%. The Information Technology sector was given the greatest allocation of 22.9% and had a return of 7.5%, leading to a 1.4% contribution to the Fund's return. In the Information Technology sector, the Semiconductor & Semiconductor Equipment industry contributed 0.9%, due to its 15.6% return and 6.7% allocation. The Health Care sector deterred -3.5% of Fund performance as this sector had a -16.9% return and 11.7% allocation. The Biotechnology industry caused -1.9% of the sector's contribution. The Biotechnology industry was given an allocation of 4.1% and had a return of -28.9%. On a relative basis, the Fund underperformed the benchmark. The underperformance can be largely attributed to the Health Care sector. The Health Care sector caused -3.3% of underperformance as it had an -18.9% lower return. The Biotechnology and Pharmaceuticals industries each contributed about -1.1% of underperformance due to underperforming the benchmark by -16.1% and -23.9% respectively. The Financials sector reversed 1.7% of underperformance as the Fund was underweight the benchmark in this poor performing sector (-12.2% return) by 6.1%. The Banking industry, in particular, was the cause of 1.6% of the outperformance as the Fund underweighted the benchmark by 4.3% and outperformed the benchmark by 5.1%. Page 26 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Health Care 20.00% Consumer Discretionary 17.86 Financials 17.67 Information Technology 13.52 Consumer Staples 9.51 Industrials 6.03 Telecommunication Services 5.87 Energy 5.65 Utilities 3.89 ------- Total 100.00% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- General Motors Co. 3.64% Intel Corp. 3.47 Amazon.com, Inc. 3.46 Lockheed Martin Corp. 3.33 UnitedHealth Group, Inc. 3.31 Medtronic PLC 3.30 AT&T, Inc. 3.27 Mondelez International, Inc., Class A 3.16 Phillips 66 3.13 Gilead Sciences, Inc. 3.11 ------- Total 33.18% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 11, 2011 - JULY 31, 2016 First Trust Mega Cap Defined Mega S&P 100(R) AlphaDEX(R) Fund Cap Index Index 5/11/11 $10,000 $10,000 $10,000 7/31/11 9,612 9,632 9,761 1/31/12 9,571 9,631 10,120 7/31/12 9,248 9,349 10,960 1/31/13 10,467 10,619 11,784 7/31/13 11,969 12,192 13,341 1/31/14 12,545 12,827 14,108 7/31/14 13,829 14,201 15,520 1/31/15 13,679 14,095 15,998 7/31/15 14,699 15,217 17,202 1/31/16 13,304 13,818 16,228 7/31/16 14,726 15,436 18,190
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2016 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period August 1, 2011 through July 31, 2016. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market price. Data presented represents past performance and cannot be used to predict future results. -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 183 0 0 0 8/1/12 - 7/31/13 128 0 0 0 8/1/13 - 7/31/14 158 0 0 0 8/1/14 - 7/31/15 166 0 0 0 8/1/15 - 7/31/16 145 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/11 - 7/31/12 70 0 0 0 8/1/12 - 7/31/13 122 0 0 0 8/1/13 - 7/31/14 94 0 0 0 8/1/14 - 7/31/15 86 0 0 0 8/1/15 - 7/31/16 106 0 0 0 Page 27 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. For certain Funds the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 28 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES JULY 31, 2016 As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund or First Trust Mega Cap AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2016. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
--------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2016 JULY 31, 2016 PERIOD (a) PERIOD (b) --------------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $1,157.10 0.61% $3.27 Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $1,170.80 0.63% $3.40 Hypothetical (5% return before expenses) $1,000.00 $1,021.73 0.63% $3.17 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $1,194.60 0.64% $3.49 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.64% $3.22 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $1,168.80 0.62% $3.34 Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $1,134.80 0.62% $3.29 Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12
Page 29 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2016
--------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2016 JULY 31, 2016 PERIOD (a) PERIOD (b) --------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $1,181.10 0.69% $3.74 Hypothetical (5% return before expenses) $1,000.00 $1,021.43 0.69% $3.47 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $1,146.10 0.70% $3.74 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $1,187.00 0.70% $3.81 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $1,146.20 0.70% $3.74 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND ( FYT) Actual $1,000.00 $1,203.50 0.70% $3.84 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $1,176.10 0.70% $3.79 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) Actual $1,000.00 $1,106.90 0.70% $3.67 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2016 through July 31, 2016), multiplied by 182/366 (to reflect the one-half year period). Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.7% 27,679 General Dynamics Corp. $ 4,065,768 22,094 Honeywell International, Inc. 2,570,195 25,886 Lockheed Martin Corp. 6,542,169 28,896 Northrop Grumman Corp. 6,259,740 47,237 Raytheon Co. 6,590,979 175,673 Textron, Inc. 6,851,247 24,357 TransDigm Group, Inc. (a) 6,808,269 12,518 United Technologies Corp. 1,347,563 --------------- 41,035,930 --------------- AIR FREIGHT & LOGISTICS -- 0.7% 17,300 C.H. Robinson Worldwide, Inc. 1,204,426 52,382 Expeditors International of Washington, Inc. 2,589,242 16,933 FedEx Corp. 2,741,453 35,771 United Parcel Service, Inc., Class B 3,866,845 --------------- 10,401,966 --------------- AIRLINES -- 1.6% 226,881 American Airlines Group, Inc. 8,054,276 176,299 Delta Air Lines, Inc. 6,831,586 65,523 Southwest Airlines Co. 2,425,006 156,497 United Continental Holdings, Inc. (a) 7,338,144 --------------- 24,649,012 --------------- AUTO COMPONENTS -- 1.3% 217,573 BorgWarner, Inc. 7,219,072 200,241 Goodyear Tire & Rubber (The) Co. 5,740,910 63,123 Lear Corp. 7,161,304 --------------- 20,121,286 --------------- AUTOMOBILES -- 1.2% 510,962 Ford Motor Co. 6,468,779 226,947 General Motors Co. 7,157,908 85,067 Harley-Davidson, Inc. 4,501,746 --------------- 18,128,433 --------------- BANKS -- 4.7% 387,209 Bank of America Corp. 5,610,658 108,211 BB&T Corp. 3,989,740 121,210 Citigroup, Inc. 5,310,210 257,162 Citizens Financial Group, Inc. 5,742,427 292,112 Fifth Third Bancorp 5,544,286 36,709 First Republic Bank 2,630,934 574,751 Huntington Bancshares, Inc. 5,460,135 82,684 JPMorgan Chase & Co. 5,289,295 465,005 KeyCorp 5,440,559 21,728 M&T Bank Corp. 2,489,160 63,136 PNC Financial Services Group (The), Inc. 5,218,190 603,797 Regions Financial Corp. 5,536,819 125,076 SunTrust Banks, Inc. 5,289,464 63,707 U.S. Bancorp 2,686,524 81,419 Wells Fargo & Co. 3,905,669 --------------- 70,144,070 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ BEVERAGES -- 0.9% 31,073 Constellation Brands, Inc., Class A $ 5,115,548 39,883 Dr Pepper Snapple Group, Inc. 3,928,874 12,699 Molson Coors Brewing Co., Class B 1,297,330 8,001 Monster Beverage Corp. (a) 1,285,201 12,123 PepsiCo, Inc. 1,320,437 --------------- 12,947,390 --------------- BIOTECHNOLOGY -- 0.2% 41,492 AbbVie, Inc. 2,748,015 --------------- BUILDING PRODUCTS -- 0.6% 88,637 Fortune Brands Home & Security, Inc. 5,608,063 83,042 Masco Corp. 3,029,372 --------------- 8,637,435 --------------- CAPITAL MARKETS -- 2.9% 27,369 Affiliated Managers Group, Inc. (a) 4,017,222 42,887 Ameriprise Financial, Inc. 4,110,290 33,064 Bank of New York Mellon (The) Corp. 1,302,721 3,747 BlackRock, Inc. 1,372,339 192,469 Franklin Resources, Inc. 6,965,453 25,944 Goldman Sachs Group (The), Inc. 4,120,167 201,190 Invesco Ltd. 5,870,724 197,777 Morgan Stanley 5,682,133 38,780 Northern Trust Corp. 2,621,140 26,693 SEI Investments Co. 1,201,185 95,301 State Street Corp. 6,268,900 --------------- 43,532,274 --------------- CHEMICALS -- 2.2% 18,090 Air Products and Chemicals, Inc. 2,703,008 19,619 Celanese Corp., Series A 1,244,237 94,598 Eastman Chemical Co. 6,170,627 10,829 Ecolab, Inc. 1,281,937 20,375 International Flavors & Fragrances, Inc. 2,714,969 86,312 LyondellBasell Industries N.V., Class A 6,495,841 245,335 Mosaic (The) Co. 6,624,045 12,338 PPG Industries, Inc. 1,291,912 11,426 Praxair, Inc. 1,331,586 8,742 Sherwin-Williams (The) Co. 2,620,240 --------------- 32,478,402 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.3% 65,451 Cintas Corp. 7,020,929 125,175 Republic Services, Inc. 6,416,471 96,919 Waste Management, Inc. 6,408,284 --------------- 19,845,684 --------------- See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT -- 0.9% 223,865 Cisco Systems, Inc. $ 6,834,599 33,848 F5 Networks, Inc. (a) 4,177,520 30,789 Harris Corp. 2,666,943 --------------- 13,679,062 --------------- CONSTRUCTION MATERIALS -- 0.9% 33,454 Martin Marietta Materials, Inc. 6,779,453 53,365 Vulcan Materials Co. 6,616,193 --------------- 13,395,646 --------------- CONSUMER FINANCE -- 1.8% 376,264 Ally Financial, Inc. 6,787,803 42,281 American Express Co. 2,725,433 101,122 Capital One Financial Corp. 6,783,264 95,886 Discover Financial Services 5,450,160 203,246 Synchrony Financial (a) 5,666,498 --------------- 27,413,158 --------------- CONTAINERS & PACKAGING -- 0.6% 25,360 Crown Holdings, Inc. (a) 1,343,319 60,629 International Paper Co. 2,777,414 99,150 WestRock Co. 4,254,527 --------------- 8,375,260 --------------- DISTRIBUTORS -- 0.4% 12,683 Genuine Parts Co. 1,296,710 121,573 LKQ Corp. (a) 4,180,895 --------------- 5,477,605 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.4% 35,493 Berkshire Hathaway, Inc., Class B (a) 5,120,575 13,180 CME Group, Inc. 1,347,523 10,032 Intercontinental Exchange, Inc. 2,650,455 49,967 MSCI, Inc. 4,299,161 39,725 Nasdaq, Inc. 2,810,941 23,957 S&P Global, Inc. 2,927,545 103,754 Voya Financial, Inc. 2,659,215 --------------- 21,815,415 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.6% 118,916 AT&T, Inc. 5,147,874 221,397 CenturyLink, Inc. 6,960,722 124,744 Level 3 Communications, Inc. (a) 6,312,046 11,893 SBA Communications Corp., Class A (a) 1,367,695 92,023 Verizon Communications, Inc. 5,098,994 --------------- 24,887,331 --------------- ELECTRIC UTILITIES -- 3.8% 64,710 Alliant Energy Corp. 2,604,577 54,975 American Electric Power Co., Inc. 3,809,767 55,776 Avangrid, Inc. 2,517,729 SHARES DESCRIPTION VALUE ------------------------------------------------------------ ELECTRIC UTILITIES (CONTINUED) 59,898 Duke Energy Corp. $ 5,126,670 49,620 Edison International 3,839,596 47,368 Entergy Corp. 3,855,281 64,339 Eversource Energy 3,763,188 141,318 Exelon Corp. 5,268,335 147,190 FirstEnergy Corp. 5,139,875 29,553 NextEra Energy, Inc. 3,791,354 60,288 PG&E Corp. 3,854,815 63,383 Pinnacle West Capital Corp. 4,999,017 68,056 PPL Corp. 2,566,392 47,898 Southern (The) Co. 2,562,543 86,058 Xcel Energy, Inc. 3,784,831 --------------- 57,483,970 --------------- ELECTRICAL EQUIPMENT -- 1.3% 25,908 Acuity Brands, Inc. 6,799,036 107,534 Eaton Corp. PLC 6,818,731 73,884 Emerson Electric Co. 4,130,116 11,195 Rockwell Automation, Inc. 1,280,708 --------------- 19,028,591 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.2% 22,405 Amphenol Corp., Class A 1,333,546 128,194 CDW Corp. 5,503,368 188,169 Corning, Inc. 4,181,115 112,467 TE Connectivity Ltd. 6,779,511 --------------- 17,797,540 --------------- FOOD & STAPLES RETAILING -- 1.3% 26,831 CVS Health Corp. 2,487,770 104,750 Kroger (The) Co. 3,581,403 46,280 Walgreens Boots Alliance, Inc. 3,667,690 70,361 Wal-Mart Stores, Inc. 5,134,242 160,469 Whole Foods Market, Inc. 4,891,095 --------------- 19,762,200 --------------- FOOD PRODUCTS -- 3.6% 119,793 Archer-Daniels-Midland Co. 5,400,268 108,588 Bunge Ltd. 7,149,434 77,237 Campbell Soup Co. 4,809,548 53,731 ConAgra Foods, Inc. 2,512,462 72,049 General Mills, Inc. 5,179,603 19,852 Ingredion, Inc. 2,645,080 8,430 J.M. Smucker (The) Co. 1,299,569 14,511 Kraft Heinz (The) Co. 1,253,605 48,170 McCormick & Co., Inc. 4,925,383 14,156 Mead Johnson Nutrition Co. 1,262,715 56,450 Mondelez International, Inc., Class A 2,482,671 96,161 Tyson Foods, Inc., Class A 7,077,450 136,833 WhiteWave Foods (The) Co. (a) 7,592,863 --------------- 53,590,651 --------------- GAS UTILITIES -- 0.3% 63,193 Atmos Energy Corp. 5,042,169 --------------- Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES -- 3.9% 65,353 Abbott Laboratories $ 2,924,547 142,039 Baxter International, Inc. 6,820,713 37,872 Becton, Dickinson and Co. 6,665,472 274,832 Boston Scientific Corp. (a) 6,672,921 50,879 Danaher Corp. 4,143,586 64,408 Edwards Lifesciences Corp. (a) 7,376,004 7,771 Intuitive Surgical, Inc. (a) 5,406,751 74,026 Medtronic PLC 6,486,898 60,946 ResMed, Inc. 4,197,961 42,876 Stryker Corp. 4,985,621 31,238 Varian Medical Systems, Inc. (a) 2,959,488 --------------- 58,639,962 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.3% 21,031 Aetna, Inc. 2,422,981 16,198 AmerisourceBergen Corp. 1,379,908 39,120 Anthem, Inc. 5,138,021 32,938 Cardinal Health, Inc. 2,753,617 53,998 Centene Corp. (a) 3,809,559 50,843 Express Scripts Holding Co. (a) 3,867,627 50,041 HCA Holdings, Inc. (a) 3,859,662 29,068 Henry Schein, Inc. (a) 5,260,727 19,717 Laboratory Corp. of America Holdings (a) 2,751,704 6,877 McKesson Corp. 1,337,989 70,940 MEDNAX, Inc. (a) 4,888,475 63,121 Quest Diagnostics, Inc. 5,451,130 9,100 UnitedHealth Group, Inc. 1,303,120 38,311 Universal Health Services, Inc., Class B 4,962,424 --------------- 49,186,944 --------------- HEALTH CARE TECHNOLOGY -- 0.2% 43,847 Cerner Corp. (a) 2,735,614 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.2% 76,869 Aramark 2,755,754 40,564 Darden Restaurants, Inc. 2,497,120 57,013 Hilton Worldwide Holdings, Inc. 1,322,131 59,074 Las Vegas Sands Corp. 2,992,098 19,330 Marriott International, Inc., Class A (b) 1,385,961 10,667 McDonald's Corp. 1,254,973 22,490 Starbucks Corp. 1,305,544 18,035 Wyndham Worldwide Corp. 1,280,846 30,988 Yum! Brands, Inc. 2,770,947 --------------- 17,565,374 --------------- HOUSEHOLD DURABLES -- 2.3% 163,226 D.R. Horton, Inc. 5,366,871 121,122 Garmin Ltd. 6,580,558 139,324 Lennar Corp., Class A 6,520,363 6,761 Mohawk Industries, Inc. (a) 1,412,643 79,336 Newell Brands, Inc. 4,161,967 SHARES DESCRIPTION VALUE ------------------------------------------------------------ HOUSEHOLD DURABLES (CONTINUED) 3,601 NVR, Inc. (a) $ 6,139,705 23,127 Whirlpool Corp. 4,448,710 --------------- 34,630,817 --------------- HOUSEHOLD PRODUCTS -- 1.1% 62,428 Church & Dwight Co., Inc. 6,132,927 37,125 Clorox (The) Co. 4,865,974 17,554 Colgate-Palmolive Co. 1,306,544 18,689 Kimberly-Clark Corp. 2,421,160 15,165 Procter & Gamble (The) Co. 1,297,972 --------------- 16,024,577 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 308,788 AES (The) Corp. 3,813,532 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 14,668 3M Co. 2,616,184 --------------- INSURANCE -- 5.9% 53,408 Aflac, Inc. 3,860,330 9,343 Alleghany Corp. (a) 5,077,921 36,732 Allstate (The) Corp. 2,509,898 24,284 American International Group, Inc. 1,322,021 17,838 Arch Capital Group Ltd. (a) 1,295,574 80,961 Arthur J. Gallagher & Co. 3,982,472 9,832 Chubb Ltd. 1,231,556 34,313 Cincinnati Financial Corp. 2,563,181 35,156 Everest Re Group, Ltd. 6,644,836 102,766 FNF Group 3,871,195 86,838 Hartford Financial Services Group (The), Inc. 3,460,494 132,539 Lincoln National Corp. 5,787,978 4,050 Markel Corp. (a) 3,842,438 93,820 Marsh & McLennan Cos., Inc. 6,168,665 129,003 MetLife, Inc. 5,513,588 93,742 Principal Financial Group, Inc. 4,371,190 76,698 Progressive (The) Corp. 2,493,452 72,029 Prudential Financial, Inc. 5,423,063 41,553 Torchmark Corp. 2,570,884 43,169 Travelers (The) Cos., Inc. 5,017,101 161,627 Unum Group 5,399,958 192,825 XL Group Ltd. 6,673,673 --------------- 89,081,468 --------------- INTERNET & CATALOG RETAIL -- 0.8% 8,975 Amazon.com, Inc. (a) 6,810,320 151,892 Liberty Interactive Corp. QVC Group Class A (a) 4,072,224 1,022 Priceline Group (The), Inc. (a) 1,380,528 --------------- 12,263,072 --------------- INTERNET SOFTWARE & SERVICES -- 0.7% 45,927 Akamai Technologies, Inc. (a) 2,320,691 1,823 Alphabet, Inc., Class A (a) 1,442,613 See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES (CONTINUED) 54,880 eBay, Inc. (a) $ 1,710,061 33,714 Facebook, Inc., Class A (a) 4,178,513 14,860 VeriSign, Inc. (a) 1,287,025 --------------- 10,938,903 --------------- IT SERVICES -- 3.8% 34,015 Accenture PLC, Class A 3,837,232 41,954 Automatic Data Processing, Inc. 3,731,808 17,437 Fidelity National Information Services, Inc. 1,386,765 47,251 Fiserv, Inc. (a) 5,214,620 39,555 Gartner, Inc. (a) 3,965,389 71,987 Global Payments, Inc. 5,374,549 25,382 International Business Machines Corp. 4,076,857 29,436 Jack Henry & Associates, Inc. 2,627,163 86,348 Paychex, Inc. 5,118,709 47,944 Sabre Corp. 1,397,568 96,742 Total System Services, Inc. 4,926,103 113,473 Vantiv, Inc., Class A (a) 6,214,916 200,922 Western Union (The) Co. 4,018,440 541,443 Xerox Corp. 5,576,863 --------------- 57,466,982 --------------- LEISURE PRODUCTS -- 0.3% 61,182 Hasbro, Inc. 4,969,814 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 3,529 Mettler-Toledo International, Inc. (a) 1,451,160 39,335 Quintiles Transnational Holdings, Inc. (a) 3,053,969 17,389 Thermo Fisher Scientific, Inc. 2,762,069 9,137 Waters Corp. (a) 1,452,144 --------------- 8,719,342 --------------- MACHINERY -- 1.9% 16,951 Caterpillar, Inc. 1,402,865 45,701 Cummins, Inc. 5,610,712 31,708 Deere & Co. 2,464,029 55,586 Dover Corp. 3,970,508 12,336 Illinois Tool Works, Inc. 1,423,574 40,341 Ingersoll-Rand PLC 2,672,995 49,533 PACCAR, Inc. 2,920,961 35,658 Parker-Hannifin Corp. 4,071,787 23,099 Stanley Black & Decker, Inc. 2,811,148 28,766 Xylem, Inc. 1,375,302 --------------- 28,723,881 --------------- MEDIA -- 2.3% 23,592 CBS Corp., Class B 1,231,974 11,234 Charter Communications, Inc., Class A (a) 2,638,529 59,116 Comcast Corp., Class A 3,975,551 254,562 Discovery Communications, Inc., Class A (a) 6,386,961 SHARES DESCRIPTION VALUE ------------------------------------------------------------ MEDIA (CONTINUED) 166,823 Interpublic Group of Cos. (The), Inc. $ 3,846,938 325,197 Sirius XM Holdings, Inc. (a) 1,427,615 69,868 Time Warner, Inc. 5,355,382 94,976 Twenty-First Century Fox, Inc., Class A 2,530,161 154,883 Viacom, Inc., Class B 7,042,530 --------------- 34,435,641 --------------- METALS & MINING -- 0.4% 277,139 Alcoa, Inc. 2,943,216 32,839 Newmont Mining Corp. 1,444,916 26,002 Nucor Corp. 1,394,747 --------------- 5,782,879 --------------- MULTILINE RETAIL -- 1.7% 27,324 Dollar General Corp. 2,588,676 169,375 Kohl's Corp. 7,044,306 191,093 Macy's, Inc. 6,846,862 67,522 Nordstrom, Inc. (b) 2,986,498 91,996 Target Corp. 6,930,059 --------------- 26,396,401 --------------- MULTI-UTILITIES -- 2.5% 119,869 Ameren Corp. 6,285,930 28,005 CMS Energy Corp. 1,265,266 47,901 Consolidated Edison, Inc. 3,835,912 16,478 Dominion Resources, Inc. 1,285,614 38,871 DTE Energy Co. 3,790,700 96,873 NiSource, Inc. 2,485,761 137,793 Public Service Enterprise Group, Inc. 6,339,856 50,939 SCANA Corp. 3,817,369 22,534 Sempra Energy 2,521,104 98,362 WEC Energy Group, Inc. 6,384,677 --------------- 38,012,189 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.0% 247,223 Antero Resources Corp. (a) 6,474,770 36,766 Chevron Corp. 3,767,780 21,523 Cimarex Energy Co. 2,583,190 88,382 ConocoPhillips 3,607,753 35,439 Devon Energy Corp. 1,356,605 41,110 Exxon Mobil Corp. 3,656,735 270,204 HollyFrontier Corp. 6,868,586 68,617 Kinder Morgan, Inc. 1,394,984 256,739 Marathon Oil Corp. 3,501,920 169,191 Marathon Petroleum Corp. 6,664,434 80,955 Phillips 66 6,157,437 8,500 Pioneer Natural Resources Co. 1,381,845 85,722 Tesoro Corp. 6,527,730 125,940 Valero Energy Corp. 6,584,143 --------------- 60,527,912 --------------- PHARMACEUTICALS -- 0.7% 34,937 Bristol-Myers Squibb Co. 2,613,637 16,318 Eli Lilly and Co. 1,352,599 Page 34 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 9,093 Jazz Pharmaceuticals PLC (a) $ 1,372,770 31,778 Johnson & Johnson 3,979,559 22,292 Merck & Co., Inc. 1,307,649 --------------- 10,626,214 --------------- PROFESSIONAL SERVICES -- 0.4% 40,023 Equifax, Inc. 5,301,447 15,837 Verisk Analytics, Inc. (a) 1,350,579 --------------- 6,652,026 --------------- REAL ESTATE INVESTMENT TRUSTS -- 5.9% 45,234 American Tower Corp. 5,236,740 9,742 Boston Properties, Inc. 1,384,631 48,541 Brixmor Property Group, Inc. 1,378,564 29,060 Camden Property Trust 2,603,485 37,997 Crown Castle International Corp. 3,686,849 58,926 Digital Realty Trust, Inc. 6,155,410 144,552 Duke Realty Corp. 4,161,652 13,246 Equinix, Inc. 4,939,036 27,767 Extra Space Storage, Inc. 2,388,517 15,522 Federal Realty Investment Trust 2,634,083 36,300 HCP, Inc. 1,424,049 396,227 Host Hotels & Resorts, Inc. 7,029,067 163,743 Kimco Realty Corp. 5,256,150 30,085 Macerich (The) Co. 2,684,785 36,226 Mid-America Apartment Communities, Inc. 3,840,681 130,971 Prologis, Inc. 7,136,610 5,023 Public Storage 1,200,095 74,087 Realty Income Corp. 5,294,998 61,360 Regency Centers Corp. 5,211,305 17,761 Simon Property Group, Inc. 4,032,458 12,062 SL Green Realty Corp. 1,421,145 380,047 VEREIT, Inc. 4,203,320 67,459 Welltower, Inc. 5,351,523 --------------- 88,655,153 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 48,503 CBRE Group, Inc., Class A (a) 1,379,910 --------------- ROAD & RAIL -- 1.8% 6,853 AMERCO 2,710,430 246,267 CSX Corp. 6,976,744 47,620 J.B. Hunt Transport Services, Inc. 3,958,651 42,770 Kansas City Southern 4,110,625 60,358 Norfolk Southern Corp. 5,418,941 44,166 Union Pacific Corp. 4,109,646 --------------- 27,285,037 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3% 267,958 Applied Materials, Inc. 7,044,616 132,490 First Solar, Inc. (a) 6,184,633 195,817 Intel Corp. 6,826,181 SHARES DESCRIPTION VALUE ------------------------------------------------------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 15,277 Lam Research Corp. $ 1,371,416 27,608 Linear Technology Corp. 1,656,204 35,993 Maxim Integrated Products, Inc. 1,467,795 25,314 Microchip Technology, Inc. 1,408,471 466,774 Micron Technology, Inc. (a) 6,413,475 136,624 NVIDIA Corp. 7,801,230 95,923 QUALCOMM, Inc. 6,002,861 61,509 Texas Instruments, Inc. 4,290,253 --------------- 50,467,135 --------------- SOFTWARE -- 2.3% 97,249 Activision Blizzard, Inc. 3,905,520 26,816 Adobe Systems, Inc. (a) 2,624,214 156,507 CA, Inc. 5,422,967 69,452 CDK Global, Inc. 4,013,631 32,077 Citrix Systems, Inc. (a) 2,859,023 50,871 Electronic Arts, Inc. (a) 3,882,475 34,525 Intuit, Inc. 3,831,930 62,765 Oracle Corp. 2,575,875 48,522 salesforce.com, Inc. (a) 3,969,100 23,754 Synopsys, Inc. (a) 1,286,517 --------------- 34,371,252 --------------- SPECIALTY RETAIL -- 4.6% 15,891 Advance Auto Parts, Inc. 2,699,245 4,847 AutoZone, Inc. (a) 3,945,313 148,615 Bed Bath & Beyond, Inc. 6,680,244 209,894 Best Buy Co., Inc. 7,052,438 52,393 CarMax, Inc. (a) 3,052,416 302,685 Gap (The), Inc. 7,806,246 20,126 Home Depot (The), Inc. 2,782,218 64,902 Lowe's Cos., Inc. 5,340,137 14,217 O'Reilly Automotive, Inc. (a) 4,131,887 67,976 Ross Stores, Inc. 4,202,956 84,734 Tiffany & Co. 5,467,038 66,526 TJX (The) Cos., Inc. 5,436,505 42,261 Tractor Supply Co. 3,873,221 26,363 Ulta Salon, Cosmetics & Fragrance, Inc. (a) 6,886,279 --------------- 69,356,143 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.1% 351,543 Hewlett Packard Enterprise Co. 7,389,434 102,363 HP, Inc. 1,434,105 52,245 NetApp, Inc. 1,376,656 52,735 Seagate Technology PLC 1,689,102 108,729 Western Digital Corp. 5,165,715 --------------- 17,055,012 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 63,065 Coach, Inc. 2,718,732 57,339 Ralph Lauren Corp. 5,624,382 41,783 VF Corp. 2,608,513 --------------- 10,951,627 --------------- See Notes to Financial Statements Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) TOBACCO -- 0.7% 74,512 Altria Group, Inc. $ 5,044,462 12,623 Philip Morris International, Inc. 1,265,582 71,463 Reynolds American, Inc. 3,577,438 --------------- 9,887,482 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 28,940 Fastenal Co. 1,237,185 11,299 W.W. Grainger, Inc. 2,472,786 --------------- 3,709,971 --------------- WATER UTILITIES -- 0.4% 76,007 American Water Works Co., Inc. 6,276,658 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.9% 1,134,266 Sprint Corp. (a) (b) 6,964,393 148,439 T-Mobile US, Inc. (a) 6,878,663 --------------- 13,843,056 --------------- TOTAL COMMON STOCKS -- 99.9% 1,505,466,659 (Cost $1,394,463,583) --------------- MONEY MARKET FUNDS -- 0.2% 3,444,694 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 3,444,694 (Cost $3,444,694) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 0.3% $ 1,364,037 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $1,364,067. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $1,394,918. (d) 1,364,037 2,825,735 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $2,825,805. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $2,891,274. (d) 2,825,735 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.3% 4,189,772 (Cost $4,189,772) --------------- DESCRIPTION VALUE ------------------------------------------------------------ TOTAL INVESTMENTS -- 100.4% $ 1,513,101,125 (Cost $1,402,098,049) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (6,760,120) --------------- NET ASSETS -- 100.0% $ 1,506,341,005 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $7,611,347 and the total value of the collateral held by the Fund is $7,634,466. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,405,672,958. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $143,960,662 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $36,532,495. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 ---------------------------------------- Common Stocks* $1,505,466,659 $ -- $ -- Money Market Funds 3,444,694 -- -- Repurchase Agreements -- 4,189,772 -- ---------------------------------------- Total Investments $1,508,911,353 $4,189,772 $ -- ======================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. Page 36 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 7,611,347 Non-cash Collateral(2) (7,611,347) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 4,189,772 Non-cash Collateral(4) (4,189,772) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 37 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.6% 9,789 B/E Aerospace, Inc. $ 468,257 10,730 Curtiss-Wright Corp. 954,863 21,858 Esterline Technologies Corp. (a) 1,329,622 33,828 HEICO Corp. 2,351,384 5,380 Huntington Ingalls Industries, Inc. 928,480 52,557 Spirit AeroSystems Holdings, Inc., Class A (a) 2,279,923 18,254 Teledyne Technologies, Inc. (a) 1,916,670 --------------- 10,229,199 --------------- AIR FREIGHT & LOGISTICS -- 0.1% 17,214 XPO Logistics, Inc. (a) 509,879 --------------- AIRLINES -- 0.3% 50,367 Spirit Airlines, Inc. (a) 2,153,189 --------------- AUTO COMPONENTS -- 1.1% 75,789 Cooper Tire & Rubber Co. 2,500,279 29,256 Gentex Corp. 516,953 29,092 Tenneco, Inc. (a) 1,644,280 34,342 Visteon Corp. 2,407,031 --------------- 7,068,543 --------------- AUTOMOBILES -- 0.3% 27,926 Thor Industries, Inc. 2,137,456 --------------- BANKS -- 4.7% 105,423 Associated Banc-Corp. 1,960,868 39,840 BancorpSouth, Inc. 948,989 6,570 Bank of Hawaii Corp. 452,804 14,418 BOK Financial Corp. 940,486 70,824 CIT Group, Inc. 2,447,677 32,968 Comerica, Inc. 1,491,472 28,309 Commerce Bancshares, Inc. 1,338,733 14,184 Cullen/Frost Bankers, Inc. 962,952 39,674 East West Bancorp, Inc. 1,357,644 6,984 First Citizens BancShares, Inc., Class A 1,814,304 66,962 Fulton Financial Corp. 914,031 22,841 Home BancShares, Inc. 476,692 15,135 IBERIABANK Corp. 945,484 49,834 MB Financial, Inc. 1,913,127 61,665 People's United Financial, Inc. 934,841 77,133 Popular, Inc. 2,598,611 35,457 Prosperity Bancshares, Inc. 1,811,498 9,500 SVB Financial Group (a) 953,990 15,592 Synovus Financial Corp. 474,621 142,926 TCF Financial Corp. 1,942,364 8,495 UMB Financial Corp. 470,708 49,561 Valley National Bancorp 449,518 17,727 Wintrust Financial Corp. 935,986 53,959 Zions Bancorporation 1,504,377 --------------- 30,041,777 --------------- BIOTECHNOLOGY -- 0.4% 9,040 Kite Pharma, Inc. (a) 511,935 15,158 Ligand Pharmaceuticals, Inc. (a) 2,044,511 --------------- 2,556,446 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ BUILDING PRODUCTS -- 1.7% 25,649 A.O. Smith Corp. $ 2,382,536 13,019 Allegion PLC 942,445 11,545 Armstrong World Industries, Inc. (a) 490,316 15,849 Lennox International, Inc. 2,485,123 43,867 Owens Corning 2,321,003 83,830 USG Corp. (a) 2,360,653 --------------- 10,982,076 --------------- CAPITAL MARKETS -- 1.9% 103,788 BGC Partners, Inc., Class A 920,600 25,581 Eaton Vance Corp. 967,218 31,412 Federated Investors, Inc., Class B 991,677 12,767 Interactive Brokers Group, Inc., Class A 444,802 97,413 Janus Capital Group, Inc. 1,470,936 15,328 Legg Mason, Inc. 523,298 80,249 LPL Financial Holdings, Inc. (b) 2,162,711 27,506 Raymond James Financial, Inc. 1,510,079 28,745 Stifel Financial Corp. (a) 1,016,136 131,244 Waddell & Reed Financial, Inc., Class A 2,396,515 --------------- 12,403,972 --------------- CHEMICALS -- 1.8% 17,097 Albemarle Corp. 1,439,055 3,938 Ashland, Inc. 445,939 39,041 FMC Corp. 1,856,009 100,818 Huntsman Corp. 1,558,646 1,090 NewMarket Corp. 466,455 18,197 Olin Corp. 380,317 25,652 PolyOne Corp. 899,616 9,049 RPM International, Inc. 490,999 19,395 Scotts Miracle-Gro (The) Co., Class A 1,430,381 6,362 Sensient Technologies Corp. 469,706 52,657 Westlake Chemical Corp. 2,408,531 --------------- 11,845,654 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.8% 17,348 Clean Harbors, Inc. (a) 892,034 46,113 Copart, Inc. (a) 2,325,940 27,242 Deluxe Corp. 1,841,287 54,617 Healthcare Services Group, Inc. 2,119,686 54,145 KAR Auction Services, Inc. 2,315,781 53,428 R.R. Donnelley & Sons Co. 957,430 30,886 Rollins, Inc. 870,367 --------------- 11,322,525 --------------- COMMUNICATIONS EQUIPMENT -- 0.9% 246,188 Brocade Communications Systems, Inc. 2,289,548 20,314 NetScout Systems, Inc. (a) 568,386 46,768 Ubiquiti Networks, Inc. (a) (b) 2,091,465 12,661 ViaSat, Inc. (a) 934,762 --------------- 5,884,161 --------------- Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING -- 2.1% 42,682 AECOM (a) $ 1,514,784 25,178 Dycom Industries, Inc. (a) 2,367,991 36,702 EMCOR Group, Inc. 2,044,301 27,517 Fluor Corp. 1,472,710 18,148 Jacobs Engineering Group, Inc. (a) 971,281 170,697 KBR, Inc. 2,393,172 97,752 Quanta Services, Inc. (a) 2,502,451 --------------- 13,266,690 --------------- CONSTRUCTION MATERIALS -- 0.2% 11,718 Eagle Materials, Inc. 983,726 --------------- CONSUMER FINANCE -- 1.0% 151,298 Navient Corp. 2,148,432 218,782 Santander Consumer USA Holdings, Inc. (a) 2,404,414 292,558 SLM Corp. (a) 2,103,492 --------------- 6,656,338 --------------- CONTAINERS & PACKAGING -- 1.9% 11,425 AptarGroup, Inc. 893,206 24,187 Avery Dennison Corp. 1,883,925 17,557 Bemis Co., Inc. 896,109 58,171 Berry Plastics Group, Inc. (a) 2,385,011 108,134 Graphic Packaging Holding Co. 1,474,948 25,097 Owens-Illinois, Inc. (a) 471,573 27,015 Packaging Corp. of America 2,017,750 17,567 Silgan Holdings, Inc. 870,972 27,306 Sonoco Products Co. 1,390,695 --------------- 12,284,189 --------------- DISTRIBUTORS -- 0.4% 24,037 Pool Corp. 2,458,504 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 13,634 Bright Horizons Family Solutions, Inc. (a) 914,432 28,920 Houghton Mifflin Harcourt Co. (a) 490,194 33,432 Service Corp. International 926,735 22,713 ServiceMaster Global Holdings, Inc. (a) 859,233 --------------- 3,190,594 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 6,785 CBOE Holdings, Inc. 466,808 2,799 FactSet Research Systems, Inc. 481,316 15,545 MarketAxess Holdings, Inc. 2,513,005 --------------- 3,461,129 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 365,993 Frontier Communications Corp. 1,903,163 64,732 Zayo Group Holdings, Inc. (a) 1,831,916 --------------- 3,735,079 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ ELECTRIC UTILITIES -- 1.4% 27,976 ALLETE, Inc. $ 1,786,268 59,475 Great Plains Energy, Inc. 1,771,165 22,225 IDACORP, Inc. 1,796,891 41,406 OGE Energy Corp. 1,332,031 25,510 PNM Resources, Inc. 876,524 40,979 Portland General Electric Co. 1,789,553 --------------- 9,352,432 --------------- ELECTRICAL EQUIPMENT -- 0.8% 22,800 EnerSys 1,421,580 8,571 Hubbell, Inc. 924,211 41,053 Regal Beloit Corp. 2,504,643 --------------- 4,850,434 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.8% 36,512 Arrow Electronics, Inc. (a) 2,427,683 55,790 Avnet, Inc. 2,292,969 10,488 Cognex Corp. 473,743 29,209 FLIR Systems, Inc. 951,629 122,359 Jabil Circuit, Inc. 2,490,006 77,689 Keysight Technologies, Inc. (a) 2,271,626 7,648 Littelfuse, Inc. 956,153 14,302 SYNNEX Corp. 1,437,780 31,455 Tech Data Corp. (a) 2,451,288 18,555 Trimble Navigation Ltd. (a) 490,594 26,666 Universal Display Corp. (a) 1,889,020 --------------- 18,132,491 --------------- ENERGY EQUIPMENT & SERVICES -- 1.6% 3,649 Core Laboratories N.V. 426,240 74,313 Diamond Offshore Drilling, Inc. 1,688,391 38,680 Dril-Quip, Inc. (a) 2,105,352 50,843 FMC Technologies, Inc. (a) 1,290,395 61,877 Frank's International N.V. (b) 762,325 20,200 Helmerich & Payne, Inc. (b) 1,251,794 75,686 Oceaneering International, Inc. 2,110,126 42,402 Patterson-UTI Energy, Inc. 822,175 --------------- 10,456,798 --------------- FOOD & STAPLES RETAILING -- 0.5% 17,184 Casey's General Stores, Inc. 2,294,752 4,831 PriceSmart, Inc. 376,238 19,739 Sprouts Farmers Market, Inc. (a) 456,563 --------------- 3,127,553 --------------- FOOD PRODUCTS -- 2.1% 46,887 B&G Foods, Inc. 2,418,900 10,199 Cal-Maine Foods, Inc. 427,338 72,319 Flowers Foods, Inc. 1,329,946 16,608 Fresh Del Monte Produce, Inc. 944,165 18,170 Hain Celestial Group (The), Inc. (a) 959,194 7,579 J&J Snack Foods Corp. 921,682 10,627 Lancaster Colony Corp. 1,381,085 70,959 Pilgrim's Pride Corp. 1,649,797 See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 19,529 Pinnacle Foods, Inc. $ 980,551 27,331 Post Holdings, Inc. (a) 2,368,778 4,403 TreeHouse Foods, Inc. (a) 454,346 --------------- 13,835,782 --------------- GAS UTILITIES -- 1.1% 11,725 New Jersey Resources Corp. 436,639 27,151 ONE Gas, Inc. 1,763,729 17,229 Southwest Gas Corp. 1,335,247 19,141 Spire, Inc. 1,328,385 29,968 UGI Corp. 1,356,352 12,769 WGL Holdings, Inc. 903,918 --------------- 7,124,270 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.9% 20,680 ABIOMED, Inc. (a) 2,439,620 28,057 Align Technology, Inc. (a) 2,501,282 19,730 Cantel Medical Corp. 1,320,924 2,635 Cooper (The) Cos., Inc. 480,808 11,396 DexCom, Inc. (a) 1,051,053 24,339 IDEXX Laboratories, Inc. (a) 2,282,755 16,998 Integra LifeSciences Holdings Corp. (a) 1,432,421 24,107 Neogen Corp. (a) 1,329,501 30,274 NuVasive, Inc. (a) 1,883,043 10,198 Teleflex, Inc. 1,838,801 23,828 West Pharmaceutical Services, Inc. 1,912,912 --------------- 18,473,120 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.2% 8,158 Acadia Healthcare Co., Inc. (a) 460,927 23,318 AmSurg Corp. (a) 1,749,083 58,550 Brookdale Senior Living, Inc. (a) 1,081,419 6,631 Chemed Corp. 975,685 187,553 Community Health Systems, Inc. (a) 2,395,052 23,286 HealthSouth Corp. 1,002,462 34,574 LifePoint Health, Inc. (a) 2,046,089 9,058 Molina Healthcare, Inc. (a) 514,585 24,184 Owens & Minor, Inc. 863,611 9,440 Patterson Cos., Inc. 465,959 16,353 Tenet Healthcare Corp. (a) 500,565 33,427 VCA, Inc. (a) 2,384,682 --------------- 14,440,119 --------------- HEALTH CARE TECHNOLOGY -- 0.5% 3,274 athenahealth, Inc. (a) 418,384 9,645 Medidata Solutions, Inc. (a) 512,632 66,235 Veeva Systems, Inc., Class A (a) 2,516,268 --------------- 3,447,284 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE -- 2.8% 50,587 Bloomin' Brands, Inc. $ 909,554 24,566 Boyd Gaming Corp. (a) 481,739 29,783 Brinker International, Inc. 1,403,971 3,252 Buffalo Wild Wings, Inc. (a) 546,206 28,167 Cheesecake Factory (The), Inc. 1,457,079 3,578 Churchill Downs, Inc. 469,183 2,637 Cracker Barrel Old Country Store, Inc. (b) 415,090 13,761 Domino's Pizza, Inc. 2,026,995 26,304 Jack in the Box, Inc. 2,325,011 8,531 Panera Bread Co., Class A (a) 1,871,019 23,400 Six Flags Entertainment Corp. 1,319,526 49,561 Texas Roadhouse, Inc. 2,340,271 13,081 Vail Resorts, Inc. 1,871,499 46,987 Wendy's (The) Co. 453,894 --------------- 17,891,037 --------------- HOUSEHOLD DURABLES -- 1.8% 49,252 CalAtlantic Group, Inc. 1,783,415 25,173 Harman International Industries, Inc. 2,080,297 8,790 Helen of Troy Ltd. (a) 875,572 26,532 Leggett & Platt, Inc. 1,394,787 92,765 PulteGroup, Inc. 1,964,762 83,983 Toll Brothers, Inc. (a) 2,352,364 16,063 Tupperware Brands Corp. 1,006,829 --------------- 11,458,026 --------------- HOUSEHOLD PRODUCTS -- 0.5% 65,842 HRG Group, Inc. (a) 980,387 15,153 Spectrum Brands Holdings, Inc. 1,951,252 --------------- 2,931,639 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 12,833 Carlisle Cos., Inc. 1,325,521 --------------- INSURANCE -- 5.2% 12,864 Allied World Assurance Co. Holdings AG 527,295 18,341 American Financial Group, Inc. 1,340,727 7,990 American National Insurance Co. 913,656 48,729 Aspen Insurance Holdings Ltd. 2,239,585 10,474 Assurant, Inc. 869,447 89,082 Assured Guaranty Ltd. 2,386,507 41,090 Axis Capital Holdings Ltd. 2,283,782 36,188 Brown & Brown, Inc. 1,326,652 129,438 CNO Financial Group, Inc. 2,248,338 33,651 Endurance Specialty Holdings Ltd. 2,275,817 2,789 Enstar Group Ltd. (a) 464,620 44,952 First American Financial Corp. 1,879,443 21,368 Hanover Insurance Group (The), Inc. 1,759,441 8,503 Mercury General Corp. 470,811 63,304 National General Holdings Corp. 1,305,962 Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 93,727 Old Republic International Corp. $ 1,816,429 7,896 Primerica, Inc. 406,723 8,442 ProAssurance Corp. 436,114 13,980 Reinsurance Group of America, Inc. 1,387,515 15,395 RenaissanceRe Holdings Ltd. 1,809,220 13,144 RLI Corp. 896,026 46,513 Validus Holdings Ltd. 2,299,138 22,631 W. R. Berkley Corp. 1,316,898 1,072 White Mountains Insurance Group Ltd. 880,455 --------------- 33,540,601 --------------- INTERNET & CATALOG RETAIL -- 0.3% 18,477 HSN, Inc. 945,283 23,180 Wayfair, Inc., Class A (a) (b) 1,008,330 --------------- 1,953,613 --------------- INTERNET SOFTWARE & SERVICES -- 1.3% 19,550 Cimpress N.V. (a) 1,853,340 6,200 CoStar Group, Inc. (a) 1,288,980 28,985 GoDaddy, Inc., Class A (a) 867,231 8,029 IAC/InterActiveCorp 465,361 7,154 j2 Global, Inc. 478,174 72,612 Pandora Media, Inc. (a) (b) 987,523 108,342 Rackspace Hosting, Inc. (a) 2,538,453 --------------- 8,479,062 --------------- IT SERVICES -- 2.6% 12,021 Black Knight Financial Services, Inc., Class A (a) 467,016 13,496 Blackhawk Network Holdings, Inc. (a) 469,526 30,500 Booz Allen Hamilton Holding Corp. 941,840 34,662 Broadridge Financial Solutions, Inc. 2,345,924 19,998 CACI International, Inc., Class A (a) 1,906,409 18,208 Computer Sciences Corp. 870,889 18,080 Convergys Corp. 481,832 46,987 CoreLogic, Inc. (a) 1,892,636 15,529 DST Systems, Inc. 1,915,191 6,533 Euronet Worldwide, Inc. (a) 498,207 50,521 Genpact Ltd. (a) 1,352,447 28,327 Leidos Holdings, Inc. (b) 1,416,633 16,327 MAXIMUS, Inc. 961,987 7,747 Science Applications International Corp. 470,708 5,098 WEX, Inc. (a) 477,581 --------------- 16,468,826 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ LEISURE PRODUCTS -- 0.8% 29,922 Brunswick Corp. $ 1,484,730 22,115 Polaris Industries, Inc. (b) 2,183,856 28,408 Vista Outdoor, Inc. (a) 1,421,820 --------------- 5,090,406 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 6,321 Bio-Rad Laboratories, Inc., Class A (a) 917,114 16,033 Bio-Techne Corp. 1,802,430 16,447 Charles River Laboratories International, Inc. (a) 1,446,185 11,856 INC Research Holdings, Inc., Class A (a) 527,710 7,187 PAREXEL International Corp. (a) 480,451 8,622 PerkinElmer, Inc. 490,764 21,648 PRA Health Sciences, Inc. (a) 1,004,034 15,640 VWR Corp. (a) 489,845 --------------- 7,158,533 --------------- MACHINERY -- 4.0% 47,954 AGCO Corp. 2,309,465 16,012 Allison Transmission Holdings, Inc. 461,466 22,291 CLARCOR, Inc. 1,387,838 51,247 Colfax Corp. (a) 1,504,612 31,877 Crane Co. 1,985,937 13,155 Donaldson Co., Inc. 475,290 20,013 Flowserve Corp. 957,622 5,721 Graco, Inc. 423,411 5,507 IDEX Corp. 494,473 70,670 ITT, Inc. 2,240,946 11,765 Middleby (The) Corp. (a) 1,416,271 5,405 Nordson Corp. 477,207 37,895 Oshkosh Corp. 2,087,636 58,970 Timken (The) Co. 1,972,546 20,499 Toro (The) Co. 1,884,883 121,703 Trinity Industries, Inc. 2,824,727 4,935 WABCO Holdings, Inc. (a) 494,832 19,308 Wabtec Corp. 1,322,598 15,683 Woodward, Inc. 918,083 --------------- 25,639,843 --------------- MARINE -- 0.3% 36,223 Kirby Corp. (a) 1,973,791 --------------- MEDIA -- 1.7% 1,767 Cable One, Inc. 925,696 37,191 Cinemark Holdings, Inc. 1,398,381 25,989 John Wiley & Sons, Inc., Class A 1,499,565 15,067 Liberty Broadband Corp., Class C (a) 953,892 37,355 New York Times (The) Co., Class A 484,868 82,032 Regal Entertainment Group, Class A (b) 1,929,392 See Notes to Financial Statements Page 41 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 14,516 Scripps Networks Interactive, Inc., Class A $ 958,927 30,274 Sinclair Broadcast Group, Inc., Class A 842,223 78,033 TEGNA, Inc. 1,708,923 --------------- 10,701,867 --------------- METALS & MINING -- 0.8% 24,370 Compass Minerals International, Inc. 1,695,908 23,510 Reliance Steel & Aluminum Co. 1,844,125 42,742 Worthington Industries, Inc. 1,893,898 --------------- 5,433,931 --------------- MULTILINE RETAIL -- 0.4% 37,294 Dillard's, Inc., Class A 2,524,058 --------------- MULTI-UTILITIES -- 0.7% 40,356 Avista Corp. 1,755,486 21,500 NorthWestern Corp. 1,305,910 25,746 Vectren Corp. 1,331,841 --------------- 4,393,237 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.9% 145,808 CVR Energy, Inc. (b) 2,157,958 9,913 Diamondback Energy, Inc. (a) 870,262 30,693 Newfield Exploration Co. (a) 1,329,007 66,815 Parsley Energy, Inc., Class A (a) 1,904,896 57,024 PBF Energy, Inc., Class A 1,273,916 38,864 RSP Permian, Inc. (a) 1,397,161 109,550 Western Refining, Inc. 2,284,117 28,553 World Fuel Services Corp. 1,359,123 --------------- 12,576,440 --------------- PERSONAL PRODUCTS -- 0.1% 7,724 Herbalife Ltd. (a) 525,309 --------------- PHARMACEUTICALS -- 0.5% 15,868 Akorn, Inc. (a) 543,162 58,983 Catalent, Inc. (a) 1,506,426 24,475 Prestige Brands Holdings, Inc. (a) 1,309,412 --------------- 3,359,000 --------------- PROFESSIONAL SERVICES -- 1.2% 11,131 Dun & Bradstreet (The) Corp. 1,438,682 35,126 ManpowerGroup, Inc. 2,437,744 24,465 On Assignment, Inc. (a) 903,982 47,379 Robert Half International, Inc. 1,731,229 40,550 TransUnion (a) 1,326,796 --------------- 7,838,433 --------------- REAL ESTATE INVESTMENT TRUSTS -- 14.3% 12,725 Acadia Realty Trust 479,223 17,466 Alexandria Real Estate Equities, Inc. 1,961,432 25,648 American Campus Communities, Inc. 1,386,787 SHARES DESCRIPTION VALUE ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 110,351 American Homes 4 Rent, Class A $ 2,394,617 10,236 Apartment Investment & Management Co., Class A 470,549 72,088 Apple Hospitality REIT, Inc. 1,468,433 32,671 Blackstone Mortgage Trust, Inc., Class A 947,786 26,904 Brandywine Realty Trust 453,870 68,982 Care Capital Properties, Inc. 2,040,488 115,160 Chimera Investment Corp. 1,932,385 44,577 Colony Starwood Homes 1,460,343 46,920 Communications Sales & Leasing, Inc. 1,458,274 20,387 CoreSite Realty Corp. 1,682,539 45,857 Corporate Office Properties Trust 1,373,876 51,629 Corrections Corp. of America 1,654,709 14,638 CubeSmart 434,895 24,363 CyrusOne, Inc. 1,335,580 37,635 DCT Industrial Trust, Inc. 1,890,030 24,917 DDR Corp. 491,862 63,627 Douglas Emmett, Inc. 2,420,371 38,032 DuPont Fabros Technology, Inc. 1,819,071 19,591 Education Realty Trust, Inc. 943,111 23,803 Empire State Realty Trust, Inc., Class A 499,625 22,410 EPR Properties 1,882,888 62,066 Equity Commonwealth (a) 1,863,221 22,587 Equity LifeStyle Properties, Inc. 1,857,555 28,091 Equity One, Inc. 934,588 81,237 First Industrial Realty Trust, Inc. 2,394,054 101,300 Forest City Realty Trust, Inc., Class A 2,395,745 13,110 Gaming and Leisure Properties, Inc. 469,731 39,674 GEO Group (The), Inc. 1,373,117 49,024 Gramercy Property Trust 489,750 38,754 Healthcare Realty Trust, Inc. 1,401,345 41,930 Healthcare Trust of America, Inc., Class A 1,427,716 25,681 Highwoods Properties, Inc. 1,430,945 62,777 Hospitality Properties Trust 2,003,214 30,980 Hudson Pacific Properties, Inc. 1,047,434 6,819 Kilroy Realty Corp. 499,219 32,250 Kite Realty Group Trust 980,722 13,635 Lamar Advertising Co., Class A 925,271 95,845 LaSalle Hotel Properties 2,640,530 45,520 Liberty Property Trust 1,883,618 148,587 Medical Properties Trust, Inc. 2,332,816 310,867 MFA Financial, Inc. 2,337,720 30,097 National Health Investors, Inc. 2,364,721 34,957 National Retail Properties, Inc. 1,858,314 130,635 New Residential Investment Corp. 1,785,780 13,315 Omega Healthcare Investors, Inc. 459,367 Page 42 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 20,984 Piedmont Office Realty Trust, Inc., Class A $ 460,389 7,403 Post Properties, Inc. 470,757 12,782 PS Business Parks, Inc. 1,417,396 53,491 Retail Properties of America, Inc., Class A 943,046 105,362 RLJ Lodging Trust 2,501,294 8,925 Ryman Hospitality Properties, Inc. 501,942 43,399 Senior Housing Properties Trust 963,892 141,581 Spirit Realty Capital, Inc. 1,935,412 43,630 Starwood Property Trust, Inc. 951,134 17,695 Sun Communities, Inc. 1,400,559 187,241 Sunstone Hotel Investors, Inc. 2,490,305 33,747 Tanger Factory Outlet Centers, Inc. 1,408,600 211,217 Two Harbors Investment Corp. 1,848,149 75,686 Urban Edge Properties 2,263,768 19,533 W.P. Carey, Inc. 1,419,072 22,147 Weingarten Realty Investors 956,529 --------------- 91,971,481 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6% 3,953 Howard Hughes (The) Corp. (a) 472,225 23,191 Jones Lang LaSalle, Inc. 2,538,719 31,152 Realogy Holdings Corp. (a) 965,401 --------------- 3,976,345 --------------- ROAD & RAIL -- 2.7% 42,072 Avis Budget Group, Inc. (a) 1,545,305 38,337 Genesee & Wyoming, Inc., Class A (a) 2,482,321 122,494 Hertz Global Holdings, Inc. (a) 5,963,008 68,022 Knight Transportation, Inc. 2,029,096 13,166 Landstar System, Inc. 928,071 29,979 Old Dominion Freight Line, Inc. (a) 2,088,337 36,963 Ryder System, Inc. 2,435,862 --------------- 17,472,000 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.5% 58,263 Cirrus Logic, Inc. (a) 2,830,999 94,860 Marvell Technology Group Ltd. 1,114,605 19,847 Monolithic Power Systems, Inc. 1,443,274 204,989 ON Semiconductor Corp. (a) 2,056,040 24,540 Qorvo, Inc. (a) 1,551,664 22,956 Teradyne, Inc. 453,381 --------------- 9,449,963 --------------- SOFTWARE -- 3.2% 22,465 Aspen Technology, Inc. (a) 941,059 19,971 Blackbaud, Inc. 1,335,061 SHARES DESCRIPTION VALUE ------------------------------------------------------------ SOFTWARE (CONTINUED) 55,803 Cadence Design Systems, Inc. (a) $ 1,342,062 24,659 Ellie Mae, Inc. (a) 2,271,340 11,998 Fair Isaac Corp. 1,519,427 14,310 Fortinet, Inc. (a) 496,414 14,638 Guidewire Software, Inc. (a) 899,798 14,097 Manhattan Associates, Inc. (a) 818,331 42,521 Mentor Graphics Corp. 908,248 6,207 NetSuite, Inc. (a) 675,632 14,330 Proofpoint, Inc. (a) 1,087,217 8,342 Splunk, Inc. (a) 521,709 47,678 Take-Two Interactive Software, Inc. (a) 1,915,702 8,133 Tyler Technologies, Inc. (a) 1,325,842 8,597 Ultimate Software Group (The), Inc. (a) 1,797,633 7,898 VMware, Inc., Class A (a) (b) 576,396 68,538 Zendesk, Inc. (a) 2,072,589 --------------- 20,504,460 --------------- SPECIALTY RETAIL -- 4.6% 141,870 American Eagle Outfitters, Inc. 2,542,310 38,486 AutoNation, Inc. (a) 2,053,228 33,878 Burlington Stores, Inc. (a) 2,592,006 27,087 Cabela's, Inc. (a) 1,398,502 31,477 CST Brands, Inc. 1,407,651 40,123 Dick's Sporting Goods, Inc. 2,057,909 85,025 GameStop Corp., Class A 2,631,524 55,826 GNC Holdings, Inc., Class A 1,139,409 63,574 Michaels Cos., (The) Inc. (a) 1,675,811 24,380 Murphy USA, Inc. (a) 1,868,483 71,836 Penske Automotive Group, Inc. 2,846,142 15,369 Sally Beauty Holdings, Inc. (a) 450,773 262,183 Staples, Inc. 2,435,680 82,183 Urban Outfitters, Inc. (a) 2,457,272 34,682 Williams-Sonoma, Inc. 1,875,602 --------------- 29,432,302 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.2% 12,736 Carter's, Inc. 1,289,520 15,710 Columbia Sportswear Co. 899,398 29,660 G-III Apparel Group Ltd. (a) 1,187,290 23,983 PVH Corp. 2,423,722 30,418 Skechers U.S.A., Inc., Class A (a) 730,640 39,674 Steven Madden Ltd. (a) 1,389,383 --------------- 7,919,953 --------------- THRIFTS & MORTGAGE FINANCE -- 1.1% 379,834 MGIC Investment Corp. (a) 2,731,006 216,892 Radian Group, Inc. 2,797,907 55,894 Washington Federal, Inc. 1,397,350 --------------- 6,926,263 --------------- TOBACCO -- 0.1% 20,162 Vector Group Ltd. 445,379 --------------- See Notes to Financial Statements Page 43 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS -- 1.7% 84,392 Air Lease Corp. $ 2,431,333 49,704 Beacon Roofing Supply, Inc. (a) 2,337,082 25,961 HD Supply Holdings, Inc. (a) 939,529 19,218 MSC Industrial Direct Co., Inc., Class A 1,380,429 26,943 United Rentals, Inc. (a) 2,146,549 12,852 Watsco, Inc. 1,851,202 --------------- 11,086,124 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.1% 6,104 Macquarie Infrastructure Corp. 467,872 --------------- WATER UTILITIES -- 0.3% 50,702 Aqua America, Inc. 1,756,317 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 76,196 Telephone and Data Systems, Inc. 2,399,412 57,551 United States Cellular Corp. (a) 2,327,938 --------------- 4,727,350 --------------- TOTAL COMMON STOCKS -- 100.0% 643,810,391 (Cost $596,005,927) --------------- MONEY MARKET FUNDS -- 0.8% 4,966,500 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 4,966,500 490,288 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (c) 490,288 --------------- TOTAL MONEY MARKET FUNDS -- 0.8% 5,456,788 (Cost $5,456,788) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 0.9% $ 1,966,646 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $1,966,688. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $2,011,169. (d) 1,966,646 PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ $ 4,074,096 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $4,074,198. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $4,168,589. (d) $ 4,074,096 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.9% 6,040,742 (Cost $6,040,742) --------------- TOTAL INVESTMENTS -- 101.7% 655,307,921 (Cost $607,503,457) (e) NET OTHER ASSETS AND LIABILITIES -- (1.7)% (11,163,683) --------------- NET ASSETS -- 100.0% $ 644,144,238 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $10,930,169 and the total value of the collateral held by the Fund is $11,007,242. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $608,871,881. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $64,073,999 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $17,637,959. Page 44 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 --------------------------------------- Common Stocks* $643,810,391 $ -- $ -- Money Market Funds 5,456,788 -- -- Repurchase Agreements -- 6,040,742 -- --------------------------------------- Total Investments $649,267,179 $ 6,040,742 $ -- ======================================= * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 10,930,169 Non-cash Collateral(2) (10,930,169) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 6,040,742 Non-cash Collateral(4) (6,040,742) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 45 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.9% 56,574 AAR Corp. $ 1,366,828 72,232 Aerojet Rocketdyne Holdings, Inc. (a) 1,362,296 19,727 Cubic Corp. 805,651 61,730 DigitalGlobe, Inc. (a) 1,664,241 53,112 Mercury Systems, Inc. (a) 1,376,663 19,590 Moog, Inc., Class A (a) 1,078,821 31,843 TASER International, Inc. (a) 922,173 --------------- 8,576,673 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 25,503 Atlas Air Worldwide Holdings, Inc. (a) 1,102,495 11,778 Echo Global Logistics, Inc. (a) 291,623 17,790 Forward Air Corp. 823,321 27,530 Hub Group, Inc., Class A (a) 1,127,078 --------------- 3,344,517 --------------- AIRLINES -- 0.5% 20,870 Hawaiian Holdings, Inc. (a) 950,211 49,903 SkyWest, Inc. 1,435,709 --------------- 2,385,920 --------------- AUTO COMPONENTS -- 1.7% 72,950 American Axle & Manufacturing Holdings, Inc. (a) 1,270,060 16,715 Cooper-Standard Holding, Inc. (a) 1,471,756 100,032 Dana, Inc. 1,364,436 18,467 Dorman Products, Inc. (a) 1,176,348 15,564 Drew Industries, Inc. 1,425,818 19,915 Standard Motor Products, Inc. 835,235 --------------- 7,543,653 --------------- BANKS -- 7.0% 32,612 1st Source Corp. 1,096,089 17,783 Ameris Bancorp 589,684 13,136 BancFirst Corp. 861,327 12,417 Banner Corp. 518,286 29,431 Berkshire Hills Bancorp, Inc. 776,095 23,256 BNC Bancorp 564,190 67,255 Boston Private Financial Holdings, Inc. 815,131 23,941 Brookline Bancorp, Inc. 272,688 9,171 Capital Bank Financial Corp., Class A 274,121 21,245 Chemical Financial Corp. 879,118 17,423 City Holding Co. 813,654 12,854 Community Bank System, Inc. 567,247 21,017 Customers Bancorp, Inc. (a) 540,978 10,979 Eagle Bancorp, Inc. (a) 565,967 15,535 FCB Financial Holdings, Inc., Class A (a) 543,259 57,408 First Commonwealth Financial Corp. 553,987 40,732 First Financial Bancorp 867,999 16,107 First Financial Bankshares, Inc. 550,376 SHARES DESCRIPTION VALUE ------------------------------------------------------------ BANKS (CONTINUED) 10,594 First Merchants Corp. $ 277,563 30,077 First Midwest Bancorp, Inc. 561,538 9,936 Glacier Bancorp, Inc. 274,035 33,492 Great Western Bancorp, Inc. 1,110,930 30,344 Hancock Holding Co. 879,673 22,484 Hanmi Financial Corp. 551,308 29,932 Heartland Financial USA, Inc. 1,099,103 25,162 Hilltop Holdings, Inc. (a) 548,028 17,700 Hope Bancorp, Inc. (a) 272,049 5,779 Independent Bank Corp. 290,164 40,489 International Bancshares Corp. 1,110,208 11,235 Lakeland Financial Corp. 576,917 39,254 LegacyTexas Financial Group, Inc. 1,119,524 18,448 NBT Bancorp, Inc. 550,119 84,304 Old National Bancorp 1,109,441 7,813 Opus Bank 252,204 2,878 Park National Corp. 257,639 8,168 Renasant Corp. 263,173 10,802 S&T Bancorp, Inc. 275,343 21,387 ServisFirst Bancshares, Inc. 1,082,824 11,435 Simmons First National Corp., Class A 525,438 3,879 South State Corp. 282,818 12,978 State Bank Financial Corp. 283,959 11,294 Texas Capital Bancshares, Inc. (a) 548,211 12,187 Tompkins Financial Corp. 886,482 24,396 TowneBank 559,888 42,509 Trustmark Corp. 1,109,485 21,374 Union Bankshares Corp. 573,678 28,878 United Community Banks, Inc. 555,613 6,963 Washington Trust Bancorp, Inc. 264,315 25,515 WesBanco, Inc. 788,924 5,362 Westamerica Bancorporation (b) 252,228 10,525 Yadkin Financial Corp. 265,125 --------------- 31,008,143 --------------- BEVERAGES -- 0.4% 5,373 Coca-Cola Bottling Co. Consolidated 765,169 21,022 National Beverage Corp. (a) 1,205,822 --------------- 1,970,991 --------------- BIOTECHNOLOGY -- 2.2% 23,315 Acceleron Pharma, Inc. (a) 790,845 11,040 AMAG Pharmaceuticals, Inc. (a) 292,891 107,204 ARIAD Pharmaceuticals, Inc. (a) 1,019,510 169,066 Exelixis, Inc. (a) (b) 1,552,026 25,546 Five Prime Therapeutics, Inc. (a) 1,294,927 10,197 Genomic Health, Inc. (a) 296,019 80,789 Ironwood Pharmaceuticals, Inc. (a) 1,141,549 92,014 Lexicon Pharmaceuticals, Inc. (a) (b) 1,501,668 24,452 Momenta Pharmaceuticals, Inc. (a) 275,329 Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 9,651 Repligen Corp. (a) $ 276,019 20,659 Spark Therapeutics, Inc. (a) 1,196,982 --------------- 9,637,765 --------------- BUILDING PRODUCTS -- 2.1% 28,798 AAON, Inc. 762,571 7,957 American Woodmark Corp. (a) 590,648 17,091 Apogee Enterprises, Inc. 799,004 93,897 Builders FirstSource, Inc. (a) 1,210,332 62,653 Griffon Corp. 1,073,873 33,030 NCI Building Systems, Inc. (a) 535,747 90,626 Ply Gem Holdings, Inc. (a) 1,392,015 19,823 Simpson Manufacturing Co., Inc. 808,778 11,758 Trex Co., Inc. (a) 570,263 14,246 Universal Forest Products, Inc. 1,540,278 --------------- 9,283,509 --------------- CAPITAL MARKETS -- 1.0% 9,541 Artisan Partners Asset Management, Inc., Class A 266,766 6,530 Cohen & Steers, Inc. 281,443 49,208 Greenhill & Co., Inc. 975,795 79,424 KCG Holdings, Inc., Class A (a) 1,201,685 20,471 New Mountain Finance Corp. 273,493 14,671 Virtu Financial, Inc., Class A 252,341 11,129 Virtus Investment Partners, Inc. (b) 938,063 --------------- 4,189,586 --------------- CHEMICALS -- 2.3% 32,442 A. Schulman, Inc. 950,875 80,330 Calgon Carbon Corp. 1,108,554 32,048 Chemours (The) Co. 298,046 10,010 Chemtura Corp. (a) 281,181 39,474 Ferro Corp. (a) 511,583 18,008 H.B. Fuller Co. 838,453 28,712 Innospec, Inc. 1,443,352 13,948 Minerals Technologies, Inc. 910,246 59,479 Platform Specialty Products Corp. (a) 547,207 5,922 Quaker Chemical Corp. 566,499 17,744 Stepan Co. 1,141,117 30,757 Trinseo S.A. 1,531,391 --------------- 10,128,504 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.9% 14,478 ABM Industries, Inc. 538,726 8,642 Brady Corp., Class A 277,754 9,269 Brink's (The) Co. 304,209 32,106 Covanta Holding Corp. 514,338 8,642 Essendant, Inc. 173,186 6,897 G&K Services, Inc., Class A 553,208 35,340 Herman Miller, Inc. 1,158,092 17,041 HNI Corp. 888,347 69,268 Interface, Inc. 1,237,127 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 43,505 Knoll, Inc. $ 1,098,501 18,985 Matthews International Corp., Class A 1,141,188 15,246 Mobile Mini, Inc. 495,647 5,028 MSA Safety, Inc. 280,965 8,331 Multi-Color Corp. 538,016 97,305 Steelcase, Inc., Class A 1,410,922 8,588 Tetra Tech, Inc. 282,803 9,127 UniFirst Corp. 1,066,764 17,241 US Ecology, Inc. 781,017 --------------- 12,740,810 --------------- COMMUNICATIONS EQUIPMENT -- 1.1% 28,318 ADTRAN, Inc. 515,388 33,260 EchoStar Corp., Class A (a) 1,295,477 45,245 Finisar Corp. (a) 848,796 4,742 InterDigital, Inc. 280,015 80,678 Ixia (a) 927,797 11,109 NETGEAR, Inc. (a) 571,336 12,003 Plantronics, Inc. 579,025 --------------- 5,017,834 --------------- CONSTRUCTION & ENGINEERING -- 0.6% 40,541 Comfort Systems USA, Inc. 1,231,636 11,595 Granite Construction, Inc. 577,199 55,801 Primoris Services Corp. 1,007,208 --------------- 2,816,043 --------------- CONSTRUCTION MATERIALS -- 0.6% 29,442 Headwaters, Inc. (a) 585,601 25,816 Summit Materials, Inc., Class A (a) 571,566 21,679 US Concrete, Inc. (a) 1,398,296 --------------- 2,555,463 --------------- CONSUMER FINANCE -- 0.9% 34,459 Green Dot Corp., Class A (a) 833,908 37,997 Nelnet, Inc., Class A 1,535,459 54,697 PRA Group, Inc. (a) 1,523,858 --------------- 3,893,225 --------------- CONTAINERS & PACKAGING -- 0.1% 14,170 Greif, Inc., Class A 568,642 --------------- DISTRIBUTORS -- 0.1% 5,635 Core-Mark Holding Co., Inc. 275,890 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 74,014 DeVry Education Group, Inc. 1,648,292 13,230 Grand Canyon Education, Inc. (a) 556,454 66,814 LifeLock, Inc. (a) 1,117,798 42,422 Regis Corp. (a) 570,152 22,705 Weight Watchers International, Inc. (a) (b) 270,870 --------------- 4,163,566 --------------- See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 6,786 ATN International, Inc. $ 498,907 288,929 Cincinnati Bell, Inc. (a) 1,444,645 48,474 Consolidated Communications Holdings, Inc. 1,354,848 89,217 Iridium Communications, Inc. (a) (b) 801,169 173,169 Vonage Holdings Corp. (a) 1,026,892 --------------- 5,126,461 --------------- ELECTRIC UTILITIES -- 0.5% 16,761 El Paso Electric Co. 799,165 14,017 MGE Energy, Inc. 787,055 23,657 Otter Tail Corp. 824,446 --------------- 2,410,666 --------------- ELECTRICAL EQUIPMENT -- 0.8% 17,610 AZZ, Inc. 1,093,229 53,931 Babcock & Wilcox Enterprises, Inc. (a) 828,380 35,420 Encore Wire Corp. 1,329,312 7,554 Generac Holdings, Inc. (a) 285,466 --------------- 3,536,387 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.0% 19,827 Anixter International, Inc. (a) 1,214,998 77,786 AVX Corp. 1,062,557 14,465 Badger Meter, Inc. 1,008,789 8,748 Belden, Inc. 640,441 62,431 Benchmark Electronics, Inc. (a) 1,463,383 5,755 Coherent, Inc. (a) 610,318 11,038 Dolby Laboratories, Inc., Class A 555,322 12,914 ePlus, Inc. (a) 1,086,196 35,573 Fabrinet (a) 1,343,236 28,155 II-VI, Inc. (a) 565,915 50,786 Insight Enterprises, Inc. (a) 1,350,908 6,127 Itron, Inc. (a) 261,562 30,858 Methode Electronics, Inc. 1,080,956 18,072 MTS Systems Corp. 857,155 24,452 Plexus Corp. (a) 1,123,325 12,967 Rogers Corp. (a) 887,461 49,250 Sanmina Corp. (a) 1,247,995 28,464 ScanSource, Inc. (a) 1,167,878 21,315 Vishay Intertechnology, Inc. 284,129 --------------- 17,812,524 --------------- ENERGY EQUIPMENT & SERVICES -- 0.6% 92,578 Bristow Group, Inc. 1,000,768 160,373 McDermott International, Inc. (a) 830,732 16,064 Oil States International, Inc. (a) 496,699 9,113 SEACOR Holdings, Inc. (a) 515,067 --------------- 2,843,266 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ FOOD & STAPLES RETAILING -- 1.0% 35,471 Smart & Final Stores, Inc. (a) $ 489,145 34,543 SpartanNash Co. 1,088,104 111,898 SUPERVALU, Inc. (a) 546,062 22,572 United Natural Foods, Inc. (a) 1,128,149 20,895 Weis Markets, Inc. 1,079,645 --------------- 4,331,105 --------------- FOOD PRODUCTS -- 1.3% 19,708 Calavo Growers, Inc. 1,296,393 70,895 Darling Ingredients, Inc. (a) 1,118,723 58,394 Dean Foods Co. 1,077,953 15,239 Sanderson Farms, Inc. 1,334,784 20,563 Tootsie Roll Industries, Inc. 763,504 --------------- 5,591,357 --------------- GAS UTILITIES -- 0.5% 11,971 Chesapeake Utilities Corp. 766,982 12,223 Northwest Natural Gas Co. 793,762 25,054 South Jersey Industries, Inc. 798,721 --------------- 2,359,465 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.3% 3,323 Analogic Corp. 279,198 1,235 Atrion Corp. 588,848 5,534 CONMED Corp. 224,902 21,715 Cynosure, Inc., Class A (a) 1,193,456 11,081 Globus Medical, Inc., Class A (a) 254,309 4,685 ICU Medical, Inc. (a) 547,021 8,732 Insulet Corp. (a) 309,025 8,538 Integer Holdings Corp. (a) 189,629 25,144 Masimo Corp. (a) 1,331,878 39,953 Merit Medical Systems, Inc. (a) 936,498 17,902 Nevro Corp. (a) 1,480,495 48,723 NxStage Medical, Inc. (a) 1,077,266 18,684 Orthofix International N.V. (a) 885,622 19,326 Zeltiq Aesthetics, Inc. (a) (b) 656,118 --------------- 9,954,265 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 24,127 Aceto Corp. 620,305 5,111 Adeptus Health, Inc., Class A (a) (b) 227,797 7,371 Air Methods Corp. (a) 245,381 26,158 Amedisys, Inc. (a) 1,400,761 33,037 AMN Healthcare Services, Inc. (a) 1,397,465 12,678 Civitas Solutions, Inc. (a) 271,690 18,346 CorVel Corp. (a) 829,239 37,725 Diplomat Pharmacy, Inc. (a) 1,355,459 25,139 Ensign Group (The), Inc. 540,488 34,764 HealthEquity, Inc. (a) 1,026,233 116,953 Kindred Healthcare, Inc. 1,433,844 24,407 LHC Group, Inc. (a) 1,104,661 12,047 Magellan Health, Inc. (a) 824,858 16,316 National HealthCare Corp. 1,054,014 Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 21,417 PharMerica Corp. (a) $ 568,836 23,536 Providence Service (The) Corp. (a) 1,138,436 121,472 Select Medical Holdings Corp. (a) 1,396,928 27,699 Surgical Care Affiliates, Inc. (a) 1,440,625 --------------- 16,877,020 --------------- HEALTH CARE TECHNOLOGY -- 0.7% 29,874 HealthStream, Inc. (a) 723,847 14,997 HMS Holdings Corp. (a) 298,140 14,663 Inovalon Holdings, Inc., Class A (a) (b) 273,025 7,716 Omnicell, Inc. (a) 298,455 33,554 Press Ganey Holdings, Inc. (a) 1,339,476 --------------- 2,932,943 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.9% 53,351 Belmond Ltd., Class A (a) 613,003 1,309 Biglari Holdings, Inc. (a) 543,379 18,076 BJ's Restaurants, Inc. (a) 702,072 13,918 Bob Evans Farms, Inc. 511,904 11,287 Dave & Buster's Entertainment, Inc. (a) 502,271 73,835 Denny's Corp. (a) 823,999 48,434 Fiesta Restaurant Group, Inc. (a) 1,082,016 10,747 Hyatt Hotels Corp., Class A (a) 542,079 31,578 International Speedway Corp., Class A 1,066,389 16,610 Interval Leisure Group, Inc. 298,648 46,330 La Quinta Holdings, Inc. (a) 573,102 11,568 Marriott Vacations Worldwide Corp. 882,638 15,535 Papa John's International, Inc. 1,148,813 18,932 Penn National Gaming, Inc. (a) 284,359 4,834 Popeyes Louisiana Kitchen, Inc. (a) 276,892 27,840 Red Robin Gourmet Burgers, Inc. (a) 1,346,342 36,858 SeaWorld Entertainment, Inc. (b) 567,613 38,764 Wingstop, Inc. 1,007,864 --------------- 12,773,383 --------------- HOUSEHOLD DURABLES -- 2.1% 14,093 Cavco Industries, Inc. (a) 1,400,562 23,977 Ethan Allen Interiors, Inc. 832,721 22,585 iRobot Corp. (a) 856,423 69,451 KB Home (b) 1,090,381 28,476 La-Z-Boy, Inc. 860,545 32,549 M.D.C. Holdings, Inc. 856,690 35,172 Meritage Homes Corp. (a) 1,279,909 29,180 TopBuild Corp. (a) 1,101,837 67,025 TRI Pointe Group, Inc. (a) 901,486 SHARES DESCRIPTION VALUE ------------------------------------------------------------ HOUSEHOLD DURABLES (CONTINUED) 3,653 Universal Electronics, Inc. (a) $ 282,523 --------------- 9,463,077 --------------- HOUSEHOLD PRODUCTS -- 0.5% 60,820 Central Garden & Pet Co., Class A (a) 1,386,088 6,745 WD-40 Co. 775,540 --------------- 2,161,628 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 1.0% 76,590 Dynegy, Inc. (a) 1,158,807 84,696 NRG Yield, Inc., Class C 1,519,446 24,138 Ormat Technologies, Inc. 1,101,658 34,492 Pattern Energy Group, Inc. 840,570 --------------- 4,620,481 --------------- INSURANCE -- 4.0% 74,129 American Equity Investment Life Holding Co. 1,180,875 17,254 AMERISAFE, Inc. 1,009,877 25,443 Argo Group International Holdings Ltd. 1,320,237 45,499 Employers Holdings, Inc. 1,297,631 13,058 FBL Financial Group, Inc., Class A 814,427 102,359 Genworth Financial, Inc., Class A (a) 292,747 23,448 Horace Mann Educators Corp. 801,453 13,095 Infinity Property & Casualty Corp. 1,074,314 31,106 James River Group Holdings Ltd. 1,047,028 25,572 Kemper Corp. 876,352 107,877 Maiden Holdings Ltd. 1,507,042 77,329 MBIA, Inc. (a) 652,657 6,761 National Western Life Group, Inc., Class A 1,278,776 8,616 Navigators Group (The), Inc. 807,061 8,576 Safety Insurance Group, Inc. 546,291 27,646 Selective Insurance Group, Inc. 1,082,617 6,377 Stewart Information Services Corp. 272,999 24,897 United Fire Group, Inc. 1,045,674 28,426 Universal Insurance Holdings, Inc. 617,981 --------------- 17,526,039 --------------- INTERNET & CATALOG RETAIL -- 0.1% 12,070 Liberty TripAdvisor Holdings, Inc., Class A (a) 285,697 5,665 Shutterfly, Inc. (a) 301,321 --------------- 587,018 --------------- INTERNET SOFTWARE & SERVICES -- 2.6% 26,939 2U, Inc. (a) 942,326 70,610 Bankrate, Inc. (a) 562,762 See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES (CONTINUED) 20,784 Benefitfocus, Inc. (a) (b) $ 893,712 27,753 Cornerstone OnDemand, Inc. (a) 1,198,652 23,783 Envestnet, Inc. (a) 907,797 33,999 GrubHub, Inc. (a) 1,289,242 12,490 LogMeIn, Inc. (a) 1,073,016 48,146 NIC, Inc. 1,122,765 28,274 Q2 Holdings, Inc. (a) 839,172 8,715 SPS Commerce, Inc. (a) 551,834 3,022 Stamps.com, Inc. (a) 229,083 13,633 WebMD Health Corp. (a) 831,749 26,094 Yelp, Inc. (a) 839,444 --------------- 11,281,554 --------------- IT SERVICES -- 1.7% 12,008 Acxiom Corp. (a) 275,584 33,167 Cardtronics PLC, Class A (a) 1,459,016 13,101 CSG Systems International, Inc. 527,446 16,994 EVERTEC, Inc. 292,297 20,154 ExlService Holdings, Inc. (a) 997,825 20,949 ManTech International Corp., Class A 827,695 56,163 NeuStar, Inc., Class A (a) (b) 1,414,746 26,006 Perficient, Inc. (a) 577,853 18,238 Sykes Enterprises, Inc. (a) 559,724 19,469 TeleTech Holdings, Inc. 555,645 --------------- 7,487,831 --------------- LEISURE PRODUCTS -- 0.6% 25,865 Callaway Golf Co. 276,755 48,579 Smith & Wesson Holding Corp. (a) 1,430,652 12,376 Sturm Ruger & Co., Inc. 841,568 --------------- 2,548,975 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.4% 20,421 Cambrex Corp. (a) 1,070,265 26,107 Luminex Corp. (a) 559,473 --------------- 1,629,738 --------------- MACHINERY -- 4.2% 13,227 Albany International Corp., Class A 559,899 33,454 American Railcar Industries, Inc. (b) 1,405,402 9,406 Astec Industries, Inc. 566,994 39,867 Barnes Group, Inc. 1,512,155 49,875 Briggs & Stratton Corp. 1,133,659 19,837 ESCO Technologies, Inc. 840,097 102,515 Federal Signal Corp. 1,348,072 15,980 Franklin Electric Co., Inc. 618,746 45,327 Greenbrier (The) Cos., Inc. (b) 1,488,085 17,582 Hillenbrand, Inc. 568,778 21,568 John Bean Technologies Corp. 1,443,330 23,888 Kennametal, Inc. 593,856 24,850 Mueller Industries, Inc. 845,894 SHARES DESCRIPTION VALUE ------------------------------------------------------------ MACHINERY (CONTINUED) 23,125 Mueller Water Products, Inc., Class A $ 274,262 10,927 RBC Bearings, Inc. (a) 830,780 13,452 Rexnord Corp. (a) 286,393 40,519 SPX FLOW, Inc. (a) 1,105,358 6,391 Standex International Corp. 567,521 17,788 Sun Hydraulics Corp. 537,198 9,804 Tennant Co. 628,240 103,968 Wabash National Corp. (a) 1,505,457 --------------- 18,660,176 --------------- MARINE -- 0.1% 8,178 Matson, Inc. 305,612 --------------- MEDIA -- 1.4% 95,612 Gannett Co., Inc. 1,220,009 7,486 Loral Space & Communications, Inc. (a) 262,983 25,438 Meredith Corp. 1,385,862 17,059 National CineMedia, Inc. 265,779 73,073 New Media Investment Group, Inc. 1,290,469 11,100 Nexstar Broadcasting Group, Inc., Class A (b) 561,105 33,335 Scholastic Corp. 1,370,069 --------------- 6,356,276 --------------- METALS & MINING -- 0.5% 20,711 Allegheny Technologies, Inc. (b) 368,863 8,019 Carpenter Technology Corp. 314,746 46,879 Commercial Metals Co. 775,378 8,762 Kaiser Aluminum Corp. 725,932 --------------- 2,184,919 --------------- MULTILINE RETAIL -- 0.3% 21,079 Big Lots, Inc. 1,120,981 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.0% 163,014 Alon USA Energy, Inc. 1,152,509 7,367 Carrizo Oil & Gas, Inc. (a) 241,638 16,414 CONSOL Energy, Inc. 318,103 79,965 Delek US Holdings, Inc. 1,001,162 40,175 Green Plains, Inc. 911,169 48,456 Kosmos Energy Ltd. (a) 268,931 50,396 Laredo Petroleum, Inc. (a) 504,968 113,098 Oasis Petroleum, Inc. (a) 859,545 59,910 Rice Energy, Inc. (a) 1,397,101 16,222 SemGroup Corp., Class A 469,789 29,342 SM Energy Co. 796,048 18,801 Targa Resources Corp. 700,525 --------------- 8,621,488 --------------- PAPER & FOREST PRODUCTS -- 1.3% 46,027 Boise Cascade Co. (a) 1,250,553 16,158 Clearwater Paper Corp. (a) 1,016,500 101,493 KapStone Paper and Packaging Corp. 1,449,320 Page 50 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) PAPER & FOREST PRODUCTS (CONTINUED) 7,297 Neenah Paper, Inc. $ 550,413 37,427 Schweitzer-Mauduit International, Inc. 1,415,115 --------------- 5,681,901 --------------- PERSONAL PRODUCTS -- 0.4% 9,243 Inter Parfums, Inc. 300,767 11,434 Nu Skin Enterprises, Inc., Class A 610,576 16,414 Revlon, Inc., Class A (a) 582,533 2,370 USANA Health Sciences, Inc. (a) 325,448 --------------- 1,819,324 --------------- PHARMACEUTICALS -- 0.6% 53,838 Depomed, Inc. (a) 1,021,307 9,029 Dermira, Inc. (a) 303,013 6,804 Intra-Cellular Therapies, Inc. (a) 277,603 22,202 Lannett Co., Inc. (a) (b) 693,146 62,136 TherapeuticsMD, Inc. (a) (b) 482,797 --------------- 2,777,866 --------------- PROFESSIONAL SERVICES -- 2.3% 14,923 Advisory Board (The) Co. (a) 623,184 18,085 Exponent, Inc. 918,899 19,476 FTI Consulting, Inc. (a) 834,352 13,111 Huron Consulting Group, Inc. (a) 805,933 3,420 Insperity, Inc. 268,436 38,271 Korn/Ferry International 880,616 81,760 Navigant Consulting, Inc. (a) 1,611,490 63,512 TriNet Group, Inc. (a) 1,377,575 69,790 TrueBlue, Inc. (a) 1,558,411 22,077 WageWorks, Inc. (a) 1,364,579 --------------- 10,243,475 --------------- REAL ESTATE INVESTMENT TRUSTS -- 9.3% 27,371 Agree Realty Corp. 1,388,257 1,290 Alexander's, Inc. 553,758 12,446 American Assets Trust, Inc. 571,023 32,868 Apollo Commercial Real Estate Finance, Inc. 534,105 108,901 Capstead Mortgage Corp. 1,083,565 141,828 CBL & Associates Properties, Inc. 1,743,066 12,013 Chatham Lodging Trust 288,072 56,792 Chesapeake Lodging Trust 1,435,134 50,786 Cousins Properties, Inc. 540,363 31,550 CYS Investments, Inc. 282,373 146,225 DiamondRock Hospitality Co. 1,435,930 15,328 EastGroup Properties, Inc. 1,128,447 64,568 Franklin Street Properties Corp. 827,762 33,219 Global Net Lease, Inc. (b) 290,002 45,808 Government Properties Income Trust 1,092,979 SHARES DESCRIPTION VALUE ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 24,452 Hannon Armstrong Sustainable Infrastructure Capital, Inc. $ 549,926 45,169 InfraREIT, Inc. 797,685 19,291 Invesco Mortgage Capital, Inc. 277,790 163,265 Investors Real Estate Trust (b) 1,080,814 27,537 iStar, Inc. (a) 285,283 104,483 Lexington Realty Trust 1,135,730 20,421 LTC Properties, Inc. 1,093,136 29,342 Mack-Cali Realty Corp. 827,444 51,731 Monogram Residential Trust, Inc. 554,039 74,181 New Senior Investment Group, Inc. 889,430 50,301 Pebblebrook Hotel Trust 1,491,425 12,311 Pennsylvania Real Estate Investment Trust 313,192 65,086 PennyMac Mortgage Investment Trust 1,056,346 62,846 Physicians Realty Trust 1,365,015 23,586 QTS Realty Trust, Inc., Class A 1,350,299 53,868 Ramco-Gershenson Properties Trust 1,068,741 76,491 Redwood Trust, Inc. 1,091,527 48,745 Retail Opportunity Investments Corp. 1,112,848 62,608 Rexford Industrial Realty, Inc. 1,431,219 12,799 Sabra Health Care REIT, Inc. 306,024 12,838 Saul Centers, Inc. 862,328 40,645 Select Income REIT 1,128,305 55,455 STAG Industrial, Inc. 1,407,448 99,729 Summit Hotel Properties, Inc. 1,414,157 40,833 Terreno Realty Corp. 1,137,199 17,226 Tier REIT, Inc. 300,249 9,237 Universal Health Realty Income Trust 551,172 25,182 Washington Real Estate Investment Trust 863,491 70,799 WP Glimcher, Inc. 897,731 78,690 Xenia Hotels & Resorts, Inc. 1,413,272 --------------- 41,248,101 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 9,146 HFF, Inc., Class A 258,008 10,392 Marcus & Millichap, Inc. (a) 278,402 14,902 St. Joe (The) Co. (a) 274,644 --------------- 811,054 --------------- ROAD & RAIL -- 0.9% 60,745 Heartland Express, Inc. 1,124,998 68,549 Swift Transportation Co. (a) 1,319,568 57,485 Werner Enterprises, Inc. 1,444,023 --------------- 3,888,589 --------------- See Notes to Financial Statements Page 51 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.9% 20,870 Advanced Energy Industries, Inc. (a) $ 849,826 256,888 Advanced Micro Devices, Inc. (a) 1,762,252 5,198 Ambarella, Inc. (a) 301,380 183,709 Amkor Technology, Inc. (a) 1,155,530 18,710 Cabot Microelectronics Corp. 984,520 56,219 Diodes, Inc. (a) 1,040,614 54,749 Entegris, Inc. (a) 935,661 32,979 Inphi Corp. (a) 1,160,201 58,511 Intersil Corp., Class A 894,048 73,438 MaxLinear, Inc., Class A (a) 1,601,683 18,400 MKS Instruments, Inc. 840,512 10,548 Power Integrations, Inc. 601,974 11,067 Semtech Corp. (a) 281,323 5,418 Silicon Laboratories, Inc. (a) 288,671 15,947 Veeco Instruments, Inc. (a) 267,431 --------------- 12,965,626 --------------- SOFTWARE -- 3.2% 90,376 8x8, Inc. (a) 1,242,670 25,744 BroadSoft, Inc. (a) 1,154,104 52,869 Callidus Software, Inc. (a) 1,085,401 27,565 Ebix, Inc. 1,469,766 6,096 Fleetmatics Group PLC (a) 261,884 35,314 Gigamon, Inc. (a) 1,649,870 6,083 HubSpot, Inc. (a) 332,071 28,155 Infoblox, Inc. (a) 527,062 10,721 Monotype Imaging Holdings, Inc. 212,169 30,558 Paycom Software, Inc. (a) 1,442,643 24,452 Paylocity Holding Corp. (a) 1,091,537 29,396 Pegasystems, Inc. 820,148 8,859 Qualys, Inc. (a) 278,084 35,479 RealPage, Inc. (a) 892,297 40,175 RingCentral, Inc., Class A (a) 925,230 33,771 Rovi Corp. (a) 635,232 8,289 Synchronoss Technologies, Inc. (a) 309,511 --------------- 14,329,679 --------------- SPECIALTY RETAIL -- 5.4% 60,319 Aaron's, Inc. 1,444,640 74,140 Abercrombie & Fitch Co., Class A 1,535,439 15,022 Asbury Automotive Group, Inc. (a) 913,338 37,781 Ascena Retail Group, Inc. (a) 307,159 69,802 Barnes & Noble, Inc. 913,010 50,805 Buckle (The), Inc. (b) 1,391,549 54,539 Caleres, Inc. 1,435,466 28,005 Cato (The) Corp., Class A 1,001,739 24,657 Chico's FAS, Inc. 296,131 9,882 Children's Place (The), Inc. 825,938 62,341 DSW, Inc., Class A 1,512,393 SHARES DESCRIPTION VALUE ------------------------------------------------------------ SPECIALTY RETAIL (CONTINUED) 91,001 Express, Inc. (a) $ 1,361,375 39,240 Finish Line (The), Inc., Class A 852,685 28,450 Five Below, Inc. (a) 1,451,234 20,531 Genesco, Inc. (a) 1,425,262 21,400 Group 1 Automotive, Inc. 1,333,648 70,189 Guess?, Inc. 1,033,182 37,954 Hibbett Sports, Inc. (a) 1,325,354 3,717 Lithia Motors, Inc., Class A 320,740 24,702 Select Comfort Corp. (a) 589,390 66,419 Tile Shop Holdings, Inc. (a) 1,132,444 43,194 Vitamin Shoppe, Inc. (a) 1,263,856 --------------- 23,665,972 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 17,654 Cray, Inc. (a) 557,160 53,179 Diebold, Inc. 1,501,775 42,509 Super Micro Computer, Inc. (a) 916,069 --------------- 2,975,004 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 18,363 Deckers Outdoor Corp. (a) 1,212,142 46,282 Fossil Group, Inc. (a) 1,462,511 38,987 Wolverine World Wide, Inc. 954,792 --------------- 3,629,445 --------------- THRIFTS & MORTGAGE FINANCE -- 1.7% 20,762 Beneficial Bancorp, Inc. 281,533 37,861 Capitol Federal Financial, Inc. 536,490 24,217 Essent Group Ltd. (a) 580,239 71,086 EverBank Financial Corp. 1,276,705 43,274 Flagstar Bancorp, Inc. (a) 1,142,866 41,984 Kearny Financial Corp. 546,632 5,979 LendingTree, Inc. (a) (b) 603,759 53,602 Meridian Bancorp, Inc. 787,949 23,454 Nationstar Mortgage Holdings, Inc. (a) 296,224 35,615 Northwest Bancshares, Inc. 531,020 19,827 PHH Corp. (a) 289,673 13,445 Provident Financial Services, Inc. 270,917 11,593 Walker & Dunlop, Inc. (a) 274,406 8,203 WSFS Financial Corp. 288,664 --------------- 7,707,077 --------------- TOBACCO -- 0.3% 22,867 Universal Corp. 1,356,242 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 30,030 GATX Corp. (b) 1,343,242 18,633 Kaman Corp. 804,200 61,273 Rush Enterprises, Inc., Class A (a) 1,408,054 25,645 WESCO International, Inc. (a) 1,429,452 --------------- 4,984,948 --------------- Page 52 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) WATER UTILITIES -- 0.4% 18,080 American States Water Co. $ 781,056 7,561 California Water Service Group 255,033 20,118 SJW Corp. 852,198 --------------- 1,888,287 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 33,805 Shenandoah Telecommunications Co. 1,388,709 --------------- TOTAL COMMON STOCKS -- 100.0% 442,566,668 (Cost $392,779,033) --------------- MONEY MARKET FUNDS -- 1.4% 5,955,745 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 5,955,745 179,976 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (c) 179,976 --------------- TOTAL MONEY MARKET FUNDS -- 1.4% 6,135,721 (Cost $6,135,721) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 1.6% $ 2,358,368 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $2,358,420. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $2,411,761. (d) 2,358,368 4,885,588 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $4,885,710. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $4,998,902. (d) 4,885,588 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.6% 7,243,956 (Cost $7,243,956) --------------- DESCRIPTION VALUE ------------------------------------------------------------ TOTAL INVESTMENTS -- 103.0% $ 455,946,345 (Cost $406,158,710) (e) NET OTHER ASSETS AND LIABILITIES -- (3.0)% (13,319,628) --------------- NET ASSETS -- 100.0% $ 442,626,717 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $13,065,305 and the total value of the collateral held by the Fund is $13,199,701. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $407,308,893. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $57,936,196 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $9,298,744. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 --------------------------------------- Common Stocks* $442,566,668 $ -- $ -- Money Market Funds 6,135,721 -- -- Repurchase Agreements -- 7,243,956 -- --------------------------------------- Total Investments $448,702,389 $ 7,243,956 $ -- ======================================= * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. See Notes to Financial Statements Page 53 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 13,065,305 Non-cash Collateral(2) (13,065,305) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 7,243,956 Non-cash Collateral(4) (7,243,956) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 54 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.3% 20,405 General Dynamics Corp. $ 2,997,290 11,891 Honeywell International, Inc. 1,383,280 155,428 Textron, Inc. 6,061,692 --------------- 10,442,262 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 28,207 Expeditors International of Washington, Inc. 1,394,272 18,720 FedEx Corp. 3,030,768 --------------- 4,425,040 --------------- AIRLINES -- 3.0% 250,900 American Airlines Group, Inc. 8,906,950 194,977 Delta Air Lines, Inc. 7,555,358 173,075 United Continental Holdings, Inc. (a) 8,115,487 --------------- 24,577,795 --------------- AUTO COMPONENTS -- 2.5% 240,616 BorgWarner, Inc. 7,983,639 161,717 Goodyear Tire & Rubber (The) Co. 4,636,426 69,802 Lear Corp. 7,919,037 --------------- 20,539,102 --------------- AUTOMOBILES -- 2.4% 565,076 Ford Motor Co. 7,153,862 250,990 General Motors Co. 7,916,224 91,605 Harley-Davidson, Inc. 4,847,737 --------------- 19,917,823 --------------- BANKS -- 9.2% 428,215 Bank of America Corp. 6,204,835 116,531 BB&T Corp. 4,296,498 134,049 Citigroup, Inc. 5,872,687 284,405 Citizens Financial Group, Inc. 6,350,764 403,809 Fifth Third Bancorp 7,664,295 635,615 Huntington Bancshares, Inc. 6,038,342 91,445 JPMorgan Chase & Co. 5,849,737 514,244 KeyCorp 6,016,655 11,699 M&T Bank Corp. 1,340,237 69,818 PNC Financial Services Group (The), Inc. 5,770,458 834,665 Regions Financial Corp. 7,653,878 138,326 SunTrust Banks, Inc. 5,849,806 70,449 U.S. Bancorp 2,970,834 87,675 Wells Fargo & Co. 4,205,770 --------------- 76,084,796 --------------- CAPITAL MARKETS -- 4.5% 20,183 Affiliated Managers Group, Inc. (a) 2,962,461 46,183 Ameriprise Financial, Inc. 4,426,179 212,855 Franklin Resources, Inc. 7,703,222 19,123 Goldman Sachs Group (The), Inc. 3,036,923 162,477 Invesco Ltd. 4,741,079 218,723 Morgan Stanley 6,283,912 SHARES DESCRIPTION VALUE ------------------------------------------------------------ CAPITAL MARKETS (CONTINUED) 20,875 Northern Trust Corp. $ 1,410,941 105,386 State Street Corp. 6,932,291 --------------- 37,497,008 --------------- CHEMICALS -- 2.9% 9,737 Air Products and Chemicals, Inc. 1,454,903 104,610 Eastman Chemical Co. 6,823,710 76,355 LyondellBasell Industries N.V., Class A 5,746,477 271,314 Mosaic (The) Co. 7,325,478 13,280 PPG Industries, Inc. 1,390,549 12,308 Praxair, Inc. 1,434,374 --------------- 24,175,491 --------------- COMMUNICATIONS EQUIPMENT -- 0.9% 198,063 Cisco Systems, Inc. 6,046,863 16,577 Harris Corp. 1,435,900 --------------- 7,482,763 --------------- CONSUMER FINANCE -- 3.2% 416,110 Ally Financial, Inc. 7,506,625 46,761 American Express Co. 3,014,214 111,842 Capital One Financial Corp. 7,502,361 77,433 Discover Financial Services 4,401,292 164,147 Synchrony Financial (a) 4,576,418 --------------- 27,000,910 --------------- CONTAINERS & PACKAGING -- 0.7% 67,042 International Paper Co. 3,071,194 73,094 WestRock Co. 3,136,464 --------------- 6,207,658 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.0% 39,246 Berkshire Hathaway, Inc., Class B (a) 5,662,020 114,749 Voya Financial, Inc. 2,941,017 --------------- 8,603,037 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.5% 131,507 AT&T, Inc. 5,692,938 244,847 CenturyLink, Inc. 7,697,990 137,950 Level 3 Communications, Inc. (a) 6,980,270 --------------- 20,371,198 --------------- ELECTRIC UTILITIES -- 6.2% 71,566 Alliant Energy Corp. 2,880,531 59,203 American Electric Power Co., Inc. 4,102,768 61,684 Avangrid, Inc. 2,784,416 48,370 Duke Energy Corp. 4,139,988 53,426 Edison International 4,134,104 51,010 Entergy Corp. 4,151,704 47,432 Eversource Energy 2,774,298 156,281 Exelon Corp. 5,826,156 162,773 FirstEnergy Corp. 5,684,033 See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 64,919 PG&E Corp. $ 4,150,921 51,193 Pinnacle West Capital Corp. 4,037,592 75,264 PPL Corp. 2,838,205 92,668 Xcel Energy, Inc. 4,075,539 --------------- 51,580,255 --------------- ELECTRICAL EQUIPMENT -- 1.3% 95,135 Eaton Corp. PLC 6,032,510 54,470 Emerson Electric Co. 3,044,873 12,047 Rockwell Automation, Inc. 1,378,177 --------------- 10,455,560 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 138,731 Corning, Inc. 3,082,603 124,374 TE Connectivity Ltd. 7,497,265 --------------- 10,579,868 --------------- FOOD & STAPLES RETAILING -- 1.8% 29,676 CVS Health Corp. 2,751,559 112,792 Kroger (The) Co. 3,856,358 56,828 Wal-Mart Stores, Inc. 4,146,739 129,596 Whole Foods Market, Inc. 3,950,086 --------------- 14,704,742 --------------- FOOD PRODUCTS -- 2.0% 132,487 Archer-Daniels-Midland Co. 5,972,514 120,085 Bunge Ltd. 7,906,397 10,689 Ingredion, Inc. 1,424,202 9,075 J.M. Smucker (The) Co. 1,399,002 --------------- 16,702,115 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 35,187 Abbott Laboratories 1,574,618 157,076 Baxter International, Inc. 7,542,790 16,822 Varian Medical Systems, Inc. (a) 1,593,716 --------------- 10,711,124 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.6% 11,325 Aetna, Inc. 1,304,753 17,439 AmerisourceBergen Corp. 1,485,629 43,265 Anthem, Inc. 5,682,425 17,731 Cardinal Health, Inc. 1,482,312 37,482 Express Scripts Holding Co. (a) 2,851,256 21,811 Laboratory Corp. of America Holdings (a) 3,043,943 69,801 Quest Diagnostics, Inc. 6,028,014 --------------- 21,878,332 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.7% 21,838 Darden Restaurants, Inc. 1,344,347 65,330 Las Vegas Sands Corp. 3,308,965 19,419 Wyndham Worldwide Corp. 1,379,137 --------------- 6,032,449 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ HOUSEHOLD DURABLES -- 1.9% 97,823 Garmin Ltd. $ 5,314,724 123,263 Lennar Corp., Class A 5,768,708 24,902 Whirlpool Corp. 4,790,149 --------------- 15,873,581 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 227,660 AES (The) Corp. 2,811,601 --------------- INSURANCE -- 9.2% 39,374 Aflac, Inc. 2,845,953 7,551 Alleghany Corp. (a) 4,103,969 40,617 Allstate (The) Corp. 2,775,360 26,152 American International Group, Inc. 1,423,715 59,689 Arthur J. Gallagher & Co. 2,936,102 10,582 Chubb Ltd. 1,325,501 18,469 Cincinnati Financial Corp. 1,379,634 38,884 Everest Re Group, Ltd. 7,349,465 75,766 FNF Group 2,854,105 93,503 Hartford Financial Services Group (The), Inc. 3,726,095 107,033 Lincoln National Corp. 4,674,131 142,667 MetLife, Inc. 6,097,588 100,940 Principal Financial Group, Inc. 4,706,832 41,291 Progressive (The) Corp. 1,342,370 99,567 Prudential Financial, Inc. 7,496,399 45,959 Torchmark Corp. 2,843,483 47,734 Travelers (The) Cos., Inc. 5,547,645 178,749 Unum Group 5,972,004 213,241 XL Group Ltd. 7,380,271 --------------- 76,780,622 --------------- INTERNET & CATALOG RETAIL -- 0.4% 111,990 Liberty Interactive Corp., QVC Group, Class A (a) 3,002,452 --------------- INTERNET SOFTWARE & SERVICES -- 0.5% 50,800 Akamai Technologies, Inc. (a) 2,566,924 59,087 eBay, Inc. (a) 1,841,151 --------------- 4,408,075 --------------- IT SERVICES -- 1.8% 27,340 International Business Machines Corp. 4,391,351 216,354 Western Union (The) Co. 4,327,080 598,778 Xerox Corp. 6,167,413 --------------- 14,885,844 --------------- MACHINERY -- 2.7% 18,246 Caterpillar, Inc. 1,510,039 50,536 Cummins, Inc. 6,204,305 35,058 Deere & Co. 2,724,357 59,863 Dover Corp. 4,276,014 21,721 Ingersoll-Rand PLC 1,439,233 26,668 PACCAR, Inc. 1,572,612 26,296 Parker-Hannifin Corp. 3,002,740 Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 30,980 Xylem, Inc. $ 1,481,154 --------------- 22,210,454 --------------- MEDIA -- 2.8% 63,654 Comcast Corp., Class A 4,280,732 281,530 Discovery Communications, Inc., Class A (a) 7,063,588 56,428 Time Warner, Inc. 4,325,206 51,136 Twenty-First Century Fox, Inc., Class A 1,362,263 137,024 Viacom, Inc., Class B 6,230,481 --------------- 23,262,270 --------------- METALS & MINING -- 0.2% 149,214 Alcoa, Inc. 1,584,653 --------------- MULTILINE RETAIL -- 3.2% 14,716 Dollar General Corp. 1,394,194 187,315 Kohl's Corp. 7,790,431 169,068 Macy's, Inc. 6,057,707 109,058 Nordstrom, Inc. (b) 4,823,635 81,386 Target Corp. 6,130,807 --------------- 26,196,774 --------------- MULTI-UTILITIES -- 2.3% 30,162 CMS Energy Corp. 1,362,719 35,321 Consolidated Edison, Inc. 2,828,506 28,665 DTE Energy Co. 2,795,411 52,157 NiSource, Inc. 1,338,348 121,914 Public Service Enterprise Group, Inc. 5,609,263 37,552 SCANA Corp. 2,814,147 24,918 Sempra Energy 2,787,826 --------------- 19,536,220 --------------- OIL, GAS & CONSUMABLE FUELS -- 6.8% 273,404 Antero Resources Corp. (a) 7,160,451 39,585 Chevron Corp. 4,056,671 65,164 ConocoPhillips 2,659,994 30,309 Exxon Mobil Corp. 2,695,985 298,822 HollyFrontier Corp. 7,596,055 276,459 Marathon Oil Corp. 3,770,901 187,117 Marathon Petroleum Corp. 7,370,539 89,526 Phillips 66 6,809,348 94,808 Tesoro Corp. 7,219,629 139,274 Valero Energy Corp. 7,281,245 --------------- 56,620,818 --------------- REAL ESTATE INVESTMENT TRUSTS -- 0.7% 350,550 Host Hotels & Resorts, Inc. 6,218,757 --------------- ROAD & RAIL -- 2.9% 217,884 CSX Corp. 6,172,654 35,106 J.B. Hunt Transport Services, Inc. 2,918,362 46,062 Kansas City Southern 4,427,019 66,749 Norfolk Southern Corp. 5,992,725 SHARES DESCRIPTION VALUE ------------------------------------------------------------ ROAD & RAIL (CONTINUED) 47,561 Union Pacific Corp. $ 4,425,551 --------------- 23,936,311 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.4% 146,514 First Solar, Inc. (a) 6,839,274 216,555 Intel Corp. 7,549,107 38,756 Maxim Integrated Products, Inc. 1,580,470 516,205 Micron Technology, Inc. (a) 7,092,657 77,461 QUALCOMM, Inc. 4,847,509 --------------- 27,909,017 --------------- SOFTWARE -- 0.7% 126,399 CA, Inc. 4,379,725 33,795 Oracle Corp. 1,386,947 --------------- 5,766,672 --------------- SPECIALTY RETAIL -- 3.6% 164,345 Bed Bath & Beyond, Inc. 7,387,308 232,125 Best Buy Co., Inc. 7,799,400 28,212 CarMax, Inc. (a) 1,643,631 334,732 Gap (The), Inc. 8,632,738 68,431 Tiffany & Co. 4,415,168 --------------- 29,878,245 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.4% 388,779 Hewlett Packard Enterprise Co. 8,172,135 330,649 HP, Inc. 4,632,393 56,252 NetApp, Inc. 1,482,240 120,236 Western Digital Corp. 5,712,412 --------------- 19,999,180 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.1% 33,952 Coach, Inc. 1,463,671 63,406 Ralph Lauren Corp. 6,219,495 22,494 VF Corp. 1,404,300 --------------- 9,087,466 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 12,501 W.W. Grainger, Inc. 2,735,844 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.9% 1,254,393 Sprint Corp. (a) 7,701,973 --------------- TOTAL COMMON STOCKS -- 99.9% 830,376,157 (Cost $803,622,025) --------------- MONEY MARKET FUNDS -- 0.3% 1,638,046 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 1,638,046 See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ MONEY MARKET FUNDS (CONTINUED) 794,929 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (c) $ 794,929 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 2,432,975 (Cost $2,432,975) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 0.2% $ 648,637 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $648,651. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $663,322. (d) 648,637 1,343,714 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $1,343,748. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $1,374,880. (d) 1,343,714 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.2% 1,992,351 (Cost $1,992,351) --------------- TOTAL INVESTMENTS -- 100.4% 834,801,483 (Cost $808,047,351) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (3,545,026) --------------- NET ASSETS -- 100.0% $ 831,256,457 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $3,635,971 and the total value of the collateral held by the Fund is $3,630,397. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $810,927,436. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $58,840,319 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $34,966,272. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 --------------------------------------- Common Stocks* $830,376,157 $ -- $ -- Money Market Funds 2,432,975 -- -- Repurchase Agreements -- 1,992,351 -- --------------------------------------- Total Investments $832,809,132 $ 1,992,351 $ -- ======================================= * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. Page 58 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- OFFSETTING ASSETS AND LIABILITIES ---------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 3,635,971 Non-cash Collateral(2) (3,630,397) --------------- Net Amount $ 5,574 =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On July 29, 2016, the last business day of the period, there was sufficient collateral based on the end of the day market value from the prior business day; however, as a result of market movement from July 28 to July 29, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,992,351 Non-cash Collateral(4) (1,992,351) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 59 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.6% 21,795 Lockheed Martin Corp. $ 5,508,250 24,335 Northrop Grumman Corp. 5,271,691 39,786 Raytheon Co. 5,551,341 20,513 TransDigm Group, Inc. (a) 5,733,794 --------------- 22,065,076 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 29,336 United Parcel Service, Inc., Class B 3,171,222 --------------- AIRLINES -- 0.3% 55,179 Southwest Airlines Co. 2,042,175 --------------- BANKS -- 0.5% 45,149 First Republic Bank 3,235,829 --------------- BEVERAGES -- 2.6% 23,237 Coca-Cola (The) Co. 1,013,830 26,162 Constellation Brands, Inc., Class A 4,307,050 44,780 Dr Pepper Snapple Group, Inc. 4,411,278 21,394 Molson Coors Brewing Co., Class B 2,185,611 13,463 Monster Beverage Corp. (a) 2,162,562 20,423 PepsiCo, Inc. 2,224,473 --------------- 16,304,804 --------------- BIOTECHNOLOGY -- 0.9% 51,041 AbbVie, Inc. 3,380,445 6,923 Amgen, Inc. 1,190,964 13,169 Incyte Corp. (a) 1,187,976 --------------- 5,759,385 --------------- BUILDING PRODUCTS -- 1.4% 74,645 Fortune Brands Home & Security, Inc. 4,722,789 102,131 Masco Corp. 3,725,739 --------------- 8,448,528 --------------- CAPITAL MARKETS -- 0.5% 27,112 Bank of New York Mellon (The) Corp. 1,068,213 21,894 SEI Investments Co. 985,230 14,436 T. Rowe Price Group, Inc. 1,020,481 --------------- 3,073,924 --------------- CHEMICALS -- 1.4% 18,243 Ecolab, Inc. 2,159,606 25,066 International Flavors & Fragrances, Inc. 3,340,045 10,760 Sherwin-Williams (The) Co. 3,225,095 --------------- 8,724,746 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.7% 55,120 Cintas Corp. 5,912,722 105,418 Republic Services, Inc. 5,403,727 81,620 Waste Management, Inc. 5,396,714 --------------- 16,713,163 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMUNICATIONS EQUIPMENT -- 0.9% 38,012 F5 Networks, Inc. (a) $ 4,691,441 46,835 Juniper Networks, Inc. 1,062,686 --------------- 5,754,127 --------------- CONSTRUCTION MATERIALS -- 1.8% 28,172 Martin Marietta Materials, Inc. 5,709,056 44,941 Vulcan Materials Co. 5,571,785 --------------- 11,280,841 --------------- CONTAINERS & PACKAGING -- 0.4% 20,787 Crown Holdings, Inc. (a) 1,101,087 22,914 Sealed Air Corp. 1,081,083 --------------- 2,182,170 --------------- DISTRIBUTORS -- 0.6% 99,684 LKQ Corp. (a) 3,428,133 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.2% 45,796 H&R Block, Inc. 1,089,487 --------------- DIVERSIFIED FINANCIAL SERVICES -- 2.5% 10,814 CME Group, Inc. 1,105,623 8,453 Intercontinental Exchange, Inc. 2,233,283 56,109 MSCI, Inc. 4,827,618 48,862 Nasdaq, Inc. 3,457,475 29,460 S&P Global, Inc. 3,600,012 --------------- 15,224,011 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.9% 9,758 SBA Communications Corp., Class A (a) 1,122,170 77,492 Verizon Communications, Inc. 4,293,832 --------------- 5,416,002 --------------- ELECTRIC UTILITIES -- 1.2% 33,184 NextEra Energy, Inc. 4,257,175 58,920 Southern (The) Co. 3,152,220 --------------- 7,409,395 --------------- ELECTRICAL EQUIPMENT -- 0.9% 21,814 Acuity Brands, Inc. 5,724,648 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 37,739 Amphenol Corp., Class A 2,246,225 78,840 CDW Corp. 3,384,601 --------------- 5,630,826 --------------- FOOD & STAPLES RETAILING -- 0.5% 37,949 Walgreens Boots Alliance, Inc. 3,007,458 --------------- FOOD PRODUCTS -- 5.9% 65,041 Campbell Soup Co. 4,050,103 66,095 ConAgra Foods, Inc. 3,090,602 75,840 General Mills, Inc. 5,452,138 28,779 Hormel Foods Corp. 1,074,896 Page 60 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 24,453 Kraft Heinz (The) Co. $ 2,112,495 40,566 McCormick & Co., Inc. 4,147,873 23,842 Mead Johnson Nutrition Co. 2,126,706 47,541 Mondelez International, Inc., Class A 2,090,853 80,986 Tyson Foods, Inc., Class A 5,960,570 115,231 WhiteWave Foods (The) Co. (a) 6,394,168 --------------- 36,500,404 --------------- GAS UTILITIES -- 0.9% 66,515 Atmos Energy Corp. 5,307,232 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.5% 31,894 Becton, Dickinson and Co. 5,613,344 231,449 Boston Scientific Corp. (a) 5,619,582 53,554 Danaher Corp. 4,361,438 54,236 Edwards Lifesciences Corp. (a) 6,211,107 6,543 Intuitive Surgical, Inc. (a) 4,552,357 62,336 Medtronic PLC 5,462,503 49,976 ResMed, Inc. 3,442,347 45,139 Stryker Corp. 5,248,763 --------------- 40,511,441 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.3% 44,277 Centene Corp. (a) 3,123,742 56,190 HCA Holdings, Inc. (a) 4,333,935 24,475 Henry Schein, Inc. (a) 4,429,485 59,743 MEDNAX, Inc. (a) 4,116,890 32,269 Universal Health Services, Inc., Class B 4,179,804 --------------- 20,183,856 --------------- HEALTH CARE TECHNOLOGY -- 0.5% 53,924 Cerner Corp. (a) 3,364,318 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.8% 64,739 Aramark 2,320,893 96,031 Hilton Worldwide Holdings, Inc. 2,226,959 32,554 Marriott International, Inc., Class A (b) 2,334,122 8,754 McDonald's Corp. 1,029,908 18,440 Starbucks Corp. 1,070,442 26,092 Yum! Brands, Inc. 2,333,147 --------------- 11,315,471 --------------- HOUSEHOLD DURABLES -- 2.5% 137,457 D.R. Horton, Inc. 4,519,586 11,400 Mohawk Industries, Inc. (a) 2,381,916 65,060 Newell Brands, Inc. 3,413,048 3,037 NVR, Inc. (a) 5,178,085 --------------- 15,492,635 --------------- HOUSEHOLD PRODUCTS -- 2.3% 52,571 Church & Dwight Co., Inc. 5,164,575 31,268 Clorox (The) Co. 4,098,297 SHARES DESCRIPTION VALUE ------------------------------------------------------------ HOUSEHOLD PRODUCTS (CONTINUED) 29,558 Colgate-Palmolive Co. $ 2,200,002 22,984 Kimberly-Clark Corp. 2,977,577 --------------- 14,440,451 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 18,045 3M Co. 3,218,506 --------------- INSURANCE -- 1.5% 4,541 Markel Corp. (a) 4,308,273 79,009 Marsh & McLennan Cos., Inc. 5,194,842 --------------- 9,503,115 --------------- INTERNET & CATALOG RETAIL -- 1.1% 7,559 Amazon.com, Inc. (a) 5,735,845 843 Priceline Group (The), Inc. (a) 1,138,733 --------------- 6,874,578 --------------- INTERNET SOFTWARE & SERVICES -- 1.1% 1,498 Alphabet, Inc., Class A (a) 1,185,427 27,652 Facebook, Inc., Class A (a) 3,427,189 25,024 VeriSign, Inc. (a) 2,167,329 --------------- 6,779,945 --------------- IT SERVICES -- 7.4% 27,893 Accenture PLC, Class A 3,146,609 5,377 Alliance Data Systems Corp. (a) 1,245,421 47,101 Automatic Data Processing, Inc. 4,189,634 18,401 Cognizant Technology Solutions Corp., Class A (a) 1,057,874 49,747 Fiserv, Inc. (a) 5,490,079 7,358 FleetCor Technologies, Inc. (a) 1,116,061 44,422 Gartner, Inc. (a) 4,453,306 60,621 Global Payments, Inc. 4,525,964 36,209 Jack Henry & Associates, Inc. 3,231,653 72,726 Paychex, Inc. 4,311,197 80,760 Sabre Corp. 2,354,154 101,845 Total System Services, Inc. 5,185,947 95,565 Vantiv, Inc., Class A (a) 5,234,095 --------------- 45,541,994 --------------- LEISURE PRODUCTS -- 0.7% 51,519 Hasbro, Inc. 4,184,888 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.6% 5,928 Mettler-Toledo International, Inc. (a) 2,437,653 33,123 Quintiles Transnational Holdings, Inc. (a) 2,571,670 14,642 Thermo Fisher Scientific, Inc. 2,325,735 15,383 Waters Corp. (a) 2,444,820 --------------- 9,779,878 --------------- MACHINERY -- 0.9% 20,771 Illinois Tool Works, Inc. 2,396,973 6,674 Snap-on, Inc. 1,048,953 19,453 Stanley Black & Decker, Inc. 2,367,430 --------------- 5,813,356 --------------- See Notes to Financial Statements Page 61 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MEDIA -- 1.6% 13,820 Charter Communications, Inc., Class A (a) $ 3,245,903 136,795 Interpublic Group of Cos. (The), Inc. 3,154,493 547,742 Sirius XM Holdings, Inc. (a) 2,404,587 10,768 Walt Disney (The) Co. 1,033,190 --------------- 9,838,173 --------------- MULTI-UTILITIES -- 1.7% 100,950 Ameren Corp. 5,293,818 82,832 WEC Energy Group, Inc. 5,376,625 --------------- 10,670,443 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.1% 18,132 Cimarex Energy Co. 2,176,203 87,172 Devon Energy Corp. 3,336,944 6,966 Pioneer Natural Resources Co. 1,132,462 --------------- 6,645,609 --------------- PHARMACEUTICALS -- 1.8% 29,415 Bristol-Myers Squibb Co. 2,200,536 13,375 Eli Lilly and Co. 1,108,654 7,454 Jazz Pharmaceuticals PLC (a) 1,125,330 35,672 Johnson & Johnson 4,467,205 24,361 Mylan N.V. (a) 1,139,851 22,195 Zoetis, Inc. 1,120,182 --------------- 11,161,758 --------------- PROFESSIONAL SERVICES -- 1.3% 42,125 Equifax, Inc. 5,579,877 26,685 Verisk Analytics, Inc. (a) 2,275,697 --------------- 7,855,574 --------------- REAL ESTATE INVESTMENT TRUSTS -- 11.4% 38,087 American Tower Corp. 4,409,332 7,986 Boston Properties, Inc. 1,135,050 39,808 Brixmor Property Group, Inc. 1,130,547 24,470 Camden Property Trust 2,192,267 31,154 Crown Castle International Corp. 3,022,873 49,627 Digital Realty Trust, Inc. 5,184,036 162,310 Duke Realty Corp. 4,672,905 11,161 Equinix, Inc. 4,161,602 23,381 Extra Space Storage, Inc. 2,011,234 13,070 Federal Realty Investment Trust 2,217,979 35,323 General Growth Properties, Inc. 1,128,570 29,772 HCP, Inc. 1,167,956 137,894 Kimco Realty Corp. 4,426,397 25,337 Macerich (The) Co. 2,261,074 29,699 Mid-America Apartment Communities, Inc. 3,148,688 110,296 Prologis, Inc. 6,010,029 4,121 Public Storage 984,589 62,387 Realty Income Corp. 4,458,799 37,741 Regency Centers Corp. 3,205,343 14,568 Simon Property Group, Inc. 3,307,519 SHARES DESCRIPTION VALUE ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 9,894 SL Green Realty Corp. $ 1,165,711 426,742 VEREIT, Inc. 4,719,767 56,809 Welltower, Inc. 4,506,658 --------------- 70,628,925 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 39,777 CBRE Group, Inc., Class A (a) 1,131,656 --------------- ROAD & RAIL -- 0.5% 8,437 AMERCO 3,336,918 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.4% 225,655 Applied Materials, Inc. 5,932,470 12,531 Lam Research Corp. 1,124,908 22,638 Linear Technology Corp. 1,358,053 42,623 Microchip Technology, Inc. 2,371,544 115,060 NVIDIA Corp. 6,569,926 50,439 Texas Instruments, Inc. 3,518,120 --------------- 20,875,021 --------------- SOFTWARE -- 4.1% 79,737 Activision Blizzard, Inc. 3,202,238 22,587 Adobe Systems, Inc. (a) 2,210,364 77,981 CDK Global, Inc. 4,506,522 39,456 Citrix Systems, Inc. (a) 3,516,713 41,709 Electronic Arts, Inc. (a) 3,183,231 38,769 Intuit, Inc. 4,302,971 39,792 salesforce.com, Inc. (a) 3,254,986 15,863 ServiceNow, Inc. (a) 1,188,456 --------------- 25,365,481 --------------- SPECIALTY RETAIL -- 5.7% 13,385 Advance Auto Parts, Inc. 2,273,576 5,450 AutoZone, Inc. (a) 4,436,136 16,943 Home Depot (The), Inc. 2,342,200 54,656 Lowe's Cos., Inc. 4,497,096 15,960 O'Reilly Automotive, Inc. (a) 4,638,455 55,742 Ross Stores, Inc. 3,446,528 56,030 TJX (The) Cos., Inc. 4,578,772 34,657 Tractor Supply Co. 3,176,314 22,200 Ulta Salon, Cosmetics & Fragrance, Inc. (a) 5,798,862 --------------- 35,187,939 --------------- TOBACCO -- 1.5% 62,750 Altria Group, Inc. 4,248,175 21,269 Philip Morris International, Inc. 2,132,430 58,594 Reynolds American, Inc. 2,933,215 --------------- 9,313,820 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 23,728 Fastenal Co. 1,014,372 --------------- WATER UTILITIES -- 0.9% 64,003 American Water Works Co., Inc. 5,285,368 --------------- Page 62 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES -- 0.9% 125,005 T-Mobile US, Inc. (a) $ 5,792,732 --------------- TOTAL COMMON STOCKS -- 100.0% 618,601,807 (Cost $552,175,932) --------------- MONEY MARKET FUNDS -- 0.0% 428,192 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 428,192 (Cost $428,192) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 0.1% $ 169,556 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $169,560. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $173,395. (d) 169,556 351,252 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $351,261. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $359,399. (d) 351,252 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.1% 520,808 (Cost $520,808) --------------- TOTAL INVESTMENTS -- 100.1% 619,550,807 (Cost $553,124,932) (e) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (852,470) --------------- NET ASSETS -- 100.0% $ 618,698,337 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $932,100 and the total value of the collateral held by the Fund is $949,000. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $553,490,025. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $67,976,529 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,915,747. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 --------------------------------------- Common Stocks* $618,601,807 $ -- $ -- Money Market Funds 428,192 -- -- Repurchase Agreements -- 520,808 -- --------------------------------------- Total Investments $619,029,999 $ 520,808 $ -- ======================================= * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. See Notes to Financial Statements Page 63 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 932,100 Non-cash Collateral(2) (932,100) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 520,808 Non-cash Collateral(4) (520,808) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.7% 5,344 AAR Corp. $ 129,111 936 B/E Aerospace, Inc. 44,774 1,242 Cubic Corp. 50,723 513 Curtiss-Wright Corp. 45,652 5,831 DigitalGlobe, Inc. (a) 157,204 2,091 Esterline Technologies Corp. (a) 127,195 1,259 General Dynamics Corp. 184,934 734 Honeywell International, Inc. 85,386 257 Huntington Ingalls Industries, Inc. 44,353 789 KLX, Inc. (a) 25,485 1,851 Moog, Inc., Class A (a) 101,935 5,028 Spirit AeroSystems Holdings, Inc., Class A (a) 218,115 1,310 Teledyne Technologies, Inc. (a) 137,550 9,589 Textron, Inc. 373,971 --------------- 1,726,388 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 2,409 Atlas Air Worldwide Holdings, Inc. (a) 104,141 1,740 Expeditors International of Washington, Inc. 86,008 1,155 FedEx Corp. 186,995 1,649 Forward Air Corp. 76,316 1,914 Hub Group, Inc., Class A (a) 78,359 --------------- 531,819 --------------- AIRLINES -- 1.8% 15,480 American Airlines Group, Inc. 549,540 12,029 Delta Air Lines, Inc. 466,124 4,714 SkyWest, Inc. 135,622 4,818 Spirit Airlines, Inc. (a) 205,969 10,678 United Continental Holdings, Inc. (a) 500,691 --------------- 1,857,946 --------------- AUTO COMPONENTS -- 2.1% 6,891 American Axle & Manufacturing Holdings, Inc. (a) 119,972 14,845 BorgWarner, Inc. 492,557 7,250 Cooper Tire & Rubber Co. 239,178 9,449 Dana, Inc. 128,884 9,977 Goodyear Tire & Rubber (The) Co. 286,041 4,307 Lear Corp. 488,629 1,846 Standard Motor Products, Inc. 77,421 2,783 Tenneco, Inc. (a) 157,295 3,285 Visteon Corp. 230,246 --------------- 2,220,223 --------------- AUTOMOBILES -- 1.4% 34,863 Ford Motor Co. 441,365 15,485 General Motors Co. 488,397 5,652 Harley-Davidson, Inc. 299,104 SHARES DESCRIPTION VALUE ------------------------------------------------------------ AUTOMOBILES (CONTINUED) 2,672 Thor Industries, Inc. $ 204,515 --------------- 1,433,381 --------------- BANKS -- 7.7% 2,267 1st Source Corp. 76,194 10,085 Associated Banc-Corp. 187,581 827 BancFirst Corp. 54,226 1,906 BancorpSouth, Inc. 45,401 26,419 Bank of America Corp. 382,811 1,173 Banner Corp. 48,961 7,190 BB&T Corp. 265,095 2,728 Berkshire Hills Bancorp, Inc. 71,937 1,379 BOK Financial Corp. 89,952 4,235 Boston Private Financial Holdings, Inc. 51,328 6,775 CIT Group, Inc. 234,144 8,270 Citigroup, Inc. 362,309 17,547 Citizens Financial Group, Inc. 391,825 1,097 City Holding Co. 51,230 2,103 Comerica, Inc. 95,140 596 Community Bank System, Inc. 26,301 1,357 Cullen/Frost Bankers, Inc. 92,127 3,795 East West Bancorp, Inc. 129,865 24,914 Fifth Third Bancorp 472,868 501 First Citizens BancShares, Inc., Class A 130,150 2,841 First Midwest Bancorp, Inc. 53,041 6,406 Fulton Financial Corp. 87,442 2,812 Hancock Holding Co. 81,520 2,081 Heartland Financial USA, Inc. 76,414 1,166 Hilltop Holdings, Inc. (a) 25,395 39,215 Huntington Bancshares, Inc. 372,542 724 IBERIABANK Corp. 45,228 2,814 International Bancshares Corp. 77,160 5,642 JPMorgan Chase & Co. 360,919 31,727 KeyCorp 371,206 722 M&T Bank Corp. 82,712 7,963 Old National Bancorp 104,793 5,899 People's United Financial, Inc. 89,429 4,307 PNC Financial Services Group (The), Inc. 355,974 7,379 Popular, Inc. 248,599 2,544 Prosperity Bancshares, Inc. 129,973 51,496 Regions Financial Corp. 472,218 8,534 SunTrust Banks, Inc. 360,903 454 SVB Financial Group (a) 45,591 13,672 TCF Financial Corp. 185,802 1,067 Texas Capital Bancshares, Inc. (a) 51,792 2,955 Trustmark Corp. 77,125 4,346 U.S. Bancorp 183,271 813 UMB Financial Corp. 45,048 2,728 United Community Banks, Inc. 52,487 4,741 Valley National Bancorp 43,001 5,409 Wells Fargo & Co. 259,470 2,365 WesBanco, Inc. 73,126 See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 1,696 Wintrust Financial Corp. $ 89,549 5,162 Zions Bancorporation 143,917 --------------- 7,905,092 --------------- BUILDING PRODUCTS -- 0.5% 1,531 NCI Building Systems, Inc. (a) 24,833 3,357 Owens Corning 177,619 1,248 Simpson Manufacturing Co., Inc. 50,918 8,019 USG Corp. (a) 225,815 --------------- 479,185 --------------- CAPITAL MARKETS -- 3.3% 1,245 Affiliated Managers Group, Inc. (a) 182,741 2,849 Ameriprise Financial, Inc. 273,048 605 Cohen & Steers, Inc. 26,076 1,223 Eaton Vance Corp. 46,242 1,502 Federated Investors, Inc., Class B 47,418 13,132 Franklin Resources, Inc. 475,247 1,180 Goldman Sachs Group (The), Inc. 187,396 3,099 Greenhill & Co., Inc. 61,453 10,024 Invesco Ltd. 292,500 9,319 Janus Capital Group, Inc. 140,717 7,502 KCG Holdings, Inc., Class A (a) 113,505 1,466 Legg Mason, Inc. 50,049 5,757 LPL Financial Holdings, Inc. (b) 155,151 13,494 Morgan Stanley 387,683 1,288 Northern Trust Corp. 87,056 1,754 Raymond James Financial, Inc. 96,295 6,502 State Street Corp. 427,702 1,375 Stifel Financial Corp. (a) 48,606 1,032 Virtus Investment Partners, Inc. 86,987 12,555 Waddell & Reed Financial, Inc., Class A 229,254 --------------- 3,415,126 --------------- CHEMICALS -- 2.9% 3,007 A. Schulman, Inc. 88,135 601 Air Products and Chemicals, Inc. 89,801 1,636 Albemarle Corp. 137,702 377 Ashland, Inc. 42,692 7,588 Calgon Carbon Corp. 104,714 6,454 Eastman Chemical Co. 420,994 1,829 Ferro Corp. (a) 23,704 3,735 FMC Corp. 177,562 1,134 H.B. Fuller Co. 52,799 9,644 Huntsman Corp. 149,096 2,712 Innospec, Inc. 136,332 4,711 LyondellBasell Industries N.V., Class A 354,550 1,293 Minerals Technologies, Inc. 84,381 16,739 Mosaic (The) Co. 451,953 104 NewMarket Corp. 44,506 1,227 PolyOne Corp. 43,031 SHARES DESCRIPTION VALUE ------------------------------------------------------------ CHEMICALS (CONTINUED) 819 PPG Industries, Inc. $ 85,758 759 Praxair, Inc. 88,454 559 Quaker Chemical Corp. 53,474 1,676 Stepan Co. 107,784 5,037 Westlake Chemical Corp. 230,392 --------------- 2,967,814 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 671 ABM Industries, Inc. 24,968 830 Clean Harbors, Inc. (a) 42,679 1,488 Covanta Holding Corp. 23,838 1,954 Deluxe Corp. 132,071 652 G&K Services, Inc., Class A 52,297 2,456 Herman Miller, Inc. 80,483 1,073 HNI Corp. 55,935 4,815 Interface, Inc. 85,996 706 Mobile Mini, Inc. 22,952 466 MSA Safety, Inc. 26,040 787 Multi-Color Corp. 50,824 2,555 R.R. Donnelley & Sons Co. 45,786 9,191 Steelcase, Inc., Class A 133,269 796 Tetra Tech, Inc. 26,212 862 UniFirst Corp. 100,751 --------------- 904,101 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 1,312 ADTRAN, Inc. 23,878 18,840 Brocade Communications Systems, Inc. 175,212 12,220 Cisco Systems, Inc. 373,077 3,142 EchoStar Corp., Class A (a) 122,381 2,849 Finisar Corp. (a) 53,447 1,023 Harris Corp. 88,612 7,477 Ixia (a) 85,986 1,049 NETGEAR, Inc. (a) 53,950 1,943 NetScout Systems, Inc. (a) 54,365 556 Plantronics, Inc. 26,822 --------------- 1,057,730 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 2,722 AECOM (a) 96,604 2,633 EMCOR Group, Inc. 146,658 1,755 Fluor Corp. 93,927 1,095 Granite Construction, Inc. 54,509 1,736 Jacobs Engineering Group, Inc. (a) 92,911 16,329 KBR, Inc. 228,932 3,879 Primoris Services Corp. 70,016 9,351 Quanta Services, Inc. (a) 239,386 --------------- 1,022,943 --------------- CONSTRUCTION MATERIALS -- 0.1% 560 Eagle Materials, Inc. 47,012 2,438 Summit Materials, Inc., Class A (a) 53,977 --------------- 100,989 --------------- Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) CONSUMER FINANCE -- 2.5% 25,672 Ally Financial, Inc. $ 463,123 2,885 American Express Co. 185,967 6,900 Capital One Financial Corp. 462,852 4,777 Discover Financial Services 271,525 2,170 Green Dot Corp., Class A (a) 52,514 14,473 Navient Corp. 205,516 3,589 Nelnet, Inc., Class A 145,031 5,167 PRA Group, Inc. (a) 143,953 20,929 Santander Consumer USA Holdings, Inc. (a) 230,010 20,990 SLM Corp. (a) 150,918 10,127 Synchrony Financial (a) 282,341 --------------- 2,593,750 --------------- CONTAINERS & PACKAGING -- 1.0% 840 Bemis Co., Inc. 42,874 10,344 Graphic Packaging Holding Co. 141,092 657 Greif, Inc., Class A 26,366 4,136 International Paper Co. 189,470 2,401 Owens-Illinois, Inc. (a) 45,115 2,584 Packaging Corp. of America 192,999 1,680 Silgan Holdings, Inc. 83,294 1,741 Sonoco Products Co. 88,669 4,510 WestRock Co. 193,524 --------------- 1,003,403 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.2% 6,991 DeVry Education Group, Inc. 155,689 4,007 Regis Corp. (a) 53,854 2,104 Weight Watchers International, Inc. (a) (b) 25,101 --------------- 234,644 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 2,421 Berkshire Hathaway, Inc., Class B (a) 349,278 2,495 Leucadia National Corp. 45,559 7,080 Voya Financial, Inc. 181,460 --------------- 576,297 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.5% 8,113 AT&T, Inc. 351,212 641 ATN International, Inc. 47,126 15,106 CenturyLink, Inc. 474,933 35,011 Frontier Communications Corp. 182,057 8,269 Iridium Communications, Inc. (a) 74,256 8,511 Level 3 Communications, Inc. (a) 430,656 --------------- 1,560,240 --------------- ELECTRIC UTILITIES -- 3.8% 2,007 ALLETE, Inc. 128,147 4,415 Alliant Energy Corp. 177,704 SHARES DESCRIPTION VALUE ------------------------------------------------------------ ELECTRIC UTILITIES (CONTINUED) 3,653 American Electric Power Co., Inc. $ 253,153 3,806 Avangrid, Inc. 171,803 2,984 Duke Energy Corp. 255,401 3,296 Edison International 255,044 1,553 El Paso Electric Co. 74,047 3,147 Entergy Corp. 256,134 2,926 Eversource Energy 171,142 9,642 Exelon Corp. 359,454 10,043 FirstEnergy Corp. 350,702 5,689 Great Plains Energy, Inc. 169,418 2,641 OGE Energy Corp. 84,961 2,192 Otter Tail Corp. 76,391 4,005 PG&E Corp. 256,080 3,158 Pinnacle West Capital Corp. 249,071 1,220 PNM Resources, Inc. 41,919 3,920 Portland General Electric Co. 171,186 4,644 PPL Corp. 175,125 5,717 Xcel Energy, Inc. 251,434 --------------- 3,928,316 --------------- ELECTRICAL EQUIPMENT -- 1.1% 3,396 Babcock & Wilcox Enterprises, Inc. (a) 52,163 5,870 Eaton Corp. PLC 372,217 3,361 Emerson Electric Co. 187,880 2,677 Encore Wire Corp. 100,468 1,454 EnerSys 90,657 410 Hubbell, Inc. 44,210 3,927 Regal Beloit Corp. 239,586 743 Rockwell Automation, Inc. 84,999 --------------- 1,172,180 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.2% 1,873 Anixter International, Inc. (a) 114,777 3,493 Arrow Electronics, Inc. (a) 232,250 5,337 Avnet, Inc. 219,351 7,348 AVX Corp. 100,374 826 Belden, Inc. 60,471 5,897 Benchmark Electronics, Inc. (a) 138,226 544 Coherent, Inc. (a) 57,691 8,559 Corning, Inc. 190,181 1,043 Dolby Laboratories, Inc., Class A 52,473 1,220 ePlus, Inc. (a) 102,614 2,794 FLIR Systems, Inc. 91,029 4,797 Insight Enterprises, Inc. (a) 127,600 11,705 Jabil Circuit, Inc. 238,197 5,945 Keysight Technologies, Inc. (a) 173,832 2,145 Methode Electronics, Inc. 75,139 1,138 MTS Systems Corp. 53,975 1,700 Plexus Corp. (a) 78,098 1,202 Rogers Corp. (a) 82,265 4,652 Sanmina Corp. (a) 117,882 2,689 ScanSource, Inc. (a) 110,330 1,368 SYNNEX Corp. 137,525 See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 7,673 TE Connectivity Ltd. $ 462,528 3,009 Tech Data Corp. (a) 234,491 1,975 Vishay Intertechnology, Inc. 26,327 --------------- 3,277,626 --------------- ENERGY EQUIPMENT & SERVICES -- 1.1% 8,745 Bristow Group, Inc. 94,534 8,886 Diamond Offshore Drilling, Inc. 201,890 3,700 Dril-Quip, Inc. (a) 201,391 3,242 FMC Technologies, Inc. (a) 82,282 2,960 Frank's International N.V. 36,467 1,288 Helmerich & Payne, Inc. 79,817 14,863 McDermott International, Inc. (a) 76,990 7,240 Oceaneering International, Inc. 201,851 1,517 Oil States International, Inc. (a) 46,906 4,056 Patterson-UTI Energy, Inc. 78,646 422 SEACOR Holdings, Inc. (a) 23,851 --------------- 1,124,625 --------------- FOOD & STAPLES RETAILING -- 1.1% 1,831 CVS Health Corp. 169,770 6,959 Kroger (The) Co. 237,928 15,556 SUPERVALU, Inc. (a) 75,913 1,569 United Natural Foods, Inc. (a) 78,419 3,506 Wal-Mart Stores, Inc. 255,833 1,974 Weis Markets, Inc. 101,997 7,996 Whole Foods Market, Inc. 243,718 --------------- 1,163,578 --------------- FOOD PRODUCTS -- 1.7% 8,174 Archer-Daniels-Midland Co. 368,484 7,409 Bunge Ltd. 487,808 6,697 Darling Ingredients, Inc. (a) 105,679 4,059 Dean Foods Co. 74,929 4,612 Flowers Foods, Inc. 84,815 1,589 Fresh Del Monte Produce, Inc. 90,335 869 Hain Celestial Group (The), Inc. (a) 45,874 659 Ingredion, Inc. 87,805 560 J.M. Smucker (The) Co. 86,330 6,788 Pilgrim's Pride Corp. 157,821 1,440 Sanderson Farms, Inc. 126,129 --------------- 1,716,009 --------------- GAS UTILITIES -- 0.3% 770 Northwest Natural Gas Co. 50,004 1,578 South Jersey Industries, Inc. 50,306 1,648 Southwest Gas Corp. 127,720 1,911 UGI Corp. 86,492 --------------- 314,522 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 0.7% 2,171 Abbott Laboratories $ 97,152 308 Analogic Corp. 25,878 9,691 Baxter International, Inc. 465,362 513 CONMED Corp. 20,849 1,038 Varian Medical Systems, Inc. (a) 98,340 --------------- 707,581 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.4% 699 Aetna, Inc. 80,532 1,076 AmerisourceBergen Corp. 91,664 2,669 Anthem, Inc. 350,546 5,601 Brookdale Senior Living, Inc. (a) 103,450 1,094 Cardinal Health, Inc. 91,458 17,941 Community Health Systems, Inc. (a) 229,107 2,313 Express Scripts Holding Co. (a) 175,950 1,114 HealthSouth Corp. 47,958 11,048 Kindred Healthcare, Inc. 135,449 1,346 Laboratory Corp. of America Holdings (a) 187,848 3,307 LifePoint Health, Inc. (a) 195,708 759 Magellan Health, Inc. (a) 51,969 1,541 National HealthCare Corp. 99,549 1,157 Owens & Minor, Inc. 41,316 2,223 Providence Service (The) Corp. (a) 107,527 4,306 Quest Diagnostics, Inc. 371,866 9,180 Select Medical Holdings Corp. (a) 105,570 --------------- 2,467,467 --------------- HEALTH CARE TECHNOLOGY -- 0.0% 1,390 HMS Holdings Corp. (a) 27,633 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.4% 2,472 Belmond Ltd., Class A (a) 28,403 61 Biglari Holdings, Inc. (a) 25,322 4,839 Bloomin' Brands, Inc. 87,005 1,315 Bob Evans Farms, Inc. 48,366 3,799 Brinker International, Inc. 179,085 2,695 Cheesecake Factory (The), Inc. 139,412 252 Cracker Barrel Old Country Store, Inc. (b) 39,667 1,347 Darden Restaurants, Inc. 82,921 1,066 Dave & Buster's Entertainment, Inc. (a) 47,437 4,575 Fiesta Restaurant Group, Inc. (a) 102,206 1,015 Hyatt Hotels Corp., Class A (a) 51,197 2,983 International Speedway Corp., Class A 100,736 1,539 Interval Leisure Group, Inc. 27,671 2,147 La Quinta Holdings, Inc. (a) 26,558 4,031 Las Vegas Sands Corp. 204,170 Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 728 Marriott Vacations Worldwide Corp. $ 55,547 2,630 Red Robin Gourmet Burgers, Inc. (a) 127,187 1,708 SeaWorld Entertainment, Inc. (b) 26,303 1,198 Wyndham Worldwide Corp. 85,082 --------------- 1,484,275 --------------- HOUSEHOLD DURABLES -- 2.3% 3,534 CalAtlantic Group, Inc. 127,966 2,222 Ethan Allen Interiors, Inc. 77,170 6,035 Garmin Ltd. 327,882 2,408 Harman International Industries, Inc. 198,997 6,560 KB Home (b) 102,992 2,639 La-Z-Boy, Inc. 79,751 7,605 Lennar Corp., Class A 355,914 3,017 M.D.C. Holdings, Inc. 79,408 3,323 Meritage Homes Corp. (a) 120,924 8,874 PulteGroup, Inc. 187,951 6,427 Toll Brothers, Inc. (a) 180,020 2,028 TopBuild Corp. (a) 76,577 1,537 Tupperware Brands Corp. 96,339 339 Universal Electronics, Inc. (a) 26,218 1,536 Whirlpool Corp. 295,465 --------------- 2,333,574 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 14,046 AES (The) Corp. 173,468 7,235 Dynegy, Inc. (a) 109,466 8,000 NRG Yield, Inc., Class C 143,520 --------------- 426,454 --------------- INDUSTRIAL CONGLOMERATES -- 0.1% 818 Carlisle Cos., Inc. 84,491 --------------- INSURANCE -- 8.2% 2,429 Aflac, Inc. 175,568 466 Alleghany Corp. (a) 253,271 2,506 Allstate (The) Corp. 171,235 8,753 American Equity Investment Life Holding Co. 139,435 1,170 American Financial Group, Inc. 85,527 1,614 American International Group, Inc. 87,866 764 American National Insurance Co. 87,363 2,403 Argo Group International Holdings Ltd. 124,692 3,683 Arthur J. Gallagher & Co. 181,167 4,661 Aspen Insurance Holdings Ltd. 214,220 501 Assurant, Inc. 41,588 8,522 Assured Guaranty Ltd. 228,304 3,931 Axis Capital Holdings Ltd. 218,485 SHARES DESCRIPTION VALUE ------------------------------------------------------------ INSURANCE (CONTINUED) 653 Chubb Ltd. $ 81,795 1,140 Cincinnati Financial Corp. 85,158 12,382 CNO Financial Group, Inc. 215,075 4,298 Employers Holdings, Inc. 122,579 2,575 Endurance Specialty Holdings Ltd. 174,147 2,399 Everest Re Group, Ltd. 453,435 1,210 FBL Financial Group, Inc., Class A 75,468 3,225 First American Financial Corp. 134,837 4,674 FNF Group 176,070 9,486 Genworth Financial, Inc., Class A (a) 27,130 2,044 Hanover Insurance Group (The), Inc. 168,303 5,769 Hartford Financial Services Group (The), Inc. 229,895 1,477 Horace Mann Educators Corp. 50,484 910 Infinity Property & Casualty Corp. 74,656 2,370 Kemper Corp. 81,220 6,604 Lincoln National Corp. 288,397 10,190 Maiden Holdings Ltd. 142,354 7,305 MBIA, Inc. (a) 61,654 8,802 MetLife, Inc. 376,198 639 National Western Life Group, Inc., Class A 120,860 798 Navigators Group (The), Inc. 74,749 6,724 Old Republic International Corp. 130,311 6,228 Principal Financial Group, Inc. 290,412 807 ProAssurance Corp. 41,690 2,547 Progressive (The) Corp. 82,803 6,143 Prudential Financial, Inc. 462,506 892 Reinsurance Group of America, Inc. 88,531 1,473 RenaissanceRe Holdings Ltd. 173,107 810 Safety Insurance Group, Inc. 51,597 1,922 Selective Insurance Group, Inc. 75,266 2,836 Torchmark Corp. 175,463 2,945 Travelers (The) Cos., Inc. 342,268 2,352 United Fire Group, Inc. 98,784 11,028 Unum Group 368,446 3,559 Validus Holdings Ltd. 175,921 2,165 W. R. Berkley Corp. 125,981 103 White Mountains Insurance Group Ltd. 84,596 13,156 XL Group Ltd. 455,329 --------------- 8,446,196 --------------- INTERNET & CATALOG RETAIL -- 0.3% 884 HSN, Inc. 45,225 6,909 Liberty Interactive Corp. QVC Group Class A (a) 185,230 525 Shutterfly, Inc. (a) 27,925 --------------- 258,380 --------------- See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES -- 0.5% 3,134 Akamai Technologies, Inc. (a) $ 158,361 3,272 Bankrate, Inc. (a) 26,078 3,645 eBay, Inc. (a) 113,578 10,364 Rackspace Hosting, Inc. (a) 242,829 --------------- 540,846 --------------- IT SERVICES -- 1.8% 1,459 Booz Allen Hamilton Holding Corp. 45,054 1,913 CACI International, Inc., Class A (a) 182,366 1,742 Computer Sciences Corp. 83,320 1,485 DST Systems, Inc. 183,145 1,687 International Business Machines Corp. 270,966 2,710 Leidos Holdings, Inc. (b) 135,527 1,941 ManTech International Corp., Class A 76,689 5,305 NeuStar, Inc., Class A (a) (b) 133,633 2,456 Perficient, Inc. (a) 54,572 13,348 Western Union (The) Co. 266,960 36,942 Xerox Corp. 380,503 --------------- 1,812,735 --------------- LEISURE PRODUCTS -- 0.3% 1,908 Brunswick Corp. 94,675 2,397 Callaway Golf Co. 25,648 2,115 Polaris Industries, Inc. 208,856 --------------- 329,179 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.0% 302 Bio-Rad Laboratories, Inc., Class A (a) 43,817 --------------- MACHINERY -- 4.2% 3,670 AGCO Corp. 176,747 3,160 American Railcar Industries, Inc. 132,752 436 Astec Industries, Inc. 26,282 3,766 Barnes Group, Inc. 142,844 4,711 Briggs & Stratton Corp. 107,081 1,126 Caterpillar, Inc. 93,188 1,422 CLARCOR, Inc. 88,534 4,902 Colfax Corp. (a) 143,923 2,287 Crane Co. 142,480 3,118 Cummins, Inc. 382,797 2,163 Deere & Co. 168,087 1,258 Donaldson Co., Inc. 45,452 3,693 Dover Corp. 263,791 1,249 ESCO Technologies, Inc. 52,895 7,747 Federal Signal Corp. 101,873 957 Flowserve Corp. 45,792 1,510 Franklin Electric Co., Inc. 58,467 4,282 Greenbrier (The) Cos., Inc. (b) 140,578 1,661 Hillenbrand, Inc. 53,733 1,340 Ingersoll-Rand PLC 88,788 SHARES DESCRIPTION VALUE ------------------------------------------------------------ MACHINERY (CONTINUED) 6,760 ITT, Inc. $ 214,360 1,107 Kennametal, Inc. 27,520 2,303 Mueller Industries, Inc. 78,394 2,143 Mueller Water Products, Inc., Class A 25,416 517 Nordson Corp. 45,646 3,625 Oshkosh Corp. 199,701 1,645 PACCAR, Inc. 97,006 1,622 Parker-Hannifin Corp. 185,216 3,827 SPX FLOW, Inc. (a) 104,401 1,680 Sun Hydraulics Corp. 50,736 454 Tennant Co. 29,092 5,641 Timken (The) Co. 188,691 11,642 Trinity Industries, Inc. 270,211 9,821 Wabash National Corp. (a) 142,208 1,231 Wabtec Corp. 84,324 750 Woodward, Inc. 43,905 1,911 Xylem, Inc. 91,365 --------------- 4,334,276 --------------- MARINE -- 0.1% 2,772 Kirby Corp. (a) 151,046 --------------- MEDIA -- 2.3% 2,372 Cinemark Holdings, Inc. 89,187 3,927 Comcast Corp., Class A 264,091 17,369 Discovery Communications, Inc., Class A (a) 435,788 9,032 Gannett Co., Inc. 115,248 2,486 John Wiley & Sons, Inc., Class A 143,442 694 Loral Space & Communications, Inc. (a) 24,380 1,922 Meredith Corp. 104,711 6,902 New Media Investment Group, Inc. 121,889 3,573 New York Times (The) Co., Class A 46,378 3,149 Scholastic Corp. 129,424 7,465 TEGNA, Inc. 163,484 3,481 Time Warner, Inc. 266,819 3,155 Twenty-First Century Fox, Inc., Class A 84,049 8,454 Viacom, Inc., Class B 384,403 --------------- 2,373,293 --------------- METALS & MINING -- 0.6% 9,206 Alcoa, Inc. 97,768 1,920 Allegheny Technologies, Inc. 34,195 2,952 Commercial Metals Co. 48,826 1,748 Compass Minerals International, Inc. 121,643 2,249 Reliance Steel & Aluminum Co. 176,412 3,067 Worthington Industries, Inc. 135,899 --------------- 614,743 --------------- MULTILINE RETAIL -- 1.9% 1,465 Big Lots, Inc. 77,909 3,568 Dillard's, Inc., Class A 241,482 Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) MULTILINE RETAIL (CONTINUED) 908 Dollar General Corp. $ 86,024 11,557 Kohl's Corp. 480,656 10,431 Macy's, Inc. 373,743 6,728 Nordstrom, Inc. (b) 297,579 5,021 Target Corp. 378,232 --------------- 1,935,625 --------------- MULTI-UTILITIES -- 1.4% 2,895 Avista Corp. 125,933 1,861 CMS Energy Corp. 84,080 2,179 Consolidated Edison, Inc. 174,494 1,768 DTE Energy Co. 172,415 3,218 NiSource, Inc. 82,574 7,522 Public Service Enterprise Group, Inc. 346,087 2,317 SCANA Corp. 173,636 1,537 Sempra Energy 171,960 2,463 Vectren Corp. 127,411 --------------- 1,458,590 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.5% 19,248 Alon USA Energy, Inc. 136,083 16,868 Antero Resources Corp. (a) 441,773 2,442 Chevron Corp. 250,256 4,020 ConocoPhillips 164,096 1,521 CONSOL Energy, Inc. 29,477 11,158 CVR Energy, Inc. (b) 165,138 9,442 Delek US Holdings, Inc. 118,214 1,870 Exxon Mobil Corp. 166,337 2,530 Green Plains, Inc. 57,380 18,436 HollyFrontier Corp. 468,643 17,057 Marathon Oil Corp. 232,658 11,545 Marathon Petroleum Corp. 454,758 10,683 Oasis Petroleum, Inc. (a) 81,191 3,637 PBF Energy, Inc., Class A 81,251 5,523 Phillips 66 420,079 752 SemGroup Corp., Class A 21,778 1,848 SM Energy Co. 50,136 1,742 Targa Resources Corp. 64,907 5,849 Tesoro Corp. 445,401 8,593 Valero Energy Corp. 449,242 10,480 Western Refining, Inc. 218,508 1,821 World Fuel Services Corp. 86,680 --------------- 4,603,986 --------------- PAPER & FOREST PRODUCTS -- 0.5% 4,348 Boise Cascade Co. (a) 118,135 1,123 Clearwater Paper Corp. (a) 70,648 9,587 KapStone Paper and Packaging Corp. 136,902 689 Neenah Paper, Inc. 51,971 2,828 Schweitzer-Mauduit International, Inc. 106,927 --------------- 484,583 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ PERSONAL PRODUCTS -- 0.1% 857 Inter Parfums, Inc. $ 27,887 1,080 Nu Skin Enterprises, Inc., Class A 57,672 --------------- 85,559 --------------- PHARMACEUTICALS -- 0.1% 5,642 Catalent, Inc. (a) 144,097 --------------- PROFESSIONAL SERVICES -- 0.8% 1,805 FTI Consulting, Inc. (a) 77,326 1,215 Huron Consulting Group, Inc. (a) 74,686 317 Insperity, Inc. 24,881 3,547 Korn/Ferry International 81,617 2,688 ManpowerGroup, Inc. 186,547 7,723 Navigant Consulting, Inc. (a) 152,220 3,399 Robert Half International, Inc. 124,200 6,592 TrueBlue, Inc. (a) 147,199 --------------- 868,676 --------------- REAL ESTATE INVESTMENT TRUSTS -- 4.4% 6,896 Apple Hospitality REIT, Inc. 140,471 2,574 Brandywine Realty Trust 43,423 10,287 Capstead Mortgage Corp. 102,356 6,599 Care Capital Properties, Inc. 195,198 10,718 CBL & Associates Properties, Inc. 131,724 4,292 Chesapeake Lodging Trust 108,459 11,016 Chimera Investment Corp. 184,848 2,924 Corporate Office Properties Trust 87,603 3,704 Corrections Corp. of America 118,713 13,813 DiamondRock Hospitality Co. 135,644 4,453 Equity Commonwealth (a) 133,679 9,690 Forest City Realty Trust, Inc., Class A 229,168 5,984 Franklin Street Properties Corp. 76,715 3,795 GEO Group (The), Inc. 131,345 4,504 Hospitality Properties Trust 143,723 21,628 Host Hotels & Resorts, Inc. 383,681 4,186 InfraREIT, Inc. 73,925 1,788 Invesco Mortgage Capital, Inc. 25,747 15,422 Investors Real Estate Trust 102,094 9,169 LaSalle Hotel Properties 252,606 9,870 Lexington Realty Trust 107,287 23,790 MFA Financial, Inc. 178,901 3,801 Pebblebrook Hotel Trust 112,700 6,148 PennyMac Mortgage Investment Trust 99,782 7,225 Redwood Trust, Inc. 103,101 10,079 RLJ Lodging Trust 239,275 3,839 Select Income REIT 106,571 2,076 Senior Housing Properties Trust 46,108 2,087 Starwood Property Trust, Inc. 45,496 9,420 Summit Hotel Properties, Inc. 133,575 17,912 Sunstone Hotel Investors, Inc. 238,230 1,596 Tier REIT, Inc. 27,818 20,205 Two Harbors Investment Corp. 176,794 See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 7,433 Xenia Hotels & Resorts, Inc. $ 133,497 --------------- 4,550,257 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 2,219 Jones Lang LaSalle, Inc. 242,914 2,980 Realogy Holdings Corp. (a) 92,350 --------------- 335,264 --------------- ROAD & RAIL -- 3.1% 13,443 CSX Corp. 380,840 2,934 Genesee & Wyoming, Inc., Class A (a) 189,976 5,738 Heartland Express, Inc. 106,268 11,718 Hertz Global Holdings, Inc. (a) 570,432 2,166 J.B. Hunt Transport Services, Inc. 180,059 2,842 Kansas City Southern 273,145 6,507 Knight Transportation, Inc. 194,104 630 Landstar System, Inc. 44,409 4,118 Norfolk Southern Corp. 369,714 2,868 Old Dominion Freight Line, Inc. (a) 199,785 2,829 Ryder System, Inc. 186,431 6,475 Swift Transportation Co. (a) 124,644 2,934 Union Pacific Corp. 273,009 5,430 Werner Enterprises, Inc. 136,401 --------------- 3,229,217 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.4% 21,692 Amkor Technology, Inc. (a) 136,443 1,178 Cabot Microelectronics Corp. 61,986 3,908 Diodes, Inc. (a) 72,337 9,039 First Solar, Inc. (a) 421,941 13,361 Intel Corp. 465,765 5,423 Intersil Corp., Class A 82,863 13,611 Marvell Technology Group Ltd. 159,929 2,391 Maxim Integrated Products, Inc. 97,505 31,848 Micron Technology, Inc. (a) 437,592 19,609 ON Semiconductor Corp. (a) 196,678 489 Power Integrations, Inc. 27,907 4,779 QUALCOMM, Inc. 299,070 1,478 Veeco Instruments, Inc. (a) 24,786 --------------- 2,484,802 --------------- SOFTWARE -- 0.5% 7,798 CA, Inc. 270,201 4,068 Mentor Graphics Corp. 86,892 994 Monotype Imaging Holdings, Inc. 19,671 2,085 Oracle Corp. 85,568 1,565 Rovi Corp. (a) 29,438 756 VMware, Inc., Class A (a) (b) 55,173 --------------- 546,943 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ SPECIALTY RETAIL -- 5.6% 5,698 Aaron's, Inc. $ 136,467 7,003 Abercrombie & Fitch Co., Class A 145,032 13,571 American Eagle Outfitters, Inc. 243,192 1,392 Asbury Automotive Group, Inc. (a) 84,634 3,501 Ascena Retail Group, Inc. (a) 28,463 3,681 AutoNation, Inc. (a) 196,381 6,469 Barnes & Noble, Inc. 84,615 10,140 Bed Bath & Beyond, Inc. 455,793 14,321 Best Buy Co., Inc. 481,186 3,839 Buckle (The), Inc. (b) 105,150 1,727 Cabela's, Inc. (a) 89,165 4,121 Caleres, Inc. 108,465 1,741 CarMax, Inc. (a) 101,431 1,947 Cato (The) Corp., Class A 69,644 916 Children's Place (The), Inc. 76,559 2,007 CST Brands, Inc. 89,753 3,838 Dick's Sporting Goods, Inc. 196,851 4,711 DSW, Inc., Class A 114,289 8,596 Express, Inc. (a) 128,596 2,471 Finish Line (The), Inc., Class A 53,695 8,134 GameStop Corp., Class A 251,747 20,652 Gap (The), Inc. 532,615 1,939 Genesco, Inc. (a) 134,605 5,340 GNC Holdings, Inc., Class A 108,989 2,022 Group 1 Automotive, Inc. 126,011 6,630 Guess?, Inc. 97,594 2,868 Hibbett Sports, Inc. (a) 100,151 1,749 Murphy USA, Inc. (a) 134,043 5,498 Penske Automotive Group, Inc. 217,831 1,470 Sally Beauty Holdings, Inc. (a) 43,115 2,334 Select Comfort Corp. (a) 55,689 25,080 Staples, Inc. 232,993 4,222 Tiffany & Co. 272,404 6,289 Urban Outfitters, Inc. (a) 188,041 4,080 Vitamin Shoppe, Inc. (a) 119,381 2,488 Williams-Sonoma, Inc. 134,551 --------------- 5,739,121 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.4% 818 Cray, Inc. (a) 25,816 5,023 Diebold, Inc. 141,850 23,986 Hewlett Packard Enterprise Co. 504,186 20,400 HP, Inc. 285,804 3,471 NetApp, Inc. 91,461 4,015 Super Micro Computer, Inc. (a) 86,523 7,418 Western Digital Corp. 352,429 --------------- 1,488,069 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.3% 2,095 Coach, Inc. 90,315 1,503 Columbia Sportswear Co. 86,047 1,735 Deckers Outdoor Corp. (a) 114,527 4,372 Fossil Group, Inc. (a) 138,155 2,837 G-III Apparel Group Ltd. (a) 113,565 Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 2,294 PVH Corp. $ 231,832 3,912 Ralph Lauren Corp. 383,728 2,530 Steven Madden Ltd. (a) 88,601 1,388 VF Corp. 86,653 2,455 Wolverine World Wide, Inc. 60,123 --------------- 1,393,546 --------------- THRIFTS & MORTGAGE FINANCE -- 0.9% 6,715 EverBank Financial Corp. 120,601 4,088 Flagstar Bancorp, Inc. (a) 107,964 36,335 MGIC Investment Corp. (a) 261,249 2,174 Nationstar Mortgage Holdings, Inc. (a) 27,458 1,650 Northwest Bancshares, Inc. 24,601 14,313 Ocwen Financial Corp. (a) 28,626 1,837 PHH Corp. (a) 26,839 20,748 Radian Group, Inc. 267,649 3,565 Washington Federal, Inc. 89,125 --------------- 954,112 --------------- TOBACCO -- 0.1% 2,160 Universal Corp. 128,110 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 8,073 Air Lease Corp. 232,583 2,837 GATX Corp. 126,899 1,727 Kaman Corp. 74,537 1,226 MSC Industrial Direct Co., Inc., Class A 88,064 5,788 Rush Enterprises, Inc., Class A (a) 133,008 1,933 United Rentals, Inc. (a) 154,002 771 W.W. Grainger, Inc. 168,734 2,422 WESCO International, Inc. (a) 135,002 --------------- 1,112,829 --------------- WATER UTILITIES -- 0.0% 701 California Water Service Group 23,645 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.9% 77,391 Sprint Corp. (a) (b) 475,181 7,289 Telephone and Data Systems, Inc. 229,531 5,505 United States Cellular Corp. (a) 222,677 --------------- 927,389 --------------- TOTAL COMMON STOCKS -- 99.9% 103,218,333 (Cost $99,181,511) --------------- MONEY MARKET FUNDS -- 0.5% 372,584 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 372,584 SHARES DESCRIPTION VALUE ------------------------------------------------------------ 103,243 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (c) $ 103,243 --------------- TOTAL MONEY MARKET FUNDS -- 0.5% 475,827 (Cost $475,827) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 0.4% $ 147,537 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $147,540. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $150,877. (d) 147,537 305,636 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $305,644. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $312,725. (d) 305,636 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.4% 453,173 (Cost $453,173) --------------- TOTAL INVESTMENTS -- 100.8% 104,147,333 (Cost $100,110,511) (e) NET OTHER ASSETS AND LIABILITIES -- (0.8)% (851,603) --------------- NET ASSETS -- 100.0% $ 103,295,730 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $823,137 and the total value of the collateral held by the Fund is $825,757. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $100,678,507. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $8,109,174 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $4,640,348. See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 --------------------------------------- Common Stocks* $103,218,333 $ -- $ -- Money Market Funds 475,827 -- -- Repurchase Agreements -- 453,173 -- --------------------------------------- Total Investments $103,694,160 $ 453,173 $ -- ======================================= * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. ----------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 823,137 Non-cash Collateral(2) (823,137) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 453,173 Non-cash Collateral(4) (453,173) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 74 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.4% 5,751 Aerojet Rocketdyne Holdings, Inc. (a) $ 108,464 2,728 HEICO Corp. 189,623 1,488 Lockheed Martin Corp. 376,062 4,229 Mercury Systems, Inc. (a) 109,616 1,662 Northrop Grumman Corp. 360,039 2,717 Raytheon Co. 379,103 3,381 TASER International, Inc. (a) 97,914 1,401 TransDigm Group, Inc. (a) 391,608 --------------- 2,012,429 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 2,003 United Parcel Service, Inc., Class B 216,525 2,776 XPO Logistics, Inc. (a) 82,225 --------------- 298,750 --------------- AIRLINES -- 0.3% 241 Allegiant Travel Co. 31,274 1,630 Hawaiian Holdings, Inc. (a) 74,214 3,768 Southwest Airlines Co. 139,454 --------------- 244,942 --------------- AUTO COMPONENTS -- 0.5% 1,331 Cooper-Standard Holding, Inc. (a) 117,194 1,838 Dorman Products, Inc. (a) 117,081 1,239 Drew Industries, Inc. 113,505 4,718 Gentex Corp. 83,367 --------------- 431,147 --------------- BANKS -- 2.9% 2,084 Ameris Bancorp 69,105 1,059 Bank of Hawaii Corp. 72,986 1,186 BankUnited, Inc. 35,604 1,852 BNC Bancorp 44,930 1,870 Brookline Bancorp, Inc. 21,299 716 Capital Bank Financial Corp., Class A 21,401 1,660 Chemical Financial Corp. 68,691 2,283 Commerce Bancshares, Inc. 107,963 2,463 Customers Bancorp, Inc. (a) 63,398 874 Eagle Bancorp, Inc. (a) 45,055 1,820 FCB Financial Holdings, Inc., Class A (a) 63,645 4,571 First Commonwealth Financial Corp. 44,110 4,324 First Financial Bancorp 92,144 1,887 First Financial Bankshares, Inc. 64,479 2,645 First Horizon National Corp. 38,511 1,687 First Merchants Corp. 44,199 3,083 First Republic Bank 220,959 1,582 Glacier Bancorp, Inc. 43,632 2,667 Great Western Bancorp, Inc. 88,464 1,790 Hanmi Financial Corp. 43,891 1,842 Home BancShares, Inc. 38,443 1,383 Hope Bancorp, Inc. (a) 21,257 SHARES DESCRIPTION VALUE ------------------------------------------------------------ BANKS (CONTINUED) 920 Independent Bank Corp. $ 46,193 3,289 Investors Bancorp, Inc. 37,363 895 Lakeland Financial Corp. 45,958 3,125 LegacyTexas Financial Group, Inc. 89,125 5,023 MB Financial, Inc. 192,833 2,162 NBT Bancorp, Inc. 64,471 1,244 Opus Bank 40,156 458 Park National Corp. 41,000 746 Pinnacle Financial Partners, Inc. 39,620 638 Renasant Corp. 20,556 844 S&T Bancorp, Inc. 21,514 1,703 ServisFirst Bancshares, Inc. 86,223 1,340 Simmons First National Corp., Class A 61,573 303 South State Corp. 22,092 2,066 State Bank Financial Corp. 45,204 1,257 Synovus Financial Corp. 38,263 952 Tompkins Financial Corp. 69,249 2,859 TowneBank 65,614 1,702 Union Bankshares Corp. 45,682 544 Washington Trust Bancorp, Inc. 20,650 1,116 Western Alliance Bancorp (a) 37,977 822 Yadkin Financial Corp. 20,706 --------------- 2,506,188 --------------- BEVERAGES -- 1.5% 1,587 Coca-Cola (The) Co. 69,241 420 Coca-Cola Bottling Co. Consolidated 59,812 1,787 Constellation Brands, Inc., Class A 294,194 3,058 Dr Pepper Snapple Group, Inc. 301,243 1,461 Molson Coors Brewing Co., Class B 149,256 919 Monster Beverage Corp. (a) 147,619 1,674 National Beverage Corp. (a) 96,021 1,395 PepsiCo, Inc. 151,943 --------------- 1,269,329 --------------- BIOTECHNOLOGY -- 1.7% 3,486 AbbVie, Inc. 230,878 1,821 Acceleron Pharma, Inc. (a) 61,768 1,758 AMAG Pharmaceuticals, Inc. (a) 46,640 473 Amgen, Inc. 81,370 5,691 ARIAD Pharmaceuticals, Inc. (a) 54,122 13,461 Exelixis, Inc. (a) 123,572 2,543 Five Prime Therapeutics, Inc. (a) 128,905 797 Genomic Health, Inc. (a) 23,137 899 Incyte Corp. (a) 81,099 6,433 Ironwood Pharmaceuticals, Inc. (a) 90,898 729 Kite Pharma, Inc. (a) 41,283 7,326 Lexicon Pharmaceuticals, Inc. (a) (b) 119,560 1,222 Ligand Pharmaceuticals, Inc. (a) 164,823 2,585 MiMedx Group, Inc. (a) 19,362 See Notes to Financial Statements Page 75 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 1,910 Momenta Pharmaceuticals, Inc. (a) $ 21,507 874 Portola Pharmaceuticals, Inc. (a) 22,689 2,939 PTC Therapeutics, Inc. (a) 17,546 754 Repligen Corp. (a) 21,564 1,645 Spark Therapeutics, Inc. (a) 95,311 --------------- 1,446,034 --------------- BUILDING PRODUCTS -- 2.0% 2,068 A.O. Smith Corp. 192,097 2,250 AAON, Inc. 59,580 1,050 Allegion PLC 76,010 634 American Woodmark Corp. (a) 47,062 1,335 Apogee Enterprises, Inc. 62,411 7,476 Builders FirstSource, Inc. (a) 96,366 5,098 Fortune Brands Home & Security, Inc. 322,550 4,989 Griffon Corp. 85,511 1,278 Lennox International, Inc. 200,390 6,975 Masco Corp. 254,448 7,216 Ply Gem Holdings, Inc. (a) 110,838 1,378 Trex Co., Inc. (a) 66,833 1,134 Universal Forest Products, Inc. 122,608 --------------- 1,696,704 --------------- CAPITAL MARKETS -- 0.5% 745 Artisan Partners Asset Management, Inc., Class A 20,830 1,852 Bank of New York Mellon (The) Corp. 72,969 8,369 BGC Partners, Inc., Class A 74,233 467 Evercore Partners, Inc., Class A 23,663 1,030 Interactive Brokers Group, Inc., Class A 35,885 1,495 SEI Investments Co. 67,275 986 T. Rowe Price Group, Inc. 69,701 1,242 TPG Specialty Lending, Inc. 21,797 2,336 Virtu Financial, Inc., Class A 40,179 --------------- 426,532 --------------- CHEMICALS -- 1.2% 346 Balchem Corp. 22,099 782 Chemtura Corp. (a) 21,966 1,246 Ecolab, Inc. 147,501 1,712 International Flavors & Fragrances, Inc. 228,124 4,736 Platform Specialty Products Corp. (a) 43,571 2,085 Scotts Miracle-Gro (The) Co., Class A 153,769 735 Sherwin-Williams (The) Co. 220,302 2,449 Trinseo S.A. 121,936 498 W.R. Grace & Co. 37,285 --------------- 996,553 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES -- 2.4% 3,764 Cintas Corp. $ 403,764 3,718 Copart, Inc. (a) 187,536 4,404 Healthcare Services Group, Inc. 170,919 4,366 KAR Auction Services, Inc. 186,734 3,464 Knoll, Inc. 87,466 1,512 Matthews International Corp., Class A 90,886 7,199 Republic Services, Inc. 369,021 3,736 Rollins, Inc. 105,281 1,347 US Ecology, Inc. 61,019 5,574 Waste Management, Inc. 368,553 --------------- 2,031,179 --------------- COMMUNICATIONS EQUIPMENT -- 0.9% 566 Arista Networks, Inc. (a) 40,339 2,596 F5 Networks, Inc. (a) 320,398 370 InterDigital, Inc. 21,849 3,198 Juniper Networks, Inc. 72,563 4,714 Ubiquiti Networks, Inc. (a) 210,810 1,021 ViaSat, Inc. (a) 75,380 --------------- 741,339 --------------- CONSTRUCTION & ENGINEERING -- 0.3% 3,228 Comfort Systems USA, Inc. 98,067 2,030 Dycom Industries, Inc. (a) 190,921 --------------- 288,988 --------------- CONSTRUCTION MATERIALS -- 1.1% 3,450 Headwaters, Inc. (a) 68,620 1,924 Martin Marietta Materials, Inc. 389,899 1,726 US Concrete, Inc. (a) 111,327 3,069 Vulcan Materials Co. 380,495 --------------- 950,341 --------------- CONSUMER FINANCE -- 0.0% 197 Credit Acceptance Corp. (a) 35,592 --------------- CONTAINERS & PACKAGING -- 0.7% 1,382 AptarGroup, Inc. 108,045 1,950 Avery Dennison Corp. 151,885 4,691 Berry Plastics Group, Inc. (a) 192,331 1,420 Crown Holdings, Inc. (a) 75,217 1,565 Sealed Air Corp. 73,837 --------------- 601,315 --------------- DISTRIBUTORS -- 0.5% 6,808 LKQ Corp. (a) 234,127 1,938 Pool Corp. 198,219 --------------- 432,346 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% 1,649 Bright Horizons Family Solutions, Inc. (a) 110,598 1,053 Grand Canyon Education, Inc. (a) 44,289 3,128 H&R Block, Inc. 74,415 Page 76 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 6,650 LifeLock, Inc. (a) $ 111,255 4,044 Service Corp. International 112,100 2,747 ServiceMaster Global Holdings, Inc. (a) 103,919 --------------- 556,576 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.7% 1,094 CBOE Holdings, Inc. 75,267 739 CME Group, Inc. 75,555 452 FactSet Research Systems, Inc. 77,726 577 Intercontinental Exchange, Inc. 152,444 1,253 MarketAxess Holdings, Inc. 202,560 446 Morningstar, Inc. 37,723 3,832 MSCI, Inc. 329,705 3,337 Nasdaq, Inc. 236,126 2,012 S&P Global, Inc. 245,866 --------------- 1,432,972 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 23,005 Cincinnati Bell, Inc. (a) 115,025 3,860 Consolidated Communications Holdings, Inc. 107,887 666 SBA Communications Corp., Class A (a) 76,590 5,292 Verizon Communications, Inc. 293,230 17,235 Vonage Holdings Corp. (a) 102,203 5,220 Zayo Group Holdings, Inc. (a) 147,726 --------------- 842,661 --------------- ELECTRIC UTILITIES -- 0.9% 1,792 IDACORP, Inc. 144,884 1,488 MGE Energy, Inc. 83,551 2,266 NextEra Energy, Inc. 290,705 4,024 Southern (The) Co. 215,284 --------------- 734,424 --------------- ELECTRICAL EQUIPMENT -- 0.6% 1,490 Acuity Brands, Inc. 391,021 1,402 AZZ, Inc. 87,036 --------------- 478,057 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.1% 2,577 Amphenol Corp., Class A 153,383 1,440 Badger Meter, Inc. 100,426 5,384 CDW Corp. 231,135 1,691 Cognex Corp. 76,383 2,832 Fabrinet (a) 106,936 2,242 II-VI, Inc. (a) 45,064 617 Littelfuse, Inc. 77,137 2,150 Universal Display Corp. (a) 152,306 727 Zebra Technologies Corp., Class A (a) 38,538 --------------- 981,308 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES -- 0.1% 588 Core Laboratories N.V. $ 68,684 --------------- FOOD & STAPLES RETAILING -- 0.6% 1,386 Casey's General Stores, Inc. 185,086 2,824 Smart & Final Stores, Inc. (a) 38,943 2,750 SpartanNash Co. 86,625 1,592 Sprouts Farmers Market, Inc. (a) 36,823 2,592 Walgreens Boots Alliance, Inc. 205,416 --------------- 552,893 --------------- FOOD PRODUCTS -- 4.1% 3,781 B&G Foods, Inc. 195,062 1,569 Calavo Growers, Inc. 103,209 1,645 Cal-Maine Foods, Inc. 68,925 4,442 Campbell Soup Co. 276,603 4,514 ConAgra Foods, Inc. 211,075 5,179 General Mills, Inc. 372,318 1,965 Hormel Foods Corp. 73,393 917 J&J Snack Foods Corp. 111,516 1,670 Kraft Heinz (The) Co. 144,271 1,142 Lancaster Colony Corp. 148,414 2,770 McCormick & Co., Inc. 283,232 1,628 Mead Johnson Nutrition Co. 145,218 3,247 Mondelez International, Inc., Class A 142,803 2,362 Pinnacle Foods, Inc. 118,596 2,204 Post Holdings, Inc. (a) 191,021 2,183 Tootsie Roll Industries, Inc. 81,055 5,531 Tyson Foods, Inc., Class A 407,082 7,869 WhiteWave Foods (The) Co. (a) 436,651 --------------- 3,510,444 --------------- GAS UTILITIES -- 1.0% 4,542 Atmos Energy Corp. 362,406 935 Chesapeake Utilities Corp. 59,905 2,737 ONE Gas, Inc. 177,796 2,058 Spire, Inc. 142,825 1,545 WGL Holdings, Inc. 109,371 --------------- 852,303 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.1% 437 Abaxis, Inc. 21,614 1,667 ABIOMED, Inc. (a) 196,656 2,262 Align Technology, Inc. (a) 201,657 145 Atrion Corp. 69,136 2,178 Becton, Dickinson and Co. 383,328 15,806 Boston Scientific Corp. (a) 383,770 1,591 Cantel Medical Corp. 106,517 1,729 Cynosure, Inc., Class A (a) 95,026 3,657 Danaher Corp. 297,826 1,378 DexCom, Inc. (a) 127,093 3,704 Edwards Lifesciences Corp. (a) 424,182 866 Globus Medical, Inc., Class A (a) 19,875 549 ICU Medical, Inc. (a) 64,101 1,962 IDEXX Laboratories, Inc. (a) 184,016 See Notes to Financial Statements Page 77 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 682 Insulet Corp. (a) $ 24,136 1,827 Integra LifeSciences Holdings Corp. (a) 153,961 447 Intuitive Surgical, Inc. (a) 311,005 2,002 Masimo Corp. (a) 106,046 4,257 Medtronic PLC 373,041 1,058 Meridian Bioscience, Inc. 20,483 3,121 Merit Medical Systems, Inc. (a) 73,156 1,944 Neogen Corp. (a) 107,212 1,425 Nevro Corp. (a) 117,847 3,051 NuVasive, Inc. (a) 189,772 3,879 NxStage Medical, Inc. (a) 85,765 1,984 Orthofix International N.V. (a) 94,042 3,413 ResMed, Inc. 235,087 3,083 Stryker Corp. 358,491 1,028 Teleflex, Inc. 185,359 1,921 West Pharmaceutical Services, Inc. 154,218 1,539 Zeltiq Aesthetics, Inc. (a) 52,249 --------------- 5,216,667 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.4% 1,316 Acadia Healthcare Co., Inc. (a) 74,354 1,921 Aceto Corp. 49,389 814 Adeptus Health, Inc., Class A (a) (b) 36,280 1,174 Air Methods Corp. (a) 39,082 2,083 Amedisys, Inc. (a) 111,545 2,630 AMN Healthcare Services, Inc. (a) 111,249 2,350 AmSurg Corp. (a) 176,273 3,024 Centene Corp. (a) 213,343 535 Chemed Corp. 78,720 1,948 CorVel Corp. (a) 88,050 3,004 Diplomat Pharmacy, Inc. (a) 107,934 2,946 Ensign Group (The), Inc. 63,339 3,837 HCA Holdings, Inc. (a) 295,948 2,768 HealthEquity, Inc. (a) 81,711 1,671 Henry Schein, Inc. (a) 302,418 2,429 LHC Group, Inc. (a) 109,936 4,080 MEDNAX, Inc. (a) 281,153 730 Molina Healthcare, Inc. (a) 41,471 1,705 PharMerica Corp. (a) 45,285 631 Premier, Inc., Class A (a) 20,634 2,205 Surgical Care Affiliates, Inc. (a) 114,682 2,204 Universal Health Services, Inc., Class B 285,484 2,695 VCA, Inc. (a) 192,261 --------------- 2,920,541 --------------- HEALTH CARE TECHNOLOGY -- 0.9% 528 athenahealth, Inc. (a) 67,473 3,683 Cerner Corp. (a) 229,782 2,334 HealthStream, Inc. (a) 56,553 SHARES DESCRIPTION VALUE ------------------------------------------------------------ HEALTH CARE TECHNOLOGY (CONTINUED) 1,145 Inovalon Holdings, Inc., Class A (a) $ 21,320 1,555 Medidata Solutions, Inc. (a) 82,648 2,672 Press Ganey Holdings, Inc. (a) 106,666 5,341 Veeva Systems, Inc., Class A (a) 202,905 --------------- 767,347 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.9% 4,421 Aramark 158,493 1,919 BJ's Restaurants, Inc. (a) 74,534 1,981 Boyd Gaming Corp. (a) 38,847 525 Buffalo Wild Wings, Inc. (a) 88,179 765 Choice Hotels International, Inc. 36,942 577 Churchill Downs, Inc. 75,662 1,587 ClubCorp Holdings, Inc. 23,011 5,768 Denny's Corp. (a) 64,371 243 DineEquity, Inc. 19,773 1,110 Domino's Pizza, Inc. 163,503 6,558 Hilton Worldwide Holdings, Inc. 152,080 2,121 Jack in the Box, Inc. 187,475 2,223 Marriott International, Inc., Class A (b) 159,389 598 McDonald's Corp. 70,355 860 Panera Bread Co., Class A (a) 188,615 1,237 Papa John's International, Inc. 91,476 1,479 Penn National Gaming, Inc. (a) 22,215 770 Popeyes Louisiana Kitchen, Inc. (a) 44,106 1,887 Six Flags Entertainment Corp. 106,408 763 Sonic Corp. 20,532 1,259 Starbucks Corp. 73,085 3,996 Texas Roadhouse, Inc. 188,691 1,055 Vail Resorts, Inc. 150,939 3,789 Wendy's (The) Co. 36,602 3,086 Wingstop, Inc. 80,236 1,782 Yum! Brands, Inc. 159,346 --------------- 2,474,865 --------------- HOUSEHOLD DURABLES -- 1.8% 1,122 Cavco Industries, Inc. (a) 111,504 9,387 D.R. Horton, Inc. 308,645 1,063 Helen of Troy Ltd. (a) 105,885 1,764 iRobot Corp. (a) 66,891 2,852 Leggett & Platt, Inc. 149,930 779 Mohawk Industries, Inc. (a) 162,764 4,443 Newell Brands, Inc. 233,080 207 NVR, Inc. (a) 352,935 5,236 TRI Pointe Group, Inc. (a) 70,424 --------------- 1,562,058 --------------- HOUSEHOLD PRODUCTS -- 1.6% 4,843 Central Garden & Pet Co., Class A (a) 110,372 3,590 Church & Dwight Co., Inc. 352,682 2,135 Clorox (The) Co. 279,834 2,019 Colgate-Palmolive Co. 150,274 Page 78 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HOUSEHOLD PRODUCTS (CONTINUED) 5,309 HRG Group, Inc. (a) $ 79,051 1,570 Kimberly-Clark Corp. 203,394 1,222 Spectrum Brands Holdings, Inc. 157,357 527 WD-40 Co. 60,594 --------------- 1,393,558 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.2% 2,471 Calpine Corp. (a) 33,951 1,922 Ormat Technologies, Inc. 87,720 2,694 Pattern Energy Group, Inc. 65,653 --------------- 187,324 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 1,232 3M Co. 219,740 --------------- INSURANCE -- 1.6% 1,374 AMERISAFE, Inc. 80,420 1,488 AmTrust Financial Services, Inc. 35,519 2,918 Brown & Brown, Inc. 106,974 450 Enstar Group Ltd. (a) 74,966 2,477 James River Group Holdings Ltd. 83,376 310 Markel Corp. (a) 294,112 5,396 Marsh & McLennan Cos., Inc. 354,787 6,806 National General Holdings Corp. 140,408 1,590 RLI Corp. 108,390 3,331 Universal Insurance Holdings, Inc. 72,416 --------------- 1,351,368 --------------- INTERNET & CATALOG RETAIL -- 0.7% 516 Amazon.com, Inc. (a) 391,546 943 Liberty TripAdvisor Holdings, Inc., Class A (a) 22,321 58 Priceline Group (The), Inc. (a) 78,347 2,804 Wayfair, Inc., Class A (a) (b) 121,974 --------------- 614,188 --------------- INTERNET SOFTWARE & SERVICES -- 2.3% 2,104 2U, Inc. (a) 73,598 102 Alphabet, Inc., Class A (a) 80,717 1,624 Benefitfocus, Inc. (a) 69,832 1,970 Cimpress N.V. (a) 186,756 2,210 Cornerstone OnDemand, Inc. (a) 95,450 500 CoStar Group, Inc. (a) 103,950 1,858 Envestnet, Inc. (a) 70,920 1,888 Facebook, Inc., Class A (a) 233,999 2,337 GoDaddy, Inc., Class A (a) 69,923 2,707 GrubHub, Inc. (a) 102,649 577 j2 Global, Inc. 38,567 976 LogMeIn, Inc. (a) 83,848 3,834 NIC, Inc. 89,409 11,710 Pandora Media, Inc. (a) (b) 159,256 SHARES DESCRIPTION VALUE ------------------------------------------------------------ INTERNET SOFTWARE & SERVICES (CONTINUED) 3,002 Q2 Holdings, Inc. (a) $ 89,099 1,021 SPS Commerce, Inc. (a) 64,650 236 Stamps.com, Inc. (a) 17,890 1,709 VeriSign, Inc. (a) 148,016 1,065 WebMD Health Corp. (a) 64,975 2,770 Yelp, Inc. (a) 89,111 --------------- 1,932,615 --------------- IT SERVICES -- 5.1% 1,905 Accenture PLC, Class A 214,903 367 Alliance Data Systems Corp. (a) 85,004 3,217 Automatic Data Processing, Inc. 286,152 1,088 Blackhawk Network Holdings, Inc. (a) 37,851 2,795 Broadridge Financial Solutions, Inc. 189,166 2,641 Cardtronics PLC, Class A (a) 116,178 1,257 Cognizant Technology Solutions Corp., Class A (a) 72,265 1,458 Convergys Corp. 38,856 4,736 CoreLogic, Inc. (a) 190,766 1,535 CSG Systems International, Inc. 61,799 1,054 Euronet Worldwide, Inc. (a) 80,378 2,706 EVERTEC, Inc. 46,543 2,006 ExlService Holdings, Inc. (a) 99,317 3,397 Fiserv, Inc. (a) 374,893 503 FleetCor Technologies, Inc. (a) 76,295 3,034 Gartner, Inc. (a) 304,158 5,432 Genpact Ltd. (a) 145,415 4,140 Global Payments, Inc. 309,092 2,473 Jack Henry & Associates, Inc. 220,715 1,975 MAXIMUS, Inc. 116,367 4,967 Paychex, Inc. 294,444 5,515 Sabre Corp. 160,762 1,452 Sykes Enterprises, Inc. (a) 44,562 805 Syntel, Inc. (a) 36,475 1,550 TeleTech Holdings, Inc. 44,237 6,955 Total System Services, Inc. 354,149 6,526 Vantiv, Inc., Class A (a) 357,429 --------------- 4,358,171 --------------- LEISURE PRODUCTS -- 0.7% 3,518 Hasbro, Inc. 285,767 3,868 Smith & Wesson Holding Corp. (a) 113,913 967 Sturm Ruger & Co., Inc. 65,756 2,291 Vista Outdoor, Inc. (a) 114,664 --------------- 580,100 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.6% 1,293 Bio-Techne Corp. 145,359 1,626 Cambrex Corp. (a) 85,219 1,326 Charles River Laboratories International, Inc. (a) 116,595 1,912 INC Research Holdings, Inc., Class A (a) 85,103 See Notes to Financial Statements Page 79 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 2,079 Luminex Corp. (a) $ 44,553 405 Mettler-Toledo International, Inc. (a) 166,540 1,159 PAREXEL International Corp. (a) 77,479 1,391 PerkinElmer, Inc. 79,176 1,746 PRA Health Sciences, Inc. (a) 80,980 2,262 Quintiles Transnational Holdings, Inc. (a) 175,622 1,000 Thermo Fisher Scientific, Inc. 158,840 1,051 Waters Corp. (a) 167,035 --------------- 1,382,501 --------------- MACHINERY -- 1.4% 1,550 Albany International Corp., Class A 65,611 923 Graco, Inc. 68,311 444 IDEX Corp. 39,867 1,419 Illinois Tool Works, Inc. 163,752 1,717 John Bean Technologies Corp. 114,902 949 Middleby (The) Corp. (a) 114,241 1,160 RBC Bearings, Inc. (a) 88,195 2,142 Rexnord Corp. (a) 45,603 456 Snap-on, Inc. 71,669 749 Standex International Corp. 66,511 1,328 Stanley Black & Decker, Inc. 161,618 2,066 Toro (The) Co. 189,969 --------------- 1,190,249 --------------- MARINE -- 0.0% 639 Matson, Inc. 23,880 --------------- MEDIA -- 1.6% 214 Cable One, Inc. 112,110 944 Charter Communications, Inc., Class A (a) 221,717 1,901 Gray Television, Inc. (a) 18,820 9,342 Interpublic Group of Cos. (The), Inc. 215,427 1,215 Liberty Broadband Corp., Class C (a) 76,922 2,717 National CineMedia, Inc. 42,331 1,301 Nexstar Broadcasting Group, Inc., Class A 65,766 6,615 Regal Entertainment Group, Class A (b) 155,585 1,756 Scripps Networks Interactive, Inc., Class A 116,001 2,441 Sinclair Broadcast Group, Inc., Class A 67,909 37,406 Sirius XM Holdings, Inc. (a) 164,212 735 Walt Disney (The) Co. 70,523 --------------- 1,327,323 --------------- METALS & MINING -- 0.1% 685 Kaiser Aluminum Corp. 56,752 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ MULTI-UTILITIES -- 1.0% 6,894 Ameren Corp. $ 361,521 1,734 NorthWestern Corp. 105,323 5,657 WEC Energy Group, Inc. 367,196 --------------- 834,040 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.4% 575 Carrizo Oil & Gas, Inc. (a) 18,860 1,238 Cimarex Energy Co. 148,585 5,953 Devon Energy Corp. 227,881 1,199 Diamondback Energy, Inc. (a) 105,260 1,166 Gulfport Energy Corp. (a) 33,919 5,905 Laredo Petroleum, Inc. (a) 59,168 3,300 Newfield Exploration Co. (a) 142,890 5,387 Parsley Energy, Inc., Class A (a) 153,583 476 Pioneer Natural Resources Co. 77,383 4,770 Rice Energy, Inc. (a) 111,237 3,134 RSP Permian, Inc. (a) 112,667 --------------- 1,191,433 --------------- PERSONAL PRODUCTS -- 0.2% 1,245 Herbalife Ltd. (a) 84,673 1,307 Revlon, Inc., Class A (a) 46,385 185 USANA Health Sciences, Inc. (a) 25,404 --------------- 156,462 --------------- PHARMACEUTICALS -- 1.5% 2,559 Akorn, Inc. (a) 87,595 2,009 Bristol-Myers Squibb Co. 150,293 4,287 Depomed, Inc. (a) 81,324 1,438 Dermira, Inc. (a) 48,259 913 Eli Lilly and Co. 75,679 2,213 Horizon Pharma PLC (a) 42,689 1,265 Impax Laboratories, Inc. (a) 39,746 531 Intra-Cellular Therapies, Inc. (a) 21,665 509 Jazz Pharmaceuticals PLC (a) 76,844 2,436 Johnson & Johnson 305,060 1,768 Lannett Co., Inc. (a) 55,197 1,664 Mylan N.V. (a) 77,859 1,974 Prestige Brands Holdings, Inc. (a) 105,609 4,947 TherapeuticsMD, Inc. (a) (b) 38,438 1,516 Zoetis, Inc. 76,512 --------------- 1,282,769 --------------- PROFESSIONAL SERVICES -- 1.5% 1,188 Advisory Board (The) Co. (a) 49,611 591 CEB, Inc. 35,484 897 Dun & Bradstreet (The) Corp. 115,937 2,877 Equifax, Inc. 381,088 1,440 Exponent, Inc. 73,167 1,973 On Assignment, Inc. (a) 72,902 4,360 TransUnion (a) 142,659 5,057 TriNet Group, Inc. (a) 109,686 1,822 Verisk Analytics, Inc. (a) 155,380 1,758 WageWorks, Inc. (a) 108,662 --------------- 1,244,576 --------------- Page 80 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 14.6% 1,026 Acadia Realty Trust $ 38,639 2,179 Agree Realty Corp. 110,519 103 Alexander's, Inc. 44,215 1,408 Alexandria Real Estate Equities, Inc. 158,118 991 American Assets Trust, Inc. 45,467 2,757 American Campus Communities, Inc. 149,071 8,898 American Homes 4 Rent, Class A 193,087 2,601 American Tower Corp. 301,118 1,651 Apartment Investment & Management Co., Class A 75,896 2,617 Apollo Commercial Real Estate Finance, Inc. 42,526 3,952 Blackstone Mortgage Trust, Inc., Class A 114,647 545 Boston Properties, Inc. 77,461 2,719 Brixmor Property Group, Inc. 77,220 1,671 Camden Property Trust 149,705 1,913 Chatham Lodging Trust 45,874 4,792 Colony Starwood Homes 156,986 3,783 Communications Sales & Leasing, Inc. 117,576 2,055 CoreSite Realty Corp. 169,599 4,044 Cousins Properties, Inc. 43,028 2,128 Crown Castle International Corp. 206,480 1,180 CubeSmart 35,058 2,619 CyrusOne, Inc. 143,574 5,024 CYS Investments, Inc. 44,965 3,035 DCT Industrial Trust, Inc. 152,418 4,018 DDR Corp. 79,315 3,389 Digital Realty Trust, Inc. 354,015 5,130 Douglas Emmett, Inc. 195,145 11,084 Duke Realty Corp. 319,108 3,833 DuPont Fabros Technology, Inc. 183,332 898 EastGroup Properties, Inc. 66,111 2,370 Education Realty Trust, Inc. 114,092 3,838 Empire State Realty Trust, Inc., Class A 80,560 1,807 EPR Properties 151,824 762 Equinix, Inc. 284,127 1,821 Equity LifeStyle Properties, Inc. 149,759 3,398 Equity One, Inc. 113,051 1,597 Extra Space Storage, Inc. 137,374 893 Federal Realty Investment Trust 151,542 6,550 First Industrial Realty Trust, Inc. 193,028 1,057 Gaming and Leisure Properties, Inc. 37,872 2,412 General Growth Properties, Inc. 77,063 5,290 Global Net Lease, Inc. 46,182 3,647 Government Properties Income Trust 87,017 3,953 Gramercy Property Trust 39,490 SHARES DESCRIPTION VALUE ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 1,947 Hannon Armstrong Sustainable Infrastructure Capital, Inc. $ 43,788 2,033 HCP, Inc. 79,755 4,166 Healthcare Realty Trust, Inc. 150,643 3,381 Healthcare Trust of America, Inc., Class A 115,123 1,203 Hersha Hospitality Trust 22,737 2,761 Highwoods Properties, Inc. 153,843 3,747 Hudson Pacific Properties, Inc. 126,686 4,385 iStar, Inc. (a) 45,429 550 Kilroy Realty Corp. 40,265 9,417 Kimco Realty Corp. 302,286 2,601 Kite Realty Group Trust 79,096 1,649 Lamar Advertising Co., Class A 111,901 3,670 Liberty Property Trust 151,865 1,626 LTC Properties, Inc. 87,040 1,730 Macerich (The) Co. 154,385 3,115 Mack-Cali Realty Corp. 87,843 11,981 Medical Properties Trust, Inc. 188,102 2,028 Mid-America Apartment Communities, Inc. 215,009 6,062 Monogram Residential Trust, Inc. 64,924 2,427 National Health Investors, Inc. 190,689 2,819 National Retail Properties, Inc. 149,858 13,167 New Residential Investment Corp. 179,993 5,795 New Senior Investment Group, Inc. 69,482 1,074 Omega Healthcare Investors, Inc. 37,053 962 Pennsylvania Real Estate Investment Trust 24,473 5,004 Physicians Realty Trust 108,687 597 Post Properties, Inc. 37,963 7,532 Prologis, Inc. 410,419 1,031 PS Business Parks, Inc. 114,328 281 Public Storage 67,137 1,878 QTS Realty Trust, Inc., Class A 107,515 4,289 Ramco-Gershenson Properties Trust 85,094 4,261 Realty Income Corp. 304,534 2,577 Regency Centers Corp. 218,865 3,881 Retail Opportunity Investments Corp. 88,603 4,313 Retail Properties of America, Inc., Class A 76,038 4,985 Rexford Industrial Realty, Inc. 113,957 720 Ryman Hospitality Properties, Inc. 40,493 1,000 Sabra Health Care REIT, Inc. 23,910 1,363 Saul Centers, Inc. 91,553 995 Simon Property Group, Inc. 225,905 676 SL Green Realty Corp. 79,646 11,416 Spirit Realty Capital, Inc. 156,057 3,532 STAG Industrial, Inc. 89,642 See Notes to Financial Statements Page 81 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 1,902 Sun Communities, Inc. $ 150,543 3,628 Tanger Factory Outlet Centers, Inc. 151,433 3,251 Terreno Realty Corp. 90,540 735 Universal Health Realty Income Trust 43,857 6,103 Urban Edge Properties 182,541 29,143 VEREIT, Inc. 322,322 1,967 Washington Real Estate Investment Trust 67,448 1,786 Weingarten Realty Investors 77,137 3,880 Welltower, Inc. 307,800 1,575 WP Carey, Inc. 114,424 7,516 WP Glimcher, Inc. 95,303 --------------- 12,469,216 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 2,717 CBRE Group, Inc., Class A (a) 77,299 1,456 HFF, Inc., Class A 41,074 638 Howard Hughes (The) Corp. (a) 76,215 812 Marcus & Millichap, Inc. (a) 21,753 1,164 St. Joe (The) Co. (a) 21,453 --------------- 237,794 --------------- ROAD & RAIL -- 0.4% 576 AMERCO 227,814 3,392 Avis Budget Group, Inc. (a) 124,588 --------------- 352,402 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.1% 2,216 Advanced Energy Industries, Inc. (a) 90,235 20,454 Advanced Micro Devices, Inc. (a) 140,314 406 Ambarella, Inc. (a) 23,540 15,410 Applied Materials, Inc. 405,129 4,698 Cirrus Logic, Inc. (a) 228,276 4,277 Entegris, Inc. (a) 73,094 2,626 Inphi Corp. (a) 92,383 1,811 Integrated Device Technology, Inc. (a) 39,824 856 Lam Research Corp. 76,843 1,546 Linear Technology Corp. 92,745 5,847 MaxLinear, Inc., Class A (a) 127,523 2,911 Microchip Technology, Inc. 161,968 1,953 MKS Instruments, Inc. 89,213 2,134 Monolithic Power Systems, Inc. 155,184 7,858 NVIDIA Corp. 448,692 2,638 Qorvo, Inc. (a) 166,801 1,851 Teradyne, Inc. 36,557 3,444 Texas Instruments, Inc. 240,219 --------------- 2,688,540 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ SOFTWARE -- 5.6% 7,196 8x8, Inc. (a) $ 98,945 5,445 Activision Blizzard, Inc. 218,671 1,542 Adobe Systems, Inc. (a) 150,900 1,811 Aspen Technology, Inc. (a) 75,863 1,610 Blackbaud, Inc. 107,629 2,050 BroadSoft, Inc. (a) 91,902 4,500 Cadence Design Systems, Inc. (a) 108,225 4,209 Callidus Software, Inc. (a) 86,411 5,325 CDK Global, Inc. 307,732 2,694 Citrix Systems, Inc. (a) 240,116 2,195 Ebix, Inc. 117,037 2,848 Electronic Arts, Inc. (a) 217,359 1,988 Ellie Mae, Inc. (a) 183,115 1,290 Fair Isaac Corp. 163,366 971 Fleetmatics Group PLC (a) 41,714 2,307 Fortinet, Inc. (a) 80,030 2,812 Gigamon, Inc. (a) 131,377 1,180 Guidewire Software, Inc. (a) 72,535 475 HubSpot, Inc. (a) 25,930 3,299 Infoblox, Inc. (a) 61,757 2,648 Intuit, Inc. 293,902 1,137 Manhattan Associates, Inc. (a) 66,003 118 MicroStrategy, Inc., Class A (a) 20,637 501 NetSuite, Inc. (a) 54,534 2,433 Paycom Software, Inc. (a) 114,862 2,434 Paylocity Holding Corp. (a) 108,654 3,121 Pegasystems, Inc. 87,076 1,733 Proofpoint, Inc. (a) 131,483 1,411 Qualys, Inc. (a) 44,291 3,767 RealPage, Inc. (a) 94,740 3,138 RingCentral, Inc., Class A (a) 72,268 2,718 salesforce.com, Inc. (a) 222,332 1,083 ServiceNow, Inc. (a) 81,138 1,345 Splunk, Inc. (a) 84,116 648 Synchronoss Technologies, Inc. (a) 24,196 745 Tableau Software, Inc., Class A (a) 42,100 4,806 Take-Two Interactive Software, Inc. (a) 193,105 874 Tyler Technologies, Inc. (a) 142,479 693 Ultimate Software Group (The), Inc. (a) 144,906 5,526 Zendesk, Inc. (a) 167,106 --------------- 4,770,542 --------------- SPECIALTY RETAIL -- 3.6% 914 Advance Auto Parts, Inc. 155,252 372 AutoZone, Inc. (a) 302,797 2,732 Burlington Stores, Inc. (a) 209,025 2,265 Five Below, Inc. (a) 115,538 1,867 Francesca's Holdings Corp. (a) 23,730 1,157 Home Depot (The), Inc. 159,944 290 Lithia Motors, Inc., Class A 25,024 3,733 Lowe's Cos., Inc. 307,151 5,126 Michaels (The) Cos., Inc. (a) 135,121 Page 82 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 573 Monro Muffler Brake, Inc. $ 35,881 1,090 O'Reilly Automotive, Inc. (a) 316,787 3,807 Ross Stores, Inc. 235,387 5,288 Tile Shop Holdings, Inc. (a) 90,160 3,826 TJX (The) Cos., Inc. 312,661 2,367 Tractor Supply Co. 216,936 1,516 Ulta Salon, Cosmetics & Fragrance, Inc. (a) 395,994 --------------- 3,037,388 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.2% 1,027 Carter's, Inc. 103,984 3,679 Skechers U.S.A., Inc., Class A (a) 88,369 --------------- 192,353 --------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 1,622 Beneficial Bancorp, Inc. 21,994 1,165 BofI Holding, Inc. (a) 19,595 4,437 Capitol Federal Financial, Inc. 62,872 1,928 Essent Group Ltd. (a) 46,195 1,640 Kearny Financial Corp. 21,353 701 LendingTree, Inc. (a) (b) 70,787 4,187 Meridian Bancorp, Inc. 61,549 1,050 Provident Financial Services, Inc. 21,158 906 Walker & Dunlop, Inc. (a) 21,445 1,306 WSFS Financial Corp. 45,958 --------------- 392,906 --------------- TOBACCO -- 0.8% 4,285 Altria Group, Inc. 290,095 1,453 Philip Morris International, Inc. 145,678 4,001 Reynolds American, Inc. 200,290 1,626 Vector Group Ltd. 35,918 --------------- 671,981 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 4,008 Beacon Roofing Supply, Inc. (a) 188,456 1,620 Fastenal Co. 69,255 3,140 HD Supply Holdings, Inc. (a) 113,637 1,036 Watsco, Inc. 149,225 --------------- 520,573 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.1% 984 Macquarie Infrastructure Corp. 75,424 --------------- WATER UTILITIES -- 0.8% 1,412 American States Water Co. 60,999 4,371 American Water Works Co., Inc. 360,957 4,088 Aqua America, Inc. 141,608 2,136 SJW Corp. 90,481 --------------- 654,045 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 2,692 Shenandoah Telecommunications Co. $ 110,587 8,537 T-Mobile US, Inc. (a) 395,605 --------------- 506,192 --------------- TOTAL COMMON STOCKS -- 100.0% 85,257,913 (Cost $74,363,991) --------------- MONEY MARKET FUNDS -- 0.4% 280,038 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 280,038 68,299 Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 0.21% (c) 68,299 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 348,337 (Cost $348,337) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 0.4% $ 110,890 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $110,893. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $113,401. (d) 110,890 229,720 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $229,725. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $235,048. (d) 229,720 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.4% 340,610 (Cost $340,610) --------------- TOTAL INVESTMENTS -- 100.8% 85,946,860 (Cost $75,052,938) (e) NET OTHER ASSETS AND LIABILITIES -- (0.8)% (653,586) --------------- NET ASSETS -- 100.0% $ 85,293,274 =============== See Notes to Financial Statements Page 83 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $612,307 and the total value of the collateral held by the Fund is $620,648. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $75,139,159. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $11,193,502 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $385,801. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------- Common Stocks* $85,257,913 $ -- $ -- Money Market Funds 348,337 -- -- Repurchase Agreements -- 340,610 -- -------------------------------------- Total Investments $85,606,250 $ 340,610 $ -- ====================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. ----------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 612,307 Non-cash Collateral(2) (612,307) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 340,610 Non-cash Collateral(4) (340,610) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 84 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.0% 1,412 B/E Aerospace, Inc. $ 67,543 773 Curtiss-Wright Corp. 68,789 3,154 Esterline Technologies Corp. (a) 191,858 388 Huntington Ingalls Industries, Inc. 66,961 7,582 Spirit AeroSystems Holdings, Inc., Class A (a) 328,907 1,976 Teledyne Technologies, Inc. (a) 207,480 --------------- 931,538 --------------- AIRLINES -- 0.7% 7,265 Spirit Airlines, Inc. (a) 310,579 --------------- AUTO COMPONENTS -- 2.0% 10,933 Cooper Tire & Rubber Co. 360,679 4,196 Tenneco, Inc. (a) 237,158 4,954 Visteon Corp. 347,226 --------------- 945,063 --------------- AUTOMOBILES -- 0.7% 4,029 Thor Industries, Inc. 308,380 --------------- BANKS -- 6.9% 15,206 Associated Banc-Corp. 282,832 2,874 BancorpSouth, Inc. 68,459 2,080 BOK Financial Corp. 135,678 10,215 CIT Group, Inc. 353,030 3,170 Comerica, Inc. 143,411 2,046 Cullen/Frost Bankers, Inc. 138,903 5,723 East West Bancorp, Inc. 195,841 757 First Citizens BancShares, Inc., Class A 196,654 9,660 Fulton Financial Corp. 131,859 1,091 IBERIABANK Corp. 68,155 8,895 People's United Financial, Inc. 134,848 11,127 Popular, Inc. 374,869 3,836 Prosperity Bancshares, Inc. 195,981 684 SVB Financial Group (a) 68,687 20,616 TCF Financial Corp. 280,171 1,224 UMB Financial Corp. 67,822 7,148 Valley National Bancorp 64,832 2,557 Wintrust Financial Corp. 135,010 7,783 Zions Bancorporation 216,990 --------------- 3,254,032 --------------- BUILDING PRODUCTS -- 1.3% 5,062 Owens Corning 267,830 12,092 USG Corp. (a) 340,511 --------------- 608,341 --------------- CAPITAL MARKETS -- 2.6% 1,846 Eaton Vance Corp. 69,797 2,266 Federated Investors, Inc., Class B 71,538 14,051 Janus Capital Group, Inc. 212,170 2,211 Legg Mason, Inc. 75,483 8,681 LPL Financial Holdings, Inc. 233,953 2,646 Raymond James Financial, Inc. 145,265 SHARES DESCRIPTION VALUE ------------------------------------------------------------ CAPITAL MARKETS (CONTINUED) 2,074 Stifel Financial Corp. (a) $ 73,316 18,933 Waddell & Reed Financial, Inc., Class A 345,717 --------------- 1,227,239 --------------- CHEMICALS -- 2.6% 2,466 Albemarle Corp. 207,563 569 Ashland, Inc. 64,434 5,632 FMC Corp. 267,745 14,541 Huntsman Corp. 224,804 158 NewMarket Corp. 67,614 1,851 PolyOne Corp. 64,915 7,594 Westlake Chemical Corp. 347,350 --------------- 1,244,425 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.7% 1,251 Clean Harbors, Inc. (a) 64,326 2,947 Deluxe Corp. 199,188 3,852 R.R. Donnelley & Sons Co. 69,028 --------------- 332,542 --------------- COMMUNICATIONS EQUIPMENT -- 0.7% 28,410 Brocade Communications Systems, Inc. 264,213 2,932 NetScout Systems, Inc. (a) 82,037 --------------- 346,250 --------------- CONSTRUCTION & ENGINEERING -- 2.9% 4,104 AECOM (a) 145,651 3,970 EMCOR Group, Inc. 221,129 2,647 Fluor Corp. 141,668 2,618 Jacobs Engineering Group, Inc. (a) 140,115 24,621 KBR, Inc. 345,186 14,101 Quanta Services, Inc. (a) 360,986 --------------- 1,354,735 --------------- CONSTRUCTION MATERIALS -- 0.1% 844 Eagle Materials, Inc. 70,854 --------------- CONSUMER FINANCE -- 1.9% 21,824 Navient Corp. 309,901 31,558 Santander Consumer USA Holdings, Inc. (a) 346,822 31,650 SLM Corp. (a) 227,564 --------------- 884,287 --------------- CONTAINERS & PACKAGING -- 1.9% 1,268 Bemis Co., Inc. 64,719 15,597 Graphic Packaging Holding Co. 212,743 3,620 Owens-Illinois, Inc. (a) 68,020 3,897 Packaging Corp. of America 291,067 2,533 Silgan Holdings, Inc. 125,586 2,626 Sonoco Products Co. 133,742 --------------- 895,877 --------------- See Notes to Financial Statements Page 85 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES -- 0.1% 3,764 Leucadia National Corp. $ 68,731 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 52,794 Frontier Communications Corp. 274,529 --------------- ELECTRIC UTILITIES -- 1.9% 3,028 ALLETE, Inc. 193,338 8,579 Great Plains Energy, Inc. 255,483 3,980 OGE Energy Corp. 128,036 1,838 PNM Resources, Inc. 63,154 5,912 Portland General Electric Co. 258,177 --------------- 898,188 --------------- ELECTRICAL EQUIPMENT -- 1.2% 2,194 EnerSys 136,796 617 Hubbell, Inc. 66,531 5,922 Regal Beloit Corp. 361,301 --------------- 564,628 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.2% 5,268 Arrow Electronics, Inc. (a) 350,269 8,046 Avnet, Inc. 330,691 4,214 FLIR Systems, Inc. 137,292 17,652 Jabil Circuit, Inc. 359,218 8,965 Keysight Technologies, Inc. (a) 262,137 2,061 SYNNEX Corp. 207,192 4,538 Tech Data Corp. (a) 353,646 --------------- 2,000,445 --------------- ENERGY EQUIPMENT & SERVICES -- 2.8% 13,400 Diamond Offshore Drilling, Inc. 304,448 5,578 Dril-Quip, Inc. (a) 303,611 4,890 FMC Technologies, Inc. (a) 124,108 4,461 Frank's International N.V. (b) 54,959 1,943 Helmerich & Payne, Inc. 120,408 10,917 Oceaneering International, Inc. 304,366 6,116 Patterson-UTI Energy, Inc. 118,589 --------------- 1,330,489 --------------- FOOD PRODUCTS -- 1.2% 6,954 Flowers Foods, Inc. 127,884 2,396 Fresh Del Monte Produce, Inc. 136,212 1,311 Hain Celestial Group (The), Inc. (a) 69,208 10,236 Pilgrim's Pride Corp. 237,987 --------------- 571,291 --------------- GAS UTILITIES -- 0.7% 2,486 Southwest Gas Corp. 192,665 2,882 UGI Corp. 130,439 --------------- 323,104 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES -- 2.0% 8,446 Brookdale Senior Living, Inc. (a) $ 155,997 27,053 Community Health Systems, Inc. (a) 345,467 1,678 HealthSouth Corp. 72,238 4,987 LifePoint Health, Inc. (a) 295,131 1,746 Owens & Minor, Inc. 62,350 --------------- 931,183 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.4% 7,297 Bloomin' Brands, Inc. 131,200 5,728 Brinker International, Inc. 270,018 4,063 Cheesecake Factory (The), Inc. 210,179 381 Cracker Barrel Old Country Store, Inc. (b) 59,973 --------------- 671,370 --------------- HOUSEHOLD DURABLES -- 2.5% 5,330 CalAtlantic Group, Inc. 192,999 3,630 Harman International Industries, Inc. 299,983 13,381 PulteGroup, Inc. 283,410 9,692 Toll Brothers, Inc. (a) 271,473 2,316 Tupperware Brands Corp. 145,167 --------------- 1,193,032 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 1,235 Carlisle Cos., Inc. 127,563 --------------- INSURANCE -- 7.6% 1,763 American Financial Group, Inc. 128,875 1,152 American National Insurance Co. 131,731 7,030 Aspen Insurance Holdings Ltd. 323,099 757 Assurant, Inc. 62,839 12,851 Assured Guaranty Ltd. 344,278 5,927 Axis Capital Holdings Ltd. 329,423 18,670 CNO Financial Group, Inc. 324,298 3,882 Endurance Specialty Holdings Ltd. 262,540 4,863 First American Financial Corp. 203,322 3,081 Hanover Insurance Group (The), Inc. 253,690 10,140 Old Republic International Corp. 196,513 1,217 ProAssurance Corp. 62,870 1,344 Reinsurance Group of America, Inc. 133,392 2,220 RenaissanceRe Holdings Ltd. 260,894 5,368 Validus Holdings Ltd. 265,340 3,264 W. R. Berkley Corp. 189,932 155 White Mountains Insurance Group Ltd. 127,305 --------------- 3,600,341 --------------- Page 86 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INTERNET & CATALOG RETAIL -- 0.1% 1,334 HSN, Inc. $ 68,247 --------------- INTERNET SOFTWARE & SERVICES -- 0.8% 15,627 Rackspace Hosting, Inc. (a) 366,141 --------------- IT SERVICES -- 2.0% 2,201 Booz Allen Hamilton Holding Corp. 67,967 2,884 CACI International, Inc., Class A (a) 274,932 2,626 Computer Sciences Corp. 125,601 2,240 DST Systems, Inc. 276,259 4,087 Leidos Holdings, Inc. (b) 204,391 --------------- 949,150 --------------- LEISURE PRODUCTS -- 1.0% 2,878 Brunswick Corp. 142,807 3,191 Polaris Industries, Inc. (b) 315,111 --------------- 457,918 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.1% 455 Bio-Rad Laboratories, Inc., Class A (a) 66,016 --------------- MACHINERY -- 5.4% 5,534 AGCO Corp. 266,517 2,144 CLARCOR, Inc. 133,485 7,392 Colfax Corp. (a) 217,029 3,449 Crane Co. 214,873 1,897 Donaldson Co., Inc. 68,539 1,443 Flowserve Corp. 69,048 10,195 ITT, Inc. 323,283 779 Nordson Corp. 68,778 5,467 Oshkosh Corp. 301,177 8,507 Timken (The) Co. 284,559 17,556 Trinity Industries, Inc. 407,475 1,857 Wabtec Corp. 127,205 1,130 Woodward, Inc. 66,150 --------------- 2,548,118 --------------- MARINE -- 0.5% 4,181 Kirby Corp. (a) 227,823 --------------- MEDIA -- 1.4% 3,577 Cinemark Holdings, Inc. 134,495 3,748 John Wiley & Sons, Inc., Class A 216,260 5,387 New York Times (The) Co., Class A 69,923 11,257 TEGNA, Inc. 246,528 --------------- 667,206 --------------- METALS & MINING -- 1.4% 2,635 Compass Minerals International, Inc. 183,370 3,391 Reliance Steel & Aluminum Co. 265,990 4,626 Worthington Industries, Inc. 204,978 --------------- 654,338 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ MULTILINE RETAIL -- 0.8% 5,379 Dillard's, Inc., Class A $ 364,051 --------------- MULTI-UTILITIES -- 0.8% 4,365 Avista Corp. 189,878 3,714 Vectren Corp. 192,125 --------------- 382,003 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.8% 16,826 CVR Energy, Inc. (b) 249,025 5,483 PBF Energy, Inc., Class A 122,490 15,803 Western Refining, Inc. 329,492 2,746 World Fuel Services Corp. 130,710 --------------- 831,717 --------------- PHARMACEUTICALS -- 0.5% 8,508 Catalent, Inc. (a) 217,294 --------------- PROFESSIONAL SERVICES -- 1.0% 4,054 ManpowerGroup, Inc. 281,348 5,125 Robert Half International, Inc. 187,267 --------------- 468,615 --------------- REAL ESTATE INVESTMENT TRUSTS -- 8.3% 10,399 Apple Hospitality REIT, Inc. 211,828 3,880 Brandywine Realty Trust 65,456 9,951 Care Capital Properties, Inc. 294,350 16,611 Chimera Investment Corp. 278,733 4,410 Corporate Office Properties Trust 132,124 5,587 Corrections Corp. of America 179,063 6,715 Equity Commonwealth (a) 201,584 14,613 Forest City Realty Trust, Inc., Class A 345,597 5,723 GEO Group (The), Inc. 198,073 6,791 Hospitality Properties Trust 216,701 13,825 LaSalle Hotel Properties 380,879 35,873 MFA Financial, Inc. 269,765 15,198 RLJ Lodging Trust 360,800 3,131 Senior Housing Properties Trust 69,539 3,146 Starwood Property Trust, Inc. 68,583 27,009 Sunstone Hotel Investors, Inc. 359,220 30,467 Two Harbors Investment Corp. 266,586 --------------- 3,898,881 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.1% 3,347 Jones Lang LaSalle, Inc. 366,396 4,492 Realogy Holdings Corp. (a) 139,207 --------------- 505,603 --------------- ROAD & RAIL -- 4.4% 4,423 Genesee & Wyoming, Inc., Class A (a) 286,389 17,669 Hertz Global Holdings, Inc. (a) 860,127 9,813 Knight Transportation, Inc. 292,722 951 Landstar System, Inc. 67,036 4,324 Old Dominion Freight Line, Inc. (a) 301,210 4,265 Ryder System, Inc. 281,063 --------------- 2,088,547 --------------- See Notes to Financial Statements Page 87 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.1% 20,523 Marvell Technology Group Ltd. $ 241,145 29,569 ON Semiconductor Corp. (a) 296,577 --------------- 537,722 --------------- SOFTWARE -- 0.5% 6,135 Mentor Graphics Corp. 131,044 1,141 VMware, Inc., Class A (a) 83,270 --------------- 214,314 --------------- SPECIALTY RETAIL -- 6.8% 20,466 American Eagle Outfitters, Inc. 366,751 5,550 AutoNation, Inc. (a) 296,092 2,604 Cabela's, Inc. (a) 134,445 3,028 CST Brands, Inc. 135,412 5,788 Dick's Sporting Goods, Inc. 296,867 12,264 GameStop Corp., Class A 379,571 8,054 GNC Holdings, Inc., Class A 164,382 2,636 Murphy USA, Inc. (a) 202,023 8,290 Penske Automotive Group, Inc. 328,450 2,216 Sally Beauty Holdings, Inc. (a) 64,995 37,819 Staples, Inc. 351,338 9,483 Urban Outfitters, Inc. (a) 283,542 3,751 Williams-Sonoma, Inc. 202,854 --------------- 3,206,722 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.7% 2,267 Columbia Sportswear Co. 129,786 4,279 G-III Apparel Group Ltd. (a) 171,288 3,459 PVH Corp. 349,567 3,814 Steven Madden Ltd. (a) 133,566 --------------- 784,207 --------------- THRIFTS & MORTGAGE FINANCE -- 2.0% 54,789 MGIC Investment Corp. (a) 393,933 31,287 Radian Group, Inc. 403,602 5,375 Washington Federal, Inc. 134,375 --------------- 931,910 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.5% 12,172 Air Lease Corp. 350,675 1,849 MSC Industrial Direct Co., Inc., Class A 132,814 2,915 United Rentals, Inc. (a) 232,238 --------------- 715,727 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.4% 10,990 Telephone and Data Systems, Inc. 346,075 8,300 United States Cellular Corp. (a) 335,735 --------------- 681,810 --------------- TOTAL COMMON STOCKS -- 99.9% 47,103,116 (Cost $46,057,356) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ MONEY MARKET FUNDS -- 0.5% 259,023 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) $ 259,023 (Cost $259,023) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 0.7% $ 102,569 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $102,571. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $104,891. (d) 102,569 212,481 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $212,486. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $217,409. (d) 212,481 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.7% 315,050 (Cost $315,050) --------------- TOTAL INVESTMENTS -- 101.1% 47,677,189 (Cost $46,631,429) (e) NET OTHER ASSETS AND LIABILITIES -- (1.1)% (520,698) --------------- NET ASSETS -- 100.0% $ 47,156,491 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $571,979 and the total value of the collateral held by the Fund is $574,073. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $46,735,479. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,831,834 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,890,124. Page 88 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------- Common Stocks* $47,103,116 $ -- $ -- Money Market Funds 259,023 -- -- Repurchase Agreements -- 315,050 -- -------------------------------------- Total Investments $47,362,139 $ 315,050 $ -- ====================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. ----------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 571,979 Non-cash Collateral(2) (571,979) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 315,050 Non-cash Collateral(4) (315,050) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 89 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.7% 8,809 HEICO Corp. $ 612,314 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 8,965 XPO Logistics, Inc. (a) 265,543 --------------- AIRLINES -- 0.1% 777 Allegiant Travel Co. 100,831 --------------- AUTO COMPONENTS -- 0.3% 15,237 Gentex Corp. 269,238 --------------- BANKS -- 2.5% 3,422 Bank of Hawaii Corp. 235,844 3,831 BankUnited, Inc. 115,007 7,372 Commerce Bancshares, Inc. 348,622 8,542 First Horizon National Corp. 124,371 5,948 Home BancShares, Inc. 124,135 10,623 Investors Bancorp, Inc. 120,677 16,222 MB Financial, Inc. 622,763 2,409 Pinnacle Financial Partners, Inc. 127,942 4,061 Synovus Financial Corp. 123,617 3,605 Western Alliance Bancorp (a) 122,678 --------------- 2,065,656 --------------- BIOTECHNOLOGY -- 0.8% 2,354 Kite Pharma, Inc. (a) 133,307 3,947 Ligand Pharmaceuticals, Inc. (a) 532,371 --------------- 665,678 --------------- BUILDING PRODUCTS -- 1.8% 6,680 A.O. Smith Corp. 620,505 3,391 Allegion PLC 245,474 4,127 Lennox International, Inc. 647,114 --------------- 1,513,093 --------------- CAPITAL MARKETS -- 0.4% 27,028 BGC Partners, Inc., Class A 239,738 3,325 Interactive Brokers Group, Inc., Class A 115,843 --------------- 355,581 --------------- CHEMICALS -- 0.7% 6,735 Scotts Miracle-Gro (The) Co., Class A 496,706 1,607 W.R. Grace & Co. 120,316 --------------- 617,022 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.5% 12,009 Copart, Inc. (a) 605,734 14,222 Healthcare Services Group, Inc. 551,956 14,100 KAR Auction Services, Inc. 603,057 12,065 Rollins, Inc. 339,991 --------------- 2,100,738 --------------- COMMUNICATIONS EQUIPMENT -- 1.3% 1,828 Arista Networks, Inc. (a) 130,282 15,223 Ubiquiti Networks, Inc. (a) (b) 680,773 3,297 ViaSat, Inc. (a) 243,417 --------------- 1,054,472 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ CONSTRUCTION & ENGINEERING -- 0.7% 6,557 Dycom Industries, Inc. (a) $ 616,686 --------------- CONSUMER FINANCE -- 0.1% 636 Credit Acceptance Corp. (a) 114,906 --------------- CONTAINERS & PACKAGING -- 1.8% 4,462 AptarGroup, Inc. 348,839 6,299 Avery Dennison Corp. 490,629 15,149 Berry Plastics Group, Inc. (a) 621,109 --------------- 1,460,577 --------------- DISTRIBUTORS -- 0.8% 6,259 Pool Corp. 640,171 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.3% 5,325 Bright Horizons Family Solutions, Inc. (a) 357,148 13,059 Service Corp. International 361,995 8,872 ServiceMaster Global Holdings, Inc. (a) 335,628 --------------- 1,054,771 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.5% 3,534 CBOE Holdings, Inc. 243,139 1,459 FactSet Research Systems, Inc. 250,890 4,047 MarketAxess Holdings, Inc. 654,238 1,439 Morningstar, Inc. 121,710 --------------- 1,269,977 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 16,858 Zayo Group Holdings, Inc. (a) 477,081 --------------- ELECTRIC UTILITIES -- 0.6% 5,788 IDACORP, Inc. 467,960 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 5,462 Cognex Corp. 246,719 1,992 Littelfuse, Inc. 249,040 6,944 Universal Display Corp. (a) 491,913 2,349 Zebra Technologies Corp., Class A (a) 124,520 --------------- 1,112,192 --------------- ENERGY EQUIPMENT & SERVICES -- 0.3% 1,900 Core Laboratories N.V. 221,939 --------------- FOOD & STAPLES RETAILING -- 0.9% 4,475 Casey's General Stores, Inc. 597,592 5,140 Sprouts Farmers Market, Inc. (a) 118,888 --------------- 716,480 --------------- FOOD PRODUCTS -- 3.3% 12,210 B&G Foods, Inc. 629,914 5,312 Cal-Maine Foods, Inc. 222,573 2,961 J&J Snack Foods Corp. 360,087 Page 90 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 3,690 Lancaster Colony Corp. $ 479,553 7,629 Pinnacle Foods, Inc. 383,052 7,117 Post Holdings, Inc. (a) 616,830 --------------- 2,692,009 --------------- GAS UTILITIES -- 1.7% 8,839 ONE Gas, Inc. 574,181 6,646 Spire, Inc. 461,232 4,988 WGL Holdings, Inc. 353,101 --------------- 1,388,514 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.3% 5,386 ABIOMED, Inc. (a) 635,387 7,307 Align Technology, Inc. (a) 651,419 5,138 Cantel Medical Corp. 343,989 4,451 DexCom, Inc. (a) 410,516 6,338 IDEXX Laboratories, Inc. (a) 594,441 5,901 Integra LifeSciences Holdings Corp. (a) 497,277 6,277 Neogen Corp. (a) 346,177 9,855 NuVasive, Inc. (a) 612,981 3,320 Teleflex, Inc. 598,629 6,205 West Pharmaceutical Services, Inc. 498,137 --------------- 5,188,953 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.2% 4,249 Acadia Healthcare Co., Inc. (a) 240,068 7,590 AmSurg Corp. (a) 569,326 1,727 Chemed Corp. 254,111 2,358 Molina Healthcare, Inc. (a) 133,958 8,705 VCA, Inc. (a) 621,015 --------------- 1,818,478 --------------- HEALTH CARE TECHNOLOGY -- 1.4% 1,706 athenahealth, Inc. (a) 218,010 5,023 Medidata Solutions, Inc. (a) 266,972 17,249 Veeva Systems, Inc., Class A (a) 655,290 --------------- 1,140,272 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.9% 6,397 Boyd Gaming Corp. (a) 125,445 1,694 Buffalo Wild Wings, Inc. (a) 284,524 2,472 Choice Hotels International, Inc. 119,373 1,863 Churchill Downs, Inc. 244,295 3,584 Domino's Pizza, Inc. 527,923 6,850 Jack in the Box, Inc. 605,472 2,776 Panera Bread Co., Class A (a) 608,832 6,094 Six Flags Entertainment Corp. 343,641 12,907 Texas Roadhouse, Inc. 609,469 3,406 Vail Resorts, Inc. 487,296 12,236 Wendy's (The) Co. 118,200 --------------- 4,074,470 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ HOUSEHOLD DURABLES -- 1.0% 3,434 Helen of Troy Ltd. (a) $ 342,061 9,212 Leggett & Platt, Inc. 484,275 --------------- 826,336 --------------- HOUSEHOLD PRODUCTS -- 0.9% 17,147 HRG Group, Inc. (a) 255,319 3,946 Spectrum Brands Holdings, Inc. 508,126 --------------- 763,445 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 7,981 Calpine Corp. (a) 109,659 --------------- INSURANCE -- 1.8% 4,805 AmTrust Financial Services, Inc. 114,695 9,424 Brown & Brown, Inc. 345,484 1,453 Enstar Group Ltd. (a) 242,055 21,981 National General Holdings Corp. 453,468 5,134 RLI Corp. 349,985 --------------- 1,505,687 --------------- INTERNET & CATALOG RETAIL -- 0.5% 9,055 Wayfair, Inc., Class A (a) (b) 393,893 --------------- INTERNET SOFTWARE & SERVICES -- 2.2% 6,364 Cimpress N.V. (a) 603,307 1,614 CoStar Group, Inc. (a) 335,551 7,547 GoDaddy, Inc., Class A (a) 225,806 1,863 j2 Global, Inc. 124,523 37,818 Pandora Media, Inc. (a) (b) 514,325 --------------- 1,803,512 --------------- IT SERVICES -- 3.3% 3,514 Blackhawk Network Holdings, Inc. (a) 122,252 9,026 Broadridge Financial Solutions, Inc. 610,880 4,708 Convergys Corp. 125,468 15,295 CoreLogic, Inc. (a) 616,083 3,402 Euronet Worldwide, Inc. (a) 259,437 17,542 Genpact Ltd. (a) 469,599 6,377 MAXIMUS, Inc. 375,733 2,601 Syntel, Inc. (a) 117,851 --------------- 2,697,303 --------------- LEISURE PRODUCTS -- 0.5% 7,399 Vista Outdoor, Inc. (a) 370,320 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.3% 4,175 Bio-Techne Corp. 469,354 4,284 Charles River Laboratories International, Inc. (a) 376,692 6,174 INC Research Holdings, Inc., Class A (a) 274,805 3,744 PAREXEL International Corp. (a) 250,286 4,491 PerkinElmer, Inc. 255,628 See Notes to Financial Statements Page 91 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 5,637 PRA Health Sciences, Inc. (a) $ 261,444 --------------- 1,888,209 --------------- MACHINERY -- 1.6% 2,980 Graco, Inc. 220,550 1,434 IDEX Corp. 128,759 3,064 Middleby (The) Corp. (a) 368,844 6,673 Toro (The) Co. 613,582 --------------- 1,331,735 --------------- MEDIA -- 2.1% 690 Cable One, Inc. 361,477 3,924 Liberty Broadband Corp., Class C (a) 248,429 21,363 Regal Entertainment Group, Class A (b) 502,458 5,671 Scripps Networks Interactive, Inc., Class A 374,626 7,884 Sinclair Broadcast Group, Inc., Class A 219,333 --------------- 1,706,323 --------------- MULTI-UTILITIES -- 0.4% 5,599 NorthWestern Corp. 340,083 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.1% 3,872 Diamondback Energy, Inc. (a) 339,923 3,765 Gulfport Energy Corp. (a) 109,524 10,657 Newfield Exploration Co. (a) 461,448 17,399 Parsley Energy, Inc., Class A (a) 496,045 10,121 RSP Permian, Inc. (a) 363,850 --------------- 1,770,790 --------------- PERSONAL PRODUCTS -- 0.3% 4,022 Herbalife Ltd. (a) 273,536 --------------- PHARMACEUTICALS -- 1.1% 8,265 Akorn, Inc. (a) 282,911 7,147 Horizon Pharma PLC (a) 137,866 4,084 Impax Laboratories, Inc. (a) 128,319 6,374 Prestige Brands Holdings, Inc. (a) 341,009 --------------- 890,105 --------------- PROFESSIONAL SERVICES -- 1.4% 1,908 CEB, Inc. 114,556 2,899 Dun & Bradstreet (The) Corp. 374,696 6,371 On Assignment, Inc. (a) 235,408 14,080 TransUnion (a) 460,698 --------------- 1,185,358 --------------- REAL ESTATE INVESTMENT TRUSTS -- 21.9% 3,314 Acadia Realty Trust 124,805 4,548 Alexandria Real Estate Equities, Inc. 510,740 8,905 American Campus Communities, Inc. 481,493 SHARES DESCRIPTION VALUE ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 28,737 American Homes 4 Rent, Class A $ 623,593 5,331 Apartment Investment & Management Co., Class A 245,066 12,762 Blackstone Mortgage Trust, Inc., Class A 370,226 15,478 Colony Starwood Homes 507,059 12,219 Communications Sales & Leasing, Inc. 379,766 6,636 CoreSite Realty Corp. 547,669 3,812 CubeSmart 113,254 8,460 CyrusOne, Inc. 463,777 9,801 DCT Industrial Trust, Inc. 492,206 12,978 DDR Corp. 256,186 16,570 Douglas Emmett, Inc. 630,323 12,380 DuPont Fabros Technology, Inc. 592,135 7,653 Education Realty Trust, Inc. 368,415 12,397 Empire State Realty Trust, Inc., Class A 260,213 5,836 EPR Properties 490,341 5,882 Equity LifeStyle Properties, Inc. 483,736 10,973 Equity One, Inc. 365,072 21,155 First Industrial Realty Trust, Inc. 623,438 3,413 Gaming and Leisure Properties, Inc. 122,288 12,767 Gramercy Property Trust 127,542 13,456 Healthcare Realty Trust, Inc. 486,569 10,919 Healthcare Trust of America, Inc., Class A 371,792 8,917 Highwoods Properties, Inc. 496,855 12,101 Hudson Pacific Properties, Inc. 409,135 1,775 Kilroy Realty Corp. 129,948 8,398 Kite Realty Group Trust 255,383 5,326 Lamar Advertising Co., Class A 361,422 11,854 Liberty Property Trust 490,518 38,694 Medical Properties Trust, Inc. 607,496 7,838 National Health Investors, Inc. 615,832 9,104 National Retail Properties, Inc. 483,969 42,524 New Residential Investment Corp. 581,303 3,467 Omega Healthcare Investors, Inc. 119,611 1,928 Post Properties, Inc. 122,602 3,329 PS Business Parks, Inc. 369,153 13,930 Retail Properties of America, Inc., Class A 245,586 2,324 Ryman Hospitality Properties, Inc. 130,702 36,871 Spirit Realty Capital, Inc. 504,027 6,144 Sun Communities, Inc. 486,298 11,718 Tanger Factory Outlet Centers, Inc. 489,109 19,710 Urban Edge Properties 589,526 5,087 W.P. Carey, Inc. 369,571 5,767 Weingarten Realty Investors 249,077 --------------- 18,144,827 --------------- Page 92 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 2,059 Howard Hughes (The) Corp. (a) $ 245,968 --------------- ROAD & RAIL -- 0.5% 10,957 Avis Budget Group, Inc. (a) 402,451 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.4% 15,172 Cirrus Logic, Inc. (a) 737,207 5,847 Integrated Device Technology, Inc. (a) 128,576 6,892 Monolithic Power Systems, Inc. 501,186 8,521 Qorvo, Inc. (a) 538,783 5,978 Teradyne, Inc. 118,066 --------------- 2,023,818 --------------- SOFTWARE -- 7.1% 5,850 Aspen Technology, Inc. (a) 245,056 5,201 Blackbaud, Inc. 347,687 14,532 Cadence Design Systems, Inc. (a) 349,495 6,421 Ellie Mae, Inc. (a) 591,438 4,167 Fair Isaac Corp. 527,709 7,453 Fortinet, Inc. (a) 258,545 3,812 Guidewire Software, Inc. (a) 234,324 3,671 Manhattan Associates, Inc. (a) 213,102 1,616 NetSuite, Inc. (a) 175,902 5,598 Proofpoint, Inc. (a) 424,720 4,345 Splunk, Inc. (a) 271,736 2,406 Tableau Software, Inc., Class A (a) 135,963 15,521 Take-Two Interactive Software, Inc. (a) 623,634 2,824 Tyler Technologies, Inc. (a) 460,368 2,239 Ultimate Software Group (The), Inc. (a) 468,175 17,848 Zendesk, Inc. (a) 539,723 --------------- 5,867,577 --------------- SPECIALTY RETAIL -- 1.5% 8,822 Burlington Stores, Inc. (a) 674,971 16,555 Michaels Cos., (The) Inc. (a) 436,390 1,852 Monro Muffler Brake, Inc. 115,972 --------------- 1,227,333 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 3,317 Carter's, Inc. 335,846 11,882 Skechers U.S.A., Inc., Class A (a) 285,406 --------------- 621,252 --------------- TOBACCO -- 0.1% 5,250 Vector Group Ltd. 115,972 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ TRADING COMPANIES & DISTRIBUTORS -- 1.8% 12,943 Beacon Roofing Supply, Inc. (a) $ 608,580 10,141 HD Supply Holdings, Inc. (a) 367,002 3,346 Watsco, Inc. 481,958 --------------- 1,457,540 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.3% 3,179 Macquarie Infrastructure Corp. 243,670 --------------- WATER UTILITIES -- 0.6% 13,203 Aqua America, Inc. 457,352 --------------- TOTAL COMMON STOCKS -- 100.0% 82,739,656 (Cost $74,380,121) --------------- MONEY MARKET FUNDS -- 0.9% 709,616 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) 709,616 (Cost $709,616) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 1.0% $ 280,995 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $281,001. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $287,357. (d) 280,995 582,109 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $582,123. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $595,610. (d) 582,109 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.0% 863,104 (Cost $863,104) --------------- TOTAL INVESTMENTS -- 101.9% 84,312,376 (Cost $75,952,841) (e) NET OTHER ASSETS AND LIABILITIES -- (1.9)% (1,587,511) --------------- NET ASSETS -- 100.0% $ 82,724,865 =============== See Notes to Financial Statements Page 93 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $1,560,427 and the total value of the collateral held by the Fund is $1,572,720. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $75,984,742. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $8,956,328 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $628,694. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------- Common Stocks* $82,739,656 $ -- $ -- Money Market Funds 709,616 -- -- Repurchase Agreements -- 863,104 -- -------------------------------------- Total Investments $83,449,272 $ 863,104 $ -- ====================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. ----------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 1,560,427 Non-cash Collateral(2) (1,560,427) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 863,104 Non-cash Collateral(4) (863,104) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 94 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.2% 13,990 AAR Corp. $ 337,998 3,250 Cubic Corp. 132,730 15,263 DigitalGlobe, Inc. (a) 411,491 2,065 KLX, Inc. (a) 66,700 4,846 Moog, Inc., Class A (a) 266,869 --------------- 1,215,788 --------------- AIR FREIGHT & LOGISTICS -- 1.3% 6,305 Atlas Air Worldwide Holdings, Inc. (a) 272,565 4,317 Forward Air Corp. 199,791 5,008 Hub Group, Inc., Class A (a) 205,027 --------------- 677,383 --------------- AIRLINES -- 0.7% 12,340 SkyWest, Inc. 355,022 --------------- AUTO COMPONENTS -- 1.6% 18,037 American Axle & Manufacturing Holdings, Inc. (a) 314,024 24,733 Dana, Inc. 337,358 4,830 Standard Motor Products, Inc. 202,571 --------------- 853,953 --------------- BANKS -- 5.1% 5,935 1st Source Corp. 199,475 2,164 BancFirst Corp. 141,894 3,068 Banner Corp. 128,058 7,138 Berkshire Hills Bancorp, Inc. 188,229 11,086 Boston Private Financial Holdings, Inc. 134,362 2,873 City Holding Co. 134,169 1,558 Community Bank System, Inc. 68,755 7,439 First Midwest Bancorp, Inc. 138,886 7,358 Hancock Holding Co. 213,309 5,445 Heartland Financial USA, Inc. 199,940 3,053 Hilltop Holdings, Inc. (a) 66,494 7,368 International Bancshares Corp. 202,031 20,845 Old National Bancorp 274,320 2,795 Texas Capital Bancshares, Inc. (a) 135,669 7,735 Trustmark Corp. 201,884 7,138 United Community Banks, Inc. 137,335 6,190 WesBanco, Inc. 191,395 --------------- 2,756,205 --------------- BUILDING PRODUCTS -- 0.4% 4,005 NCI Building Systems, Inc. (a) 64,961 3,268 Simpson Manufacturing Co., Inc. 133,335 --------------- 198,296 --------------- CAPITAL MARKETS -- 1.4% 1,584 Cohen & Steers, Inc. 68,270 8,110 Greenhill & Co., Inc. 160,821 19,635 KCG Holdings, Inc., Class A (a) 297,078 2,700 Virtus Investment Partners, Inc. (b) 227,583 --------------- 753,752 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ CHEMICALS -- 3.1% 7,872 A. Schulman, Inc. $ 230,728 19,863 Calgon Carbon Corp. 274,109 4,788 Ferro Corp. (a) 62,053 2,966 H.B. Fuller Co. 138,097 7,098 Innospec, Inc. 356,816 3,384 Minerals Technologies, Inc. 220,840 1,466 Quaker Chemical Corp. 140,238 4,388 Stepan Co. 282,192 --------------- 1,705,073 --------------- COMMERCIAL SERVICES & SUPPLIES -- 3.3% 1,757 ABM Industries, Inc. 65,378 3,894 Covanta Holding Corp. 62,382 1,704 G&K Services, Inc., Class A 136,678 6,432 Herman Miller, Inc. 210,777 2,809 HNI Corp. 146,433 12,602 Interface, Inc. 225,072 1,848 Mobile Mini, Inc. 60,078 1,220 MSA Safety, Inc. 68,174 2,059 Multi-Color Corp. 132,970 24,057 Steelcase, Inc., Class A 348,826 2,084 Tetra Tech, Inc. 68,626 2,259 UniFirst Corp. 264,032 --------------- 1,789,426 --------------- COMMUNICATIONS EQUIPMENT -- 1.8% 3,433 ADTRAN, Inc. 62,481 8,221 EchoStar Corp., Class A (a) 320,208 7,457 Finisar Corp. (a) 139,893 19,573 Ixia (a) 225,090 2,745 NETGEAR, Inc. (a) 141,175 1,454 Plantronics, Inc. 70,141 --------------- 958,988 --------------- CONSTRUCTION & ENGINEERING -- 0.6% 2,869 Granite Construction, Inc. 142,819 10,153 Primoris Services Corp. 183,261 --------------- 326,080 --------------- CONSTRUCTION MATERIALS -- 0.3% 6,381 Summit Materials, Inc., Class A (a) 141,275 --------------- CONSUMER FINANCE -- 1.6% 5,681 Green Dot Corp., Class A (a) 137,480 9,395 Nelnet, Inc., Class A 379,652 13,526 PRA Group, Inc. (a) 376,835 --------------- 893,967 --------------- CONTAINERS & PACKAGING -- 0.1% 1,720 Greif, Inc., Class A 69,024 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.1% 18,299 DeVry Education Group, Inc. 407,519 10,487 Regis Corp. (a) 140,945 See Notes to Financial Statements Page 95 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 5,508 Weight Watchers International, Inc. (a) (b) $ 65,710 --------------- 614,174 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 1,680 ATN International, Inc. 123,514 21,642 Iridium Communications, Inc. (a) 194,345 --------------- 317,859 --------------- ELECTRIC UTILITIES -- 0.7% 4,066 El Paso Electric Co. 193,867 5,737 Otter Tail Corp. 199,934 --------------- 393,801 --------------- ELECTRICAL EQUIPMENT -- 0.7% 8,890 Babcock & Wilcox Enterprises, Inc. (a) 136,551 7,008 Encore Wire Corp. 263,010 --------------- 399,561 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.3% 4,901 Anixter International, Inc. (a) 300,333 19,232 AVX Corp. 262,709 2,163 Belden, Inc. 158,353 15,437 Benchmark Electronics, Inc. (a) 361,843 1,425 Coherent, Inc. (a) 151,121 2,730 Dolby Laboratories, Inc., Class A 137,346 3,195 ePlus, Inc. (a) 268,732 12,558 Insight Enterprises, Inc. (a) 334,043 5,615 Methode Electronics, Inc. 196,694 2,980 MTS Systems Corp. 141,342 4,451 Plexus Corp. (a) 204,479 3,144 Rogers Corp. (a) 215,175 12,176 Sanmina Corp. (a) 308,540 7,041 ScanSource, Inc. (a) 288,892 5,172 Vishay Intertechnology, Inc. 68,943 --------------- 3,398,545 --------------- ENERGY EQUIPMENT & SERVICES -- 1.2% 22,891 Bristow Group, Inc. 247,452 38,907 McDermott International, Inc. (a) 201,538 3,970 Oil States International, Inc. (a) 122,752 1,107 SEACOR Holdings, Inc. (a) 62,568 --------------- 634,310 --------------- FOOD & STAPLES RETAILING -- 1.2% 40,718 SUPERVALU, Inc. (a) 198,704 4,106 United Natural Foods, Inc. (a) 205,218 5,169 Weis Markets, Inc. 267,082 --------------- 671,004 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ FOOD PRODUCTS -- 1.5% 17,529 Darling Ingredients, Inc. (a) $ 276,608 10,624 Dean Foods Co. 196,119 3,770 Sanderson Farms, Inc. 330,214 --------------- 802,941 --------------- GAS UTILITIES -- 0.5% 2,015 Northwest Natural Gas Co. 130,854 4,131 South Jersey Industries, Inc. 131,696 --------------- 262,550 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.2% 804 Analogic Corp. 67,552 1,341 CONMED Corp. 54,498 --------------- 122,050 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.4% 28,916 Kindred Healthcare, Inc. 354,510 1,985 Magellan Health, Inc. (a) 135,913 4,034 National HealthCare Corp. 260,596 5,821 Providence Service (The) Corp. (a) 281,562 24,026 Select Medical Holdings Corp. (a) 276,299 --------------- 1,308,880 --------------- HEALTH CARE TECHNOLOGY -- 0.1% 3,638 HMS Holdings Corp. (a) 72,323 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.2% 6,472 Belmond Ltd., Class A (a) 74,363 157 Biglari Holdings, Inc. (a) 65,172 3,443 Bob Evans Farms, Inc. 126,634 2,793 Dave & Buster's Entertainment, Inc. (a) 124,288 11,977 Fiesta Restaurant Group, Inc. (a) 267,566 2,658 Hyatt Hotels Corp., Class A (a) 134,070 7,809 International Speedway Corp., Class A 263,710 4,030 Interval Leisure Group, Inc. 72,459 5,619 La Quinta Holdings, Inc. (a) 69,507 1,907 Marriott Vacations Worldwide Corp. 145,504 6,882 Red Robin Gourmet Burgers, Inc. (a) 332,814 4,470 SeaWorld Entertainment, Inc. 68,838 --------------- 1,744,925 --------------- HOUSEHOLD DURABLES -- 2.7% 5,819 Ethan Allen Interiors, Inc. 202,094 17,172 KB Home 269,600 6,909 La-Z-Boy, Inc. 208,790 7,894 M.D.C. Holdings, Inc. 207,770 8,699 Meritage Homes Corp. (a) 316,557 5,307 TopBuild Corp. (a) 200,392 888 Universal Electronics, Inc. (a) 68,678 --------------- 1,473,881 --------------- Page 96 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 1.2% 18,937 Dynegy, Inc. (a) $ 286,517 20,943 NRG Yield, Inc., Class C 375,717 --------------- 662,234 --------------- INSURANCE -- 6.4% 22,909 American Equity Investment Life Holding Co. 364,940 6,292 Argo Group International Holdings Ltd. 326,492 11,253 Employers Holdings, Inc. 320,936 3,168 FBL Financial Group, Inc., Class A 197,588 24,832 Genworth Financial, Inc., Class A (a) 71,019 3,863 Horace Mann Educators Corp. 132,037 2,382 Infinity Property & Casualty Corp. 195,419 6,202 Kemper Corp. 212,542 26,674 Maiden Holdings Ltd. 372,636 19,120 MBIA, Inc. (a) 161,373 1,670 National Western Life Group, Inc., Class A 315,864 2,089 Navigators Group (The), Inc. 195,677 2,121 Safety Insurance Group, Inc. 135,108 5,031 Selective Insurance Group, Inc. 197,014 6,156 United Fire Group, Inc. 258,552 --------------- 3,457,197 --------------- INTERNET & CATALOG RETAIL -- 0.1% 1,374 Shutterfly, Inc. (a) 73,083 --------------- INTERNET SOFTWARE & SERVICES -- 0.1% 8,565 Bankrate, Inc. (a) 68,263 --------------- IT SERVICES -- 1.3% 5,081 ManTech International Corp., Class A 200,750 13,888 NeuStar, Inc., Class A (a) 349,839 6,432 Perficient, Inc. (a) 142,919 --------------- 693,508 --------------- LEISURE PRODUCTS -- 0.1% 6,273 Callaway Golf Co. 67,121 --------------- MACHINERY -- 6.1% 8,273 American Railcar Industries, Inc. 347,549 1,142 Astec Industries, Inc. 68,840 9,858 Barnes Group, Inc. 373,914 12,334 Briggs & Stratton Corp. 280,352 3,271 ESCO Technologies, Inc. 138,527 20,277 Federal Signal Corp. 266,642 3,953 Franklin Electric Co., Inc. 153,060 11,206 Greenbrier (The) Cos., Inc. (b) 367,893 4,348 Hillenbrand, Inc. 140,658 2,895 Kennametal, Inc. 71,970 SHARES DESCRIPTION VALUE ------------------------------------------------------------ MACHINERY (CONTINUED) 6,026 Mueller Industries, Inc. $ 205,125 5,611 Mueller Water Products, Inc., Class A 66,546 10,017 SPX FLOW, Inc. (a) 273,264 4,398 Sun Hydraulics Corp. 132,820 1,189 Tennant Co. 76,191 25,707 Wabash National Corp. (a) 372,237 --------------- 3,335,588 --------------- MEDIA -- 2.4% 23,642 Gannett Co., Inc. 301,672 1,814 Loral Space & Communications, Inc. (a) 63,726 5,033 Meredith Corp. 274,198 18,068 New Media Investment Group, Inc. 319,081 8,243 Scholastic Corp. 338,787 --------------- 1,297,464 --------------- METALS & MINING -- 0.4% 5,027 Allegheny Technologies, Inc. 89,531 7,729 Commercial Metals Co. 127,838 --------------- 217,369 --------------- MULTILINE RETAIL -- 0.4% 3,838 Big Lots, Inc. 204,105 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.7% 50,385 Alon USA Energy, Inc. 356,222 3,984 CONSOL Energy, Inc. 77,210 24,717 Delek US Holdings, Inc. 309,457 6,623 Green Plains, Inc. 150,210 27,965 Oasis Petroleum, Inc. (a) 212,534 1,969 SemGroup Corp., Class A 57,022 4,835 SM Energy Co. 131,173 4,562 Targa Resources Corp. 169,980 --------------- 1,463,808 --------------- PAPER & FOREST PRODUCTS -- 2.3% 11,380 Boise Cascade Co. (a) 309,195 2,942 Clearwater Paper Corp. (a) 185,081 25,094 KapStone Paper and Packaging Corp. 358,342 1,804 Neenah Paper, Inc. 136,076 7,405 Schweitzer-Mauduit International, Inc. 279,983 --------------- 1,268,677 --------------- PERSONAL PRODUCTS -- 0.4% 2,241 Inter Parfums, Inc. 72,922 2,830 Nu Skin Enterprises, Inc., Class A 151,122 --------------- 224,044 --------------- PROFESSIONAL SERVICES -- 2.7% 4,723 FTI Consulting, Inc. (a) 202,333 3,179 Huron Consulting Group, Inc. (a) 195,413 829 Insperity, Inc. 65,068 See Notes to Financial Statements Page 97 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 9,285 Korn/Ferry International $ 213,648 20,218 Navigant Consulting, Inc. (a) 398,497 17,254 TrueBlue, Inc. (a) 385,282 --------------- 1,460,241 --------------- REAL ESTATE INVESTMENT TRUSTS -- 7.6% 26,926 Capstead Mortgage Corp. 267,914 28,053 CBL & Associates Properties, Inc. 344,771 11,233 Chesapeake Lodging Trust 283,858 36,153 DiamondRock Hospitality Co. 355,022 15,663 Franklin Street Properties Corp. 200,800 10,955 InfraREIT, Inc. 193,465 4,680 Invesco Mortgage Capital, Inc. 67,392 40,367 Investors Real Estate Trust 267,230 25,836 Lexington Realty Trust 280,837 9,948 Pebblebrook Hotel Trust 294,958 16,093 PennyMac Mortgage Investment Trust 261,189 18,911 Redwood Trust, Inc. 269,860 10,049 Select Income REIT 278,960 24,659 Summit Hotel Properties, Inc. 349,665 4,179 Tier REIT, Inc. 72,840 19,454 Xenia Hotels & Resorts, Inc. 349,394 --------------- 4,138,155 --------------- ROAD & RAIL -- 1.8% 15,018 Heartland Express, Inc. 278,133 16,950 Swift Transportation Co. (a) 326,288 14,214 Werner Enterprises, Inc. 357,056 --------------- 961,477 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0% 56,778 Amkor Technology, Inc. (a) 357,134 3,086 Cabot Microelectronics Corp. 162,385 10,228 Diodes, Inc. (a) 189,320 14,193 Intersil Corp., Class A 216,869 1,282 Power Integrations, Inc. 73,164 3,866 Veeco Instruments, Inc. (a) 64,833 --------------- 1,063,705 --------------- SOFTWARE -- 0.2% 2,600 Monotype Imaging Holdings, Inc. 51,454 4,097 Rovi Corp. (a) 77,065 --------------- 128,519 --------------- SPECIALTY RETAIL -- 8.5% 14,913 Aaron's, Inc. 357,166 18,330 Abercrombie & Fitch Co., Class A 379,614 3,643 Asbury Automotive Group, Inc. (a) 221,494 9,167 Ascena Retail Group, Inc. (a) 74,528 16,931 Barnes & Noble, Inc. 221,458 SHARES DESCRIPTION VALUE ------------------------------------------------------------ SPECIALTY RETAIL (CONTINUED) 10,049 Buckle (The), Inc. (b) $ 275,242 10,790 Caleres, Inc. 283,993 5,098 Cato (The) Corp., Class A 182,356 2,399 Children's Place (The), Inc. 200,508 12,334 DSW, Inc., Class A 299,223 22,500 Express, Inc. (a) 336,600 6,470 Finish Line (The), Inc., Class A 140,593 5,077 Genesco, Inc. (a) 352,445 5,291 Group 1 Automotive, Inc. 329,735 17,354 Guess?, Inc. 255,451 7,510 Hibbett Sports, Inc. (a) 262,249 6,110 Select Comfort Corp. (a) 145,785 10,681 Vitamin Shoppe, Inc. (a) 312,526 --------------- 4,630,966 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.2% 2,139 Cray, Inc. (a) 67,507 13,147 Diebold, Inc. 371,271 10,511 Super Micro Computer, Inc. (a) 226,512 --------------- 665,290 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.5% 4,540 Deckers Outdoor Corp. (a) 299,686 11,444 Fossil Group, Inc. (a) 361,630 6,429 Wolverine World Wide, Inc. 157,446 --------------- 818,762 --------------- THRIFTS & MORTGAGE FINANCE -- 1.6% 17,575 EverBank Financial Corp. 315,647 10,699 Flagstar Bancorp, Inc. (a) 282,561 5,689 Nationstar Mortgage Holdings, Inc. (a) 71,852 4,320 Northwest Bancshares, Inc. 64,411 37,466 Ocwen Financial Corp. (a) 74,932 4,812 PHH Corp. (a) 70,303 --------------- 879,706 --------------- TOBACCO -- 0.6% 5,654 Universal Corp. 335,339 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.3% 7,424 GATX Corp. 332,075 4,522 Kaman Corp. 195,170 15,151 Rush Enterprises, Inc., Class A (a) 348,170 6,340 WESCO International, Inc. (a) 353,392 --------------- 1,228,807 --------------- WATER UTILITIES -- 0.1% 1,834 California Water Service Group 61,861 --------------- TOTAL COMMON STOCKS -- 99.9% 54,316,325 (Cost $51,982,612) --------------- Page 98 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ MONEY MARKET FUNDS -- 0.6% 302,561 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) $ 302,561 (Cost $302,561) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 0.7% $ 119,809 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $119,811. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $122,521. (d) 119,809 248,195 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $248,201. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $253,952. (d) 248,195 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.7% 368,004 (Cost $368,004) --------------- TOTAL INVESTMENTS -- 101.2% 54,986,890 (Cost $52,653,177) (e) NET OTHER ASSETS AND LIABILITIES -- (1.2)% (645,420) --------------- NET ASSETS -- 100.0% $ 54,341,470 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $675,110 and the total value of the collateral held by the Fund is $670,565. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $52,739,016. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,731,955 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,484,081. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------- Common Stocks* $54,316,325 $ -- $ -- Money Market Funds 302,561 -- -- Repurchase Agreements -- 368,004 -- -------------------------------------- Total Investments $54,618,886 $ 368,004 $ -- ====================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. See Notes to Financial Statements Page 99 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 675,110 Non-cash Collateral(2) (670,565) --------------- Net Amount $ 4,545 =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On July 29, 2016, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 29, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 368,004 Non-cash Collateral(4) (368,004) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 100 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.8% 18,679 Aerojet Rocketdyne Holdings, Inc. (a) $ 352,286 13,736 Mercury Systems, Inc. (a) 356,037 10,980 TASER International, Inc. (a) 317,981 --------------- 1,026,304 --------------- AIRLINES -- 0.4% 5,296 Hawaiian Holdings, Inc. (a) 241,127 --------------- AUTO COMPONENTS -- 2.0% 4,323 Cooper-Standard Holding, Inc. (a) 380,640 5,970 Dorman Products, Inc. (a) 380,289 4,024 Drew Industries, Inc. 368,639 --------------- 1,129,568 --------------- BANKS -- 9.5% 6,768 Ameris Bancorp 224,427 6,015 BNC Bancorp 145,924 6,075 Brookline Bancorp, Inc. 69,194 2,326 Capital Bank Financial Corp., Class A 69,524 5,391 Chemical Financial Corp. 223,080 7,998 Customers Bancorp, Inc. (a) 205,868 2,838 Eagle Bancorp, Inc. (a) 146,299 5,912 FCB Financial Holdings, Inc., Class A (a) 206,743 14,847 First Commonwealth Financial Corp. 143,274 14,045 First Financial Bancorp 299,299 6,130 First Financial Bankshares, Inc. 209,462 5,478 First Merchants Corp. 143,524 5,138 Glacier Bancorp, Inc. 141,706 8,662 Great Western Bancorp, Inc. 287,319 5,815 Hanmi Financial Corp. 142,584 4,491 Hope Bancorp, Inc. (a) 69,027 2,989 Independent Bank Corp. 150,078 2,905 Lakeland Financial Corp. 149,172 10,152 LegacyTexas Financial Group, Inc. 289,535 7,020 NBT Bancorp, Inc. 209,336 4,041 Opus Bank 130,443 1,489 Park National Corp. 133,295 2,073 Renasant Corp. 66,792 2,741 S&T Bancorp, Inc. 69,868 5,532 ServisFirst Bancshares, Inc. 280,085 4,352 Simmons First National Corp., Class A 199,974 985 South State Corp. 71,816 6,711 State Bank Financial Corp. 146,837 3,093 Tompkins Financial Corp. 224,985 9,285 TowneBank 213,091 5,528 Union Bankshares Corp. 148,371 1,767 Washington Trust Bancorp, Inc. 67,075 2,671 Yadkin Financial Corp. 67,282 --------------- 5,345,289 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ BEVERAGES -- 0.9% 1,363 Coca-Cola Bottling Co. Consolidated $ 194,105 5,437 National Beverage Corp. (a) 311,866 --------------- 505,971 --------------- BIOTECHNOLOGY -- 4.9% 5,916 Acceleron Pharma, Inc. (a) 200,671 5,710 AMAG Pharmaceuticals, Inc. (a) 151,486 18,483 ARIAD Pharmaceuticals, Inc. (a) 175,773 43,722 Exelixis, Inc. (a) 401,368 8,258 Five Prime Therapeutics, Inc. (a) 418,598 2,587 Genomic Health, Inc. (a) 75,101 20,892 Ironwood Pharmaceuticals, Inc. (a) 295,204 23,796 Lexicon Pharmaceuticals, Inc. (a) (b) 388,351 8,397 MiMedx Group, Inc. (a) 62,894 6,203 Momenta Pharmaceuticals, Inc. (a) 69,846 2,838 Portola Pharmaceuticals, Inc. (a) 73,674 9,545 PTC Therapeutics, Inc. (a) 56,984 2,449 Repligen Corp. (a) 70,041 5,342 Spark Therapeutics, Inc. (a) 309,515 --------------- 2,749,506 --------------- BUILDING PRODUCTS -- 3.7% 7,307 AAON, Inc. 193,489 2,059 American Woodmark Corp. (a) 152,840 4,338 Apogee Enterprises, Inc. 202,802 24,282 Builders FirstSource, Inc. (a) 312,995 16,203 Griffon Corp. 277,719 23,436 Ply Gem Holdings, Inc. (a) 359,977 4,476 Trex Co., Inc. (a) 217,086 3,683 Universal Forest Products, Inc. 398,206 --------------- 2,115,114 --------------- CAPITAL MARKETS -- 0.6% 2,420 Artisan Partners Asset Management, Inc., Class A 67,663 1,517 Evercore Partners, Inc., Class A 76,866 4,035 TPG Specialty Lending, Inc. 70,814 7,588 Virtu Financial, Inc., Class A 130,514 --------------- 345,857 --------------- CHEMICALS -- 1.2% 1,123 Balchem Corp. 71,726 2,541 Chemtura Corp. (a) 71,377 15,381 Platform Specialty Products Corp. (a) 141,505 7,954 Trinseo S.A. 396,030 --------------- 680,638 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 11,251 Knoll, Inc. 284,088 4,909 Matthews International Corp., Class A 295,080 4,375 US Ecology, Inc. 198,187 --------------- 777,355 --------------- See Notes to Financial Statements Page 101 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT -- 0.1% 1,203 InterDigital, Inc. $ 71,037 --------------- CONSTRUCTION & ENGINEERING -- 0.6% 10,483 Comfort Systems USA, Inc. 318,473 --------------- CONSTRUCTION MATERIALS -- 1.0% 11,206 Headwaters, Inc. (a) 222,887 5,606 US Concrete, Inc. (a) 361,587 --------------- 584,474 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 3,422 Grand Canyon Education, Inc. (a) 143,929 21,598 LifeLock, Inc. (a) 361,335 --------------- 505,264 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.9% 74,720 Cincinnati Bell, Inc. (a) 373,600 12,536 Consolidated Communications Holdings, Inc. 350,381 55,977 Vonage Holdings Corp. (a) 331,944 --------------- 1,055,925 --------------- ELECTRIC UTILITIES -- 0.5% 4,833 MGE Energy, Inc. 271,373 --------------- ELECTRICAL EQUIPMENT -- 0.5% 4,555 AZZ, Inc. 282,774 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.5% 4,677 Badger Meter, Inc. 326,174 9,200 Fabrinet (a) 347,392 7,280 II-VI, Inc. (a) 146,328 --------------- 819,894 --------------- FOOD & STAPLES RETAILING -- 0.7% 9,173 Smart & Final Stores, Inc. (a) 126,496 8,934 SpartanNash Co. 281,421 --------------- 407,917 --------------- FOOD PRODUCTS -- 1.1% 5,097 Calavo Growers, Inc. 335,280 7,091 Tootsie Roll Industries, Inc. (b) 263,289 --------------- 598,569 --------------- GAS UTILITIES -- 0.3% 3,037 Chesapeake Utilities Corp. 194,581 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.8% 1,419 Abaxis, Inc. 70,184 470 Atrion Corp. 224,096 5,615 Cynosure, Inc., Class A (a) 308,601 2,812 Globus Medical, Inc., Class A (a) 64,535 SHARES DESCRIPTION VALUE ------------------------------------------------------------ HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 1,782 ICU Medical, Inc. (a) $ 208,066 2,215 Insulet Corp. (a) 78,389 6,502 Masimo Corp. (a) 344,411 3,436 Meridian Bioscience, Inc. 66,521 10,137 Merit Medical Systems, Inc. (a) 237,611 4,629 Nevro Corp. (a) 382,818 12,601 NxStage Medical, Inc. (a) 278,608 6,442 Orthofix International N.V. (a) 305,351 4,998 Zeltiq Aesthetics, Inc. (a) 169,682 --------------- 2,738,873 --------------- HEALTH CARE PROVIDERS & SERVICES -- 5.6% 6,241 Aceto Corp. 160,456 2,644 Adeptus Health, Inc., Class A (a) (b) 117,843 3,812 Air Methods Corp. (a) 126,901 6,764 Amedisys, Inc. (a) 362,212 8,543 AMN Healthcare Services, Inc. (a) 361,369 6,326 CorVel Corp. (a) 285,935 9,756 Diplomat Pharmacy, Inc. (a) 350,533 9,567 Ensign Group (The), Inc. 205,691 8,990 HealthEquity, Inc. (a) 265,385 7,890 LHC Group, Inc. (a) 357,101 5,539 PharMerica Corp. (a) 147,116 2,049 Premier, Inc., Class A (a) 67,002 7,164 Surgical Care Affiliates, Inc. (a) 372,600 --------------- 3,180,144 --------------- HEALTH CARE TECHNOLOGY -- 1.1% 7,580 HealthStream, Inc. (a) 183,664 3,720 Inovalon Holdings, Inc., Class A (a) 69,266 8,677 Press Ganey Holdings, Inc. (a) 346,386 --------------- 599,316 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.5% 6,232 BJ's Restaurants, Inc. (a) 242,051 5,155 ClubCorp Holdings, Inc. 74,748 18,734 Denny's Corp. (a) 209,072 790 DineEquity, Inc. 64,282 4,017 Papa John's International, Inc. 297,057 4,803 Penn National Gaming, Inc. (a) 72,141 2,501 Popeyes Louisiana Kitchen, Inc. (a) 143,257 2,477 Sonic Corp. 66,656 10,025 Wingstop, Inc. 260,650 --------------- 1,429,914 --------------- HOUSEHOLD DURABLES -- 1.4% 3,644 Cavco Industries, Inc. (a) 362,141 5,731 iRobot Corp. (a) 217,319 17,006 TRI Pointe Group, Inc. (a) 228,731 --------------- 808,191 --------------- Page 102 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) HOUSEHOLD PRODUCTS -- 1.0% 15,729 Central Garden & Pet Co., Class A (a) $ 358,464 1,711 WD-40 Co. 196,731 --------------- 555,195 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.9% 6,243 Ormat Technologies, Inc. 284,931 8,750 Pattern Energy Group, Inc. 213,237 --------------- 498,168 --------------- INSURANCE -- 1.4% 4,462 AMERISAFE, Inc. 261,161 8,045 James River Group Holdings Ltd. 270,795 10,818 Universal Insurance Holdings, Inc. 235,183 --------------- 767,139 --------------- INTERNET & CATALOG RETAIL -- 0.1% 3,062 Liberty TripAdvisor Holdings, Inc., Class A (a) 72,477 --------------- INTERNET SOFTWARE & SERVICES -- 5.2% 6,835 2U, Inc. (a) 239,088 5,273 Benefitfocus, Inc. (a) 226,739 7,177 Cornerstone OnDemand, Inc. (a) 309,975 6,034 Envestnet, Inc. (a) 230,318 8,793 GrubHub, Inc. (a) 333,430 3,169 LogMeIn, Inc. (a) 272,249 12,450 NIC, Inc. 290,334 9,750 Q2 Holdings, Inc. (a) 289,380 3,318 SPS Commerce, Inc. (a) 210,096 767 Stamps.com, Inc. (a) 58,142 3,460 WebMD Health Corp. (a) 211,094 8,998 Yelp, Inc. (a) 289,466 --------------- 2,960,311 --------------- IT SERVICES -- 2.4% 8,577 Cardtronics PLC, Class A (a) 377,302 4,987 CSG Systems International, Inc. 200,777 8,788 EVERTEC, Inc. 151,154 6,516 ExlService Holdings, Inc. (a) 322,607 4,717 Sykes Enterprises, Inc. (a) 144,765 5,034 TeleTech Holdings, Inc. 143,670 --------------- 1,340,275 --------------- LEISURE PRODUCTS -- 1.0% 12,562 Smith & Wesson Holding Corp. (a) 369,951 3,140 Sturm Ruger & Co., Inc. 213,520 --------------- 583,471 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------ LIFE SCIENCES TOOLS & SERVICES -- 0.7% 5,280 Cambrex Corp. (a) $ 276,725 6,753 Luminex Corp. (a) 144,717 --------------- 421,442 --------------- MACHINERY -- 2.2% 5,034 Albany International Corp., Class A 213,089 5,578 John Bean Technologies Corp. 373,280 3,768 RBC Bearings, Inc. (a) 286,481 6,959 Rexnord Corp. (a) 148,157 2,434 Standex International Corp. 216,139 --------------- 1,237,146 --------------- MARINE -- 0.1% 2,075 Matson, Inc. 77,543 --------------- MEDIA -- 0.7% 6,176 Gray Television, Inc. (a) 61,142 8,822 National CineMedia, Inc. 137,447 4,224 Nexstar Broadcasting Group, Inc., Class A 213,523 --------------- 412,112 --------------- METALS & MINING -- 0.3% 2,223 Kaiser Aluminum Corp. 184,176 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.1% 1,869 Carrizo Oil & Gas, Inc. (a) 61,303 19,180 Laredo Petroleum, Inc. (a) 192,184 15,494 Rice Energy, Inc. (a) 361,320 --------------- 614,807 --------------- PERSONAL PRODUCTS -- 0.4% 4,245 Revlon, Inc., Class A (a) 150,655 602 USANA Health Sciences, Inc. (a) 82,667 --------------- 233,322 --------------- PHARMACEUTICALS -- 1.4% 13,922 Depomed, Inc. (a) 264,100 4,669 Dermira, Inc. (a) 156,692 1,726 Intra-Cellular Therapies, Inc. (a) 70,421 5,742 Lannett Co., Inc. (a) 179,265 16,070 TherapeuticsMD, Inc. (a) (b) 124,864 --------------- 795,342 --------------- PROFESSIONAL SERVICES -- 2.0% 3,858 Advisory Board (The) Co. (a) 161,110 4,678 Exponent, Inc. 237,689 16,424 TriNet Group, Inc. (a) 356,237 5,709 WageWorks, Inc. (a) 352,873 --------------- 1,107,909 --------------- REAL ESTATE INVESTMENT TRUSTS -- 11.7% 7,078 Agree Realty Corp. 358,996 334 Alexander's, Inc. 143,376 3,219 American Assets Trust, Inc. 147,688 8,499 Apollo Commercial Real Estate Finance, Inc. 138,109 See Notes to Financial Statements Page 103 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 6,215 Chatham Lodging Trust $ 149,036 13,133 Cousins Properties, Inc. 139,735 16,319 CYS Investments, Inc. 146,055 2,917 EastGroup Properties, Inc. 214,750 17,180 Global Net Lease, Inc. 149,981 11,845 Government Properties Income Trust 282,622 6,323 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 142,204 3,907 Hersha Hospitality Trust 73,842 14,243 iStar, Inc. (a) 147,558 5,280 LTC Properties, Inc. 282,638 10,118 Mack-Cali Realty Corp. 285,328 19,688 Monogram Residential Trust, Inc. 210,859 18,822 New Senior Investment Group, Inc. 225,676 3,124 Pennsylvania Real Estate Investment Trust 79,475 16,252 Physicians Realty Trust 352,993 6,099 QTS Realty Trust, Inc., Class A 349,168 13,931 Ramco-Gershenson Properties Trust 276,391 12,606 Retail Opportunity Investments Corp. 287,795 16,190 Rexford Industrial Realty, Inc. 370,103 3,246 Sabra Health Care REIT, Inc. 77,612 4,426 Saul Centers, Inc. 297,294 11,472 STAG Industrial, Inc. 291,159 10,560 Terreno Realty Corp. 294,096 2,388 Universal Health Realty Income Trust 142,492 6,390 Washington Real Estate Investment Trust 219,113 24,412 WP Glimcher, Inc. 309,544 --------------- 6,585,688 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 4,729 HFF, Inc., Class A 133,405 2,638 Marcus & Millichap, Inc. (a) 70,672 3,781 St. Joe (The) Co. (a) 69,684 --------------- 273,761 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.7% 7,197 Advanced Energy Industries, Inc. (a) 293,062 66,433 Advanced Micro Devices, Inc. (a) 455,730 1,319 Ambarella, Inc. (a) 76,476 13,893 Entegris, Inc. (a) 237,431 8,529 Inphi Corp. (a) 300,050 18,992 MaxLinear, Inc., Class A (a) 414,215 SHARES DESCRIPTION VALUE ------------------------------------------------------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 6,345 MKS Instruments, Inc. $ 289,840 --------------- 2,066,804 --------------- SOFTWARE -- 7.0% 23,371 8x8, Inc. (a) 321,351 6,658 BroadSoft, Inc. (a) 298,478 13,672 Callidus Software, Inc. (a) 280,686 7,129 Ebix, Inc. 380,118 3,153 Fleetmatics Group PLC (a) 135,453 9,133 Gigamon, Inc. (a) 426,694 1,542 HubSpot, Inc. (a) 84,178 10,715 Infoblox, Inc. (a) 200,585 382 MicroStrategy, Inc., Class A (a) 66,808 7,902 Paycom Software, Inc. (a) 373,054 7,903 Paylocity Holding Corp. (a) 352,790 10,136 Pegasystems, Inc. 282,794 4,582 Qualys, Inc. (a) 143,829 12,234 RealPage, Inc. (a) 307,685 10,194 RingCentral, Inc., Class A (a) 234,768 2,103 Synchronoss Technologies, Inc. (a) 78,526 --------------- 3,967,797 --------------- SPECIALTY RETAIL -- 1.5% 7,357 Five Below, Inc. (a) 375,281 6,063 Francesca's Holdings Corp. (a) 77,061 943 Lithia Motors, Inc., Class A 81,371 17,176 Tile Shop Holdings, Inc. (a) 292,851 --------------- 826,564 --------------- THRIFTS & MORTGAGE FINANCE -- 2.3% 5,268 Beneficial Bancorp, Inc. 71,434 3,783 BofI Holding, Inc. (a) (b) 63,630 14,410 Capitol Federal Financial, Inc. 204,190 6,262 Essent Group Ltd. (a) 150,037 5,327 Kearny Financial Corp. 69,358 2,276 LendingTree, Inc. (a) (b) 229,830 13,600 Meridian Bancorp, Inc. 199,920 3,411 Provident Financial Services, Inc. 68,732 2,940 Walker & Dunlop, Inc. (a) 69,590 4,244 WSFS Financial Corp. 149,346 --------------- 1,276,067 --------------- WATER UTILITIES -- 0.9% 4,587 American States Water Co. 198,159 6,937 SJW Corp. 293,851 --------------- 492,010 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 8,742 Shenandoah Telecommunications Co. 359,121 --------------- TOTAL COMMON STOCKS -- 100.0% 56,492,095 (Cost $49,069,898) --------------- Page 104 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ MONEY MARKET FUNDS -- 0.4% 223,991 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.23% (c) (d) $ 223,991 (Cost $223,991) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------ REPURCHASE AGREEMENTS -- 0.5% $ 88,696 JPMorgan Chase & Co., 0.26% (c), dated 07/29/16, due 08/01/16, with a maturity value of $88,698. Collateralized by U.S. Treasury Note, interest rate of 0.875%, due 04/15/17. The value of the collateral including accrued interest is $90,704. (d) 88,696 183,743 RBC Capital Markets LLC, 0.30% (c), dated 07/29/16, due 08/01/16, with a maturity value of $183,748. Collateralized by U.S. Treasury Notes, interest rates of 1.250% to 1.500%, due 01/31/19 to 05/31/20. The value of the collateral including accrued interest is $188,005. (d) 183,743 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.5% 272,439 (Cost $272,439) --------------- TOTAL INVESTMENTS -- 100.9% 56,988,525 (Cost $49,566,328) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (486,929) --------------- NET ASSETS -- 100.0% $ 56,501,596 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $481,835 and the total value of the collateral held by the Fund is $496,430. (c) Interest rate shown reflects yield as of July 31, 2016. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $49,636,353. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,661,268 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $309,096. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------- Common Stocks* $56,492,095 $ -- $ -- Money Market Funds 223,991 -- -- Repurchase Agreements -- 272,439 -- -------------------------------------- Total Investments $56,716,086 $ 272,439 $ -- ====================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. See Notes to Financial Statements Page 105 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 ----------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(1) $ 481,835 Non-cash Collateral(2) (481,835) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 2016, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------ Total gross amount presented on the Statements of Assets and Liabilities(3) $ 272,439 Non-cash Collateral(4) (272,439) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2016, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 106 See Notes to Financial Statements FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 4.0% 836 Honeywell International, Inc. $ 97,252 1,959 Lockheed Martin Corp. 495,098 --------------- 592,350 --------------- AIR FREIGHT & LOGISTICS -- 0.7% 903 United Parcel Service, Inc., Class B 97,614 --------------- AUTOMOBILES -- 6.3% 30,941 Ford Motor Co. 391,713 17,179 General Motors Co. 541,826 --------------- 933,539 --------------- BANKS -- 8.2% 29,309 Bank of America Corp. 424,688 9,175 Citigroup, Inc. 401,957 4,694 JPMorgan Chase & Co. 300,275 2,054 Wells Fargo & Co. 98,530 --------------- 1,225,450 --------------- BIOTECHNOLOGY -- 5.4% 639 Amgen, Inc. 109,927 804 Biogen, Inc. (a) 233,104 5,828 Gilead Sciences, Inc. 463,151 --------------- 806,182 --------------- CAPITAL MARKETS -- 2.2% 11,228 Morgan Stanley 322,580 --------------- COMMUNICATIONS EQUIPMENT -- 2.8% 13,556 Cisco Systems, Inc. 413,865 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.9% 2,015 Berkshire Hathaway, Inc., Class B (a) 290,704 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.9% 11,251 AT&T, Inc. 487,056 6,965 Verizon Communications, Inc. 385,930 --------------- 872,986 --------------- ELECTRIC UTILITIES -- 3.9% 3,400 Duke Energy Corp. 291,006 1,491 NextEra Energy, Inc. 191,280 1,813 Southern (The) Co. 96,996 --------------- 579,282 --------------- FOOD & STAPLES RETAILING -- 2.6% 5,326 Wal-Mart Stores, Inc. 388,638 --------------- FOOD PRODUCTS -- 3.2% 10,683 Mondelez International, Inc., Class A 469,838 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 7.4% 2,888 Danaher Corp. 235,199 5,603 Medtronic PLC 490,991 SHARES DESCRIPTION VALUE ------------------------------------------------------------ HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 3,246 Stryker Corp. $ 377,445 --------------- 1,103,635 --------------- HEALTH CARE PROVIDERS & SERVICES -- 5.8% 2,388 Aetna, Inc. 275,121 1,283 Express Scripts Holding Co. (a) 97,598 3,443 UnitedHealth Group, Inc. 493,038 --------------- 865,757 --------------- INSURANCE -- 2.6% 1,488 Chubb Ltd. 186,387 4,882 MetLife, Inc. 208,657 --------------- 395,044 --------------- INTERNET & CATALOG RETAIL -- 3.5% 679 Amazon.com, Inc. (a) 515,232 --------------- INTERNET SOFTWARE & SERVICES -- 0.7% 851 Facebook, Inc., Class A (a) 105,473 --------------- IT SERVICES -- 0.7% 641 International Business Machines Corp. 102,957 --------------- MEDIA -- 4.7% 5,966 Comcast Corp., Class A 401,213 2,644 Time Warner, Inc. 202,663 994 Walt Disney (The) Co. 95,374 --------------- 699,250 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.6% 1,855 Chevron Corp. 190,100 2,075 Exxon Mobil Corp. 184,571 6,128 Phillips 66 466,096 --------------- 840,767 --------------- PHARMACEUTICALS -- 1.3% 1,603 Johnson & Johnson 200,744 --------------- REAL ESTATE INVESTMENT TRUSTS -- 2.7% 3,423 American Tower Corp. 396,281 --------------- ROAD & RAIL -- 1.4% 2,229 Union Pacific Corp. 207,408 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.5% 14,822 Intel Corp. 516,695 5,445 QUALCOMM, Inc. 340,748 1,552 Texas Instruments, Inc. 108,252 --------------- 965,695 --------------- SPECIALTY RETAIL -- 3.4% 3,684 Lowe's Cos., Inc. 303,120 2,518 TJX (The) Cos., Inc. 205,771 --------------- 508,891 --------------- See Notes to Financial Statements Page 107 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2016 SHARES DESCRIPTION VALUE ------------------------------------------------------------ COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.8% 4,068 Apple, Inc. $ 423,926 --------------- TOBACCO -- 3.7% 4,230 Altria Group, Inc. 286,371 5,409 Reynolds American, Inc. 270,775 --------------- 557,146 --------------- TOTAL INVESTMENTS -- 99.9% 14,881,234 (Cost $14,228,599) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 16,204 --------------- NET ASSETS -- 100.0% $ 14,897,438 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $14,242,119. As of July 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $877,204 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $238,089. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------- Common Stocks* $14,881,234 $ -- $ -- ====================================== * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at July 31, 2016. Page 108 See Notes to Financial Statements This page is intentionally left blank. FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2016
FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE SMALL CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) (FYX) ---------------- ---------------- ---------------- ASSETS: Investments, at value............................................... $ 1,513,101,125 $ 655,307,921 $ 455,946,345 Cash................................................................ 751,025 -- -- Receivables: Investment securities sold.................................... 11,727,504 -- -- Dividends..................................................... 1,254,440 331,610 218,375 Securities lending income..................................... 7,955 20,976 31,143 Interest...................................................... -- 27 22 Prepaid expenses.................................................... 8,055 3,950 3,314 ---------------- ---------------- ---------------- TOTAL ASSETS.................................................. 1,526,850,104 655,664,484 456,199,199 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... -- -- 8,742 Payables: Capital shares redeemed....................................... 11,724,792 -- -- Investment advisory fees...................................... 646,926 267,550 182,842 Collateral for securities on loan............................. 7,634,466 11,007,242 13,199,701 Licensing fees................................................ 150,070 57,653 36,688 Printing fees................................................. 72,692 39,375 28,905 Audit and tax fees............................................ 25,525 25,525 25,525 Trustees' fees................................................ 1,055 805 767 Other liabilities................................................... 253,573 122,096 89,312 ---------------- ---------------- ---------------- TOTAL LIABILITIES............................................. 20,509,099 11,520,246 13,572,482 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,506,341,005 $ 644,144,238 $ 442,626,717 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,601,163,875 $ 761,509,894 $ 549,574,308 Par value........................................................... 321,000 122,000 90,500 Accumulated net investment income (loss)............................ 1,362,972 693,958 432,402 Accumulated net realized gain (loss) on investments................. (207,509,918) (165,986,078) (157,258,128) Net unrealized appreciation (depreciation) on investments........... 111,003,076 47,804,464 49,787,635 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,506,341,005 $ 644,144,238 $ 442,626,717 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 46.93 $ 52.80 $ 48.91 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 32,100,002 12,200,002 9,050,002 ================ ================ ================ Investments, at cost................................................ $ 1,402,098,049 $ 607,503,457 $ 406,158,710 ================ ================ ================ Securities on loan, at value........................................ $ 7,611,347 $ 10,930,169 $ 13,065,305 ================ ================ ================
Page 110 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH MID CAP VALUE MID CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FTA) (FTC) (FAB) (FAD) (FNK) (FNY) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 834,801,483 $ 619,550,807 $ 104,147,333 $ 85,946,860 $ 47,677,189 $ 84,312,376 -- 161,897 -- -- 52,681 -- -- -- -- -- -- -- 716,702 419,562 75,025 45,414 27,295 34,029 3,408 3,547 1,061 1,917 609 3,200 66 -- 7 8 -- -- 3,963 3,389 2,189 2,307 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 835,525,622 620,139,202 104,225,615 85,996,506 47,757,774 84,349,605 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- -- -- -- -- -- 4,610 -- -- -- -- -- -- 347,458 265,336 43,096 27,813 27,210 47,410 3,630,397 949,000 825,757 620,648 574,073 1,572,720 76,608 57,280 5,065 3,497 -- -- 44,154 33,137 7,228 6,688 -- -- 25,525 25,525 25,525 25,525 -- -- 836 801 715 711 -- -- 144,187 109,786 22,499 18,350 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 4,269,165 1,440,865 929,885 703,232 601,283 1,624,740 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 831,256,457 $ 618,698,337 $ 103,295,730 $ 85,293,274 $ 47,156,491 $ 82,724,865 ================ ================ ================ ================ ================ ================ $ 996,736,455 $ 652,177,768 $ 139,204,330 $ 100,710,463 $ 59,215,324 $ 95,362,081 198,000 120,000 23,000 16,000 16,000 26,500 1,007,759 226,809 145,530 33,218 56,645 56,940 (193,439,889) (100,252,115) (40,113,952) (26,360,329) (13,177,238) (21,080,191) 26,754,132 66,425,875 4,036,822 10,893,922 1,045,760 8,359,535 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 831,256,457 $ 618,698,337 $ 103,295,730 $ 85,293,274 $ 47,156,491 $ 82,724,865 ================ ================ ================ ================ ================ ================ $ 41.98 $ 51.56 $ 44.91 $ 53.31 $ 29.47 $ 31.22 ================ ================ ================ ================ ================ ================ 19,800,002 12,000,002 2,300,002 1,600,002 1,600,002 2,650,002 ================ ================ ================ ================ ================ ================ $ 808,047,351 $ 553,124,932 $ 100,110,511 $ 75,052,938 $ 46,631,429 $ 75,952,841 ================ ================ ================ ================ ================ ================ $ 3,635,971 $ 932,100 $ 823,137 $ 612,307 $ 571,979 $ 1,560,427 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 111 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JULY 31, 2016
FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYT) (FYC) (FMK) ---------------- ---------------- ---------------- ASSETS: Investments, at value............................................... $ 54,986,890 $ 56,988,525 $ 14,881,234 Cash................................................................ 22,479 17,876 2,211 Receivables: Investment securities sold.................................... -- -- -- Dividends..................................................... 30,697 20,631 23,408 Securities lending income..................................... 1,433 2,898 -- Interest...................................................... -- -- -- Prepaid expenses.................................................... -- -- -- ---------------- ---------------- ---------------- TOTAL ASSETS.................................................. 55,041,499 57,029,930 14,906,853 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... -- -- -- Payables: Capital shares redeemed....................................... -- -- -- Investment advisory fees...................................... 29,464 31,904 9,415 Collateral for securities on loan............................. 670,565 496,430 -- Licensing fees................................................ -- -- -- Printing fees................................................. -- -- -- Audit and tax fees............................................ -- -- -- Trustees' fees................................................ -- -- -- Other liabilities................................................... -- -- -- ---------------- ---------------- ---------------- TOTAL LIABILITIES............................................. 700,029 528,334 9,415 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 54,341,470 $ 56,501,596 $ 14,897,438 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 71,605,337 $ 68,986,183 $ 18,001,664 Par value........................................................... 18,000 17,000 5,500 Accumulated net investment income (loss)............................ 61,097 19,721 26,886 Accumulated net realized gain (loss) on investments................. (19,676,677) (19,943,505) (3,789,247) Net unrealized appreciation (depreciation) on investments........... 2,333,713 7,422,197 652,635 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 54,341,470 $ 56,501,596 $ 14,897,438 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 30.19 $ 33.24 $ 27.09 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 1,800,002 1,700,002 550,002 ================ ================ ================ Investments, at cost................................................ $ 52,653,177 $ 49,566,328 $ 14,228,599 ================ ================ ================ Securities on loan, at value........................................ $ 675,110 $ 481,835 $ -- ================ ================ ================
Page 112 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2016
FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE SMALL CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) (FYX) ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends............................................................. $ 33,097,645 $ 12,347,940 $ 6,747,145 Securities lending income (net of fees)............................... 15,133 462,135 845,321 Interest.............................................................. 684 821 557 Foreign tax withholding............................................... -- (3,739) (4,198) ---------------- ---------------- ---------------- Total investment income......................................... 33,113,462 12,807,157 7,588,825 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees.............................................. 8,106,246 3,718,893 2,544,170 Accounting and administration fees.................................... 728,144 361,841 252,652 Licensing fees........................................................ 502,313 239,072 168,589 Custodian fees........................................................ 195,010 137,448 117,388 Printing fees......................................................... 160,729 86,560 63,990 Transfer agent fees................................................... 65,531 37,189 25,442 Legal fees............................................................ 53,623 23,588 17,199 Audit and tax fees.................................................... 23,636 23,636 23,636 Trustees' fees and expenses........................................... 16,557 11,343 9,953 Listing fees.......................................................... 10,861 9,409 8,407 Registration and filing fees.......................................... (24,737) (10,164) (10,122) Other expenses........................................................ 42,353 23,390 16,726 ---------------- ---------------- ---------------- Total expenses.................................................. 9,880,266 4,662,205 3,238,030 Less fees waived and expenses reimbursed by the investment advisor...................................................... -- -- -- ---------------- ---------------- ---------------- Net expenses.................................................... 9,880,266 4,662,205 3,238,030 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS).......................................... 23,233,196 8,144,952 4,350,795 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments..................................................... (110,461,408) (80,514,569) (84,311,787) In-kind redemptions............................................. 95,191,884 38,009,054 27,736,696 ---------------- ---------------- ---------------- Net realized gain (loss).............................................. (15,269,524) (42,505,515) (56,575,091) ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments... 12,871,561 (171,616) 28,813,288 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................... (2,397,963) (42,677,131) (27,761,803) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................... $ 20,835,233 $ (34,532,179) $ (23,411,008) ================ ================ ================
See Notes to Financial Statements Page 113 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE YEAR ENDED JULY 31, 2016
FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FTA) (FTC) (FAB) ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends............................................................. $ 23,842,837 $ 8,894,682 $ 2,856,698 Securities lending income (net of fees)............................... 9,392 6,904 2,390 Interest.............................................................. 1,052 121 175 Foreign tax withholding............................................... -- -- (607) ---------------- ---------------- ---------------- Total investment income......................................... 23,853,281 8,901,707 2,858,656 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees.............................................. 4,553,382 3,281,026 625,892 Accounting and administration fees.................................... 439,296 320,933 71,850 Licensing fees........................................................ 289,141 212,800 53,492 Custodian fees........................................................ 117,453 84,789 24,402 Printing fees......................................................... 91,453 74,627 15,646 Transfer agent fees................................................... 44,991 32,810 6,259 Legal fees............................................................ 27,229 20,520 4,050 Audit and tax fees.................................................... 23,636 23,636 23,636 Trustees' fees and expenses........................................... 12,249 10,642 7,372 Listing fees.......................................................... 10,861 9,408 11,411 Registration and filing fees.......................................... (14,535) (5,455) (2,637) Other expenses........................................................ 28,833 16,590 6,580 ---------------- ---------------- ---------------- Total expenses.................................................. 5,623,989 4,082,326 847,953 Less fees waived and expenses reimbursed by the investment advisor...................................................... -- -- -- ---------------- ---------------- ---------------- Net expenses.................................................... 5,623,989 4,082,326 847,953 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS).......................................... 18,229,292 4,819,381 2,010,703 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments..................................................... (93,319,619) (50,192,435) (18,735,408) In-kind redemptions............................................. 15,510,695 71,582,497 (93,595) ---------------- ---------------- ---------------- Net realized gain (loss).............................................. (77,808,924) 21,390,062 (18,829,003) ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments... 57,696,381 (8,534,955) 10,608,894 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................... (20,112,543) 12,855,107 (8,220,109) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................... $ (1,883,251) $ 17,674,488 $ (6,209,406) ================ ================ ================
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). Page 114 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP FIRST TRUST GROWTH VALUE GROWTH VALUE GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) (FNY) (FYT) (FYC) (FMK) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,111,005 $ 1,055,205 $ 962,478 $ 811,433 $ 653,894 $ 390,699 4,873 32,804 41,264 3,038 6,970 -- 112 -- -- -- -- -- (80) (380) (239) (716) -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,115,910 1,087,629 1,003,503 813,755 660,864 390,699 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 466,567 348,060 (a) 667,117 (a) 357,831 (a) 452,053 (a) 114,252 (a) 55,215 -- -- -- -- -- 44,278 -- -- -- -- -- 19,133 -- -- -- -- -- 14,887 -- -- -- -- -- 4,666 -- -- -- -- -- 2,495 -- -- -- -- -- 23,636 -- -- -- -- -- 7,208 -- -- -- -- -- 11,006 -- -- -- -- -- (117) -- -- -- -- -- 4,780 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 653,754 348,060 667,117 357,831 452,053 114,252 (561) -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 653,193 348,060 667,117 357,831 452,053 114,252 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 462,717 739,569 336,386 455,924 208,811 276,447 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (8,890,920) (9,104,708) (12,883,544) (13,454,649) (11,508,038) (1,431,163) 7,908,386 1,360,699 8,598,020 2,665,847 7,036,545 1,211,271 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (982,534) (7,744,009) (4,285,524) (10,788,802) (4,471,493) (219,892) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 785,668 5,496,990 (2,084,750) 8,928,504 180,422 (195,421) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (196,866) (2,247,019) (6,370,274) (1,860,298) (4,291,071) (415,313) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 265,851 $ (1,507,450) $ (6,033,888) $ (1,404,374) $ (4,082,260) $ (138,866) ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 115 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) ------------------------------------ ------------------------------------ For the For the For the For the Year Ended Year Ended Year Ended Year Ended 7/31/2016 7/31/2015 7/31/2016 7/31/2015 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)......................... $ 23,233,196 $ 20,337,672 $ 8,144,952 $ 8,849,947 Net realized gain (loss)............................. (15,269,524) 65,987,776 (42,505,515) 26,563,931 Net change in unrealized appreciation (depreciation).................................... 12,871,561 22,668,735 (171,616) 1,230,195 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations................................... 20,835,233 108,994,183 (34,532,179) 36,644,073 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................ (22,823,931) (20,028,256) (7,755,496) (8,693,486) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................ 360,719,580 1,308,357,788 118,232,591 380,892,336 Cost of shares redeemed.............................. (784,813,444) (616,442,267) (448,752,652) (252,985,305) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions..................... (424,093,864) 691,915,521 (330,520,061) 127,907,031 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets.............. (426,082,562) 780,881,448 (372,807,736) 155,857,618 NET ASSETS: Beginning of period.................................. 1,932,423,567 1,151,542,119 1,016,951,974 861,094,356 --------------- --------------- --------------- --------------- End of period........................................ $ 1,506,341,005 $ 1,932,423,567 $ 644,144,238 $ 1,016,951,974 =============== =============== =============== =============== Accumulated net investment income (loss) at end of period.................................. $ 1,362,972 $ 951,349 $ 693,958 $ 297,557 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............. 42,050,002 26,650,002 19,200,002 17,000,002 Shares sold.......................................... 8,100,000 28,800,000 2,350,000 7,050,000 Shares redeemed...................................... (18,050,000) (13,400,000) (9,350,000) (4,850,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period.................... 32,100,002 42,050,002 12,200,002 19,200,002 =============== =============== =============== ===============
Page 116 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYX) (FTA) (FTC) (FAB) ------------------------------- ------------------------------- ------------------------------- ------------------------------- For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended Ended Ended Ended 7/31/2016 7/31/2015 7/31/2016 7/31/2015 7/31/2016 7/31/2015 7/31/2016 7/31/2015 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 4,350,795 $ 4,547,990 $ 18,229,292 $ 21,475,987 $ 4,819,381 $ 3,387,517 $ 2,010,703 $ 2,604,789 (56,575,091) 8,797,083 (77,808,924) 53,998,362 21,390,062 19,423,285 (18,829,003) 6,158,735 28,813,288 11,325,066 57,696,381 (77,570,887) (8,534,955) 53,218,109 10,608,894 (10,980,973) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (23,411,008) 24,670,139 (1,883,251) (2,096,538) 17,674,488 76,028,911 (6,209,406) (2,217,449) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (4,081,541) (4,451,731) (18,294,192) (21,473,202) (4,618,806) (3,360,670) (1,983,056) (2,607,591) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 67,117,666 358,071,930 75,101,924 1,002,793,376 516,977,365 436,368,800 12,659,650 137,296,874 (298,880,828) (196,957,460) (405,415,052) (819,084,676) (593,100,019) (131,564,680) (98,058,016) (111,571,399) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (231,763,162) 161,114,470 (330,313,128) 183,708,700 (76,122,654) 304,804,120 (85,398,366) 25,725,475 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (259,255,711) 181,332,878 (350,490,571) 160,138,960 (63,066,972) 377,472,361 (93,590,828) 20,900,435 701,882,428 520,549,550 1,181,747,028 1,021,608,068 681,765,309 304,292,948 196,886,558 175,986,123 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 442,626,717 $ 701,882,428 $ 831,256,457 $1,181,747,028 $ 618,698,337 $ 681,765,309 $ 103,295,730 $ 196,886,558 ============== ============== ============== ============== ============== ============== ============== ============== $ 432,402 $ 159,294 $ 1,007,759 $ 1,072,659 $ 226,809 $ 24,632 $ 145,530 $ 117,883 ============== ============== ============== ============== ============== ============== ============== ============== 14,550,002 11,300,002 28,400,002 24,050,002 13,650,002 7,100,002 4,400,002 3,850,002 1,450,000 7,200,000 1,900,000 23,300,000 10,650,000 9,300,000 300,000 2,950,000 (6,950,000) (3,950,000) (10,500,000) (18,950,000) (12,300,000) (2,750,000) (2,400,000) (2,400,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 9,050,002 14,550,002 19,800,002 28,400,002 12,000,002 13,650,002 2,300,002 4,400,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 117 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST MULTI CAP GROWTH MID CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) ------------------------------------ ------------------------------------ For the For the For the For the Year Ended Year Ended Year Ended Year Ended 7/31/2016 7/31/2015 7/31/2016 7/31/2015 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)......................... $ 462,717 $ 348,838 $ 739,569 $ 941,157 Net realized gain (loss)............................. (982,534) 4,513,518 (7,744,009) 307,815 Net change in unrealized appreciation (depreciation).................................... 785,668 6,006,422 5,496,990 (2,241,372) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations................................... 265,851 10,868,778 (1,507,450) (992,400) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................ (428,710) (360,300) (728,316) (931,865) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................ 62,083,079 69,661,337 26,848,523 30,751,492 Cost of shares redeemed.............................. (67,906,113) (49,952,550) (52,845,363) (54,611,356) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions..................... (5,823,034) 19,708,787 (25,996,840) (23,859,864) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets.............. (5,985,893) 30,217,265 (28,232,606) (25,784,129) NET ASSETS: Beginning of period.................................. 91,279,167 61,061,902 75,389,097 101,173,226 --------------- --------------- --------------- --------------- End of period........................................ $ 85,293,274 $ 91,279,167 $ 47,156,491 $ 75,389,097 =============== =============== =============== =============== Accumulated net investment income (loss) at end of period.................................. $ 33,218 $ -- $ 56,645 $ 45,244 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............. 1,750,002 1,350,002 2,550,002 3,350,002 Shares sold.......................................... 1,250,000 1,400,000 950,000 1,000,000 Shares redeemed...................................... (1,400,000) (1,000,000) (1,900,000) (1,800,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period.................... 1,600,002 1,750,002 1,600,002 2,550,002 =============== =============== =============== ===============
Page 118 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FNY) (FYT) (FYC) (FMK) ------------------------------- ------------------------------- ------------------------------- ------------------------------- For the Year For the Year For the Year For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended Ended Ended Ended 7/31/2016 7/31/2015 7/31/2016 7/31/2015 7/31/2016 7/31/2015 7/31/2016 7/31/2015 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 336,386 $ 310,990 $ 455,924 $ 611,454 $ 208,811 $ 39,943 $ 276,447 $ 235,617 (4,285,524) 68,646 (10,788,802) 1,319,785 (4,471,493) (1,453,510) (219,892) 998,668 (2,084,750) 8,532,300 8,928,504 (3,567,066) 180,422 6,782,813 (195,421) (81,912) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (6,033,888) 8,911,936 (1,404,374) (1,635,827) (4,082,260) 5,369,246 (138,866) 1,152,373 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (299,960) (338,555) (405,321) (624,290) (173,635) (34,135) (262,771) (239,441) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 61,500,779 90,321,466 34,468,378 56,706,307 45,751,871 70,180,467 11,625,854 19,813,751 (86,714,895) (26,044,308) (50,807,784) (44,065,997) (73,486,039) (20,581,155) (14,190,560) (15,980,041) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (25,214,116) 64,277,158 (16,339,406) 12,640,310 (27,734,168) 49,599,312 (2,564,706) 3,833,710 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (31,547,964) 72,850,539 (18,149,101) 10,380,193 (31,990,063) 54,934,423 (2,966,343) 4,746,642 114,272,829 41,422,290 72,490,571 62,110,378 88,491,659 33,557,236 17,863,781 13,117,139 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 82,724,865 $ 114,272,829 $ 54,341,470 $ 72,490,571 $ 56,501,596 $ 88,491,659 $ 14,897,438 $ 17,863,781 ============== ============== ============== ============== ============== ============== ============== ============== $ 56,940 $ -- $ 61,097 $ 10,494 $ 19,721 $ -- $ 26,886 $ 13,210 ============== ============== ============== ============== ============== ============== ============== ============== 3,650,002 1,500,002 2,400,002 2,000,002 2,750,002 1,200,002 650,002 500,002 2,100,000 3,000,000 1,200,000 1,750,000 1,500,000 2,250,000 450,000 750,000 (3,100,000) (850,000) (1,800,000) (1,350,000) (2,550,000) (700,000) (550,000) (600,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 2,650,002 3,650,002 1,800,002 2,400,002 1,700,002 2,750,002 550,002 650,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 119 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 45.96 $ 43.21 $ 37.10 $ 28.66 $ 28.38 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.64 0.57 0.49 0.48 0.35 Net realized and unrealized gain (loss) 0.95 2.75 6.10 8.45 0.26 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.59 3.32 6.59 8.93 0.61 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.62) (0.57) (0.48) (0.49) (0.33) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 46.93 $ 45.96 $ 43.21 $ 37.10 $ 28.66 ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.59% 7.67% 17.83% 31.41% 2.20% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,506,341 $1,932,424 $1,151,542 $ 500,829 $ 326,690 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.61% 0.64% 0.66% 0.70% Ratio of net expenses to average net assets 0.61% 0.61% 0.64% 0.66% 0.70% Ratio of net investment income (loss) to average net assets 1.43% 1.25% 1.25% 1.47% 1.27% Portfolio turnover rate (b) 109% 91% 78% 78% 95%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 52.97 $ 50.65 $ 44.95 $ 34.19 $ 34.17 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.56 0.51 0.31 0.42 0.21 Net realized and unrealized gain (loss) (0.21) 2.31 5.75 10.71 0.01 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.35 2.82 6.06 11.13 0.22 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.52) (0.50) (0.36) (0.37) (0.20) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 52.80 $ 52.97 $ 50.65 $ 44.95 $ 34.19 ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.76% 5.55% 13.49% 32.71% 0.66% RATIOS/SUPPLEMENTAL DATA: $ 644,144 $1,016,952 $ 861,094 $ 485,456 $ 294,075 Net assets, end of period (in 000's) RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.62% 0.64% 0.66% 0.70% Ratio of net expenses to average net assets 0.63% 0.62% 0.64% 0.66% 0.70% Ratio of net investment income (loss) to average net assets 1.10% 0.97% 0.64% 1.04% 0.63% Portfolio turnover rate (b) 126% 102% 81% 81% 94%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 120 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 48.24 $ 46.07 $ 42.20 $ 31.20 $ 30.93 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.39 0.35 0.22 0.34 0.17 Net realized and unrealized gain (loss) 0.64 2.17 3.86 11.00 0.27 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.03 2.52 4.08 11.34 0.44 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.36) (0.35) (0.21) (0.34) (0.17) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 48.91 $ 48.24 $ 46.07 $ 42.20 $ 31.20 ========== ========== ========== ========== ========== TOTAL RETURN (a) 2.20% 5.45% 9.66% 36.58% 1.42% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 442,627 $ 701,882 $ 520,550 $ 289,082 $ 140,384 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.63% 0.66% 0.70% 0.70% Ratio of net expenses to average net assets 0.64% 0.63% 0.66% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.86% 0.73% 0.49% 0.87% 0.56% Portfolio turnover rate (b) 126% 97% 89% 85% 101%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 41.61 $ 42.48 $ 36.78 $ 28.11 $ 27.18 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.78 (c) 0.77 0.69 0.58 0.40 Net realized and unrealized gain (loss) 0.38 (0.87) 5.69 8.66 0.93 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.16 (0.10) 6.38 9.24 1.33 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.79) (0.77) (0.68) (0.57) (0.40) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 41.98 $ 41.61 $ 42.48 $ 36.78 $ 28.11 ========== ========== ========== ========== ========== TOTAL RETURN (a) 2.94% (0.29)% 17.46% 33.15% 4.96% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 831,256 $1,181,747 $1,021,608 $ 467,124 $ 247,370 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.62% 0.64% 0.67% 0.70% Ratio of net expenses to average net assets 0.62% 0.62% 0.64% 0.67% 0.70% Ratio of net investment income (loss) to average net assets 2.00% 1.77% 1.80% 1.85% 1.56% Portfolio turnover rate (b) 94% 78% 68% 69% 88%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (c) Based on average shares outstanding. See Notes to Financial Statements Page 121 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 49.95 $ 42.86 $ 36.26 $ 28.54 $ 29.33 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.35 0.32 0.23 0.30 0.24 Net realized and unrealized gain (loss) 1.60 7.09 6.61 7.75 (0.80) ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.95 7.41 6.84 8.05 (0.56) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.34) (0.32) (0.24) (0.33) (0.23) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 51.56 $ 49.95 $ 42.86 $ 36.26 $ 28.54 ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.96% 17.32% 18.88% 28.42% (1.89)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 618,698 $ 681,765 $ 304,293 $ 170,419 $ 129,864 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.63% 0.66% 0.70% 0.70% Ratio of net expenses to average net assets 0.62% 0.63% 0.66% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.73% 0.68% 0.58% 0.88% 0.86% Portfolio turnover rate (b) 149% 143% 138% 141% 162%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 44.75 $ 45.71 $ 40.10 $ 29.93 $ 29.24 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.70 0.64 0.55 0.51 0.36 Net realized and unrealized gain (loss) 0.13 (0.96) 5.60 10.16 0.69 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.83 (0.32) 6.15 10.67 1.05 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.67) (0.64) (0.54) (0.50) (0.36) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 44.91 $ 44.75 $ 45.71 $ 40.10 $ 29.93 ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.98% (0.74)% 15.38% 35.92% 3.62% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 103,296 $ 196,887 $ 175,986 $ 92,227 $ 47,882 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.68% 0.70% 0.70% 0.76% 0.80% Ratio of net expenses to average net assets 0.68% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.61% 1.36% 1.29% 1.46% 1.24% Portfolio turnover rate (b) 96% 82% 74% 70% 90%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 122 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 52.16 $ 45.23 $ 39.59 $ 31.16 $ 31.66 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.24 0.23 0.12 0.26 0.16 Net realized and unrealized gain (loss) 1.13 6.94 5.67 8.42 (0.51) ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.37 7.17 5.79 8.68 (0.35) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.22) (0.24) (0.15) (0.25) (0.15) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 53.31 $ 52.16 $ 45.23 $ 39.59 $ 31.16 ========== ========== ========== ========== ========== TOTAL RETURN (a) 2.66% 15.89% 14.63% 28.01% (1.10)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 85,293 $ 91,279 $ 61,062 $ 37,609 $ 29,606 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.72% 0.74% 0.85% 0.85% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.50% 0.48% 0.27% 0.74% 0.48% Portfolio turnover rate (b) 160% 135% 139% 147% 155%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 123 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 29.56 $ 30.20 $ 26.63 $ 19.74 $ 19.27 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.43 0.39 0.24 0.25 0.15 Net realized and unrealized gain (loss) (0.10) (0.64) 3.56 6.89 0.47 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.33 (0.25) 3.80 7.14 0.62 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.42) (0.39) (0.23) (0.25) (0.15) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.47 $ 29.56 $ 30.20 $ 26.63 $ 19.74 ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.22% (0.87)% 14.30% 36.37% 3.23% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 47,156 $ 75,389 $ 101,173 $ 21,302 $ 8,885 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.49% 1.27% 0.90% 0.96% 0.98% Portfolio turnover rate (b) 114% 88% 84% 66% 100%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 31.31 $ 27.61 $ 24.62 $ 19.50 $ 19.93 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.11 0.13 0.07 0.18 0.02 Net realized and unrealized gain (loss) (0.11) 3.71 3.00 5.07 (0.44) ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.00 3.84 3.07 5.25 (0.42) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.09) (0.14) (0.08) (0.13) (0.01) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 31.22 $ 31.31 $ 27.61 $ 24.62 $ 19.50 ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.03% 13.91% 12.49% 27.05% (2.11)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 82,725 $ 114,273 $ 41,422 $ 22,161 $ 16,572 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.35% 0.42% 0.08% 0.83% 0.11% Portfolio turnover rate (b) 193% 159% 148% 156% 166%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 124 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 30.20 $ 31.06 $ 27.96 $ 19.81 $ 19.80 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.26 0.28 0.23 0.20 0.14 Net realized and unrealized gain (loss) (0.04) (0.85) 3.09 8.15 0.01 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.22 (0.57) 3.32 8.35 0.15 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.23) (0.29) (0.22) (0.20) (0.14) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.19 $ 30.20 $ 31.06 $ 27.96 $ 19.81 ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.79% (1.89)% 11.86% 42.34% 0.75% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 54,341 $ 72,491 $ 62,110 $ 44,743 $ 5,944 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.89% 0.86% 0.72% 1.32% 0.82% Portfolio turnover rate (b) 125% 96% 86% 104% 103%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 32.18 $ 27.96 $ 26.01 $ 20.37 $ 19.92 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.09 0.04 (0.01) 0.05 0.02 Net realized and unrealized gain (loss) 1.04 4.20 1.97 5.66 0.46 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.13 4.24 1.96 5.71 0.48 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.07) (0.02) (0.01) (0.07) (0.03) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 33.24 $ 32.18 $ 27.96 $ 26.01 $ 20.37 ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.54% 15.17% 7.52% 28.14% 2.38% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 56,502 $ 88,492 $ 33,557 $ 13,007 $ 9,167 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.32% 0.09% (0.10)% 0.17% 0.14% Portfolio turnover rate (b) 161% 153% 175% 147% 162%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 125 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2016 2015 2014 2013 2012 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 27.48 $ 26.23 $ 22.97 $ 18.00 $ 18.89 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.45 0.37 0.31 0.28 0.18 Net realized and unrealized gain (loss) (0.42) 1.27 3.24 4.97 (0.90) ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.03 1.64 3.55 5.25 (0.72) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.42) (0.39) (0.29) (0.28) (0.17) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.09 $ 27.48 $ 26.23 $ 22.97 $ 18.00 ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.19% 6.29% 15.54% 29.42% (3.78)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 14,897 $ 17,864 $ 13,117 $ 10,335 $ 10,801 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.69% 1.40% 1.28% 1.32% 1.28% Portfolio turnover rate (b) 145% 134% 125% 135% 164%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 126 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one exchange-traded funds considered either a Sector Fund or Style Fund. This report covers the twelve Style Funds listed below. The shares of each Style Fund are listed and traded on The Nasdaq Stock Market LLC ("Nasdaq"). First Trust Large Cap Core AlphaDEX(R) Fund - (ticker "FEX") (1) First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX") (1) First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX") (1) First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA") (1) First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC") (1) First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB") (1) First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD") (1) First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK") (1) First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY") (1) First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT") (1) First Trust Small Cap Growth AlphaDEX(R) Fund - (ticker "FYC") (1) First Trust Mega Cap AlphaDEX(R) Fund - (ticker "FMK") (1) (1) Formerly traded on the NYSE Arca, Inc. Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Creation Units are issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, each Fund's shares are not redeemable securities. Effective April 8, 2016, the investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Large Cap Core AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Large Cap Core Index (2) First Trust Mid Cap Core AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Mid Cap Core Index (2) First Trust Small Cap Core AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Small Cap Core Index (2) First Trust Large Cap Value AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Large Cap Value Index (2) First Trust Large Cap Growth AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Large Cap Growth Index (2) First Trust Multi Cap Value AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Multi Cap Value Index (2) First Trust Multi Cap Growth AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Multi Cap Growth Index (2) First Trust Mid Cap Value AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Mid Cap Value Index (2) First Trust Mid Cap Growth AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Mid Cap Growth Index (2) First Trust Small Cap Value AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Small Cap Value Index (2) First Trust Small Cap Growth AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Small Cap Growth Index (2) First Trust Mega Cap AlphaDEX(R) Fund NASDAQ AlphaDEX(R) Mega Cap Index (2)
(2) Effective April 8, 2016, the Fund's underlying index was changed from Defined Index. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds, each of which is an investment company within the scope of Financial Accounting Standards Board ("FASB") Accounting Standards Update 2013-08, follow accounting and reporting guidance under FASB Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Page 127 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: Page 128 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of July 31, 2016, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities". For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net Page 129 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At July 31, 2016, all the Funds except for FMK have securities in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury Notes. The U.S. Treasury Notes are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury Notes can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund is less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 2016, were received as collateral for lending securities. F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2016, was as follows:
Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 22,823,931 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 7,755,496 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 4,081,541 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 18,294,192 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 4,618,806 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 1,983,056 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 428,710 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 728,316 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 299,960 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 405,321 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 173,635 -- -- First Trust Mega Cap AlphaDEX(R) Fund 262,771 -- --
Page 130 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2015 was as follows:
Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 20,028,256 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 8,693,486 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 4,451,731 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 21,473,202 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 3,360,670 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 2,607,591 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 360,300 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 931,865 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 338,555 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 624,290 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 34,135 -- -- First Trust Mega Cap AlphaDEX(R) Fund 239,441 -- --
As of July 31, 2016, the components of distributable earnings on a tax basis for each Fund were as follows:
Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ---------------- ---------------- ---------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 1,362,972 $ (203,935,009) $ 107,428,167 First Trust Mid Cap Core AlphaDEX(R) Fund 693,958 (164,617,654) 46,436,040 First Trust Small Cap Core AlphaDEX(R) Fund 432,402 (156,107,945) 48,637,452 First Trust Large Cap Value AlphaDEX(R) Fund 1,007,759 (190,559,804) 23,874,047 First Trust Large Cap Growth AlphaDEX(R) Fund 226,809 (99,887,022) 66,060,782 First Trust Multi Cap Value AlphaDEX(R) Fund 145,530 (39,545,956) 3,468,826 First Trust Multi Cap Growth AlphaDEX(R) Fund 33,218 (26,274,108) 10,807,701 First Trust Mid Cap Value AlphaDEX(R) Fund 56,645 (13,073,188) 941,710 First Trust Mid Cap Growth AlphaDEX(R) Fund 56,940 (21,048,290) 8,327,634 First Trust Small Cap Value AlphaDEX(R) Fund 61,097 (19,590,838) 2,247,874 First Trust Small Cap Growth AlphaDEX(R) Fund 19,721 (19,873,480) 7,352,172 First Trust Mega Cap AlphaDEX(R) Fund 26,886 (3,775,727) 639,115
G. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2013, 2014, 2015 and 2016 remain open to federal and state audit. As of July 31, 2016, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Under the Regulated Investment Company Modernization Act of 2010 (the "Act"), net capital losses arising in taxable years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for up to eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses. At July 31, 2016, the Funds had pre-enactment and post-enactment net capital losses for federal income tax purposes as shown in the following table. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to Fund shareholders. The Funds are subject to certain limitations, under U.S. tax rules, on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. Page 131 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016
Capital Loss Capital Loss Capital Loss Post Total Available Available Available Enactment - Capital through through through No Loss 7/31/2017 7/31/2018 7/31/2019 Expiration Available ------------- ------------- ------------- -------------- ------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 2,600,275 $ 2,800,653 $ 1,020,863 $197,513,218 $203,935,009 First Trust Mid Cap Core AlphaDEX(R) Fund 1,985,474 2,119,642 1,502,304 159,010,234 164,617,654 First Trust Small Cap Core AlphaDEX(R) Fund 1,882,188 1,600,982 1,258,833 151,365,942 156,107,945 First Trust Large Cap Value AlphaDEX(R) Fund 2,272,260 5,098,300 298,768 182,890,476 190,559,804 First Trust Large Cap Growth AlphaDEX(R) Fund 10,217,162 3,224,180 1,803,151 84,642,529 99,887,022 First Trust Multi Cap Value AlphaDEX(R) Fund 1,331,945 1,180,819 322,362 36,710,830 39,545,956 First Trust Multi Cap Growth AlphaDEX(R) Fund 2,554,292 1,438,794 345,171 21,935,851 26,274,108 First Trust Mid Cap Value AlphaDEX(R) Fund -- -- -- 13,073,188 13,073,188 First Trust Mid Cap Growth AlphaDEX(R) Fund -- -- -- 21,048,290 21,048,290 First Trust Small Cap Value AlphaDEX(R) Fund -- -- -- 19,590,838 19,590,838 First Trust Small Cap Growth AlphaDEX(R) Fund -- -- -- 19,873,480 19,873,480 First Trust Mega Cap AlphaDEX(R) Fund -- -- -- 3,775,727 3,775,727
At the taxable year ended July 31, 2016, the following Funds' capital loss carryforwards expired in the following amounts: Capital Loss Expired ------------- First Trust Large Cap Core AlphaDEX(R)Fund $ 8,528 First Trust Mid Cap Core AlphaDEX(R) Fund 84,882 First Trust Small Cap Core AlphaDEX(R) Fund 111,735 First Trust Large Cap Value AlphaDEX(R) Fund 80,299 First Trust Large Cap Growth AlphaDEX(R) Fund 162,514 First Trust Multi Cap Value AlphaDEX(R) Fund 56,799 First Trust Multi Cap Growth AlphaDEX(R) Fund 241,100 In order to present paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2016, the adjustments for each Fund were as follows:
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ----------------- ----------------- ----------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 2,358 $ (89,766,295) $ 89,763,937 First Trust Mid Cap Core AlphaDEX(R) Fund 6,945 (33,975,059) 33,968,114 First Trust Small Cap Core AlphaDEX(R) Fund 3,854 (23,462,325) 23,458,471 First Trust Large Cap Value AlphaDEX(R) Fund -- (11,620,171) 11,620,171 First Trust Large Cap Growth AlphaDEX(R) Fund 1,602 (70,320,107) 70,318,505 First Trust Multi Cap Value AlphaDEX(R) Fund -- 1,953,298 (1,953,298) First Trust Multi Cap Growth AlphaDEX(R) Fund (789) (7,519,026) 7,519,815 First Trust Mid Cap Value AlphaDEX(R) Fund 148 (737,373) 737,225 First Trust Mid Cap Growth AlphaDEX(R) Fund 20,514 (8,385,119) 8,364,605 First Trust Small Cap Value AlphaDEX(R) Fund -- (2,038,319) 2,038,319 First Trust Small Cap Growth AlphaDEX(R) Fund (15,455) (6,609,315) 6,624,770 First Trust Mega Cap AlphaDEX(R) Fund -- (1,172,351) 1,172,351
Page 132 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund, except for the First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund and First Trust Mega Cap AlphaDEX(R) Fund (the "Unitary Fee Funds"), for which expenses other than excluded expenses (discussed in Note 3) are paid by the Advisor. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. Effective April 8, 2016, First Trust Portfolios L.P. ("FTP") entered into licensing agreements with Nasdaq, Inc. for each of the Style Funds. Prior to April 8, 2016, FTP had licensing agreements with Standard & Poors Financial Services LLP. The license agreements allow for the use by FTP of certain trademarks and trade names. The Funds and First Trust are sub-licensees to the applicable license agreement. The Funds, except for the Unitary Fee Funds, are required to pay licensing fees, which are shown on the Statements of Operations. The licensing fees for the Unitary Fee Funds are paid by First Trust from the unitary investment advisory fees it receives from each of these Funds. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. For the Unitary Fee Funds, First Trust is paid an annual unitary management fee of 0.70% of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit and other services, and excluding distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. For such Funds, the Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each such Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). These Funds will have the Expense Cap in effect until at least November 30, 2017. Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses were reimbursed or fees waived by First Trust. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the fiscal year ended July 31, 2016 and fees waived or expenses borne by First Trust subject to recovery from the applicable Fund for the periods indicated were as follows:
Fees Waived or Expenses Borne by First Trust Subject to Recovery ----------------------------------------------------- Advisory Expense Year Year Year Fee Reim- Ended Ended Ended Waivers bursements 7/31/2014 7/31/2015 7/31/2016 Total ----------- ----------- ----------- ----------- ----------- ----------- First Trust Multi Cap Growth AlphaDEX(R) Fund $ 561 $ -- $ 23,302 $ 11,781 $ 561 $ 35,644
At July 31, 2016, none of the Funds, other than First Trust Multi Cap Growth AlphaDEX(R) Fund, had previously waived fees or expenses reimbursed that are subject to recovery. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Page 133 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 At a meeting held on December 7, 2015, the Board of Trustees accepted Mr. Mark Bradley's resignation from his position as the President and Chief Executive Officer of the Trust, effective December 31, 2015. At the same meeting, the Board of Trustees elected Mr. James Dykas, formerly Chief Financial Officer and Treasurer of the Trust, to serve as the President and Chief Executive Officer, and Mr. Donald Swade, formerly an Assistant Treasurer of the Trust, to serve as the Treasurer, Chief Financial Officer and Chief Accounting Officer of the Trust. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Prior to January 1, 2016, the fixed annual retainer was allocated pro rata based on each Fund's net assets. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund or is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended July 31, 2016, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:
Purchases Sales --------------- --------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 1,778,232,147 $ 1,775,916,462 First Trust Mid Cap Core AlphaDEX(R) Fund 946,959,860 946,845,545 First Trust Small Cap Core AlphaDEX(R) Fund 645,815,218 645,416,276 First Trust Large Cap Value AlphaDEX(R) Fund 862,251,777 862,123,543 First Trust Large Cap Growth AlphaDEX(R) Fund 981,063,808 975,790,779 First Trust Multi Cap Value AlphaDEX(R) Fund 122,742,268 122,718,190 First Trust Multi Cap Growth AlphaDEX(R) Fund 148,880,225 148,705,924 First Trust Mid Cap Value AlphaDEX(R) Fund 58,477,754 58,514,650 First Trust Mid Cap Growth AlphaDEX(R) Fund 184,639,943 184,342,912 First Trust Small Cap Value AlphaDEX(R) Fund 66,124,306 66,242,328 First Trust Small Cap Growth AlphaDEX(R) Fund 104,307,858 104,251,824 First Trust Mega Cap AlphaDEX(R) Fund 23,701,042 23,677,962
For the fiscal year ended July 31, 2016, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
Purchases Sales --------------- --------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 360,380,556 $ 783,456,525 First Trust Mid Cap Core AlphaDEX(R) Fund 118,177,655 448,042,552 First Trust Small Cap Core AlphaDEX(R) Fund 66,878,111 298,370,737 First Trust Large Cap Value AlphaDEX(R) Fund 75,022,827 404,261,845 First Trust Large Cap Growth AlphaDEX(R) Fund 513,082,190 592,725,519 First Trust Multi Cap Value AlphaDEX(R) Fund 12,625,142 97,865,553 First Trust Multi Cap Growth AlphaDEX(R) Fund 62,034,434 67,869,983 First Trust Mid Cap Value AlphaDEX(R) Fund 26,828,796 52,783,935 First Trust Mid Cap Growth AlphaDEX(R) Fund 61,430,467 86,798,038 First Trust Small Cap Value AlphaDEX(R) Fund 34,350,858 50,599,017 First Trust Small Cap Growth AlphaDEX(R) Fund 45,686,152 73,488,303 First Trust Mega Cap AlphaDEX(R) Fund 11,615,978 14,198,213
5. CREATION, REDEMPTION AND TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares in transactions with broker-dealers or large institutional investors that have entered into a participation agreement (an "Authorized Participant"). Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the Page 134 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 daily NAV per Share of each Fund on the transaction date times the number of Shares in a Creation Unit. Authorized Participants purchasing Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Creation in a Creation Unit Transaction Fee -------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per Share of a Fund on the transaction date times the number of Shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes. Authorized Participants redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Redemption in a Creation Unit Transaction Fee -------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before June 30, 2017. 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 135 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND: We have audited the accompanying statements of assets and liabilities of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund, each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), including the portfolios of investments, as of July 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2016 by correspondence with the Funds' custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds listed above included in the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP Chicago, Illinois September 22, 2016 Page 136 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Funds' website located at http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. PORTFOLIO HOLDINGS The Trust files its complete schedule of each Fund's portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trust's Form N-Qs are available (1) by calling (800) 988-5891; (2) on the Funds' website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. FEDERAL TAX INFORMATION For the taxable year ended July 31, 2016, the following percentages of income dividend paid by the Funds qualified for the dividends received deduction available to corporations: Dividends Received Deduction ---------------------------- First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 100.00% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 100.00% First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00% First Trust Small Cap Value AlphaDEX(R) Fund 100.00% First Trust Small Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mega Cap AlphaDEX(R) Fund 100.00% For the taxable year ended July 31, 2016, the following percentages of income dividend paid by the Funds is hereby designated as qualified dividend income: Qualified Dividend Income ---------------------------- First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 100.00% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 100.00% First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00% First Trust Small Cap Value AlphaDEX(R) Fund 100.00% First Trust Small Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mega Cap AlphaDEX(R) Fund 100.00% Page 137 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND. The following summarizes some of the risks that should be considered for the Funds. CONSUMER DISCRETIONARY COMPANIES RISK. Certain of the Funds invest in consumer discretionary companies. Consumer discretionary companies are companies that provide non-essential goods and services, such as retailers, media companies and consumer services. These companies manufacture products and provide discretionary services directly to the consumer, and the success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace. ENERGY COMPANIES RISK. Certain of the Funds invest in energy companies. Energy companies include integrated oil companies that are involved in the exploration, production and refining process, gas distributors and pipeline-related companies and other energy companies involved with mining, producing and delivering energy-related services and drilling. General problems of energy companies include volatile fluctuations in price and supply of energy fuels, international politics, terrorist attacks, reduced demand, the success of exploration projects, clean-up and litigation costs relating to oil spills and environmental damage, and tax and other regulatory policies of various governments. Natural disasters such as hurricanes in the Gulf of Mexico also impact the petroleum industry. Oil production and refining companies are subject to extensive federal, state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials. In addition, oil prices are generally subject to extreme volatility. EQUITY SECURITIES RISK. Because the Funds invest in equity securities, the value of the Funds' shares will fluctuate with changes in the value of these equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. FINANCIAL COMPANIES RISK. Financial companies are especially subject to the adverse effects of economic recession, currency exchange rates, government regulation, decreases in the availability of capital, volatile interest rates, portfolio concentrations in geographic markets and in commercial residential and real estate loans, and competition from new entrants in their fields of business. GROWTH STOCKS INVESTMENT RISK. Certain of the Funds utilize a growth stocks investment strategy and are thus subject to growth stocks investment risk. Growth stocks tend to be more volatile than certain other types of stocks and their prices usually fluctuate more dramatically than the overall stock market. A stock with growth characteristics can have sharp price declines due to decreases in current or expected earnings. HEALTH CARE COMPANIES RISK. Certain of the Funds invest in health care companies. Health care companies are companies involved in medical services or health care, including biotechnology research and production, drugs and pharmaceuticals and health care facilities and services. These companies are subject to extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation. Research and development costs of bringing new drugs to market are substantial, and there is no guarantee that the product will ever come to market. Health care facility operators may be affected by the demand for services, efforts by government or insurers to limit rates, restriction of government financial assistance and competition from other providers. INDEX CONSTITUENT RISK. One or more of the Funds may be a constituent of one or more indices. As a result, the Fund may be included in one or more index-tracking ETFs or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving the Fund, the size of the Fund and the market volatility of the Fund. Inclusion in an index could significantly increase demand for the Fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, the Fund's NAV could be negatively impacted and the Fund's market price may be significantly below the Fund's net asset value during certain periods In addition, index rebalances may potentially result in increased trading activity. To the extent buying or selling activity increases, the Fund can be exposed to increased brokerage costs and adverse tax consequences and the market price of the Fund can be negatively affected. Page 138 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 INDUSTRIALS COMPANIES RISK. Industrials companies convert unfinished goods into finished durables used to manufacture other goods or provide services. These companies produce electrical equipment and components , industrial products, manufactured housing and telecommunications equipment. General risks of these companies include the general state of the economy, intense competition, consolidation, domestic and international politics, excess capacity and consumer demand and spending trends. In addition, they may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, government regulations and e-commerce initiatives. INFORMATION TECHNOLOGY COMPANIES RISK. Certain of the Funds invest in information technology companies. Information technology companies are generally subject to the following risks: rapidly changing technologies; short product life cycles; fierce competition; aggressive pricing and reduced profit margins; the loss of patent, copyright and trademark protections; cyclical market patterns; evolving industry standards; and frequent new product introductions. Information technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel. Information technology company stocks, especially those which are Internet related, have experienced extreme price and volume fluctuations that are often unrelated to their operating performance. MARKET CAPITALIZATION RISK. The Funds normally invest at least 90% of their assets in common stocks that comprise the applicable Index. The securities of companies represented in the Indices generally have market capitalizations that are consistent with the name of each Index. To determine the market capitalization range of such securities, each Fund uses the current range of the applicable Index. However, the Funds will not sell a security because the security has exceeded or fallen below the current market capitalization range of the applicable Index. Because of market movement, there can be no assurance that the securities in the Funds will stay within a given market capitalization range. As a result, the Funds may be exposed to additional risk or may not give investors the opportunity to invest fully in a given market capitalization range. MARKET RISK. Market risk is the risk that a particular security owned by a Fund or shares of a Fund in general may fall in value. Securities are subject to market fluctuations caused by such factors as economic, political, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of the Funds could decline in value or underperform other investments. NON-CORRELATION RISK. A Fund's return may not match the return of its Index for a number of reasons. For example, a Fund incurs operating expenses not applicable to its Index, and may incur costs in buying and selling securities, especially when rebalancing the Fund's portfolio holdings to reflect changes in the composition of the Index. In addition, a Fund's portfolio holdings may not exactly replicate the securities included in its Index or the ratios between the securities included in the Index. PORTFOLIO TURNOVER RISK. Certain Funds' strategies may frequently involve buying and selling portfolio securities to rebalance the Funds' exposure to various market sectors. High portfolio turnover may result in a Fund paying higher levels of transaction costs and generating greater tax liabilities for shareholders. Portfolio turnover risk may cause a Fund's performance to be less than you expect. REPLICATION MANAGEMENT RISK. The Funds are exposed to additional market risk due to their policy of investing principally in the securities included in the Indices. As a result of this policy, securities held by the Funds will generally not be bought or sold in response to market fluctuations. SMALLER COMPANIES RISK. Certain of the Funds invest in small and/or mid capitalization companies. Small and/or mid capitalization companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies. VALUE STOCKS INVESTMENT RISK. Certain of the Funds utilize a value investment strategy and thus are exposed to value investment risk. The intrinsic value of a stock with value characteristics may not be fully recognized by the market for a long time or a stock judged to be undervalued may actually be appropriately priced at a low level. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 139 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Funds it manages (the "Funds") in the United Kingdom in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2015, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $9,067,727. This figure is comprised of $453,849 paid (or to be paid) in fixed compensation and $8,613,878 paid (or to be paid) in variable compensation. There were a total of 13 beneficiaries of the remuneration described above. Those amounts include $5,011,396 paid (or to be paid) to senior management of First Trust Advisors L.P. and $4,056,331 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees (the "Board") of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreements (as applicable to a specific Fund, the "Agreement" and collectively, the "Agreements") with First Trust Advisors L.P. (the "Advisor" or "First Trust") on behalf of the following twelve series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Mega Cap AlphaDEX(R) Fund (FMK) Page 140 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2017 at a meeting held on June 13, 2016. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 22, 2016 and June 13, 2016, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees that, among other things, outlined the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate or unitary fee rate payable by each Fund as compared to fees charged to a peer group of funds (all of which were exchange-traded funds ("ETFs")) compiled by Management Practice, Inc. ("MPI"), an independent source (the "MPI Peer Group"), and as compared to fees charged to other clients of the Advisor, including other ETFs managed by the Advisor; expenses of each Fund as compared to expense ratios of the funds in the Fund's MPI Peer Group; performance information for each Fund; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at a special meeting held on April 22, 2016, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 13, 2016 meeting, as well as at the meeting held that day. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective as well as from the perspective of shareholders. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee or unitary fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective and policies. In addition, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 22, 2016 meeting, described to the Board the scope of its ongoing investment in additional infrastructure and personnel to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreements have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with the Fund's investment objective and policies. For FEX, FNX, FYX, FAD, FAB, FTC and FTA (the "Non-Unitary Fee Funds"), the Board considered the advisory fee rate payable by each Non-Unitary Fee Fund under the applicable Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Non-Unitary Fee Fund through November 30, 2017. For each Non-Unitary Fee Fund, the Board noted that expenses borne or fees waived by the Advisor are to be subject to reimbursement by the Non-Unitary Fee Fund for up to three years from the date the expense was incurred or fee was waived, but no reimbursement payment would be made by the Non-Unitary Fee Fund if it would result in the Non-Unitary Fee Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. For FNK, FNY, FYT, FYC and FMK (the "Unitary Fee Funds"), the Board considered the unitary fee rate payable by each Unitary Fee Fund under the applicable Agreement for the services provided. The Board considered that, as part of the unitary fee, the Advisor is responsible for each Unitary Fee Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit, licensing and other services, but excluding interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the MPI Peer Groups, as well as advisory fee and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients. Because each Fund's MPI Peer Group included peer funds that pay a unitary fee and because the Unitary Fee Funds pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that Page 141 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2016 the total (net) expense ratio of each Non-Unitary Fee Fund and the unitary fee for each Unitary Fee Fund was above the median total (net) expense ratio of the peer funds in each Fund's respective MPI Peer Group. With respect to the MPI Peer Groups, the Board discussed with representatives of the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other clients, the Board considered differences between the Funds and other clients that limited their comparability. In considering the advisory and unitary fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's description of its long-term commitment to each Fund. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2015 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was consistent with the Fund's prospectus. The Board noted that effective April 8, 2016, each Fund changed its underlying index to an index developed and maintained by Nasdaq, Inc. using the AlphaDEX stock selection methodology. In addition, the Board reviewed data prepared by MPI comparing each Fund's performance to its respective MPI Peer Group and to one or more broad-based benchmark indexes, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee and unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreements. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it expects its expenses to increase over the next twelve months as the Advisor continues to make investments in personnel and infrastructure. For the Unitary Fee Funds, the Board noted that any reduction in fixed costs associated with the management of the Unitary Fee Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Unitary Fee Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2015 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data for the same period. The Board noted the inherent limitations in the profitability analysis, and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with its management of the Funds' portfolios. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of the Trust and each Fund. No single factor was determinative in the Board's analysis. Page 142 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2016 (UNAUDITED) The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, ADDRESS, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE DATE OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician; President, Wheaton 126 None c/o First Trust Advisors L.P. Orthopedics; Limited Partner 120 E. Liberty Drive, o Since Inception Gundersen Real Estate Limited Suite 400 Partnership; Member, Sportsmed LLC Wheaton, IL 60187 (April 2007 to November 2015) D.O.B.: 04/51 Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investor Services, Inc. 126 Director of ADM c/o First Trust Advisors L.P. (Futures Commission Merchant) Investor Services, 120 E. Liberty Drive, o Since Inception Inc., ADM Suite 400 Investor Services Wheaton, IL 60187 International and D.O.B.: 11/57 Futures Industry Association Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises 126 Director of Trust c/o First Trust Advisors L.P. (Financial and Management Consulting) Company of 120 E. Liberty Drive, o Since Inception Illinois Suite 400 Wheaton, IL 60187 D.O.B.: 11/56 Niel B. Nielson, Trustee o Indefinite Term Managing Director and Chief Operating 126 Director of c/o First Trust Advisors L.P. Officer (January 2015 to Present), Pelita Covenant 120 E. Liberty Drive, o Since Inception Harapan Educational Foundation (Educational Transport Inc. Suite 400 Products and Services); President and Chief (May 2003 to Wheaton, IL 60187 Executive Officer (June 2012 to September May 2014) D.O.B.: 03/54 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services); President (June 2002 to June 2012), Covenant College ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 126 None Chairman of the Board Advisors L.P. and First Trust 120 E. Liberty Drive, o Since Inception Portfolios L.P.; Chairman of the Suite 400 Board of Directors, BondWave LLC Wheaton, IL 60187 (Software Development Company/ D.O.B.: 09/55 Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor)
----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 143 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2016 (UNAUDITED)
POSITION AND TERM OF OFFICE NAME, ADDRESS OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS AND DATE OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS -------------------------------------------------------------------------------------------------------------------------------- OFFICERS(2) -------------------------------------------------------------------------------------------------------------------------------- James M. Dykas President and o Indefinite Term Managing Director and Chief Financial Officer 120 E. Liberty Drive, Chief Executive (January 2016 to Present), Controller (January 2011 Suite 400 Officer o Since January 2016 to January 2016), Senior Vice President (April 2007 Wheaton, IL 60187 to January 2016), First Trust Advisors L.P. and First D.O.B: 01/66 Trust Portfolios L.P. Donald P. Swade Treasurer, Chief o Indefinite Term Senior Vice President (July 2016 to Present), 120 E. Liberty Drive, Financial Officer Vice President (April 2012 to July 2016), Suite 400 and Chief o Since January 2016 First Trust Advisors L.P. and First Trust Portfolios Wheaton, IL 60187 Accounting Officer L.P., Vice President (September 2006 to April 2012), D.O.B.: 08/72 Guggenheim Funds Investment Advisors, LLC/ Claymore Securities, Inc. W. Scott Jardine Secretary and o Indefinite Term General Counsel, First Trust Advisors L.P. and First 120 E. Liberty Drive, Chief Legal Trust Portfolios L.P.; Secretary and General Counsel, Suite 400 Officer o Since Inception BondWave LLC (Software Development Company/ Wheaton, IL 60187 Investment Advisor); Secretary of Stonebridge D.O.B.: 05/60 Advisors LLC (Investment Advisor) Daniel J. Lindquist Vice President o Indefinite Term Managing Director (July 2012 to Present), Senior Vice 120 E. Liberty Drive, President (September 2005 to July 2012), First Trust Suite 400 o Since Inception Advisors L.P. and First Trust Portfolios L.P. Wheaton, IL 60187 D.O.B.: 02/70 Kristi A. Maher Chief Compliance o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. 120 E. Liberty Drive, Officer and and First Trust Portfolios L.P. Suite 400 Assistant o Chief Compliance Wheaton, IL 60187 Secretary Officer Since D.O.B.: 12/66 January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. 120 E. Liberty Drive, and First Trust Portfolios L.P. Suite 400 o Since Inception Wheaton, IL 60187 D.O.B.: 06/66 Stan Ueland Vice President o Indefinite Term Senior Vice President (September 2012 to Present), 120 E. Liberty Drive, Vice President (August 2005 to September 2012), First Suite 400 o Since Inception Trust Advisors L.P. and First Trust Portfolios L.P. Wheaton, IL 60187 D.O.B.: 11/70
----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 144 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2016 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We may collect nonpublic personal information about you from the following sources: o Information we receive from you or your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required by law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information with affiliates of the Fund. PRIVACY ONLINE We allow third-party companies, including AddThis, to collect certain anonymous information when you visit our website. These companies may use non-personally identifiable information during your visits to this and other websites in order to provide advertisements about goods and services likely to be of greater interest to you. These companies typically use a cookie, third party web beacon or pixel tags, to collect this information. To learn more about this behavioral advertising practice, you can visit www.networkadvertising.org. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, we restrict access to your nonpublic personal information to those individuals who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time; however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). Page 145 This page is intentionally left blank. This page is intentionally left blank. This page is intentionally left blank. -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 101 Barclay Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603 [BLANK BACK COVER] ITEM 2. CODE OF ETHICS. (a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. (c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. (d) The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item's instructions. (e) Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. As of the end of the period covered by the report, the registrant's board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $420,000 for 2015 and $420,000 for 2016. (b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2015 and $0 for 2016. Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2015 and $0 for 2016. (c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $61,425 for 2015 and $61,425 for 2016. These fees were for tax consultation. Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant's adviser and distributor were $0 for 2015 and $0 for 2016. (d) All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2015 and $0 for 2016. All Other Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant's investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2015 and $0 for 2016 for the Adviser and $0 for 2015 and $0 for 2016 for the Distributor. (e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X. Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the "Committee") is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee. The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence. (e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment adviser and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: Registrant: Adviser and Distributor: ----------- ------------------------ (b) 0% (b) 0% (c) 0% (c) 0% (d) 0% (d) 0% (f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. (g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for 2015 were $61,425 for the registrant, $12,700 for the registrant's investment adviser and $36,700 for the registrant's distributor, and for 2016 were $61,425 for the registrant, $23,000 for the registrant's investment adviser and $42,100 for the registrant's distributor. (h) The registrant's audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson. ITEM 6. INVESTMENTS. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a) (1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. (a) (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a) (3) Not Applicable (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (registrant) First Trust Exchange-Traded AlphaDEX(R) Fund -------------------------------------------------- By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) Date: September 22, 2016 --------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) Date: September 22, 2016 --------------------- By (Signature and Title)* /s/ Donald P. Swade ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: September 22, 2016 --------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CODE ETH 2 ethics.txt CODE OF ETHICS SENIOR FINANCIAL OFFICER CODE OF CONDUCT I. INTRODUCTION This code of conduct is being adopted by the investment companies advised by First Trust Advisors L.P., from time to time, (the "Funds"). The reputation and integrity of the Funds are valuable assets that are vital to the Funds' success. Each officer of the Funds, and officers and employees of the investment adviser to the Funds who work on Fund matters, including each of the Funds' senior financial officers ("SFOs"), is responsible for conducting each Fund's business in a manner that demonstrates a commitment to the highest standards of integrity. SFOs include the Principal Executive Officer (who is the President), the Controller (who is the principal accounting officer), and the Treasurer (who is the principal financial officer), and any person who performs a similar function. The Funds, First Trust Advisors L.P. and First Trust Portfolios have adopted Codes of Ethics under Rule 17j-1 under the Investment Company Act of 1940 (the "Rule 17j-1 Code"). These Codes of Ethics are designed to prevent certain conflicts of interest that may arise when officers, employees, or directors of the Funds and the foregoing entities know about present or future Fund transactions and/or have the power to influence those transactions, and engage in transactions with respect to those same securities in their personal account(s) or otherwise take advantage of their position and knowledge with respect to those securities. In an effort to prevent these conflicts and in accordance with Rule 17j-1, the Funds adopted their Rule 17j-1 Code to prohibit transactions and conduct that create conflicts of interest, and to establish compliance procedures. The Sarbanes-Oxley Act of 2002 was designed to address corporate malfeasance and to help assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under Section 406 of the Act, all public companies (including the Funds) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to prevent future situations (such as occurred in well-reported situations involving such companies as Enron and WorldCom) where a company creates an environment in which employees are afraid to express their opinions or to question unethical and potentially illegal business practices. The Funds have chosen to adopt a senior financial officer Code of Conduct to encourage their SFOs, and other Fund officers and employees of First Trust Advisors or First Trust Portfolios to act ethically and to question potentially unethical or illegal practices, and to strive to ensure that the Funds' financial disclosures are complete, accurate, and understandable. II. PURPOSES OF THIS CODE OF CONDUCT The purposes of this Code are: A. To promote honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; B. To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Funds file with, or submits to, the SEC and in other public communications the Funds make; C. To promote compliance with applicable governmental laws, rules and regulations; D. To encourage the prompt internal reporting to an appropriate person of violations of the Code; and E. To establish accountability for adherence to the Code. III. QUESTIONS ABOUT THIS CODE The Funds' Boards of Trustees have designated W. Scott Jardine or other appropriate officer designated by the President of the respective Funds to be the Compliance Coordinator for the implementation and administration of the Code. IV. HANDLING OF FINANCIAL INFORMATION The Funds have adopted guidelines under which its SFOs perform their duties. However, the Funds expect that all officers or employees of the adviser or distributor who participate in the preparation of any part of any Fund's financial statements follow these guidelines with respect to each Fund: A. Act with honesty and integrity and avoid violations of this Code, including actual or apparent conflicts of interest with the Fund in personal and professional relationships. B. Disclose to the Fund's Compliance Coordinator any material transaction or relationship that reasonably could be expected to give rise to any violations of the Code, including actual or apparent conflicts of interest with the Fund. You should disclose these transactions or relationships whether you are involved or have only observed the transaction or relationship. If it is not possible to disclose the matter to the Compliance Coordinator, it should be disclosed to the Fund's Principal Financial Officer or Principal Executive Officer. C. Provide information to the Fund's other officers and appropriate employees of service providers (adviser, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete, objective, relevant, timely, and understandable. D. Endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Fund's periodic reports. E. Comply with the federal securities laws and other applicable laws and rules, such as the Internal Revenue Code. F. Act in good faith, responsibly, and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated. G. Respect the confidentiality of information acquired in the course of your work except when you have Fund approval to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage. H. Share and maintain skills important and relevant to the Fund's needs. I. Proactively promote ethical behavior among peers in your work environment. J. Responsibly use and control all assets and resources employed or entrusted to you. K. Record or participate in the recording of entries in the Fund's books and records that are accurate to the best of your knowledge. V. WAIVERS OF THIS CODE SFOs and other parties subject to this Code may request a waiver of a provision of this Code (or certain provisions of the Fund's Rule 17j-1 Code) by submitting their request in writing to the Compliance Coordinator for appropriate review. An executive officer of the Fund or the Audit Committee will decide whether to grant a waiver. All waivers of this Code must be disclosed to the Fund's shareholders to the extent required by SEC rules. A good faith interpretation of the provisions of this Code, however, shall not constitute a waiver. VI. ANNUAL CERTIFICATION Each SFO will be asked to certify on an annual basis that he/she is in full compliance with the Code and any related policy statements. VII. REPORTING SUSPECTED VIOLATIONS A. SFOs or other officers of the Funds or employees of the First Trust group who work on Fund matters who observe, learn of, or, in good faith, suspect a violation of the Code must immediately report the violation to the Compliance Coordinator, another member of the Funds' or First Trust's senior management, or to the Audit Committee of the Fund Board. An example of a possible Code violation is the preparation and filing of financial disclosure that omits material facts, or that is accurate but is written in a way that obscures its meaning. B. Because service providers such as an administrator, outside accounting firm, and custodian provide much of the work relating to the Funds' financial statements, you should be alert for actions by service providers that may be illegal, or that could be viewed as dishonest or unethical conduct. You should report these actions to the Compliance Coordinator even if you know, or think, that the service provider has its own code of ethics for its SFOs or employees. C. SFOs or other officers or employees who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated confidentially to the extent possible. VIII. VIOLATIONS OF THE CODE A. Dishonest, unethical or illegal conduct will constitute a violation of this Code, regardless of whether this Code specifically refers to that particular conduct. A violation of this Code may result in disciplinary action, up to and including termination of employment. A variety of laws apply to the Funds and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Fund directors and officers, and criminal laws. The federal securities laws generally prohibit the Funds from making material misstatements in its prospectus and other documents filed with the SEC, or from omitting to state a material fact. These material misstatements and omissions include financial statements that are misleading or omit materials facts. B. Examples of criminal violations of the law include stealing, embezzling, misapplying corporate or bank funds, making a payment for an expressed purpose on a Fund's behalf to an individual who intends to use it for a different purpose; or making payments, whether corporate or personal, of cash or other items of value that are intended to influence the judgment or actions of political candidates, government officials or businesses in connection with any of the Funds' activities. The Funds must and will report all suspected criminal violations to the appropriate authorities for possible prosecution, and will investigate, address and report, as appropriate, non-criminal violations. Amended: June 1, 2009 EX-99.CERT 3 cert302.txt 302 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James M. Dykas, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 22, 2016 /s/ James M. Dykas -------------------- ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Donald P. Swade, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 22, 2016 /s/ Donald P. Swade -------------------- ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) EX-99.906CERT 4 cert906.txt 906 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(B) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT I, James M. Dykas, President and Chief Executive Officer of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: September 22, 2016 /s/ James M. Dykas --------------------- ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) I, Donald P. Swade, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: September 22, 2016 /s/ Donald P. Swade --------------------- ---------------------------------------- Donald P. Swade, President and Chief Executive Officer (principal executive officer)