0001445546-17-004631.txt : 20171010 0001445546-17-004631.hdr.sgml : 20171010 20171010130635 ACCESSION NUMBER: 0001445546-17-004631 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20170731 FILED AS OF DATE: 20171010 DATE AS OF CHANGE: 20171010 EFFECTIVENESS DATE: 20171010 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: 171129795 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, 2017 --------------- 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, 2017 -------------------------------------------------------------------------------- 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 ANNUAL REPORT JULY 31, 2017 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...................... 70 Additional Information....................................................... 71 Board of Trustees and Officers............................................... 77 Privacy Policy............................................................... 79 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at http://www.ftportfolios.com HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund's portfolio and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL LETTER FROM THE CHAIRMAN AND CEO JULY 31, 2017 Dear Shareholders: 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, 2017, including a market overview and a performance analysis for the period. We encourage you to read it carefully and discuss it with your financial advisor. The past year has seen the election of Donald Trump as the 45th President of the U.S. and the continued U.S. bull market. In the first seven months of 2017, the S&P 500(R) Index closed its trading sessions at all-time highs 29 times. The NASDAQ Composite Index, as of July 31, 2017, closed its trading sessions at all-time highs 44 times this year. The current bull market (measuring from March 9, 2009 through July 31, 2017) is the second longest in history. While we are optimistic about the U.S. economy, we are also well aware that no one can predict the future or know how markets will perform in different economic environments. This is why we advocate maintaining a long-term perspective, as we have done since our inception over 25 years ago. We also believe it is a good practice to speak with your financial advisor and make sure your financial plan is still on track with your investment goals. Thank you for giving First Trust the opportunity to be a part of your investment plan through the First Trust Exchange-Traded AlphaDEX(R) Fund. We value our relationship with you and will continue to focus on bringing the types of investments that we believe can help 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, 2017 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 Investors still have some good reasons to be optimistic about the markets. Interest rates and inflation remain low by historical measures. Brian Wesbury, Chief Economist at First Trust Advisors L.P., often notes that the Federal Reserve's ("Fed") current approach to interest rate hikes has not made monetary policy tighter, just less loose. The Fed has only increased the federal funds target rate (upper bound) by one percentage point, from 0.25% to 1.25%, since December 2015. The average target rate for the 30-year period ended July 31, 2017 was 3.45%, according to Bloomberg. Job growth has been one of the silver linings in the current economic recovery. Nonfarm payrolls averaged 180,000 per month for the 12-month period ended July 31, 2017, according to data from the Bureau of Labor Statistics. The U.S. has registered 82 months of positive job growth through July 2017. The 82-month average was 198,000. The last half of 2016 was dominated by the election process, in our opinion. There seemed to be a lot of optimism about what President Donald J. Trump might be able to do to boost the U.S. economy after he won the election in November. While the stock and bond markets have performed well so far in 2017, we have not seen much in the way of legislative achievements. Now that we have moved into the second-half of 2017, one of the more interesting questions looming, in our opinion, is the following: Will any of the major fiscal/economic policies that President Trump campaigned on become legislation by year-end? The effort to repeal and replace the Affordable Care Act ("Obamacare") was unsuccessful. Tax reform is likely up next for the Trump administration and Congress. House Speaker Paul Ryan wants to pass a "tax overhaul" by the end of this year, according to CNBC. Ryan believes that the U.S. cannot achieve a 3% GDP growth rate without tax reform. The International Monetary Fund ("IMF") updates its forecasts for global economic growth throughout the year. In its latest report (July 2017), the IMF set its year-over-year global growth rate estimates for 2017 and 2018 at 3.5% and 3.6%, respectively, up from 3.2% in 2016, according to its own release. Its 2017 and 2018 estimates for U.S. growth project 2.1% growth for both years, up from 1.6% in 2016. The U.S. growth rate estimates could be adjusted higher if Congress enacts individual and corporate tax reform legislation, in our opinion. While not robust growth, these growth projections suggest that we are not heading for a recession anytime soon. ETFGI, an industry research group, reported that total assets invested in the U.S. exchange-traded funds ("ETFs") and other exchange-traded products ("ETPs") industry stood at a record high $3.06 trillion at the end of July 2017, according to its own release. July marked the 17th consecutive month of positive net inflows. Year-to-date through July, equity ETFs/ETPs reported net inflows totaling $194.68 billion, well above the $30.27 billion of net inflows at the same point a year ago. SECTOR INVESTING For the 12-month period ended July 31, 2017, nine of the 11 major sector indices that comprise the S&P 500(R) Index generated positive total returns, according to Bloomberg. The S&P 500(R) Index posted a total return of 16.04% over the period. Three of the 11 sector indices outperformed the S&P 500(R) Index. The three sectors were Financials, up 32.99%, Information Technology, up 29.48%, and Industrials, up 18.31%, according to Bloomberg. As of July 31, 2017, Information Technology and Financials were the most heavily weighted sectors in the S&P 500(R) Index at 22.8% and 14.5%, respectively, according to S&P Dow Jones Indices. The three sector indices with the poorest showing in the period were Telecommunication Services, down 7.03%, Real Estate, down 2.60%, and Energy, up 0.19%. The consensus estimated earnings growth rates for 2017 for the S&P 500(R), S&P MidCap 400(R) and S&P SmallCap 600(R) Indices are 12.49%, 17.83% and 18.01%, respectively, as of July 31, 2017, according to Bloomberg. The consensus estimated earnings growth rates for 2018 for the S&P 500(R), S&P MidCap 400(R) and S&P SmallCap 600(R) Indices are 11.44%, 13.64% and 18.84%, 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 (including investment borrowings) in common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange") under the ticker symbol "FXD." The Consumer Discretionary Index is a modified equal-dollar weighted index designed by 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) selection 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 5.10% 13.83% 7.95% 7.14% 91.10% 114.98% 102.40% Market Price 5.13% 13.85% 7.95% 7.13% 91.28% 114.85% 102.39% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index 5.78% 14.61% 8.73% 7.92% 97.76% 130.94% 117.99% Russell 1000(R) Index 15.95% 14.85% 7.84% 7.31% 99.80% 112.68% 105.75% S&P 500(R) Consumer Discretionary Index 13.90% 17.92% 11.34% 10.42% 127.99% 192.70% 175.65% Russell 1000(R) Consumer Discretionary Index(1) 13.82% 17.01% N/A N/A 119.33% N/A N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXD's one-year net asset value ("NAV") return of 5.10% underperformed the benchmark S&P 500(R) Consumer Discretionary Index's return of 13.90% by 8.80%. Although the Technology Hardware & Equipment industry (represented solely by Fitbit, Inc.) had the worst return over the period at -58.2%, it was the Retailing industry which had the worst contribution at -1.9%, stemming from its large 34.1% average allocation and -5.6% return. The Diversified Consumer Services industry, with securities such as H&R Block and ServiceMaster Global Holdings, Inc., was the Fund's top contributing industry with a 4.6% contribution, stemming from its 14.5% allocation and high 32.9% return. On a relative basis, the Fund underperformed the benchmark. The majority of the relative underperformance is attributable to the Retailing industry, where the Fund had a -17.5% lower return causing -5.8% of relative drag. The Fund saw 1.2% of the relative underperformance reversed due to the Fund's 8.6% better return amongst the Diversified Consumer Services industry. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 94.90% Industrials 2.42 Information Technology 1.48 Consumer Staples 1.20 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Liberty Ventures, Series A 1.68% NVR, Inc. 1.57 Live Nation Entertainment, Inc. 1.55 Kohl's Corp. 1.55 Urban Outfitters, Inc. 1.53 Expedia, Inc. 1.52 Lear Corp. 1.51 Delphi Automotive PLC 1.49 General Motors Co. 1.49 TEGNA, Inc. 1.49 ------- Total 15.38% ======= ----------------------------- (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 July 31, 2007 - July 31, 2017 First Trust Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Discretionary Index Index Discretionary Index 7/31/07 $10,000 $10,000 $10,000 $10,000 1/31/08 8,812 8,845 9,573 8,840 7/31/08 7,576 7,621 8,938 7,809 1/31/09 4,618 4,668 6,110 6,030 7/31/09 6,885 6,993 7,135 7,079 1/31/10 7,889 8,043 7,868 8,173 7/31/10 8,612 8,813 8,170 8,929 1/31/11 10,604 10,892 9,703 10,672 7/31/11 11,604 11,973 9,860 11,474 1/31/12 11,364 11,780 10,086 12,075 7/31/12 11,249 11,679 10,645 12,838 1/31/13 13,444 14,014 11,804 14,932 7/31/13 15,993 16,729 13,436 17,807 1/31/14 16,929 17,778 14,428 19,017 7/31/14 17,971 18,937 15,729 20,067 1/31/15 19,371 20,481 16,413 21,492 7/31/15 20,944 22,222 17,497 24,819 1/31/16 18,209 19,377 16,116 23,163 7/31/16 20,456 21,832 18,343 25,695 1/31/17 20,462 21,911 19,470 26,980 7/31/17 21,497 23,094 21,269 29,268
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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 102 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% 8/1/12 - 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 8/1/16 - 7/31/17 150 0 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXG." The Consumer Staples Index is a modified equal-dollar weighted index designed by 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) selection 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV -3.31% 16.58% 10.87% 10.12% 115.30% 180.64% 168.15% Market Price -3.31% 16.61% 10.87% 10.12% 115.57% 180.63% 168.14% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index -2.68% 17.37% 11.69% 10.94% 122.69% 202.14% 189.26% Russell 1000(R) Index 15.95% 14.85% 7.84% 7.31% 99.80% 112.68% 105.75% S&P 500(R) Consumer Staples Index 4.39% 12.12% 10.77% 10.24% 77.16% 178.18% 171.14% Russell 1000(R) Consumer Staples Index(1) 3.66% 12.90% N/A N/A 83.41% N/A N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXG's one-year NAV return of -3.31% underperformed the benchmark S&P 500(R) Consumer Staples Index's return of 4.39% by 7.70%. Over the period, the Food Products industry was the heaviest weighted industry at 47.6% and the worst contributing industry at -1.9%, stemming from its -3.2% return. The Personal Products industry was the top performing industry at 8.3%. Nu Skin Enterprises, Inc. within the Personal Products industry had a particularly good return of 21.4%. The Beverages industry was the worst performing industry with a -6.6% return. Dr Pepper Snapple Group, Inc. was the worst performer within the Beverages industry at -13.2%. On a relative basis, the Fund underperformed the benchmark. The primary cause of the relative underperformance can be attributed to the Fund having a 31.6% greater allocation to the negative returning Food Products industry, creating -1.9% of relative drag. No industry created positive relative performance over the period. The least impacting industry was the Personal Products industry with a -0.6% relative contribution. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Staples 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Pilgrim's Pride Corp. 5.29% Bunge Ltd. 5.02 Molson Coors Brewing Co., Class B 4.92 Archer-Daniels-Midland Co. 4.87 Tyson Foods, Inc., Class A 4.83 Nu Skin Enterprises, Inc., Class A 4.82 Whole Foods Market, Inc. 4.74 Kroger (The) Co. 3.52 Ingredion, Inc. 3.46 US Foods Holding Corp. 3.46 ------- Total 44.93% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) 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 JULY 31, 2007 - JULY 31, 2017 First Trust Consumer Staples StrataQuant(R) Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Consumer Staples Index Index Staples Index 7/31/07 $10,000 $10,000 $10,000 $10,000 1/31/08 9,332 9,370 9,573 10,552 7/31/08 9,514 9,588 8,938 10,656 1/31/09 7,474 7,546 5,837 8,622 7/31/09 8,835 8,959 7,135 9,835 1/31/10 9,558 9,725 7,868 10,697 7/31/10 10,246 10,463 8,170 11,147 1/31/11 11,469 11,765 9,703 12,147 7/31/11 13,443 13,840 9,860 13,122 1/31/12 12,988 13,425 10,086 13,855 7/31/12 13,035 13,567 10,645 15,702 1/31/13 15,184 15,861 11,804 16,490 7/31/13 18,756 19,681 13,436 18,673 1/31/14 19,437 20,468 14,428 18,644 7/31/14 21,596 22,830 15,729 20,003 1/31/15 24,430 25,887 16,413 22,541 7/31/15 26,584 28,261 17,497 23,862 1/31/16 25,460 27,136 16,116 24,454 7/31/16 29,029 31,044 18,343 26,647 1/31/17 27,174 29,153 19,470 26,026 7/31/17 28,068 30,211 21,269 27,820
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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 118 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% 8/1/12 - 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 8/1/16 - 7/31/17 134 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXN." The Energy Index is a modified equal-dollar weighted index designed by 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) selection 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV -4.99% -4.63% -3.21% -2.80% -21.08% -27.87% -25.20% Market Price -4.99% -4.61% -3.22% -2.80% -21.04% -27.91% -25.20% INDEX PERFORMANCE StrataQuant(R) Energy Index -4.26% -4.14% -2.63% -2.20% -19.07% -23.36% -20.40% Russell 1000(R) Index 15.95% 14.85% 7.84% 7.31% 99.80% 112.68% 105.75% S&P 500(R) Energy Index 0.19% 1.31% 1.46% 2.14% 6.73% 15.54% 24.13% Russell 1000(R) Energy Index(1) -0.46% 0.57% N/A N/A 2.89% N/A N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXN's one-year NAV return of -4.99% underperformed the benchmark S&P 500(R) Energy Index's return of 0.19% by 5.18%. The Energy Equipment & Services industry was the lead contributor to the Fund's negative return over the period. With an average 23.8% allocation and -23.3% return, the Energy Equipment & Services industry contributed -5.9% to the Fund's return. Securities such as Diamond Offshore Drilling, Inc. and Noble Corp. PLC were the worst performers within the Energy Equipment & Services industry with -53.6% and -52.3% returns, respectively. The Oil, Gas & Consumable Fuels industry, which was given an average 71.4% allocation, had a 2.5% return and contributed 2.3% to the Fund's return. Securities such as Marathon Petroleum Corp. and Valero Energy Corp. were the top performers within the Oil, Gas & Consumable Fuels industry with 47.9% and 37.3% returns, respectively. On a relative basis, the Fund underperformed the benchmark. The primary cause of the relative underperformance is attributable to the Fund's poorer performance amongst the Energy Equipment & Services industry, where the Fund underperformed the benchmark by -16.9% creating -4.7% of relative drag. The Oil, Gas & Consumable Fuels industry created 0.9% of relative outperformance. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Energy 99.19% Information Technology 0.81 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Andeavor 3.86% SM Energy Co. 3.82 Transocean Ltd. 3.82 Rice Energy, Inc. 3.81 Chevron Corp. 3.80 Murphy Oil Corp. 3.76 PBF Energy, Inc., Class A 3.71 Valero Energy Corp. 3.71 Oceaneering International, Inc. 3.26 Energen Corp. 3.13 ------- Total 36.68% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. 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 JULY 31, 2007 - JULY 31, 2017 First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Energy Index Index Energy Index 7/31/07 $10,000 $10,000 $10,000 $10,000 1/31/08 10,216 10,242 9,573 10,138 7/31/08 11,562 11,630 8,938 10,663 1/31/09 4,658 4,683 6,251 6,825 7/31/09 6,620 6,706 7,135 7,575 1/31/10 7,719 7,849 7,868 8,058 7/31/10 7,830 7,992 8,170 8,006 1/31/11 11,014 11,283 9,703 10,908 7/31/11 11,642 11,974 9,860 11,401 1/31/12 9,749 10,064 10,086 10,804 7/31/12 9,139 9,471 10,645 10,829 1/31/13 10,876 11,317 11,804 11,984 7/31/13 11,297 11,788 13,436 12,844 1/31/14 11,957 12,521 14,428 13,050 7/31/14 14,154 14,869 15,729 15,212 1/31/15 10,183 10,711 16,413 12,225 7/31/15 8,692 9,152 17,497 11,304 1/31/16 6,701 7,056 16,116 9,824 7/31/16 7,590 8,007 18,343 11,535 1/31/17 8,409 8,905 19,470 12,438 7/31/17 7,212 7,665 21,269 11,556
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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 141 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% 8/1/12 - 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 8/1/16 - 7/31/17 111 0 0 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO." The Financials Index is a modified equal-dollar weighted index designed by 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) selection 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 24.00% 17.07% 6.86% 5.55% 119.92% 94.10% 73.82% Market Price 24.00% 17.07% 6.84% 5.55% 119.92% 93.87% 73.81% INDEX PERFORMANCE StrataQuant(R) Financials Index 24.79% 17.90% 7.73% 6.43% 127.83% 110.59% 89.24% Russell 1000(R) Index 15.95% 14.85% 7.84% 7.31% 99.80% 112.68% 105.75% S&P 500(R) Financials Index 32.99% 18.36% 1.38% 0.18% 132.29% 14.66% 1.85% Russell 1000(R) Financial Services Index(1) 25.58% 17.36% N/A N/A 122.60% N/A N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXO's one-year NAV return of 24.00% underperformed the benchmark S&P 500(R) Financials Index's return of 32.99% by 8.99%. Only one financial industry had a negative impact to the Fund's performance over the period, which was the Real Estate Investment Trust industry with a -0.8% contribution. Securities such as Macerich (The) Co. and Kimco Realty Corp. were the worst performers within the Real Estate Investment Trust industry with -33.5% and -32.7% returns, respectively. The top contributing industry was the Banks industry. The Banks industry had an average 18.5% allocation and a 43.3% return, leading to an 8.9% contribution to the Fund's return. Securities such as SVB Financial Group and East West Bancorp, Inc. were the top performers within the Banks industry with 82.62% and 72.2% returns, respectively. On a relative basis, the Fund underperformed the benchmark. The Fund's holdings within the Real Estate Investment Trust industry were the primary cause of the relative underperformance as the Fund lagged the benchmarks return by -5.3% which created -4.8% of relative drag. The Fund's holdings amongst the Diversified Financial Services industry reversed 1.3% of underperformance due to the Fund's relative outperformance of 10.1%. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 69.16% Real Estate 18.56 Information Technology 11.14 Industrials 1.14 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Square, Inc., Class A 1.02% T. Rowe Price Group, Inc. 1.01 New Residential Investment Corp. 0.99 PayPal Holdings, Inc. 0.99 FNF Group 0.99 OneMain Holdings, Inc. 0.98 Ally Financial, Inc. 0.98 First American Financial Corp. 0.98 Assured Guaranty Ltd. 0.98 Progressive (The) Corp. 0.97 ------- Total 9.89% ======= ----------------------------- (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 JULY 31, 2007 - JULY 31, 2017 First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Financials Index Index Financials Index 7/31/07 $10,000 $10,000 $10,000 $10,000 1/31/08 8,865 8,922 9,573 8,865 7/31/08 7,105 7,178 8,938 6,698 1/31/09 4,364 4,425 5,837 3,877 7/31/09 6,044 6,177 7,135 4,180 1/31/10 7,180 7,365 7,868 4,594 7/31/10 7,656 7,886 8,170 4,788 1/31/11 8,819 9,124 9,703 5,373 7/31/11 8,440 8,767 9,860 4,882 1/31/12 8,510 8,879 10,086 4,685 7/31/12 8,826 9,244 10,645 4,936 1/31/13 10,460 11,002 11,804 5,915 7/31/13 12,307 12,993 13,436 7,030 1/31/14 13,005 13,782 14,428 7,297 7/31/14 13,655 14,523 15,729 7,832 1/31/15 14,238 15,197 16,413 8,120 7/31/15 15,619 16,730 17,497 8,960 1/31/16 13,776 14,796 16,116 7,829 7/31/16 15,654 16,877 18,343 8,622 1/31/17 17,857 19,317 19,470 10,571 7/31/17 19,410 21,061 21,269 11,466
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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 152 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% 8/1/12 - 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 8/1/16 - 7/31/17 100 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 (including investment borrowings) in common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXH." The Health Care Index is a modified equal-dollar weighted index designed by 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) selection 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 8.72% 17.50% 13.21% 12.60% 123.94% 245.83% 36.84% Market Price 8.74% 17.51% 13.20% 12.61% 124.05% 245.52% 36.89% INDEX PERFORMANCE StrataQuant(R) Health Care Index 9.39% 18.28% 14.02% 13.42% 131.53% 271.53% 262.78% Russell 1000(R) Index 15.95% 14.85% 7.84% 7.31% 99.80% 112.68% 105.75% S&P 500(R) Health Care Index 8.00% 17.79% 11.15% 10.01% 126.76% 187.80% 165.41% Russell 1000(R) Health Care Index(1) 8.43% 18.19% N/A N/A 130.63% N/A N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXH's one-year NAV return of 8.72% outperformed the benchmark S&P 500(R) Health Care Index's return of 8.00% by 0.72%. The Health Care Equipment & Supplies industry was the top contributor to the Fund's return over the period with a 5.2% contribution, resulting from its 29.1% average allocation and 20.8% return. Securities such as Align Technology, Inc. and IDEXX Laboratories, Inc. were the top performers within the Health Care Equipment & Supplies industry with 90.1% and 64.9% returns, respectively. The Pharmaceuticals industry was the worst contributor to the Fund's return over the period with a -2.5% contribution, resulting from its 8.6% average allocation and -18.2% return. Securities such as Endo International PLC and Mallinckrodt PLC were the worst performers within the Pharmaceuticals industry with -36.9% and -33.9% returns, respectively. On a relative basis, the Fund outperformed the benchmark. The Fund's holdings amongst the Health Care Equipment & Supplies industry were the primary cause of the relative outperformance as the Fund had a 9.9% higher return than the benchmark. Relative outperformance was reversed by 1.9% due to the Fund underperforming the benchmark in the Health Care Providers & Services industry by 9.6%. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Vertex Pharmaceuticals, Inc. 2.61% Align Technology, Inc. 2.47 Exelixis, Inc. 2.44 Gilead Sciences, Inc. 2.39 Veeva Systems, Inc., Class A 2.31 Alnylam Pharmaceuticals, Inc. 2.30 UnitedHealth Group, Inc. 2.30 Mallinckrodt PLC 2.27 DaVita, Inc. 2.22 Centene Corp. 2.21 ------- Total 23.52% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) 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 JULY 31, 2007 - JULY 31, 2017 First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund (FXH) Health Care Index Index Health Care Index 7/31/07 $10,000 $10,000 $10,000 $10,000 1/31/08 9,902 9,937 9,573 10,051 7/31/08 9,718 9,804 8,938 9,694 1/31/09 7,526 7,623 5,837 8,345 7/31/09 9,066 9,219 7,135 8,647 1/31/10 11,037 11,259 7,868 9,805 7/31/10 11,068 11,335 8,170 9,020 1/31/11 13,543 13,930 9,703 10,091 7/31/11 14,684 15,163 9,860 10,997 1/31/12 14,725 15,269 10,086 11,670 7/31/12 15,444 16,046 10,645 12,694 1/31/13 18,344 19,133 11,804 14,341 7/31/13 22,006 23,048 13,436 17,217 1/31/14 25,841 27,158 14,428 19,054 7/31/14 27,459 28,942 15,729 20,906 1/31/15 31,624 33,439 16,413 23,948 7/31/15 35,986 38,195 17,497 26,645 1/31/16 27,712 29,494 16,116 23,367 7/31/16 31,811 33,962 18,343 26,648 1/31/17 30,768 32,940 19,470 25,159 7/31/17 34,586 37,153 21,269 28,781
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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 146 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% 8/1/12 - 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 8/1/16 - 7/31/17 106 0 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXR." The Industrials Index is a modified equal-dollar weighted index designed by 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) selection 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 22.81% 15.81% 7.32% 6.54% 108.35% 102.66% 91.21% Market Price 22.81% 15.81% 7.29% 6.54% 108.35% 102.13% 91.22% INDEX PERFORMANCE StrataQuant(R) Industrials Index 23.90% 16.65% 8.11% 7.34% 116.02% 118.16% 106.32% Russell 1000(R) Index 15.95% 14.85% 7.84% 7.31% 99.80% 112.68% 105.75% S&P 500(R) Industrials Index 18.31% 15.98% 7.54% 7.78% 109.85% 106.94% 115.22% Russell 1000(R) Producer Durables Index(1) 19.84% 16.56% N/A N/A 115.18% N/A N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXR's one-year NAV return of 22.81% outperformed the benchmark S&P 500(R) Industrials Index's return of 18.31% by 4.50%. The majority of the Fund's return was created by the Machinery industry where the Fund allocated 21.1% and had a 30.7% return, leading to a 6.4% contribution. Securities such as Deere & Co. and Toro (The) Co. were the top performers within the Machinery industry with 69.9% and 58.5% returns, respectively. Industrial Conglomerates were the worst contributing securities over the period with a 0.1% contribution to the Fund's return. Securities such as Carlisle Cos., Inc. and 3M Co. were the worst performers within the Industrial Conglomerates industry with -3.8% and -2.7% returns, respectively. On a relative basis, the Fund outperformed the benchmark. The primary cause of the Fund's relative outperformance is attributable to the Fund's holdings within the Industrial Conglomerates industry where the Fund allocated 22.9% less to the poor performing industry creating 4.6% of relative outperformance. Relative outperformance was reversed by 1.7% due to the Fund under allocating the benchmark within the well performing Aerospace & Defense industry by 7.8%. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 85.71% Information Technology 9.53 Health Care 3.20 Materials 1.56 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Copa Holdings S.A., Class A 1.99% Air Lease Corp. 1.96 Textron, Inc. 1.93 Quanta Services, Inc. 1.90 Regal Beloit Corp. 1.89 Ryder System, Inc. 1.87 Eaton Corp. PLC 1.86 American Airlines Group, Inc. 1.86 Boeing (The) Co. 1.82 Trinity Industries, Inc. 1.81 ------- Total 18.89% ======= ----------------------------- (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 JULY 31, 2007 - JULY 31, 2017 First Trust Industrials/ Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Industrials Index Index Industrials Index 7/31/07 $10,000 $10,000 $10,000 $10,000 1/31/08 9,295 9,327 9,573 9,553 7/31/08 9,318 9,383 8,938 8,787 1/31/09 5,265 5,319 5,837 5,706 7/31/09 6,445 6,537 7,135 6,175 1/31/10 7,667 7,808 7,868 7,177 7/31/10 8,324 8,510 8,170 7,945 1/31/11 10,254 10,525 9,703 9,598 7/31/11 9,797 10,089 9,860 9,248 1/31/12 10,121 10,473 10,086 9,786 7/31/12 9,726 10,100 10,645 9,862 1/31/13 11,611 12,103 11,804 11,148 7/31/13 13,414 14,032 13,436 12,690 1/31/14 15,472 16,250 14,428 14,180 7/31/14 16,424 17,315 15,729 14,812 1/31/15 16,480 17,432 16,413 15,711 7/31/15 16,638 17,640 17,497 15,836 1/31/16 13,809 14,682 16,116 14,979 7/31/16 16,499 17,608 18,343 17,492 1/31/17 19,285 20,696 19,470 19,154 7/31/17 20,262 21,818 21,269 20,694
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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 172 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% 8/1/12 - 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 8/1/16 - 7/31/17 80 0 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXZ." The Materials Index is a modified equal-dollar weighted index designed by 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) selection 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 14.01% 12.81% 8.21% 8.11% 82.66% 120.23% 122.10% Market Price 13.98% 12.82% 8.21% 8.11% 82.77% 120.17% 122.04% INDEX PERFORMANCE StrataQuant(R) Materials Index 14.79% 13.60% 9.02% 8.92% 89.23% 137.20% 139.66% Russell 1000(R) Index 15.95% 14.85% 7.84% 7.31% 99.80% 112.68% 105.75% S&P 500(R) Materials Index 14.58% 11.70% 5.76% 5.58% 73.90% 75.03% 74.26% Russell 1000(R) Materials and Processing Index(1) 15.11% 12.53% N/A N/A 80.42% N/A N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXZ's one-year NAV return of 14.01% underperformed the benchmark S&P 500(R) Materials Index's return of 14.58% by 0.57%. The Fund's holdings amongst the Chemicals industry were the top contributors to the Fund's return over the period. The Chemicals industry contributed 10.3% to the Fund's return stemming from its 36.9% allocation and high 28.9% return. Securities such as Huntsman Corp. and FMC Corp. were the top performers within the Chemicals industry with 74.9% and 64.5% returns, respectively. The Fund's holdings amongst the Metals & Mining industry were the Fund's worst contributors over the period with a -1.1% contribution, resulting from the industry's 14.8% allocation and -4.3% return. Securities such as Tahoe Resources, Inc. and Freeport-McMoRan, Inc. were the worst performers within the Metals & Mining industry with -32.4% and -18.4% returns, respectively. On a relative basis, the Fund underperformed the benchmark. The primary cause of the relative underperformance is attributable to the Fund's 5.5% greater allocation and -4.5% underperformance in the Metals & Mining industry, relative to the benchmark. The Fund's holdings within the Chemicals industry reversed 3.2% of relative underperformance as the Fund outperformed the benchmark by 11.5%. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Materials 82.45% Industrials 17.55 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Platform Specialty Products Corp. 3.68% Westlake Chemical Corp. 3.54 Cabot Corp. 3.39 Domtar Corp. 3.38 Owens Corning 3.34 Owens-Illinois, Inc. 3.33 Reliance Steel & Aluminum Co. 3.31 Berry Global Group, Inc. 3.27 Packaging Corp. of America 3.27 Alcoa Corp. 2.97 ------- Total 33.48% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) 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 JULY 31, 2007 - JULY 31, 2017 First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Materials Index Index Materials Index 7/31/07 $10,000 $10,000 $10,000 $10,000 1/31/08 10,223 10,255 9,573 10,316 7/31/08 10,944 11,013 8,938 10,433 1/31/09 5,210 5,269 5,837 5,418 7/31/09 7,748 7,868 7,135 7,533 1/31/10 9,187 9,370 7,868 7,925 7/31/10 10,283 10,508 8,170 8,488 1/31/11 12,629 12,955 9,703 10,591 7/31/11 12,662 13,045 9,860 10,619 1/31/12 12,510 12,956 10,086 10,632 7/31/12 12,057 12,535 10,645 10,066 1/31/13 14,647 15,295 11,804 11,419 7/31/13 15,119 15,846 13,436 11,952 1/31/14 16,956 17,841 14,428 13,178 7/31/14 17,800 18,792 15,729 14,714 1/31/15 16,524 17,491 16,413 14,483 7/31/15 17,023 18,086 17,497 14,091 1/31/16 14,574 15,529 16,116 12,096 7/31/16 19,317 20,661 18,343 15,274 1/31/17 21,369 22,929 19,470 16,513 7/31/17 22,025 23,716 21,269 17,501
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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 162 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/12 - 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 8/1/16 - 7/31/17 90 0 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL." The Technology Index is a modified equal-dollar weighted index designed by 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) selection 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 30.72% 17.28% 8.57% 8.61% 121.89% 127.49% 132.83% Market Price 30.71% 17.30% 8.58% 8.61% 122.04% 127.76% 132.88% INDEX PERFORMANCE StrataQuant(R) Technology Index 31.06% 18.01% 9.39% 9.43% 128.92% 145.34% 151.52% Russell 1000(R) Index 15.95% 14.85% 7.84% 7.31% 99.80% 112.68% 105.75% S&P 500(R) Information Technology Index 29.48% 17.94% 11.22% 11.13% 128.24% 189.71% 194.33% Russell 1000(R) Technology Index(1) 29.32% 17.29% N/A N/A 122.00% N/A N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXL's one-year NAV return of 30.72% outperformed the benchmark S&P 500(R) Information Technology Index's return of 29.48% by 1.24%. The Fund's holdings within the Semiconductors & Semiconductor Equipment industry were by far the top contributors at 12.1%, resulting from their 25.1% allocation and 50.9% return. Within this industry, NVIDIA Corp. stood out amongst the individual securities in the Fund with a 189.7% return and contributing 3.0% to the Fund's return. The Fund's holdings amongst the Internet & Direct Marketing Retail industry (represented solely by Groupon, Inc.) were the worst contributors over the period at -0.9%, stemming from their 0.6% allocation and -30.3% return. On a relative basis, the Fund outperformed the benchmark. The primary cause of the relative outperformance is due to the Fund's 18.4% higher return and 10% greater allocation to the Semiconductors & Semiconductor Equipment industry. A combined 3.5% of relative outperformance was reversed due to the Fund under allocating the benchmark amongst the Technology Hardware, Storage & Peripherals industry, which was the top performing industry for the benchmark at 44.9%. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 98.72% Industrials 1.28 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Coherent, Inc. 2.52% Lam Research Corp. 2.42 NVIDIA Corp. 2.41 Take-Two Interactive Software, Inc. 2.32 Activision Blizzard, Inc. 2.30 Hewlett Packard Enterprise Co. 2.26 IPG Photonics Corp. 2.25 Intel Corp. 2.25 ServiceNow, Inc. 2.23 CDW Corp. 2.17 ------- Total 23.13% ======= ----------------------------- (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 JULY 31, 2007 - JULY 31, 2017 First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information AlphaDEX(R) Fund Technology Index Index Technology Index 7/31/07 $10,000 $10,000 $10,000 $10,000 1/31/08 8,823 8,855 9,573 9,351 7/31/08 8,613 8,676 8,938 9,173 1/31/09 5,086 5,165 5,837 6,005 7/31/09 7,070 7,215 7,135 8,283 1/31/10 8,056 8,250 7,868 8,998 7/31/10 8,852 9,101 8,170 9,419 1/31/11 11,596 11,971 9,703 11,285 7/31/11 10,658 11,050 9,860 11,228 1/31/12 10,794 11,240 10,086 11,934 7/31/12 10,252 10,716 10,645 12,693 1/31/13 11,224 11,780 11,804 12,905 7/31/13 12,768 13,453 13,436 14,106 1/31/14 14,702 15,553 14,428 15,940 7/31/14 15,653 16,616 15,729 18,073 1/31/15 16,528 17,600 16,413 18,884 7/31/15 17,331 18,515 17,497 20,382 1/31/16 15,047 16,129 16,116 19,799 7/31/16 17,403 18,717 18,343 22,375 1/31/17 19,801 21,287 19,470 24,731 7/31/17 22,750 24,532 21,269 28,969
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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 168 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% 8/1/12 - 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 8/1/16 - 7/31/17 84 0 0 0 Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXU." The Utilities Index is a modified equal-dollar weighted index designed by 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) selection 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 TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 3.57% 11.99% 7.50% 6.44% 76.12% 106.18% 89.38% Market Price 3.60% 11.99% 7.50% 6.44% 76.12% 106.15% 89.35% INDEX PERFORMANCE StrataQuant(R) Utilities Index 4.26% 12.92% 8.41% 7.34% 83.57% 124.24% 106.42% Russell 1000(R) Index 15.95% 14.85% 7.84% 7.31% 99.80% 112.68% 105.75% S&P 500(R) Utilities Index 5.70% 11.15% 7.64% 6.40% 69.63% 108.77% 88.59% Russell 1000(R) Utilities Index(1) 0.89% 9.32% N/A N/A 56.11% N/A N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXU's one-year NAV return of 3.57% underperformed the benchmark S&P 500(R) Utilities Index's return of 5.70% by 2.13%. The Fund's holdings amongst the Diversified Telecommunication Services industry were the worst contributors over the period at -5.0%, stemming from their 18.4% allocation and -24.5% return. Frontier Communications Corp. stood out within the Diversified Telecommunication Services industry as the Fund's worst performing security with a -76.1% return. The Fund's holdings within the Electric Utilities industry were the top contributors at 3.7%, resulting from their high 43.6% allocation and 7.6% return. Within the Electric Utilities industry, Avangrid, Inc. and NextEra Energy, Inc. were the Fund's top performing securities with 21.5% and 17.6% returns, respectively. On a relative basis, the Fund underperformed the benchmark. The Diversified Telecommunication Services was the only industry to cause the relative underperformance as the Fund was 18.4% overweight in the -24.5% returning industry. The benchmark did not have any allocation to the industry. The Wireless Telecommunication Services industry reversed 2.3% of relative underperformance as the benchmark did not have any allocation to this 22.3% returning industry. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Utilities 83.38% Telecommunication Services 16.62 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Exelon Corp. 4.97% AT&T, Inc. 4.83 Avangrid, Inc. 4.81 Telephone & Data Systems, Inc. 4.79 PG&E Corp. 4.77 CenturyLink, Inc. 4.56 SCANA Corp. 4.49 Calpine Corp. 3.98 Ameren Corp. 3.84 Consolidated Edison, Inc. 3.84 ------- Total 44.88% ======= ----------------------------- (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 JULY 31, 2007 - JULY 31, 2017 First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Utilities Index Index Utilities Index 7/31/07 $10,000 $10,000 $10,000 $10,000 1/31/08 9,569 9,621 9,573 10,613 7/31/08 9,261 9,344 8,938 10,398 1/31/09 7,251 7,343 5,837 8,039 7/31/09 8,101 8,249 7,135 8,261 1/31/10 8,745 8,940 7,868 8,608 7/31/10 9,380 9,629 8,170 9,044 1/31/11 10,449 10,768 9,703 9,660 7/31/11 10,977 11,359 9,860 10,318 1/31/12 10,896 11,320 10,086 11,036 7/31/12 11,707 12,217 10,645 12,309 1/31/13 12,190 12,765 11,804 12,165 7/31/13 13,570 14,335 13,436 13,295 1/31/14 13,955 14,806 14,428 13,527 7/31/14 15,345 16,345 15,729 14,526 1/31/15 17,317 18,503 16,413 17,339 7/31/15 16,229 17,398 17,497 16,044 1/31/16 16,398 17,645 16,116 16,910 7/31/16 19,906 21,508 18,343 19,751 1/31/17 20,053 21,742 19,470 18,975 7/31/17 20,616 22,425 21,269 20,878
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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 119 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% 8/1/12 - 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 8/1/16 - 7/31/17 133 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, 2017 (UNAUDITED) As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2017. 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, 2017 JULY 31, 2017 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) Actual $1,000.00 $1,050.60 0.63% $3.20 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) Actual $1,000.00 $1,032.90 0.62% $3.13 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) Actual $1,000.00 $ 857.60 0.64% $2.95 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) Actual $1,000.00 $1,087.00 0.64% $3.31 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) Actual $1,000.00 $1,124.10 0.63% $3.32 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16
Page 23 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2017 (UNAUDITED)
----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2017 JULY 31, 2017 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) Actual $1,000.00 $1,050.70 0.63% $3.20 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) Actual $1,000.00 $1,030.70 0.65% $3.27 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) Actual $1,000.00 $1,148.90 0.63% $3.36 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) Actual $1,000.00 $1,028.10 0.62% $3.12 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
(a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2017 through July 31, 2017), multiplied by 181/365 (to reflect the one-half year period). Page 24 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AUTO COMPONENTS -- 7.2% 83,447 BorgWarner, Inc. $ 3,900,313 67,215 Delphi Automotive PLC 6,077,580 238,098 Gentex Corp. 4,052,428 168,517 Goodyear Tire & Rubber (The) Co. 5,309,971 41,465 Lear Corp. 6,144,698 34,635 Visteon Corp. (a) 3,863,188 --------------- 29,348,178 --------------- AUTOMOBILES -- 5.8% 403,639 Ford Motor Co. 4,528,830 168,662 General Motors Co. 6,068,459 41,806 Harley-Davidson, Inc. 2,034,698 16,292 Tesla, Inc. (a) 5,269,973 56,366 Thor Industries, Inc. 5,938,158 --------------- 23,840,118 --------------- BUILDING PRODUCTS -- 0.6% 34,616 Fortune Brands Home & Security, Inc. 2,273,233 --------------- DISTRIBUTORS -- 1.4% 12,173 Genuine Parts Co. 1,033,853 107,278 LKQ Corp. (a) 3,707,528 9,604 Pool Corp. 1,038,384 --------------- 5,779,765 --------------- DIVERSIFIED CONSUMER SERVICES -- 2.6% 14,625 Bright Horizons Family Solutions, Inc. (a) 1,155,521 5,895 Graham Holdings Co., Class B 3,492,198 114,359 H&R Block, Inc. 3,487,950 67,515 Service Corp. International 2,344,796 --------------- 10,480,465 --------------- FOOD & STAPLES RETAILING -- 0.9% 46,707 Wal-Mart Stores, Inc. 3,736,093 --------------- HOTELS, RESTAURANTS & LEISURE -- 14.6% 86,257 Aramark 3,438,204 68,884 Carnival Corp. 4,600,074 39,085 Darden Restaurants, Inc. 3,278,450 21,353 Domino's Pizza, Inc. 3,982,334 116,651 Extended Stay America, Inc. 2,306,190 40,177 Hyatt Hotels Corp., Class A (a) 2,232,636 246,815 International Game Technology PLC 4,699,358 35,348 Las Vegas Sands Corp. 2,177,790 45,028 Marriott International, Inc., Class A 4,691,467 7,372 McDonald's Corp. 1,143,692 112,970 MGM Resorts International 3,720,102 41,598 Norwegian Cruise Line Holdings Ltd. (a) 2,290,802 41,350 Royal Caribbean Cruises Ltd. 4,675,445 17,428 Vail Resorts, Inc. 3,673,125 145,607 Wendy's (The) Co. 2,248,172 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 44,983 Wyndham Worldwide Corp. $ 4,694,876 43,926 Wynn Resorts Ltd. 5,681,389 --------------- 59,534,106 --------------- HOUSEHOLD DURABLES -- 11.3% 166,658 CalAtlantic Group, Inc. 5,849,696 130,654 D.R. Horton, Inc. 4,663,041 88,511 Garmin Ltd. 4,442,367 21,496 Leggett & Platt, Inc. 1,035,677 42,355 Lennar Corp., Class A 2,221,096 14,625 Mohawk Industries, Inc. (a) 3,641,479 21,059 Newell Brands, Inc. 1,110,230 2,444 NVR, Inc. (a) 6,379,915 184,130 PulteGroup, Inc. 4,496,455 149,111 Toll Brothers, Inc. 5,754,194 50,332 Tupperware Brands Corp. 3,055,656 18,447 Whirlpool Corp. 3,281,352 --------------- 45,931,158 --------------- INTERNET & DIRECT MARKETING RETAIL -- 7.9% 4,666 Amazon.com, Inc. (a) 4,608,981 39,553 Expedia, Inc. 6,188,858 144,043 Liberty Interactive Corp. QVC Group, Class A (a) 3,448,389 112,667 Liberty Ventures, Series A (a) 6,825,367 15,115 Netflix, Inc. (a) 2,745,791 1,207 Priceline Group (The), Inc. (a) 2,448,400 76,631 Wayfair, Inc., Class A (a) (b) 5,850,777 --------------- 32,116,563 --------------- INTERNET SOFTWARE & SERVICES -- 1.5% 168,710 eBay, Inc. (a) 6,028,008 --------------- LEISURE PRODUCTS -- 2.4% 56,350 Brunswick Corp. 3,189,974 40,505 Hasbro, Inc. 4,288,669 52,447 Mattel, Inc. 1,049,989 12,243 Polaris Industries, Inc. (b) 1,097,707 --------------- 9,626,339 --------------- MACHINERY -- 0.9% 27,722 WABCO Holdings, Inc. (a) 3,813,716 --------------- MEDIA -- 12.9% 1,588 Cable One, Inc. 1,206,721 13,409 Charter Communications, Inc., Class A (a) 5,255,121 90,986 Cinemark Holdings, Inc. 3,539,356 58,026 Comcast Corp., Class A 2,347,152 174,863 Discovery Communications, Inc., Class A (a) 4,301,630 45,902 Interpublic Group of Cos. (The), Inc. 991,942 21,406 John Wiley & Sons, Inc., Class A 1,182,682 52,066 Liberty Broadband Corp., Class C (a) 5,163,906 169,049 Live Nation Entertainment, Inc. (a) 6,300,456 See Notes to Financial Statements Page 25 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 55,190 Regal Entertainment Group, Class A $ 1,049,714 51,747 Scripps Networks Interactive, Inc., Class A 4,523,205 412,863 Sirius XM Holdings, Inc. (b) 2,419,377 408,839 TEGNA, Inc. 6,063,082 11,246 Time Warner, Inc. 1,151,815 39,844 Twenty-First Century Fox, Inc., Class A 1,159,461 105,297 Viacom, Inc., Class B 3,676,971 21,255 Walt Disney (The) Co. 2,336,562 --------------- 52,669,153 --------------- MULTILINE RETAIL -- 5.6% 49,034 Dollar General Corp. 3,685,395 32,299 Dollar Tree, Inc. (a) 2,328,112 152,350 Kohl's Corp. 6,299,673 194,351 Macy's, Inc. 4,615,836 23,608 Nordstrom, Inc. (b) 1,146,641 86,378 Target Corp. 4,895,041 --------------- 22,970,698 --------------- PERSONAL PRODUCTS -- 0.3% 11,765 Estee Lauder (The) Cos., Inc., Class A 1,164,617 --------------- ROAD & RAIL -- 0.9% 9,656 AMERCO 3,751,935 --------------- SPECIALTY RETAIL -- 18.8% 19,370 Advance Auto Parts, Inc. 2,169,634 107,133 AutoNation, Inc. (a) (b) 4,540,297 1,979 AutoZone, Inc. (a) 1,068,304 193,795 Bed Bath & Beyond, Inc. 5,794,471 61,658 Best Buy Co., Inc. 3,597,128 12,275 Burlington Stores, Inc. (a) 1,068,293 19,003 Cabela's, Inc. (a) 1,082,791 35,813 CarMax, Inc. (a) 2,372,611 113,400 Dick's Sporting Goods, Inc. 4,234,356 119,549 Foot Locker, Inc. 5,641,517 272,622 GameStop Corp., Class A 5,913,171 205,399 Gap (The), Inc. 4,894,658 14,722 Home Depot (The), Inc. 2,202,411 41,907 L Brands, Inc. 1,944,066 121,942 Michaels (The) Cos., Inc. (a) 2,455,912 30,473 Murphy USA, Inc. (a) 2,307,720 102,863 Penske Automotive Group, Inc. 4,478,655 111,524 Sally Beauty Holdings, Inc. (a) 2,256,131 93,159 Signet Jewelers Ltd. (b) 5,697,604 12,029 Tiffany & Co. 1,148,890 3,930 Ulta Beauty, Inc. (a) 987,255 317,765 Urban Outfitters, Inc. (a) 6,225,016 93,128 Williams-Sonoma, Inc. 4,323,933 --------------- 76,404,824 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 4.3% 47,705 Coach, Inc. 2,248,814 48,756 Hanesbrands, Inc. 1,117,487 162,521 Michael Kors Holdings Ltd. (a) 5,922,265 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 19,139 NIKE, Inc., Class B $ 1,130,158 19,724 PVH Corp. 2,352,876 119,824 Skechers U.S.A., Inc., Class A (a) 3,365,856 19,604 VF Corp. 1,219,173 --------------- 17,356,629 --------------- TOTAL COMMON STOCKS -- 99.9% 406,825,598 (Cost $397,388,042) --------------- MONEY MARKET FUNDS -- 0.9% 3,009,794 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 3,009,794 459,620 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (c) 459,620 --------------- TOTAL MONEY MARKET FUNDS -- 0.9% 3,469,414 (Cost $3,469,414) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.6% $ 2,419,746 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $2,419,809. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $2,470,581. (d) 2,419,746 8,332,530 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $8,332,766. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $8,539,702. (d) 8,332,530 --------------- TOTAL REPURCHASE AGREEMENTS -- 2.6% 10,752,276 (Cost $10,752,276) --------------- TOTAL INVESTMENTS -- 103.4% 421,047,288 (Cost $411,609,732) (e) NET OTHER ASSETS AND LIABILITIES -- (3.4)% (13,850,660) --------------- NET ASSETS -- 100.0% $ 407,196,628 =============== Page 26 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (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 $13,418,274 and the total value of the collateral held by the Fund is $13,775,163. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $413,648,298. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $36,328,100 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $28,929,110. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 406,825,598 $ -- $ -- Money Market Funds 3,469,414 -- -- Repurchase Agreements -- 10,752,276 -- -------------------------------------------- Total Investments $ 410,295,012 $ 10,752,276 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. ----------------------------- 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) $ 13,418,274 Non-cash Collateral(2) (13,418,274) --------------- 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, 2017, 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) $ 10,752,276 Non-cash Collateral(4) (10,752,276) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BEVERAGES -- 10.8% 79,339 Brown-Forman Corp., Class B $ 3,919,347 79,615 Constellation Brands, Inc., Class A 15,393,560 255,200 Molson Coors Brewing Co., Class B 22,707,696 77,615 Monster Beverage Corp. (a) 4,094,191 33,389 PepsiCo, Inc. 3,893,491 --------------- 50,008,285 --------------- FOOD & STAPLES RETAILING -- 27.4% 143,998 Casey's General Stores, Inc. (b) 15,371,787 191,694 CVS Health Corp. 15,322,101 661,394 Kroger (The) Co. 16,217,381 2,614,183 Rite Aid Corp. (a) 5,855,770 583,164 Sprouts Farmers Market, Inc. (a) 14,036,757 153,225 Sysco Corp. 8,062,700 566,632 US Foods Holding Corp. (a) 15,950,691 168,820 Walgreens Boots Alliance, Inc. 13,618,709 523,245 Whole Foods Market, Inc. 21,850,711 --------------- 126,286,607 --------------- FOOD PRODUCTS -- 40.8% 532,475 Archer-Daniels-Midland Co. 22,459,795 295,361 Bunge Ltd. 23,153,349 891,027 Flowers Foods, Inc. 15,673,165 139,201 General Mills, Inc. 7,747,928 387,580 Hormel Foods Corp. 13,243,608 129,381 Ingredion, Inc. 15,955,265 111,724 J.M. Smucker (The) Co. 13,619,156 90,050 Kraft Heinz (The) Co. 7,875,773 1,005,193 Pilgrim's Pride Corp. (a) 24,416,138 99,316 Post Holdings, Inc. (a) 8,263,091 161,835 TreeHouse Foods, Inc. (a) 13,728,463 351,809 Tyson Foods, Inc., Class A 22,290,618 --------------- 188,426,349 --------------- HOUSEHOLD PRODUCTS -- 7.9% 74,325 Church & Dwight Co., Inc. 3,965,239 28,939 Clorox (The) Co. 3,863,067 52,016 Colgate-Palmolive Co. 3,755,555 80,297 Energizer Holdings, Inc. 3,699,283 59,732 Kimberly-Clark Corp. 7,356,593 151,696 Procter & Gamble (The) Co. 13,777,031 --------------- 36,416,768 --------------- PERSONAL PRODUCTS -- 10.7% 173,905 Edgewell Personal Care Co. (a) 12,555,941 216,228 Herbalife Ltd. (a) (b) 14,381,324 350,633 Nu Skin Enterprises, Inc., Class A 22,216,107 --------------- 49,153,372 --------------- TOBACCO -- 2.4% 51,778 Altria Group, Inc. 3,364,017 65,662 Philip Morris International, Inc. 7,663,412 --------------- 11,027,429 --------------- TOTAL COMMON STOCKS -- 100.0% 461,318,810 (Cost $473,915,804) --------------- 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 $5,910) --------------- MONEY MARKET FUNDS -- 1.2% 5,519,582 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (d) (e) 5,519,582 100,010 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (d) 100,010 --------------- TOTAL MONEY MARKET FUNDS -- 1.2% 5,619,592 (Cost $5,619,592) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 4.3% $ 4,437,507 JPMorgan Chase & Co., 0.94% (d), dated 07/31/17, due 08/01/17, with a maturity value of $4,437,623. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $4,530,734. (e) 4,437,507 15,280,807 RBC Capital Markets LLC, 1.02% (d), dated 07/31/17, due 08/01/17, with a maturity value of $15,281,240. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $15,660,734. (e) 15,280,807 --------------- TOTAL REPURCHASE AGREEMENTS -- 4.3% 19,718,314 (Cost $19,718,314) --------------- TOTAL INVESTMENTS -- 105.5% 486,662,875 (Cost $499,259,620) (f) NET OTHER ASSETS AND LIABILITIES -- (5.5)% (25,287,064) --------------- NET ASSETS -- 100.0% $ 461,375,811 =============== Page 28 See Notes to Financial Statements FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (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 $24,704,100 and the total value of the collateral held by the Fund is $25,261,908. (c) This security 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, 2017, securities noted as such are valued at $6,159 or 0.0% of net assets. (d) Interest rate shown reflects yield as of July 31, 2017. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for federal income tax purposes is $502,145,504. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $10,424,961 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $25,907,590. CVR - Contingent Value Rights ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 461,318,810 $ -- $ -- Rights* -- 6,159 -- Money Market Funds 5,619,592 -- -- Repurchase Agreements -- 19,718,314 -- -------------------------------------------- Total Investments $ 466,938,402 $ 19,724,473 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C -- Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 24,704,100 Non-cash Collateral(2) (24,704,100) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 19,718,314 Non-cash Collateral(4) (19,718,314) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% ENERGY EQUIPMENT & SERVICES -- 13.9% 99,823 Helmerich & Payne, Inc. (a) $ 5,053,040 199,925 Nabors Industries Ltd. 1,541,422 49,417 National Oilwell Varco, Inc. 1,616,430 316,674 Oceaneering International, Inc. 8,122,688 268,692 Patterson-UTI Energy, Inc. 5,196,503 178,956 RPC, Inc. (a) 3,706,179 1,098,580 Transocean Ltd. (b) 9,502,717 --------------- 34,738,979 --------------- OIL, GAS & CONSUMABLE FUELS -- 85.2% 119,642 Anadarko Petroleum Corp. 5,464,050 96,585 Andeavor 9,613,105 251,026 Antero Resources Corp. (b) 5,176,156 75,446 Apache Corp. 3,733,068 144,203 Cabot Oil & Gas Corp. 3,586,329 148,488 Cheniere Energy, Inc. (b) 6,711,658 86,674 Chevron Corp. 9,463,934 44,646 Concho Resources, Inc. (b) 5,815,588 164,532 ConocoPhillips 7,464,817 108,945 CONSOL Energy, Inc. (b) 1,825,918 167,787 Continental Resources, Inc. (b) 5,609,120 169,681 Devon Energy Corp. 5,652,074 18,331 Diamondback Energy, Inc. (b) 1,757,576 146,519 Energen Corp. (b) 7,806,532 61,730 EQT Corp. 3,932,201 89,608 Exxon Mobil Corp. 7,172,224 59,254 HollyFrontier Corp. 1,708,885 283,124 Kinder Morgan, Inc. 5,784,223 457,797 Marathon Oil Corp. 5,598,857 138,211 Marathon Petroleum Corp. 7,738,434 352,777 Murphy Oil Corp. 9,376,813 255,593 Noble Energy, Inc. 7,389,194 60,403 Occidental Petroleum Corp. 3,740,758 69,334 ONEOK, Inc. 3,922,224 58,637 Parsley Energy, Inc., Class A (b) 1,716,891 406,164 PBF Energy, Inc., Class A (a) 9,248,354 87,462 Phillips 66 7,324,943 895,171 QEP Resources, Inc. (b) 7,671,616 156,076 Range Resources Corp. 3,294,764 339,523 Rice Energy, Inc. (b) 9,496,458 112,073 RSP Permian, Inc. (b) 3,850,828 546,953 SM Energy Co. 9,511,513 35,995 Targa Resources Corp. 1,670,528 134,031 Valero Energy Corp. 9,244,118 295,368 Whiting Petroleum Corp. (b) 1,550,682 119,443 Williams (The) Cos., Inc. 3,795,899 188,129 World Fuel Services Corp. 6,084,092 168,459 WPX Energy, Inc. (b) 1,815,988 --------------- 212,320,412 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.8% 40,803 First Solar, Inc. (b) 2,011,996 --------------- TOTAL COMMON STOCKS -- 99.9% 249,071,387 (Cost $279,004,111) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 1.4% 3,010,915 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) $ 3,010,915 345,641 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (c) 345,641 --------------- TOTAL MONEY MARKET FUNDS -- 1.4% 3,356,556 (Cost $3,356,556) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 4.3% $ 2,420,646 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $2,420,709. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $2,471,501. (d) 2,420,646 8,335,632 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $8,335,868. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $8,542,881. (d) 8,335,632 --------------- TOTAL REPURCHASE AGREEMENTS -- 4.3% 10,756,278 (Cost $10,756,278) --------------- TOTAL INVESTMENTS -- 105.6% 263,184,221 (Cost $293,116,945) (e) NET OTHER ASSETS AND LIABILITIES -- (5.6)% (13,888,416) --------------- NET ASSETS -- 100.0% $ 249,295,805 =============== (a) All or a portion of this security is on loan (see Note 2D -- Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $13,624,817 and the total value of the collateral held by the Fund is $13,780,291. (b) Non-income producing security. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $294,331,295. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $6,270,937 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $37,418,011. Page 30 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 249,071,387 $ -- $ -- Money Market Funds 3,356,556 -- -- Repurchase Agreements -- 10,756,278 -- -------------------------------------------- Total Investments $ 252,427,943 $ 10,756,278 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. ----------------------------- 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) $ 13,624,817 Non-cash Collateral(2) (13,624,817) --------------- 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, 2017, 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) $ 10,756,278 Non-cash Collateral(4) (10,756,278) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% BANKS -- 13.2% 156,474 Associated Banc-Corp. $ 3,747,552 325,074 Bank of America Corp. 7,840,785 42,065 Bank of the Ozarks 1,815,105 175,459 BankUnited, Inc. 6,039,299 130,251 BB&T Corp. 6,163,477 23,435 BOK Financial Corp. 1,993,615 117,917 Citigroup, Inc. 8,071,419 110,514 Citizens Financial Group, Inc. 3,876,831 26,919 Comerica, Inc. 1,946,513 20,994 Cullen/Frost Bankers, Inc. 1,905,835 134,625 East West Bancorp, Inc. 7,670,932 139,235 F.N.B. Corp. 1,907,520 227,840 Fifth Third Bancorp 6,083,328 113,179 First Horizon National Corp. 1,972,710 59,088 First Republic Bank 5,928,299 437,479 Huntington Bancshares, Inc. 5,796,597 64,712 JPMorgan Chase & Co. 5,940,562 105,207 KeyCorp 1,897,934 12,174 M&T Bank Corp. 1,986,188 126,653 PacWest Bancorp 6,081,877 223,281 People's United Financial, Inc. 3,894,021 31,394 Pinnacle Financial Partners, Inc. 2,006,077 47,367 PNC Financial Services Group (The), Inc. 6,100,870 94,537 Popular, Inc. 3,983,789 61,382 Prosperity Bancshares, Inc. 3,934,586 269,341 Regions Financial Corp. 3,932,379 13,736 Signature Bank (a) 1,903,535 69,520 SunTrust Banks, Inc. 3,982,801 11,216 SVB Financial Group (a) 2,001,383 635,615 TCF Financial Corp. 10,017,292 75,946 U.S. Bancorp 4,008,430 106,744 Wells Fargo & Co. 5,757,771 80,145 Western Alliance Bancorp (a) 4,037,705 89,801 Zions Bancorporation 4,069,781 --------------- 148,296,798 --------------- CAPITAL MARKETS -- 16.6% 35,661 Affiliated Managers Group, Inc. 6,626,884 30,978 Ameriprise Financial, Inc. 4,488,093 115,930 Bank of New York Mellon (The) Corp. 6,147,768 801,558 BGC Partners, Inc., Class A 10,107,646 86,283 CBOE Holdings, Inc. 8,156,332 137,680 Charles Schwab (The) Corp. 5,906,472 51,843 E*TRADE Financial Corp. (a) 2,125,563 83,330 Eaton Vance Corp. 4,090,670 279,161 Federated Investors, Inc., Class B 8,048,212 226,204 Franklin Resources, Inc. 10,129,415 35,540 Goldman Sachs Group (The), Inc. 8,008,228 89,726 Intercontinental Exchange, Inc. 5,985,621 168,080 Invesco Ltd. 5,844,142 127,665 Lazard Ltd., Class A 5,963,232 265,506 Legg Mason, Inc. 10,622,895 185,735 LPL Financial Holdings, Inc. 8,499,234 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 39,216 MarketAxess Holdings, Inc. $ 7,956,534 64,812 Moody's Corp. 8,531,203 176,982 Morgan Stanley 8,300,456 57,430 MSCI, Inc. 6,256,998 126,299 Raymond James Financial, Inc. 10,506,814 54,019 S&P Global, Inc. 8,296,778 36,660 SEI Investments Co. 2,071,657 87,889 State Street Corp. 8,193,891 136,527 T. Rowe Price Group, Inc. 11,293,513 91,723 TD Ameritrade Holding Corp. 4,194,493 --------------- 186,352,744 --------------- CONSUMER FINANCE -- 6.9% 484,770 Ally Financial, Inc. 10,975,193 46,809 American Express Co. 3,989,531 95,453 Capital One Financial Corp. 8,226,140 39,402 Credit Acceptance Corp. (a) (b) 9,815,038 126,809 Discover Financial Services 7,727,740 473,651 Navient Corp. 6,986,352 412,025 OneMain Holdings, Inc. (a) 11,017,549 794,021 Santander Consumer USA Holdings, Inc. (a) 10,171,409 264,463 Synchrony Financial 8,018,518 --------------- 76,927,470 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.8% 46,562 Berkshire Hathaway, Inc., Class B (a) 8,146,953 387,298 Leucadia National Corp. 10,081,367 53,445 Voya Financial, Inc. 2,097,182 --------------- 20,325,502 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 16.2% 44,700 American Tower Corp. 6,093,951 91,765 Apartment Investment & Management Co., Class A 4,179,896 105,376 Apple Hospitality REIT, Inc. 1,945,241 10,259 AvalonBay Communities, Inc. 1,973,319 220,534 Brixmor Property Group, Inc. 4,320,261 46,113 Camden Property Trust 4,136,336 264,286 Columbia Property Trust, Inc. 5,748,220 367,357 CoreCivic, Inc. 10,175,789 76,174 CoreSite Realty Corp. 8,270,973 19,680 Crown Castle International Corp. 1,979,414 70,729 CyrusOne, Inc. 4,223,229 17,456 Digital Realty Trust, Inc. 2,013,375 51,598 Douglas Emmett, Inc. 1,974,139 128,945 DuPont Fabros Technology, Inc. 8,037,142 54,865 EPR Properties 3,971,129 13,782 Equinix, Inc. 6,211,961 187,175 Equity Commonwealth (a) 5,910,986 45,670 Equity LifeStyle Properties, Inc. 3,986,991 29,949 Equity Residential 2,038,329 157,014 Gaming and Leisure Properties, Inc. 5,957,111 167,366 GGP, Inc. 3,784,145 67,635 Hospitality Properties Trust 1,965,473 Page 32 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 323,739 Host Hotels & Resorts, Inc. $ 6,040,970 57,380 Iron Mountain, Inc. 2,090,353 107,443 Kimco Realty Corp. 2,168,200 53,597 Lamar Advertising Co., Class A 3,782,340 145,289 Liberty Property Trust 6,105,044 459,574 Medical Properties Trust, Inc. 5,965,271 50,424 National Retail Properties, Inc. 2,015,952 238,834 Omega Healthcare Investors, Inc. (b) 7,544,766 170,551 Outfront Media, Inc. 3,900,501 93,528 Piedmont Office Realty Trust, Inc., Class A 1,965,023 33,622 Prologis, Inc. 2,044,554 352,162 Rayonier, Inc. 10,237,349 161,472 Retail Properties of America, Inc., Class A 2,136,275 29,230 SBA Communications Corp. (a) 4,020,586 266,070 Spirit Realty Capital, Inc. 2,109,935 87,820 STORE Capital Corp. 2,054,110 227,665 Tanger Factory Outlet Centers, Inc. 6,017,186 51,961 Vornado Realty Trust 4,123,105 65,501 Weingarten Realty Investors 2,126,162 52,681 Welltower, Inc. 3,866,259 29,868 WP Carey, Inc. 2,046,257 --------------- 181,257,608 --------------- INSURANCE -- 24.2% 76,142 Aflac, Inc. 6,072,324 9,944 Alleghany Corp. (a) 6,099,053 114,560 Allstate (The) Corp. 10,424,960 59,522 American Financial Group, Inc. 6,035,531 94,605 American International Group, Inc. 6,191,897 44,489 Aon PLC 6,147,045 63,401 Arch Capital Group Ltd. (a) 6,166,381 68,876 Arthur J. Gallagher & Co. 4,049,220 158,201 Aspen Insurance Holdings Ltd. 7,720,209 76,056 Assurant, Inc. 8,006,415 242,733 Assured Guaranty Ltd. 10,925,412 121,966 Axis Capital Holdings Ltd. 7,876,564 45,776 Brown & Brown, Inc. 2,041,610 40,684 Chubb Ltd. 5,958,579 54,426 Cincinnati Financial Corp. 4,145,084 161,770 CNA Financial Corp. 8,403,951 39,796 Everest Re Group, Ltd. 10,442,072 449 Fairfax Financial Holdings Ltd. 213,837 226,711 First American Financial Corp. 10,975,080 226,002 FNF Group 11,042,458 22,245 Hanover Insurance Group (The), Inc. 2,110,161 75,007 Hartford Financial Services Group (The), Inc. 4,125,385 87,522 Lincoln National Corp. 6,394,357 84,237 Loews Corp. 4,100,657 50,579 Marsh & McLennan Cos., Inc. 3,943,645 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 518,776 Old Republic International Corp. $ 10,178,385 61,544 Principal Financial Group, Inc. 4,108,062 97,282 ProAssurance Corp. 6,012,028 229,796 Progressive (The) Corp. 10,830,285 72,927 Prudential Financial, Inc. 8,257,524 61,425 Reinsurance Group of America, Inc. 8,611,785 72,864 RenaissanceRe Holdings Ltd. 10,704,450 51,544 Torchmark Corp. 4,070,430 80,073 Travelers (The) Cos., Inc. 10,256,551 169,125 Unum Group 8,478,236 151,747 Validus Holdings Ltd. 8,162,471 114,014 W. R. Berkley Corp. 7,863,546 27,108 Willis Towers Watson PLC 4,035,839 231,317 XL Group Ltd. 10,270,475 --------------- 271,451,954 --------------- INTERNET SOFTWARE & SERVICES -- 0.8% 206,727 Zillow Group, Inc., Class C (a) 9,335,791 --------------- IT SERVICES -- 10.3% 30,723 Alliance Data Systems Corp. 7,417,454 104,371 Broadridge Financial Solutions, Inc. 7,917,584 181,796 CoreLogic, Inc. (a) 8,280,808 90,263 Euronet Worldwide, Inc. (a) 8,720,308 92,345 Fidelity National Information Services, Inc. 8,423,711 556,687 First Data Corp., Class A (a) 10,387,779 16,115 Fiserv, Inc. (a) 2,070,778 112,175 Global Payments, Inc. 10,585,955 37,962 Jack Henry & Associates, Inc. 4,074,082 48,701 Mastercard, Inc., Class A 6,223,988 188,778 PayPal Holdings, Inc. (a) 11,052,952 431,871 Square, Inc., Class A (a) 11,379,801 135,387 Total System Services, Inc. 8,591,659 31,127 Vantiv, Inc., Class A (a) 1,978,121 63,070 Visa, Inc., Class A 6,279,249 18,908 WEX, Inc. (a) 2,054,921 --------------- 115,439,150 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 5.9% 475,890 AGNC Investment Corp. 10,079,350 840,805 Annaly Capital Management, Inc. 10,114,884 543,838 Chimera Investment Corp. 10,235,031 1,207,593 MFA Financial, Inc. 10,252,465 651,138 New Residential Investment Corp. 11,069,346 176,112 Starwood Property Trust, Inc. 3,881,509 1,022,372 Two Harbors Investment Corp. 10,111,259 --------------- 65,743,844 --------------- PROFESSIONAL SERVICES -- 1.1% 14,347 Equifax, Inc. 2,086,628 233,934 TransUnion (a) 10,721,195 --------------- 12,807,823 --------------- See Notes to Financial Statements Page 33 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.4% 278,344 CBRE Group, Inc., Class A (a) $ 10,574,288 63,090 Jones Lang LaSalle, Inc. 8,026,310 243,029 Realogy Holdings Corp. 8,068,563 --------------- 26,669,161 --------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 450,474 New York Community Bancorp, Inc. 5,914,724 --------------- TOTAL COMMON STOCKS -- 99.9% 1,120,522,569 (Cost $991,049,401) --------------- MONEY MARKET FUNDS -- 0.5% 3,458,435 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 3,458,435 1,898,508 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (c) 1,898,508 --------------- TOTAL MONEY MARKET FUNDS -- 0.5% 5,356,943 (Cost $5,356,943) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.1% $ 2,780,433 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $2,780,506. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $2,838,847. (d) 2,780,433 9,574,580 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $9,574,851. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $9,812,633. (d) 9,574,580 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.1% 12,355,013 (Cost $12,355,013) --------------- DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 101.5% $ 1,138,234,525 (Cost $1,008,761,357) (e) NET OTHER ASSETS AND LIABILITIES -- (1.5)% (17,000,844) --------------- NET ASSETS -- 100.0% $ 1,121,233,681 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D -- Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $15,628,927 and the total value of the collateral held by the Fund is $15,828,494. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,018,312,292. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $132,994,640 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $13,072,407. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $1,120,522,569 $ -- $ -- Money Market Funds 5,356,943 -- -- Repurchase Agreements -- 12,355,013 -- -------------------------------------------- Total Investments $1,125,879,512 $ 12,355,013 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. Page 34 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C -- Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 15,628,927 Non-cash Collateral(2) (15,628,927) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 12,355,013 Non-cash Collateral(4) (12,355,013) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 20.9% 130,677 AbbVie, Inc. $ 9,135,629 296,993 Alnylam Pharmaceuticals, Inc. (a) 24,573,201 82,524 Amgen, Inc. 14,401,263 52,375 Biogen, Inc. (a) 15,167,276 48,903 BioMarin Pharmaceutical, Inc. (a) 4,290,260 34,198 Celgene Corp. (a) 4,630,751 961,764 Exelixis, Inc. (a) 26,073,422 334,672 Gilead Sciences, Inc. 25,465,192 75,255 Incyte Corp. (a) 10,030,739 279,397 Ionis Pharmaceuticals, Inc. (a) 14,640,403 38,585 Regeneron Pharmaceuticals, Inc. (a) 18,969,158 31,760 TESARO, Inc. (a) 4,054,482 182,596 United Therapeutics Corp. (a) 23,445,326 183,813 Vertex Pharmaceuticals, Inc. (a) 27,906,490 --------------- 222,783,592 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 24.8% 99,183 ABIOMED, Inc. (a) 14,688,010 157,797 Align Technology, Inc. (a) 26,388,392 313,026 Baxter International, Inc. 18,931,812 22,762 Becton, Dickinson and Co. 4,584,267 512,732 Boston Scientific Corp. (a) 13,648,926 59,950 C. R. Bard, Inc. 19,219,970 79,151 Cooper (The) Cos., Inc. 19,302,554 52,631 Danaher Corp. 4,288,900 68,501 DENTSPLY SIRONA, Inc. 4,249,117 120,205 Edwards Lifesciences Corp. (a) 13,845,212 297,554 Hill-Rom Holdings, Inc. 22,173,724 417,596 Hologic, Inc. (a) 18,461,919 88,049 IDEXX Laboratories, Inc. (a) 14,656,637 20,263 Intuitive Surgical, Inc. (a) 19,011,962 50,046 Medtronic PLC 4,202,363 121,681 ResMed, Inc. 9,384,039 68,275 Stryker Corp. 10,043,253 45,607 Teleflex, Inc. 9,450,683 91,824 Varian Medical Systems, Inc. (a) 8,917,947 100,244 West Pharmaceutical Services, Inc. 8,891,643 --------------- 264,341,330 --------------- HEALTH CARE PROVIDERS & SERVICES -- 33.2% 124,813 Aetna, Inc. 19,259,894 200,471 AmerisourceBergen Corp. 18,808,189 50,366 Anthem, Inc. 9,378,653 57,003 Cardinal Health, Inc. 4,404,052 296,549 Centene Corp. (a) 23,551,922 113,212 Cigna Corp. 19,649,075 365,786 DaVita, Inc. (a) 23,695,617 371,057 Express Scripts Holding Co. (a) 23,243,010 108,663 HCA Healthcare, Inc. (a) 8,729,985 77,658 Henry Schein, Inc. (a) 14,150,064 78,758 Humana, Inc. 18,208,850 61,474 Laboratory Corp. of America Holdings (a) 9,768,833 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 282,214 LifePoint Health, Inc. (a) $ 16,763,512 143,964 McKesson Corp. 23,303,453 235,429 MEDNAX, Inc. (a) 11,060,454 94,604 Patterson Cos., Inc. 3,946,879 526,405 Premier, Inc., Class A (a) 18,371,534 85,239 Quest Diagnostics, Inc. 9,232,236 127,754 UnitedHealth Group, Inc. 24,504,495 155,232 Universal Health Services, Inc., Class B 17,204,363 153,971 VCA, Inc. (a) 14,254,635 131,926 WellCare Health Plans, Inc. (a) 23,349,583 --------------- 354,839,288 --------------- HEALTH CARE TECHNOLOGY -- 4.5% 101,123 athenahealth, Inc. (a) 13,987,333 142,550 Cerner Corp. (a) 9,175,944 386,369 Veeva Systems, Inc., Class A (a) 24,634,887 --------------- 47,798,164 --------------- LIFE SCIENCES TOOLS & SERVICES -- 10.5% 239,636 Agilent Technologies, Inc. 14,327,836 37,800 Bio-Techne Corp. 4,381,398 492,819 Bruker Corp. 14,134,049 187,349 Charles River Laboratories International, Inc. (a) 18,397,672 25,595 Illumina, Inc. (a) 4,449,691 139,056 PerkinElmer, Inc. 9,154,057 282,591 QIAGEN N.V. 9,280,288 211,739 Quintiles IMS Holdings, Inc. (a) 19,172,967 81,461 Thermo Fisher Scientific, Inc. 14,298,849 134,552 VWR Corp. (a) 4,440,216 --------------- 112,037,023 --------------- PHARMACEUTICALS -- 6.1% 423,760 Akorn, Inc. (a) 14,246,811 79,712 Bristol-Myers Squibb Co. 4,535,613 33,573 Johnson & Johnson 4,455,808 528,637 Mallinckrodt PLC (a) 24,211,575 244,081 Mylan N.V. (a) 9,516,718 132,231 Pfizer, Inc. 4,384,780 71,200 Zoetis, Inc. 4,451,424 --------------- 65,802,729 --------------- TOTAL COMMON STOCKS -- 100.0% 1,067,602,126 (Cost $943,851,324) --------------- MONEY MARKET FUNDS -- 0.1% 435,652 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (b) 435,652 (Cost $435,652) --------------- TOTAL INVESTMENTS -- 100.1% 1,068,037,778 (Cost $944,286,976) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (656,128) --------------- NET ASSETS -- 100.0% $ 1,067,381,650 =============== Page 36 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2017. (c) Aggregate cost for federal income tax purposes is $947,401,674. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $145,442,718 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $24,806,614. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $1,067,602,126 $ -- $ -- Money Market Funds 435,652 -- -- -------------------------------------------- Total Investments $1,068,037,778 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. See Notes to Financial Statements Page 37 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 14.8% 108,193 Boeing (The) Co. $ 26,232,475 311,832 BWX Technologies, Inc. 16,427,310 54,000 General Dynamics Corp. 10,601,820 148,907 HEICO Corp. 11,967,655 81,660 Huntington Ingalls Industries, Inc. 16,830,943 64,025 L3 Technologies, Inc. 11,202,454 54,759 Lockheed Martin Corp. 15,996,747 41,672 Northrop Grumman Corp. 10,965,153 108,759 Orbital ATK, Inc. 11,112,995 31,379 Raytheon Co. 5,389,971 101,805 Rockwell Collins, Inc. 10,845,287 369,263 Spirit AeroSystems Holdings, Inc., Class A 22,314,563 567,812 Textron, Inc. 27,896,603 18,846 TransDigm Group, Inc. 5,317,210 87,605 United Technologies Corp. 10,387,325 --------------- 213,488,511 --------------- AIR FREIGHT & LOGISTICS -- 3.5% 123,058 FedEx Corp. 25,599,756 413,800 XPO Logistics, Inc. (a) 24,873,518 --------------- 50,473,274 --------------- AIRLINES -- 13.4% 238,359 Alaska Air Group, Inc. 20,315,338 531,476 American Airlines Group, Inc. 26,807,649 228,581 Copa Holdings S.A., Class A 28,677,772 497,654 Delta Air Lines, Inc. 24,564,201 1,171,436 JetBlue Airways Corp. (a) 25,689,592 430,381 Southwest Airlines Co. 23,890,449 517,790 Spirit Airlines, Inc. (a) 20,116,142 355,399 United Continental Holdings, Inc. (a) 24,053,404 --------------- 194,114,547 --------------- BUILDING PRODUCTS -- 2.0% 269,871 A.O. Smith Corp. 14,451,592 187,399 Allegion PLC 15,224,295 --------------- 29,675,887 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.6% 40,203 Cintas Corp. 5,421,374 159,397 Copart, Inc. (a) 5,019,411 79,510 Republic Services, Inc. 5,106,132 373,416 Rollins, Inc. 16,209,989 69,084 Waste Management, Inc. 5,191,663 --------------- 36,948,569 --------------- CONSTRUCTION & ENGINEERING -- 4.4% 661,774 AECOM (a) 21,110,591 233,673 Fluor Corp. 10,148,418 93,165 Jacobs Engineering Group, Inc. 4,911,659 812,390 Quanta Services, Inc. (a) 27,401,915 --------------- 63,572,583 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONTAINERS & PACKAGING -- 1.6% 242,108 Avery Dennison Corp. $ 22,499,096 --------------- ELECTRICAL EQUIPMENT -- 6.0% 176,614 AMETEK, Inc. 10,875,890 343,620 Eaton Corp. PLC 26,888,265 94,527 Hubbell, Inc. 11,228,862 327,945 Regal Beloit Corp. 27,334,216 31,286 Rockwell Automation, Inc. 5,163,129 118,615 Sensata Technologies Holding N.V. (a) 5,351,909 --------------- 86,842,271 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.0% 308,642 FLIR Systems, Inc. 11,518,520 390,490 Keysight Technologies, Inc. (a) 16,240,479 531,953 National Instruments Corp. 21,884,546 426,179 Trimble, Inc. (a) 15,951,880 212,846 Zebra Technologies Corp., Class A (a) 21,650,695 --------------- 87,246,120 --------------- INDUSTRIAL CONGLOMERATES -- 2.6% 112,133 Carlisle Cos., Inc. 10,943,060 38,018 Honeywell International, Inc. 5,175,010 92,407 Roper Technologies, Inc. 21,480,931 --------------- 37,599,001 --------------- INTERNET SOFTWARE & SERVICES -- 1.5% 81,164 CoStar Group, Inc. (a) 22,364,740 --------------- IT SERVICES -- 0.4% 182,079 Genpact Ltd. 5,280,291 --------------- LIFE SCIENCES TOOLS & SERVICES -- 3.2% 45,442 Mettler-Toledo International, Inc. (a) 26,041,901 116,379 Waters Corp. (a) 20,184,774 --------------- 46,226,675 --------------- MACHINERY -- 21.8% 158,739 AGCO Corp. 11,451,431 141,464 Caterpillar, Inc. 16,119,823 128,710 Colfax Corp. (a) 5,313,149 93,712 Cummins, Inc. 15,734,245 173,114 Deere & Co. 22,207,064 189,501 Dover Corp. 15,918,084 79,989 Fortive Corp. 5,178,488 195,783 Graco, Inc. 22,718,659 189,321 IDEX Corp. 22,063,469 74,676 Illinois Tool Works, Inc. 10,507,660 378,343 ITT, Inc. 15,512,063 116,163 Lincoln Electric Holdings, Inc. 10,136,383 41,767 Nordson Corp. 5,304,409 73,566 Oshkosh Corp. 5,065,755 323,972 PACCAR, Inc. 22,175,883 31,707 Parker-Hannifin Corp. 5,262,728 135,413 Snap-on, Inc. 20,880,685 Page 38 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 108,020 Stanley Black & Decker, Inc. $ 15,197,334 308,775 Toro (The) Co. 21,950,815 954,117 Trinity Industries, Inc. 26,152,347 55,380 Wabtec Corp. 4,173,437 274,252 Xylem, Inc. 15,558,316 --------------- 314,582,227 --------------- MARINE -- 1.7% 400,058 Kirby Corp. (a) 24,363,532 --------------- PROFESSIONAL SERVICES -- 0.7% 95,812 ManpowerGroup, Inc. 10,266,256 --------------- ROAD & RAIL -- 8.0% 392,138 CSX Corp. 19,348,089 222,280 Genesee & Wyoming, Inc., Class A (a) 14,483,765 145,264 Kansas City Southern 14,989,792 124,912 Norfolk Southern Corp. 14,062,593 159,616 Old Dominion Freight Line, Inc. 15,308,770 371,546 Ryder System, Inc. 27,033,687 98,223 Union Pacific Corp. 10,113,040 --------------- 115,339,736 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.6% 744,695 Xerox Corp. 22,839,796 --------------- TRADING COMPANIES & DISTRIBUTORS -- 3.9% 715,842 Air Lease Corp. 28,333,026 124,447 MSC Industrial Direct Co., Inc., Class A 8,861,871 84,206 W.W. Grainger, Inc. 14,040,509 88,433 WESCO International, Inc. (a) 4,532,191 --------------- 55,767,597 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.3% 64,633 Macquarie Infrastructure Corp. 4,899,828 --------------- TOTAL COMMON STOCKS -- 100.0% 1,444,390,537 (Cost $1,369,325,815) --------------- MONEY MARKET FUNDS -- 0.0% 489,265 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (b) 489,265 (Cost $489,265) --------------- TOTAL INVESTMENTS -- 100.0% 1,444,879,802 (Cost $1,369,815,080) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (510,794) --------------- NET ASSETS -- 100.0% $ 1,444,369,008 =============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2017. (c) Aggregate cost for federal income tax purposes is $1,374,140,042. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $100,378,948 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $29,639,188. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $1,444,390,537 $ -- $ -- Money Market Funds 489,265 -- -- -------------------------------------------- Total Investments $1,444,879,802 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. See Notes to Financial Statements Page 39 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.8% 89,640 Hexcel Corp. $ 4,586,879 --------------- BUILDING PRODUCTS -- 8.8% 34,290 Armstrong World Industries, Inc. (a) 1,664,780 37,793 Lennox International, Inc. 6,462,603 123,844 Masco Corp. 4,722,172 129,640 Owens Corning 8,692,362 54,353 USG Corp. (a) 1,469,705 --------------- 23,011,622 --------------- CHEMICALS -- 36.3% 24,256 Air Products and Chemicals, Inc. 3,447,990 49,230 Axalta Coating Systems Ltd. (a) 1,550,745 162,370 Cabot Corp. 8,821,562 49,843 Celanese Corp., Series A 4,793,401 124,792 Chemours (The) Co. 5,941,347 110,043 Dow Chemical (The) Co. 7,069,162 82,633 Eastman Chemical Co. 6,871,760 47,504 FMC Corp. 3,628,356 268,589 Huntsman Corp. 7,149,839 82,242 LyondellBasell Industries N.V., Class A 7,409,182 13,326 Monsanto Co. 1,556,743 207,275 Mosaic (The) Co. 5,003,619 3,426 NewMarket Corp. 1,576,337 114,603 Olin Corp. 3,378,497 684,185 Platform Specialty Products Corp. (a) 9,585,432 14,345 PPG Industries, Inc. 1,509,811 11,900 Praxair, Inc. 1,548,904 13,483 Sherwin-Williams (The) Co. 4,547,411 131,029 Westlake Chemical Corp. 9,219,201 --------------- 94,609,299 --------------- CONSTRUCTION & ENGINEERING -- 1.8% 31,632 Valmont Industries, Inc. 4,830,206 --------------- CONTAINERS & PACKAGING -- 24.6% 39,951 AptarGroup, Inc. 3,233,234 164,425 Ball Corp. 6,889,408 102,315 Bemis Co., Inc. 4,335,087 152,175 Berry Global Group, Inc. (a) 8,533,974 58,166 Crown Holdings, Inc. (a) 3,459,132 251,828 Graphic Packaging Holding Co. 3,321,611 61,300 International Paper Co. 3,370,274 362,686 Owens-Illinois, Inc. (a) 8,668,195 77,883 Packaging Corp. of America 8,526,631 148,901 Silgan Holdings, Inc. 4,511,700 92,027 Sonoco Products Co. 4,461,469 83,516 WestRock Co. 4,795,489 --------------- 64,106,204 --------------- MACHINERY -- 3.9% 75,941 Ingersoll-Rand PLC 6,673,695 75,031 Timken (The) Co. 3,413,911 --------------- 10,087,606 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- METALS & MINING -- 18.1% 212,568 Alcoa Corp. $ 7,737,475 288,942 Freeport-McMoRan, Inc. (a) 4,224,332 48,698 Newmont Mining Corp. 1,810,105 119,931 Nucor Corp. 6,916,421 119,151 Reliance Steel & Aluminum Co. 8,621,766 44,392 Royal Gold, Inc. 3,847,011 45,550 Southern Copper Corp. 1,791,937 193,810 Steel Dynamics, Inc. 6,862,812 1,006,434 Tahoe Resources, Inc. 5,505,194 --------------- 47,317,053 --------------- PAPER & FOREST PRODUCTS -- 3.4% 225,805 Domtar Corp. 8,819,943 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.2% 54,019 Univar, Inc. (a) 1,676,750 10,229 Watsco, Inc. 1,542,226 --------------- 3,218,976 --------------- TOTAL COMMON STOCKS -- 99.9% 260,587,788 (Cost $247,689,159) --------------- MONEY MARKET FUNDS -- 0.1% 155,710 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (b) 155,710 (Cost $155,710) --------------- TOTAL INVESTMENTS -- 100.0% 260,743,498 (Cost $247,844,869) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (17,845) --------------- NET ASSETS -- 100.0% $ 260,725,653 =============== (a) Non-income producing security. (b) Interest rate shown reflects yield as of July 31, 2017. (c) Aggregate cost for federal income tax purposes is $250,133,272. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $19,179,378 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,569,152. Page 40 See Notes to Financial Statements FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 260,587,788 $ -- $ -- Money Market Funds 155,710 -- -- -------------------------------------------- Total Investments $ 260,743,498 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. See Notes to Financial Statements Page 41 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% COMMUNICATIONS EQUIPMENT -- 9.4% 86,785 Arista Networks, Inc. (a) $ 12,956,133 347,963 ARRIS International PLC (a) 9,729,045 311,490 Cisco Systems, Inc. 9,796,361 64,097 CommScope Holding Co., Inc. (a) 2,357,488 120,462 EchoStar Corp., Class A (a) 7,315,657 349,701 Juniper Networks, Inc. 9,774,143 28,108 Motorola Solutions, Inc. 2,548,833 18,210 Palo Alto Networks, Inc. (a) 2,399,714 --------------- 56,877,374 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 17.5% 33,014 Amphenol Corp., Class A 2,529,533 124,329 Arrow Electronics, Inc. (a) 10,106,704 250,766 Avnet, Inc. 9,624,399 207,890 CDW Corp. 13,186,463 86,131 Cognex Corp. 8,187,613 57,774 Coherent, Inc. (a) 15,310,110 432,600 Corning, Inc. 12,605,964 99,570 Dolby Laboratories, Inc., Class A 5,152,748 89,591 IPG Photonics Corp. (a) 13,675,170 167,000 Jabil, Inc. 5,093,500 89,237 Universal Display Corp. 10,761,982 --------------- 106,234,186 --------------- INTERNET SOFTWARE & SERVICES -- 8.3% 146,798 Akamai Technologies, Inc. (a) 6,920,058 7,870 Alphabet, Inc., Class A (a) 7,441,085 48,432 Facebook, Inc., Class A (a) 8,197,116 229,844 GoDaddy, Inc., Class A (a) 9,878,695 94,438 IAC/InterActiveCorp (a) 9,881,048 46,657 LogMeIn, Inc. 5,433,208 140,249 Match Group, Inc. (a) (b) 2,559,544 --------------- 50,310,754 --------------- IT SERVICES -- 9.7% 75,628 Amdocs Ltd. 5,079,933 110,131 Cognizant Technology Solutions Corp., Class A 7,634,281 230,310 CSRA, Inc. 7,510,409 210,694 DST Systems, Inc. 11,567,100 127,089 DXC Technology Co. 9,961,236 59,205 Gartner, Inc. (a) 7,597,186 31,686 International Business Machines Corp. 4,584,014 165,314 Teradata Corp. (a) 5,260,291 --------------- 59,194,450 --------------- PROFESSIONAL SERVICES -- 1.3% 166,040 IHS Markit Ltd. (a) 7,745,766 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 21.7% 390,613 Advanced Micro Devices, Inc. (a) $ 5,316,243 236,019 Applied Materials, Inc. 10,458,002 41,844 Broadcom Ltd. 10,321,241 357,142 Cypress Semiconductor Corp. 5,071,416 385,291 Intel Corp. 13,666,272 26,636 KLA-Tencor Corp. 2,467,293 91,909 Lam Research Corp. 14,655,809 94,746 Microchip Technology, Inc. 7,583,470 435,357 Micron Technology, Inc. (a) 12,242,239 104,167 Microsemi Corp. (a) 5,425,017 89,930 NVIDIA Corp. 14,614,524 66,815 NXP Semiconductors N.V. (a) 7,371,699 520,835 ON Semiconductor Corp. (a) 7,786,483 38,495 Qorvo, Inc. (a) 2,639,217 132,425 QUALCOMM, Inc. 7,043,686 81,161 Teradyne, Inc. 2,807,359 37,893 Xilinx, Inc. 2,397,111 --------------- 131,867,081 --------------- SOFTWARE -- 26.4% 225,812 Activision Blizzard, Inc. 13,950,665 51,702 Adobe Systems, Inc. (a) 7,573,826 40,061 ANSYS, Inc. (a) 5,189,903 277,141 Atlassian Corp. PLC, Class A (a) 9,927,191 48,347 Autodesk, Inc. (a) 5,356,364 212,144 CA, Inc. 6,584,950 145,563 Cadence Design Systems, Inc. (a) 5,371,275 92,218 Electronic Arts, Inc. (a) 10,765,529 65,102 Fortinet, Inc. (a) 2,402,915 70,943 Guidewire Software, Inc. (a) 5,119,247 36,713 Intuit, Inc. 5,037,391 48,607 Oracle Corp. 2,426,947 76,366 Red Hat, Inc. (a) 7,550,306 28,139 salesforce.com, Inc. (a) 2,555,021 122,635 ServiceNow, Inc. (a) 13,545,036 253,842 SS&C Technologies Holdings, Inc. 9,838,916 86,276 Symantec Corp. 2,673,693 66,851 Synopsys, Inc. (a) 5,118,781 159,136 Tableau Software, Inc., Class A (a) 10,256,315 177,164 Take-Two Interactive Software, Inc. (a) 14,080,995 27,753 Tyler Technologies, Inc. (a) 4,768,243 100,509 Workday, Inc., Class A (a) 10,262,974 --------------- 160,356,483 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 5.6% 16,923 Apple, Inc. 2,516,958 783,593 Hewlett Packard Enterprise Co. 13,720,713 139,447 HP, Inc. 2,663,438 60,864 NetApp, Inc. 2,642,715 Page 42 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 146,730 Western Digital Corp. $ 12,489,657 --------------- 34,033,481 --------------- TOTAL COMMON STOCKS -- 99.9% 606,619,575 (Cost $530,414,395) --------------- MONEY MARKET FUNDS -- 0.3% 522,751 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 522,751 963,649 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (c) 963,649 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 1,486,400 (Cost $1,486,400) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 420,269 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $420,280. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $429,098. (d) 420,269 1,447,220 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $1,447,261. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $1,483,202. (d) 1,447,220 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.3% 1,867,489 (Cost $1,867,489) --------------- TOTAL INVESTMENTS -- 100.5% 609,973,464 (Cost $533,768,284) (e) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (2,872,869) --------------- NET ASSETS -- 100.0% $ 607,100,595 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D -- Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $2,303,260 and the total value of the collateral held by the Fund is $2,392,514. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $537,792,437. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $78,359,119 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $6,178,092. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 606,619,575 $ -- $ -- Money Market Funds 1,486,400 -- -- Repurchase Agreements -- 1,867,489 -- -------------------------------------------- Total Investments $ 608,105,975 $ 1,867,489 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. See Notes to Financial Statements Page 43 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C -- Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,303,260 Non-cash Collateral(2) (2,303,260) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,867,489 Non-cash Collateral(4) (1,867,489) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% DIVERSIFIED TELECOMMUNICATION SERVICES -- 10.2% 1,671,088 AT&T, Inc. $ 65,172,432 2,640,285 CenturyLink, Inc. (a) 61,439,432 186,079 Level 3 Communications, Inc. (b) 10,919,116 --------------- 137,530,980 --------------- ELECTRIC UTILITIES -- 50.4% 274,681 Alliant Energy Corp. 11,132,821 1,428,068 Avangrid, Inc. 64,862,849 603,406 Duke Energy Corp. 51,361,919 483,825 Edison International 38,067,351 623,117 Eversource Energy 37,879,282 1,747,984 Exelon Corp. 67,017,707 1,292,014 Great Plains Energy, Inc. 39,871,552 1,557,757 Hawaiian Electric Industries, Inc. 51,390,403 269,972 NextEra Energy, Inc. 39,440,209 1,087,375 OGE Energy Corp. 38,993,268 949,984 PG&E Corp. 64,304,417 444,209 Pinnacle West Capital Corp. 38,526,247 1,304,714 PPL Corp. 50,009,688 790,083 Southern (The) Co. 37,868,678 475,663 Westar Energy, Inc. 24,139,897 549,679 Xcel Energy, Inc. 26,005,313 --------------- 680,871,601 --------------- GAS UTILITIES -- 3.6% 133,022 Atmos Energy Corp. 11,540,989 197,605 National Fuel Gas Co. 11,700,192 520,970 UGI Corp. 26,293,356 --------------- 49,534,537 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 4.0% 3,727,981 Calpine Corp. (b) 53,608,367 --------------- MULTI-UTILITIES -- 25.2% 922,634 Ameren Corp. 51,759,767 238,573 CMS Energy Corp. 11,031,616 624,094 Consolidated Edison, Inc. 51,712,429 476,789 DTE Energy Co. 51,045,030 962,599 MDU Resources Group, Inc. 25,364,484 994,469 NiSource, Inc. 25,915,862 940,900 SCANA Corp. 60,565,733 223,679 Sempra Energy 25,277,964 188,813 Vectren Corp. 11,349,549 410,865 WEC Energy Group, Inc. 25,872,169 --------------- 339,894,603 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES -- 6.4% 1,343,917 Sprint Corp. (b) $ 10,724,458 2,272,043 Telephone & Data Systems, Inc. 64,594,182 182,025 T-Mobile US, Inc. (b) 11,223,661 --------------- 86,542,301 --------------- TOTAL COMMON STOCKS -- 99.8% 1,347,982,389 (Cost $1,273,671,110) --------------- MONEY MARKET FUNDS -- 0.9% 10,243,666 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 10,243,666 2,103,878 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.91% (c) 2,103,878 --------------- TOTAL MONEY MARKET FUNDS -- 0.9% 12,347,544 (Cost $12,347,544) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.7% $ 8,235,468 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $8,235,684. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $8,408,485. (d) 8,235,468 28,359,301 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $28,360,104. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $29,064,399. (d) 28,359,301 --------------- TOTAL REPURCHASE AGREEMENTS -- 2.7% 36,594,769 (Cost $36,594,769) --------------- TOTAL INVESTMENTS -- 103.4% 1,396,924,702 (Cost $1,322,613,423) (e) NET OTHER ASSETS AND LIABILITIES -- (3.4)% (46,593,145) --------------- NET ASSETS -- 100.0% $ 1,350,331,557 =============== See Notes to Financial Statements Page 45 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (a) All or a portion of this security is on loan (see Note 2D -- Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $45,935,469 and the total value of the collateral held by the Fund is $46,882,999. (b) Non-income producing security. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,336,855,634. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $80,158,390 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $20,089,322. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $1,347,982,389 $ -- $ -- Money Market Funds 12,347,544 -- -- Repurchase Agreements -- 36,594,769 -- -------------------------------------------- Total Investments $1,360,329,933 $ 36,594,769 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. ----------------------------- 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) $ 45,935,469 Non-cash Collateral(2) (45,935,469) --------------- 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, 2017, 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) $ 36,594,769 Non-cash Collateral(4) (36,594,769) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017
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............................................. $ 421,047,288 $ 486,662,875 $ 263,184,221 Cash ............................................................ -- -- -- Cash collateral received from securities on loan.................. 13,093 24,012 13,098 Receivables: Investment securities sold.................................. -- 4,682,452 1,364,781 Dividends................................................... 224,021 358,522 135,085 Securities lending income................................... 14,353 16,551 14,239 Reclaims.................................................... -- -- -- Prepaid expenses.................................................. 6,266 7,695 7,707 -------------- -------------- -------------- Total Assets................................................ 421,305,021 491,752,107 264,719,131 -------------- -------------- -------------- LIABILITIES: Due to custodian.................................................. -- 17,399 -- Payables: Capital shares redeemed..................................... -- 4,683,266 1,366,004 Investment securities purchased............................. -- -- -- Investment advisory fees.................................... 170,616 206,463 110,206 Collateral for securities on loan........................... 13,775,163 25,261,908 13,780,291 Licensing fees.............................................. 55,371 75,589 43,575 Audit and tax fees.......................................... 30,470 30,470 30,470 Printing fees............................................... 19,125 26,365 44,174 Trustees' fees.............................................. 662 672 652 Other liabilities................................................. 56,986 74,164 47,954 -------------- -------------- -------------- Total Liabilities........................................... 14,108,393 30,376,296 15,423,326 -------------- -------------- -------------- NET ASSETS........................................................ $ 407,196,628 $ 461,375,811 $ 249,295,805 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital................................................... $ 807,538,345 $ 692,893,179 $ 618,260,151 Par value......................................................... 108,500 98,500 182,500 Accumulated net investment income (loss).......................... 273,647 233,742 -- Accumulated net realized gain (loss) on investments............... (410,161,420) (219,252,865) (339,214,122) Net unrealized appreciation (depreciation) on investments......... 9,437,556 (12,596,745) (29,932,724) -------------- -------------- -------------- NET ASSETS........................................................ $ 407,196,628 $ 461,375,811 $ 249,295,805 ============== ============== ============== NET ASSET VALUE, per share........................................ $ 37.53 $ 46.84 $ 13.66 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)......................... 10,850,002 9,850,002 18,250,002 ============== ============== ============== Investments, at cost.............................................. $ 411,609,732 $ 499,259,620 $ 293,116,945 ============== ============== ============== Securities on loan, at value...................................... $ 13,418,274 $ 24,704,100 $ 13,624,817 ============== ============== ==============
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) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $1,138,234,525 $1,068,037,778 $1,444,879,802 $ 260,743,498 $ 609,973,464 $1,396,924,702 178,503 -- 4,073 -- -- -- 15,046 -- -- -- 2,274 44,564 3,271,785 3,368,514 -- 1,930,307 2,265,746 -- 851,235 124,043 545,836 215,175 10,125 1,174,614 13,935 1,318 219 16 2,511 64,451 -- -- -- 5,559 -- -- 4,878 4,701 3,370 2,700 3,182 8,265 -------------- -------------- -------------- -------------- -------------- -------------- 1,142,569,907 1,071,536,354 1,445,433,300 262,897,255 612,257,302 1,398,216,596 -------------- -------------- -------------- -------------- -------------- -------------- -- -- -- -- -- -- -- 3,367,616 -- 1,931,301 2,267,638 -- 4,704,033 -- -- -- -- -- 457,963 453,976 621,997 114,508 268,651 574,077 15,828,494 -- -- -- 2,392,514 46,882,999 136,408 134,803 192,829 39,741 88,554 185,872 30,470 30,470 30,470 30,470 30,470 30,470 35,242 31,240 38,618 13,661 18,506 40,953 700 704 735 652 682 732 142,916 135,895 179,643 41,269 89,692 169,936 -------------- -------------- -------------- -------------- -------------- -------------- 21,336,226 4,154,704 1,064,292 2,171,602 5,156,707 47,885,039 -------------- -------------- -------------- -------------- -------------- -------------- $1,121,233,681 $1,067,381,650 $1,444,369,008 $ 260,725,653 $ 607,100,595 $1,350,331,557 ============== ============== ============== ============== ============== ============== $1,084,446,959 $1,494,727,314 $1,493,462,022 $ 363,683,535 $ 702,406,198 $1,390,329,059 381,500 159,500 408,500 67,500 134,550 488,500 1,511,930 (273,236) -- 283,260 -- 1,934,198 (94,579,876) (550,982,730) (124,566,236) (116,207,271) (171,645,333) (116,731,479) 129,473,168 123,750,802 75,064,722 12,898,629 76,205,180 74,311,279 -------------- -------------- -------------- -------------- -------------- -------------- $1,121,233,681 $1,067,381,650 $1,444,369,008 $ 260,725,653 $ 607,100,595 $1,350,331,557 ============== ============== ============== ============== ============== ============== $ 29.39 $ 66.92 $ 35.36 $ 38.63 $ 45.12 $ 27.64 ============== ============== ============== ============== ============== ============== 38,150,002 15,950,002 40,850,002 6,750,002 13,455,000 48,850,002 ============== ============== ============== ============== ============== ============== $1,008,761,357 $ 944,286,976 $1,369,815,080 $ 247,844,869 $ 533,768,284 $1,322,613,423 ============== ============== ============== ============== ============== ============== $ 15,628,927 $ -- $ -- $ -- $ 2,303,260 $ 45,935,469 ============== ============== ============== ============== ============== ==============
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, 2017
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......................................................... $ 11,734,885 $ 18,274,668 $ 17,271,752 Securities lending income (net of fees)........................... 240,951 132,173 966,939 Interest.......................................................... 361 1,904 1,106 Foreign tax withholding........................................... -- -- (19,704) -------------- -------------- -------------- Total investment income..................................... 11,976,197 18,408,745 18,220,093 -------------- -------------- -------------- EXPENSES: Investment advisory fees.......................................... 4,228,776 5,902,947 5,486,706 Accounting and administration fees................................ 404,460 551,473 517,104 Licensing fees.................................................... 338,302 472,236 438,936 Custodian fees.................................................... 127,285 168,477 146,394 Legal fees........................................................ 40,051 58,556 61,869 Transfer agent fees............................................... 37,438 48,744 46,815 Printing fees..................................................... 29,531 49,747 117,782 Audit and tax fees................................................ 25,525 25,525 25,525 Listing fees...................................................... 11,117 11,522 10,877 Trustees' fees and expenses....................................... 9,070 9,713 9,779 Other expenses.................................................... 46,481 57,937 28,464 -------------- -------------- -------------- Total expenses.............................................. 5,298,036 7,356,877 6,890,251 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)...................................... 6,678,161 11,051,868 11,329,842 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................. (48,427,331) (46,510,564) (95,016,569) In-kind redemptions......................................... 122,100,766 129,561,473 99,308,946 -------------- -------------- -------------- Net realized gain (loss).......................................... 73,673,435 83,050,909 4,292,377 -------------- -------------- -------------- Net change in unrealized appreciation (depreciation) on investments.................................................... (88,610,048) (269,896,843) (22,041,503) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)........................... (14,936,613) (186,845,934) (17,749,126) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ (8,258,452) $ (175,794,066) $ (6,419,284) ============== ============== ==============
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) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 21,943,070 $ 5,571,610 $ 12,012,842 $ 6,216,752 $ 8,250,887 $ 49,966,982 112,141 105,410 8,832 784 228,789 502,278 778 856 231 254 965 1,254 (38,696) -- (8,599) (15,370) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 22,017,293 5,677,876 12,013,306 6,202,420 8,480,641 50,470,514 -------------- -------------- -------------- -------------- -------------- -------------- 4,669,835 4,980,202 5,184,655 1,514,489 2,925,515 7,504,799 464,469 496,495 487,644 151,710 292,628 701,566 373,587 398,416 414,773 121,159 234,041 600,384 182,416 133,442 181,821 59,481 100,242 192,616 48,820 49,404 59,540 15,489 28,730 80,415 46,307 49,001 44,312 15,152 29,296 62,533 63,509 19,473 76,152 31,090 33,407 119,732 25,525 25,525 25,525 25,525 25,525 25,525 10,474 11,520 8,377 7,973 7,570 10,473 9,389 9,523 9,765 8,314 8,808 10,465 23,504 43,898 10,827 8,936 17,272 34,024 -------------- -------------- -------------- -------------- -------------- -------------- 5,917,835 6,216,899 6,503,391 1,959,318 3,703,034 9,342,532 -------------- -------------- -------------- -------------- -------------- -------------- 16,099,458 (539,023) 5,509,915 4,243,102 4,777,607 41,127,982 -------------- -------------- -------------- -------------- -------------- -------------- (12,486,726) 6,197,155 (26,128,256) (10,115,670) (13,222,318) (82,760,915) 67,328,069 36,373,074 80,259,745 38,321,990 103,749,050 156,225,869 -------------- -------------- -------------- -------------- -------------- -------------- 54,841,343 42,570,229 54,131,489 28,206,320 90,526,732 73,464,954 -------------- -------------- -------------- -------------- -------------- -------------- 120,801,961 24,576,136 77,658,057 (234,173) 55,946,418 (83,198,598) -------------- -------------- -------------- -------------- -------------- -------------- 175,643,304 67,146,365 131,789,546 27,972,147 146,473,150 (9,733,644) -------------- -------------- -------------- -------------- -------------- -------------- $ 191,742,762 $ 66,607,342 $ 137,299,461 $ 32,215,249 $ 151,250,757 $ 31,394,338 ============== ============== ============== ============== ============== ==============
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) ---------------------------------- ---------------------------------- Year Ended Year Ended Year Ended Year Ended 7/31/2017 7/31/2016 7/31/2017 7/31/2016 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)............................ $ 6,678,161 $ 29,788,504 $ 11,051,868 $ 42,269,542 Net realized gain (loss)................................ 73,673,435 (80,334,679) 83,050,909 120,771,029 Net change in unrealized appreciation (depreciation).... (88,610,048) (100,608,196) (269,896,843) 14,709,674 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations...................................... (8,258,452) (151,154,371) (175,794,066) 177,750,245 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................... (8,092,726) (20,327,690) (13,016,446) (43,760,331) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 421,516,424 528,560,536 117,849,829 1,224,704,586 Cost of shares redeemed................................. (1,764,870,475) (1,149,847,535) (2,025,963,673) (1,694,753,288) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (1,343,354,051) (621,286,999) (1,908,113,844) (470,048,702) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................. (1,359,705,229) (792,769,060) (2,096,924,356) (336,058,788) NET ASSETS: Beginning of period..................................... 1,766,901,857 2,559,670,917 2,558,300,167 2,894,358,955 -------------- -------------- -------------- -------------- End of period........................................... $ 407,196,628 $1,766,901,857 $ 461,375,811 $2,558,300,167 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period..................................... $ 273,647 $ 1,688,212 $ 233,742 $ 2,198,320 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 49,000,002 68,650,002 52,150,002 63,350,002 Shares sold............................................. 11,750,000 15,500,000 2,600,000 26,950,000 Shares redeemed......................................... (49,900,000) (35,150,000) (44,900,000) (38,150,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period....................... 10,850,002 49,000,002 9,850,002 52,150,002 ============== ============== ============== ==============
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) ---------------------------------- ---------------------------------- ---------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2017 7/31/2016 7/31/2017 7/31/2016 7/31/2017 7/31/2016 ---------------------------------- ---------------------------------- ---------------------------------- $ 11,329,842 $ 9,239,848 $ 16,099,458 $ 14,636,835 $ (539,023) $ 199,573 4,292,377 (108,050,785) 54,841,343 (34,976,083) 42,570,229 (426,073,938) (22,041,503) 87,116,140 120,801,961 (22,876,460) 24,576,136 (359,011,037) -------------- -------------- -------------- -------------- -------------- -------------- (6,419,284) (11,694,797) 191,742,762 (43,215,708) 66,607,342 (784,885,402) -------------- -------------- -------------- -------------- -------------- -------------- (12,309,665) (9,168,230) (15,417,041) (14,585,861) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 534,297,871 1,744,096,367 602,708,503 330,067,936 209,852,248 499,800,743 (1,724,350,417) (611,447,932) (368,492,892) (636,550,366) (356,970,458) (2,800,608,199) -------------- -------------- -------------- -------------- -------------- -------------- (1,190,052,546) 1,132,648,435 234,215,611 (306,482,430) (147,118,210) (2,300,807,456) -------------- -------------- -------------- -------------- -------------- -------------- (1,208,781,495) 1,111,785,408 410,541,332 (364,283,999) (80,510,868) (3,085,692,858) 1,458,077,300 346,291,892 710,692,349 1,074,976,348 1,147,892,518 4,233,585,376 -------------- -------------- -------------- -------------- -------------- -------------- $ 249,295,805 $1,458,077,300 $1,121,233,681 $ 710,692,349 $1,067,381,650 $1,147,892,518 ============== ============== ============== ============== ============== ============== $ -- $ 455,296 $ 1,511,930 $ 1,666,832 $ (273,236) $ -- ============== ============== ============== ============== ============== ============== 100,300,002 20,450,002 29,500,002 44,000,002 18,650,002 60,800,002 34,250,000 121,250,000 22,450,000 13,900,000 3,350,000 8,400,000 (116,300,000) (41,400,000) (13,800,000) (28,400,000) (6,050,000) (50,550,000) -------------- -------------- -------------- -------------- -------------- -------------- 18,250,002 100,300,002 38,150,002 29,500,002 15,950,002 18,650,002 ============== ============== ============== ============== ============== ==============
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) ---------------------------------- ---------------------------------- Year Ended Year Ended Year Ended Year Ended 7/31/2017 7/31/2016 7/31/2017 7/31/2016 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)............................ $ 5,509,915 $ 2,034,149 $ 4,243,102 $ 1,780,815 Net realized gain (loss)................................ 54,131,489 (48,140,128) 28,206,320 (5,133,500) Net change in unrealized appreciation (depreciation).... 77,658,057 17,783,566 (234,173) 20,741,252 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations...................................... 137,299,461 (28,322,413) 32,215,249 17,388,567 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................... (5,662,895) (2,100,096) (4,167,221) (1,770,475) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 1,848,198,516 130,231,645 304,757,767 233,779,536 Cost of shares redeemed................................. (694,634,625) (320,727,167) (322,638,114) (155,309,996) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 1,153,563,891 (190,495,522) (17,880,347) 78,469,540 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................. 1,285,200,457 (220,918,031) 10,167,681 94,087,632 NET ASSETS: Beginning of period..................................... 159,168,551 380,086,582 250,557,972 156,470,340 -------------- -------------- -------------- -------------- End of period........................................... $1,444,369,008 $ 159,168,551 $ 260,725,653 $ 250,557,972 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period..................................... $ -- $ 13 $ 283,260 $ 207,379 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 5,500,002 12,900,002 7,300,002 5,100,002 Shares sold............................................. 55,600,000 4,700,000 8,400,000 7,400,000 Shares redeemed......................................... (20,250,000) (12,100,000) (8,950,000) (5,200,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period....................... 40,850,002 5,500,002 6,750,002 7,300,002 ============== ============== ============== ==============
Page 54 See Notes to Financial Statements
FIRST TRUST FIRST TRUST TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXL) (FXU) ---------------------------------- ---------------------------------- Year Ended Year Ended Year Ended Year Ended 7/31/2017 7/31/2016 7/31/2017 7/31/2016 ---------------------------------- ---------------------------------- $ 4,777,607 $ 4,930,851 $ 41,127,982 $ 24,285,983 90,526,732 (30,276,505) 73,464,954 51,804,269 55,946,418 (7,729,201) (83,198,598) 169,798,579 -------------- -------------- -------------- -------------- 151,250,757 (33,074,855) 31,394,338 245,888,831 -------------- -------------- -------------- -------------- (5,291,512) (4,908,173) (42,472,356) (21,192,761) -------------- -------------- -------------- -------------- 487,090,927 175,513,323 805,129,217 2,662,292,317 (517,427,673) (547,023,151) (1,275,017,752) (1,188,257,991) -------------- -------------- -------------- -------------- (30,336,746) (371,509,828) (469,888,535) 1,474,034,326 -------------- -------------- -------------- -------------- 115,622,499 (409,492,856) (480,966,553) 1,698,730,396 491,478,096 900,970,952 1,831,298,110 132,567,714 -------------- -------------- -------------- -------------- $ 607,100,595 $ 491,478,096 $1,350,331,557 $1,831,298,110 ============== ============== ============== ============== $ -- $ 50,357 $ 1,934,198 $ 3,278,572 ============== ============== ============== ============== 14,105,000 25,755,000 66,700,002 5,750,002 11,750,000 5,450,000 29,950,000 109,500,000 (12,400,000) (17,100,000) (47,800,000) (48,550,000) -------------- -------------- -------------- -------------- 13,455,000 14,105,000 48,850,002 66,700,002 ============== ============== ============== ==============
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, -------------------------------------------------------------- 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 36.06 $ 37.29 $ 32.24 $ 28.81 $ 20.52 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.34 0.53 0.30 0.13 0.29 Net realized and unrealized gain (loss) 1.48 (1.43) 5.03 3.43 8.29 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.82 (0.90) 5.33 3.56 8.58 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.35) (0.33) (0.28) (0.13) (0.29) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 37.53 $ 36.06 $ 37.29 $ 32.24 $ 28.81 ========== ========== ========== ========== ========== TOTAL RETURN (a) 5.10% (2.34)% 16.54% 12.37% 42.17% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 407,197 $1,766,902 $2,559,671 $ 943,060 $ 737,449 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.61% 0.63% 0.70% 0.72% Ratio of net expenses to average net assets 0.63% 0.61% 0.63% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.79% 1.39% 0.91% 0.42% 1.20% Portfolio turnover rate (b) 93% 103% 131% 100% 99%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 49.06 $ 45.69 $ 37.71 $ 33.22 $ 23.50 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.56 0.76 0.72 0.51 0.35 Net realized and unrealized gain (loss) (2.20) 3.38 7.95 4.51 9.85 ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.64) 4.14 8.67 5.02 10.20 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.58) (0.77) (0.69) (0.53) (0.48) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 46.84 $ 49.06 $ 45.69 $ 37.71 $ 33.22 ========== ========== ========== ========== ========== TOTAL RETURN (a) (3.31)% 9.19% 23.09% 15.14% 43.89% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 461,376 $2,558,300 $2,894,359 $1,059,728 $ 657,759 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.61% 0.62% 0.69% 0.71% Ratio of net expenses to average net assets 0.62% 0.61% 0.62% 0.69% 0.70% Ratio of net investment income (loss) to average net assets 0.94% 1.60% 1.75% 1.59% 1.37% Portfolio turnover rate (b) 100% 102% 87% 100% 107%
(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, -------------------------------------------------------------- 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 14.54 $ 16.93 $ 28.07 $ 22.62 $ 18.51 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.14 0.22 0.40 0.27 0.23 Net realized and unrealized gain (loss) (0.85) (2.37) (11.14) 5.43 4.12 ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.71) (2.15) (10.74) 5.70 4.35 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.24) (0.40) (0.25) (0.24) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 13.66 $ 14.54 $ 16.93 $ 28.07 $ 22.62 ========== ========== ========== ========== ========== TOTAL RETURN (a) (4.99)% (12.67)% (38.59)% 25.30% 23.62% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 249,296 $1,458,077 $ 346,292 $ 813,925 $ 191,135 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.62% 0.64% 0.70% 0.74% Ratio of net expenses to average net assets 0.63% 0.62% 0.64% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.03% 1.40% 1.68% 1.10% 0.82% Portfolio turnover rate (b) 55% 112% 97% 72% 93%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 24.09 $ 24.43 $ 21.64 $ 19.79 $ 14.47 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.44 0.39 0.30 0.33 0.32 Net realized and unrealized gain (loss) 5.30 (0.36) 2.79 1.83 5.32 ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.74 0.03 3.09 2.16 5.64 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.44) (0.37) (0.30) (0.31) (0.32) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.39 $ 24.09 $ 24.43 $ 21.64 $ 19.79 ========== ========== ========== ========== ========== TOTAL RETURN (a) 24.00% 0.22% 14.39% 10.95% 39.45% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,121,234 $ 710,692 $1,074,976 $ 904,448 $ 398,820 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.64% 0.64% 0.69% 0.72% Ratio of net expenses to average net assets 0.63% 0.64% 0.64% 0.69% 0.70% Ratio of net investment income (loss) to average net assets 1.72% 1.72% 1.59% 1.61% 1.92% Portfolio turnover rate (b) 80% 75% 80% 55% 65%
(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, ------------------------------------------------------------------- 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 61.55 $ 69.63 $ 53.13 $ 42.58 $ 30.00 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.03) 0.00 (a) (b) (0.05) (0.01) 0.13 Net realized and unrealized gain (loss) 5.40 (8.08) 16.55 10.56 12.58 ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.37 (8.08) 16.50 10.55 12.71 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- (0.13) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 66.92 $ 61.55 $ 69.63 $ 53.13 $ 42.58 ========== ========== ========== ========== ========== TOTAL RETURN (c) 8.72% (11.60)% 31.06% 24.78% 42.49% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,067,382 $1,147,893 $4,233,585 $2,151,907 $ 981,566 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.61% 0.62% 0.67% 0.71% Ratio of net expenses to average net assets 0.62% 0.61% 0.62% 0.67% 0.70% Ratio of net investment income (loss) to average net assets (0.05)% 0.01% (0.10)% (0.01)% 0.36% Portfolio turnover rate (d) 112% 118% 125% 81% 96%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 28.94 $ 29.46 $ 29.27 $ 24.11 $ 17.76 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.17 0.24 0.13 0.24 0.32 Net realized and unrealized gain (loss) 6.42 (0.51) 0.26 5.16 6.34 ---------- ---------- ---------- ---------- ---------- Total from investment operations 6.59 (0.27) 0.39 5.40 6.66 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.25) (0.20) (0.24) (0.31) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 35.36 $ 28.94 $ 29.46 $ 29.27 $ 24.11 ========== ========== ========== ========== ========== TOTAL RETURN (c) 22.81% (0.82)% 1.30% 22.44% 37.92% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,444,369 $ 159,169 $ 380,087 $ 881,038 $ 231,413 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.66% 0.63% 0.69% 0.74% Ratio of net expenses to average net assets 0.63% 0.66% 0.63% 0.69% 0.70% Ratio of net investment income (loss) to average net assets 0.53% 0.93% 0.55% 0.99% 1.65% Portfolio turnover rate (d) 101% 103% 105% 95% 110%
(a) Based on average shares outstanding. (b) Amount is less than $0.01. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 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, -------------------------------------------------------------- 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 34.32 $ 30.68 $ 32.55 $ 27.93 $ 22.79 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.48 0.41 0.47 0.35 0.57 Net realized and unrealized gain (loss) 4.30 3.65 (1.88) 4.60 5.17 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.78 4.06 (1.41) 4.95 5.74 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.47) (0.42) (0.46) (0.33) (0.60) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 38.63 $ 34.32 $ 30.68 $ 32.55 $ 27.93 ========== ========== ========== ========== ========== TOTAL RETURN (a) 14.01% 13.48% (4.36)% 17.73% 25.39% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 260,726 $ 250,558 $ 156,470 $ 706,424 $ 51,349 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% 0.66% 0.64% 0.70% 0.73% Ratio of net expenses to average net assets 0.65% 0.66% 0.64% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.40% 1.26% 1.25% 1.16% 1.75% Portfolio turnover rate (b) 84% 113% 104% 76% 82%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 34.84 $ 34.98 $ 31.74 $ 25.97 $ 20.97 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.32 0.27 0.14 0.08 0.13 Net realized and unrealized gain (loss) 10.32 (0.14) 3.26 5.78 5.00 ---------- ---------- ---------- ---------- ---------- Total from investment operations 10.64 0.13 3.40 5.86 5.13 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.36) (0.27) (0.16) (0.09) (0.13) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 45.12 $ 34.84 $ 34.98 $ 31.74 $ 25.97 ========== ========== ========== ========== ========== TOTAL RETURN (a) 30.72% 0.42% 10.72% 22.59% 24.54% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 607,101 $ 491,478 $ 900,971 $ 834,967 $ 284,543 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.63% 0.63% 0.70% 0.72% Ratio of net expenses to average net assets 0.63% 0.63% 0.63% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.82% 0.82% 0.53% 0.28% 0.53% Portfolio turnover rate (b) 115% 109% 91% 85% 82%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. 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, -------------------------------------------------------------- 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 27.46 $ 23.06 $ 22.59 $ 20.56 $ 18.34 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.76 0.73 0.83 0.59 0.64 Net realized and unrealized gain (loss) 0.19 4.38 0.47 2.04 2.22 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.95 5.11 1.30 2.63 2.86 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.77) (0.71) (0.83) (0.60) (0.64) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.64 $ 27.46 $ 23.06 $ 22.59 $ 20.56 ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.57% 22.66% 5.77% 13.08% 15.91% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,350,332 $1,831,298 $ 132,568 $ 634,851 $ 205,554 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.62% 0.69% 0.70% 0.73% Ratio of net expenses to average net assets 0.62% 0.62% 0.69% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 2.74% 2.79% 2.58% 2.31% 3.53% Portfolio turnover rate (b) 57% 71% 94% 83% 74%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 60 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 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 ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one exchange-traded funds considered either a Sector Fund or a Style Fund. This report covers the nine Sector Funds listed below. The shares of each Sector Fund are listed and traded on NYSE Arca, Inc. First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD") First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG") First Trust Energy AlphaDEX(R) Fund - (ticker "FXN") First Trust Financials AlphaDEX(R) Fund - (ticker "FXO") First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH") First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker "FXR") First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ") First Trust Technology AlphaDEX(R) Fund - (ticker "FXL") First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU") Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Each Fund's Creation Units are generally issued and redeemed in-kind for securities in which the Fund invests, and in certain circumstances, for cash, and only to and from broker-dealers and large institutional investors that have entered into participation agreements. Except when aggregated in Creation Units, each Fund's shares are not redeemable securities. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index(1) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index(1) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index(1) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index(1) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index(1) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index(1) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index(1) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index(1) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index(1)
(1) This index is developed, maintained and sponsored by 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 are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 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 the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 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, 2017, 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, 2017, all the Funds except FXH, FXR and FXZ have securities in the securities lending program. During the fiscal year ended July 31, 2017, 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, 2017 E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 2017, 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, 2017, 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 $ 8,092,726 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 13,016,446 -- -- First Trust Energy AlphaDEX(R) Fund 12,309,665 -- -- First Trust Financials AlphaDEX(R) Fund 15,417,041 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 5,662,895 -- -- First Trust Materials AlphaDEX(R) Fund 4,167,221 -- -- First Trust Technology AlphaDEX(R) Fund 5,291,512 -- -- First Trust Utilities AlphaDEX(R) Fund 42,472,356 -- --
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 -- --
Page 64 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 As of July 31, 2017, 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 $ 273,647 $(408,122,854) $ 7,398,990 First Trust Consumer Staples AlphaDEX(R) Fund 233,742 (216,366,981) (15,482,629) First Trust Energy AlphaDEX(R) Fund -- (337,999,772) (31,147,074) First Trust Financials AlphaDEX(R) Fund 2,046,423 (85,563,434) 119,922,233 First Trust Health Care AlphaDEX(R) Fund (273,236) (547,868,032) 120,636,104 First Trust Industrials/Producer Durables AlphaDEX(R) Fund -- (120,241,274) 70,739,760 First Trust Materials AlphaDEX(R) Fund 283,260 (113,918,868) 10,610,226 First Trust Technology AlphaDEX(R) Fund -- (167,621,180) 72,181,027 First Trust Utilities AlphaDEX(R) Fund 1,934,198 (102,489,268) 60,069,068
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 2014, 2015, 2016 and 2017 remain open to federal and state audit. As of July 31, 2017, 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, 2017, 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 Post Total Available Available Enactment - Capital through through No Loss 7/31/2018 7/31/2019 Expiration Available ------------- ------------- ------------- ------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 1,138,594 $ 9,617,858 $ 397,366,402 $ 408,122,854 First Trust Consumer Staples AlphaDEX(R) Fund 1,058,131 -- 215,308,850 216,366,981 First Trust Energy AlphaDEX(R) Fund 2,084,336 3,349,453 332,565,983 337,999,772 First Trust Financials AlphaDEX(R) Fund 1,630,337 3,464,108 80,468,989 85,563,434 First Trust Health Care AlphaDEX(R) Fund 2,582,977 1,764,162 543,520,893 547,868,032 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,325,584 1,133,736 117,781,954 120,241,274 First Trust Materials AlphaDEX(R) Fund 886,622 7,397,299 105,634,947 113,918,868 First Trust Technology AlphaDEX(R) Fund 2,508,150 2,516,610 162,596,420 167,621,180 First Trust Utilities AlphaDEX(R) Fund 1,956,482 -- 100,532,786 102,489,268
Page 65 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 At the taxable year ended July 31, 2017, the following Funds' capital loss carryforwards expired in the following amounts:
Capital Loss Expired ------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 783,283 First Trust Consumer Staples AlphaDEX(R) Fund 422,511 First Trust Energy AlphaDEX(R) Fund 2,326,320 First Trust Financials AlphaDEX(R) Fund 671,958 First Trust Health Care AlphaDEX(R) Fund 774,570 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 798,398 First Trust Materials AlphaDEX(R) Fund 1,265,429 First Trust Technology AlphaDEX(R) Fund 1,608,491 First Trust Utilities AlphaDEX(R) Fund 557,777
During the taxable year ended July 31, 2017, the following Fund utilized Post-enactment capital loss carryforwards in the following amount:
Capital Loss Utilized ------------- First Trust Health Care AlphaDEX(R) Fund $ 7,425,501
Certain losses realized during the current fiscal year may be deferred and treated as occurring the first day on the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2017, the following Fund listed below incurred and elected to defer net ordinary losses as follows:
Qualified Late Year Losses -------------------------- Ordinary Losses Capital Losses --------------- -------------- First Trust Health Care AlphaDEX(R) Fund $ 273,236 $ --
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, 2017, 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 $ -- $ (112,282,862) $ 112,282,862 First Trust Consumer Staples AlphaDEX(R) Fund -- (97,887,094) 97,887,094 First Trust Energy AlphaDEX(R) Fund 524,527 (34,572,967) 34,048,440 First Trust Financials AlphaDEX(R) Fund (837,319) (60,890,039) 61,727,358 First Trust Health Care AlphaDEX(R) Fund 265,787 (31,398,908) 31,133,121 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 152,967 (73,622,120) 73,469,153 First Trust Materials AlphaDEX(R) Fund -- (32,889,355) 32,889,355 First Trust Technology AlphaDEX(R) Fund 463,548 (94,701,180) 94,237,632 First Trust Utilities AlphaDEX(R) Fund -- (143,638,493) 143,638,493
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. Page 66 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 I. NEW AND AMENDED FINANCIAL REPORTING RULES AND FORMS On October 13, 2016, the SEC adopted new rules and forms, and amended existing rules and forms. The new and amended rules and forms are intended to modernize the reporting of information provided by funds and to improve the quality and type of information that funds provide to the SEC and investors. In part, the new and amended rules and forms amend Regulation S-X and require standardized, enhanced disclosures about derivatives in a fund's financial statements, as well as other amendments. The compliance date for the amendments of Regulation S-X is August 1, 2017, while the compliance date for the new form types and other rule amendments is on or after June 1, 2018. Management is evaluating the new and amended rules and forms to determine the impact to the Funds. J. NEW ACCOUNTING PRONOUNCEMENT In December 2016, FASB released Accounting Standards Update ("ASU") 2016-19 that makes technical changes to various sections of the ASC, including Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. The changes to ASC 820-10-50-2 require a reporting entity to disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of the ASU and has not yet determined its impact on the financial statements and disclosures. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the 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, 2018. 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, 2017, there were no fees waived or expenses reimbursed by First Trust for the Funds. As of July 31, 2017, none of the Funds had remaining fees previously waived or expenses reimbursed that were still subject to recovery. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, or is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. Page 67 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended July 31, 2017, 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 $ 804,952,831 $ 806,704,336 First Trust Consumer Staples AlphaDEX(R) Fund 1,178,973,395 1,177,259,926 First Trust Energy AlphaDEX(R) Fund 583,814,384 582,283,541 First Trust Financials AlphaDEX(R) Fund 748,553,338 744,853,437 First Trust Health Care AlphaDEX(R) Fund 1,120,633,071 1,120,088,294 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,055,921,860 1,055,438,901 First Trust Materials AlphaDEX(R) Fund 251,851,160 251,980,856 First Trust Technology AlphaDEX(R) Fund 666,057,808 666,476,078 First Trust Utilities AlphaDEX(R) Fund 862,674,968 864,264,229
For the fiscal year ended July 31, 2017, 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 $ 421,115,358 $ 1,762,700,941 First Trust Consumer Staples AlphaDEX(R) Fund 117,645,535 2,022,761,154 First Trust Energy AlphaDEX(R) Fund 534,158,402 1,724,194,335 First Trust Financials AlphaDEX(R) Fund 601,500,234 367,770,819 First Trust Health Care AlphaDEX(R) Fund 209,699,129 356,610,250 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,846,237,609 692,890,922 First Trust Materials AlphaDEX(R) Fund 304,425,124 322,256,157 First Trust Technology AlphaDEX(R) Fund 486,648,518 517,331,162 First Trust Utilities AlphaDEX(R) Fund 804,551,752 1,272,903,559
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 Page 68 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 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 December 31, 2018. 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 69 -------------------------------------------------------------------------------- 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 "Trust"), including the portfolios of investments, as of July 31, 2017, 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 Trust's 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 Trust is 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 Trust's 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, 2017 by correspondence with the Trust's 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, 2017, 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 25, 2017 Page 70 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 (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, 2017, 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 100.00% First Trust Energy AlphaDEX(R) Fund 100.00% First Trust Financials AlphaDEX(R) Fund 70.63% 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, 2017, 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 75.57% 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 Page 71 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 (UNAUDITED) 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. 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 72 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 (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. REIT INVESTMENT RISK. Certain of the Funds may be subject to the risks associated with investing in real estate, which may include, but are not limited to, fluctuations in the value of underlying properties; defaults by borrowers or tenants; market saturation; changes in general and local operating expenses; and other economic, political or regulatory occurrences affecting companies in the real estate industry. In addition to risks related to investments in real estate generally, investing in real estate investment trusts ("REITs") involves certain other risks related to their structure and focus, which include, but are not limited to, dependency upon management skills, limited diversification, the risks of locating and managing financing for projects, heavy cash flow dependency, possible default by borrowers, the costs and potential losses of self-liquidation of one or more holdings, the risk of a possible lack of mortgage funds and associated interest rate risks, overbuilding, property vacancies, increases in property taxes and operating expenses, changes in zoning laws, losses due to environmental damages, changes in neighborhood values and appeal to purchases, the possibility of failing to maintain exemptions from registration under the 1940 Act and, in many cases, relatively small market capitalization, which may result in less market liquidity and greater price volatility. REITs are also subject to the risk that the real estate market may experience an economic downturn generally, which may have a material effect on the real estate in which the REITs invest and their underlying portfolio securities. 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. Page 73 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 (UNAUDITED) 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 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, 2016, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $7,490,185. This figure is comprised of $315,858 paid (or to be paid) in fixed compensation and $7,174,327 paid (or to be paid) in variable compensation. There were a total of 13 beneficiaries of the remuneration described above. Those amounts include $5,261,695 paid (or to be paid) to senior management of First Trust Advisors L.P. and $2,228,490 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. Page 74 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 (UNAUDITED) ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees (the "Board") of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor" or "First Trust") on behalf of the following nine series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD) First Trust Consumer Staples AlphaDEX(R) Fund (FXG) First Trust Energy AlphaDEX(R) Fund (FXN) First Trust Financials AlphaDEX(R) Fund (FXO) First Trust Health Care AlphaDEX(R) Fund (FXH) First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR) First Trust Materials AlphaDEX(R) Fund (FXZ) First Trust Technology AlphaDEX(R) Fund (FXL) First Trust Utilities AlphaDEX(R) Fund (FXU) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2018 at a meeting held on June 12, 2017. 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 24, 2017 and June 12, 2017, 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 the meeting held on April 24, 2017, 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 12, 2017 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. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 24, 2017 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, Page 75 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2017 (UNAUDITED) 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, 2018. 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, as applicable. 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 how the MPI Peer Groups were assembled and 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 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, 2016 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by MPI comparing each Fund's performance to that of its respective MPI Peer Group and to that of 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, 2016 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. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Trust and each Fund. No single factor was determinative in the Board's analysis. Page 76 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2017 (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, Officer, Wheaton Orthopedics; 148 None c/o First Trust Advisors L.P. Limited Partner, Gundersen Real Estate 120 E. Liberty Drive, o Since Inception Limited Partnership (June 1992 to Suite 400 December 2016); 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. 148 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 148 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 148 Director of c/o First Trust Advisors L.P. Officer (January 2015 to Present), Covenant 120 E. Liberty Drive, o Since Inception Pelita Harapan Educational Foundation Transport Inc. Suite 400 (Educational Products and Services); (May 2003 to Wheaton, IL 60187 President and Chief May 2014) D.O.B.: 03/54 Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services); President (June 2002 to June 2012), Covenant College ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 148 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 and Stonebridge Advisors LLC
----------------------------- (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 77 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2017 (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 Chief o Indefinite Term Managing Director and Chief Financial Officer 120 E. Liberty Drive, Executive Officer January 2016 to Present), Controller (January 2011 Suite 400 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.; Chief Financial Officer (January 2016 to Present), Bondwave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), 120 E. Liberty Drive, Officer and Chief Vice President (April 2012 to July 2016), Suite 400 Accounting Officer o Since January 2016 First Trust Advisors L.P. and First Trust Portfolios Wheaton, IL 60187 L.P.; Vice President (September 2006 to April 2012), D.O.B.: 08/72 Guggenheim Funds Investment Advisors, LLC and Claymore Securities, Inc. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First 120 E. Liberty Drive, Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, Suite 400 o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Wheaton, IL 60187 D.O.B.: 05/60 Daniel J. Lindquist Vice President o Indefinite Term Managing Director (July 2012 to Present), 120 E. Liberty Drive, Senior Vice President (September 2005 to July 2012), Suite 400 o Since Inception First Trust Advisors L.P. and First Trust Portfolios Wheaton, IL 60187 L.P. D.O.B.: 02/70 Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. 120 E. Liberty Drive, and Assistant Secretary and First Trust Portfolios L.P. Suite 400 o Chief Compliance Wheaton, IL 60187 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 78 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2017 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). May 2017 Page 79 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, 2017 -------------------------------------------------------------------------------- AlphaDEX(R) Style Funds ------------------------ First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Mega Cap AlphaDEX(R) Fund (FMK) ALPHADEX(R) FAMILY OF ETFS AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS ANNUAL REPORT JULY 31, 2017 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.............................................. 144 Privacy Policy.............................................................. 146 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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. 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, 2017 Dear Shareholders: 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, 2017, including a market overview and a performance analysis for the period. We encourage you to read it carefully and discuss it with your financial advisor. The past year has seen the election of Donald Trump as the 45th President of the U.S. and the continued U.S. bull market. In the first seven months of 2017, the S&P 500(R) Index closed its trading sessions at all-time highs 29 times. The NASDAQ Composite Index, as of July 31, 2017, closed its trading sessions at all-time highs 44 times this year. The current bull market (measuring from March 9, 2009 through July 31, 2017) is the second longest in history. While we are optimistic about the U.S. economy, we are also well aware that no one can predict the future or know how markets will perform in different economic environments. This is why we advocate maintaining a long-term perspective, as we have done since our inception over 25 years ago. We also believe it is a good practice to speak with your financial advisor and make sure your financial plan is still on track with your investment goals. Thank you for giving First Trust the opportunity to be a part of your investment plan through the First Trust Exchange-Traded AlphaDEX(R) Fund. We value our relationship with you and will continue to focus on bringing the types of investments that we believe can help 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, 2017 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 Investors still have some good reasons to be optimistic about the markets. Interest rates and inflation remain low by historical measures. Brian Wesbury, Chief Economist at First Trust Advisors L.P., often notes that the Federal Reserve's ("Fed") current approach to interest rate hikes has not made monetary policy tighter, just less loose. The Fed has only increased the federal funds target rate (upper bound) by one percentage point, from 0.25% to 1.25%, since December 2015. The average target rate for the 30-year period ended July 31, 2017 was 3.45%, according to Bloomberg. Job growth has been one of the silver linings in the current economic recovery. Nonfarm payrolls averaged 180,000 per month for the 12-month period ended July 31, 2017, according to data from the Bureau of Labor Statistics. The U.S. has registered 82 months of positive job growth through July 2017. The 82-month average was 198,000. The last half of 2016 was dominated by the election process, in our opinion. There seemed to be a lot of optimism about what President Donald J. Trump might be able to do to boost the U.S. economy after he won the election in November. While the stock and bond markets have performed well so far in 2017, we have not seen much in the way of legislative achievements. Now that we have moved into the second-half of 2017, one of the more interesting questions looming, in our opinion, is the following: Will any of the major fiscal/economic policies that President Trump campaigned on become legislation by year-end? The effort to repeal and replace the Affordable Care Act ("Obamacare") was unsuccessful. Tax reform is likely up next for the Trump administration and Congress. House Speaker Paul Ryan wants to pass a "tax overhaul" by the end of this year, according to CNBC. Ryan believes that the U.S. cannot achieve a 3% GDP growth rate without tax reform. The International Monetary Fund ("IMF") updates its forecasts for global economic growth throughout the year. In its latest report (July 2017), the IMF set its year-over-year global growth rate estimates for 2017 and 2018 at 3.5% and 3.6%, respectively, up from 3.2% in 2016, according to its own release. Its 2017 and 2018 estimates for U.S. growth project 2.1% growth for both years, up from 1.6% in 2016. The U.S. growth rate estimates could be adjusted higher if Congress enacts individual and corporate tax reform legislation, in our opinion. While not robust growth, these growth projections suggest that we are not heading for a recession anytime soon. ETFGI, an industry research group, reported that total assets invested in the U.S. exchange-traded funds ("ETFs") and other exchange-traded products ("ETPs") stood at a record high $3.06 trillion at the end of July 2017, according to its own release. July marked the 17th consecutive month of positive net inflows. Year-to-date through July, equity ETFs/ETPs reported net inflows totaling $194.68 billion, well above the $30.27 billion of net inflows at the same point a year ago. STYLE/EQUITY INVESTING For the 12-month period ended July 31, 2017, the S&P 500(R) Index posted a total return of 16.04%, according to Bloomberg. Growth stocks outperformed value stocks in the period. The S&P 500(R) Growth Index posted a total return of 16.97%, compared to 14.34% for the S&P 500(R) Value Index. The S&P MidCap 400(R) Index posted a total return of 14.69% in the period. For mid-capitalization stocks, value stocks outperformed growth stocks in the period. The S&P MidCap 400(R) Growth Index posted a total return of 13.71%, compared to 14.91% for the S&P MidCap 400(R) Value Index. The S&P SmallCap 600(R) Index posted a total return of 17.66% in the period. For small-capitalization stocks, growth stocks outperformed value stocks in the period. The S&P SmallCap 600(R) Growth Index posted a total return of 18.49%, compared to 16.60% for the S&P SmallCap 600(R) Value Index. The consensus estimated earnings growth rates for 2017 for the S&P 500(R), S&P MidCap 400(R) and S&P SmallCap 600(R) Indices are 12.49%, 17.83% and 18.01%, respectively, as of July 31, 2017, according to Bloomberg. The consensus estimated earnings growth rates for 2018 for the S&P 500(R), S&P MidCap 400(R) and S&P SmallCap 600(R) Indices are 11.44%, 13.64% and 18.84%, respectively. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FEX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 16.68% 15.04% 7.86% 7.20% 101.51% 113.07% 103.70% Market Price 16.66% 15.05% 7.86% 7.20% 101.54% 113.14% 103.69% INDEX PERFORMANCE Defined Large Cap Core Index(1) N/A N/A N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Large Cap Core Index(2) 17.45% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(2) 16.17% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 16.04% 14.78% 7.74% 7.23% 99.22% 110.73% 104.20% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Large Cap Core Index was replaced with the Nasdaq AlphaDEX(R) Large Cap Core Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FEX's one-year net asset value ("NAV") return of 16.68% outperformed the benchmark S&P 500(R) Index's return of 16.04% by 0.64%. The Fund's holdings within the Financials sector contributed 6.4% to the Fund's return, which were given a 17.5% allocation and had a 37.8% return over the period. The Consumer Discretionary sector had the largest allocation in the Fund with an 18.1% average weighting. The sector contributed 2.6% to the Fund's return, resulting from its 13.7% return over the period. The Real Estate sector was the worst contributor to the Fund's return at -0.42%, followed by the Consumer Staples sector at -0.1%. On a relative basis, the Fund outperformed the benchmark. The Fund's holdings within the Energy sector were the leading contributors to the relative outperformance as the Fund under allocated the benchmark by 2.4% of the relatively low performing sector, but still outperformed the benchmark by 12.2%. The Information Technology sector reversed 1.4% of relative outperformance due to the Fund under allocating and underperforming the benchmark by 5.6% and -4.0%, respectively. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 18.49% Information Technology 16.84 Financials 16.41 Health Care 12.70 Industrials 10.87 Utilities 7.83 Materials 4.80 Consumer Staples 4.48 Energy 3.50 Real Estate 2.75 Telecommunication Services 1.33 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Boeing (The) Co. 0.54% Vertex Pharmaceuticals, Inc. 0.52 Charter Communications, Inc., Class A 0.51 Lam Research Corp. 0.49 NVIDIA Corp. 0.49 T. Rowe Price Group, Inc. 0.49 PayPal Holdings, Inc. 0.48 Target Corp. 0.47 Gap (The), Inc. 0.47 Ally Financial, Inc. 0.47 ------- Total 4.93% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2007 - JULY 31, 2017 First Trust Large Cap S&P 500(R) Core AlphaDEX(R) Fund Index 7/07 $10,000 $10,000 1/08 9,437 9,568 7/08 8,686 8,891 1/09 5,570 5,873 7/09 7,020 7,116 1/10 7,968 7,819 7/10 8,583 8,101 1/11 10,214 9,554 7/11 10,346 9,693 1/12 10,422 9,956 7/12 10,574 10,578 1/13 12,158 11,626 7/13 13,894 13,222 1/14 14,933 14,128 7/14 16,371 15,462 1/15 17,013 16,138 7/15 17,627 17,195 1/16 15,782 16,030 7/16 18,261 18,161 1/17 19,559 19,243 7/17 21,306 21,073 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, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 156 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% 8/1/12 - 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 8/1/16 - 7/31/17 96 0 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 14.61% 12.92% 8.54% 7.82% 83.59% 126.84% 116.10% Market Price 14.61% 12.94% 8.54% 7.82% 83.75% 126.92% 116.10% INDEX PERFORMANCE Defined Mid Cap Core Index(1) N/A N/A N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Mid Cap Core Index(2) 15.43% N/A N/A N/A N/A N/A N/A Nasdaq US 600 Mid Cap Index(2) 14.67% N/A N/A N/A N/A N/A N/A S&P MidCap 400(R) Index 14.69% 15.13% 9.13% 8.50% 102.26% 139.66% 130.43% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mid Cap Core Index was replaced with the Nasdaq AlphaDEX(R) Mid Cap Core Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (2) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FNX's one-year NAV return of 14.61% underperformed the benchmark S&P MidCap 400(R) Index's return of 14.69% by 0.08%. The Fund's holdings amongst the Financial sector were the top contributors to the Fund's return over the period at 4.6%, stemming from their 17.5% allocation and 27.7% return. The top returning sector for the Fund, however, was Information Technology with a 28.1% return. The sector with the greatest average allocation over the period was the Industrials sector with a 17.6% allocation. With a 21.4% return for the Fund, the Industrials sector had a 3.9% contribution. The least contributing sector was Telecommunication Services with a -0.4% contribution stemming from its -31.6% return and 0.9% allocation. Within Telecommunication Services, Frontier Communications Corp. was the worst performing security with a -76.9% return. On a relative basis, the Fund underperformed the benchmark. Although the relative returns were very close, the benchmark slightly outperformed. The Consumer Discretionary and Information Technology sector each created -0.8% of relative drag as the Fund underperformed the benchmark by -2.9% and -3.2%, respectively. The Real Estate sector reversed 1.2% of underperformance as the Fund outperformed the benchmark by 11.6%. Page 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 19.41% Financials 17.26 Industrials 16.17 Consumer Discretionary 14.13 Health Care 8.45 Materials 7.08 Real Estate 6.76 Utilities 5.41 Consumer Staples 2.46 Energy 2.09 Telecommunication Services 0.78 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Coherent, Inc. 0.43% Square, Inc., Class A 0.41 Alcoa Corp. 0.41 Align Technology, Inc. 0.41 Universal Display Corp. 0.40 Exelixis, Inc. 0.40 CNO Financial Group, Inc. 0.40 Take-Two Interactive Software, Inc. 0.40 Assured Guaranty Ltd. 0.40 Live Nation Entertainment, Inc. 0.39 ------- Total 4.05% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2007 - JULY 31, 2017 First Trust Mid Cap S&P MidCap Core AlphaDEX(R) Fund 400(R) Index 7/07 $10,000 $10,000 1/08 9,313 9,455 7/08 9,249 9,504 1/09 5,837 5,960 7/09 7,823 7,579 1/10 8,920 8,544 7/10 9,695 9,309 1/11 11,902 11,403 7/11 12,273 11,707 1/12 12,470 11,711 7/12 12,355 11,848 1/13 14,426 13,884 7/13 16,396 15,757 1/14 17,906 16,920 7/14 18,608 17,788 1/15 18,928 18,761 7/15 19,640 19,797 1/16 16,902 17,504 7/16 19,789 20,891 1/17 21,646 22,784 7/17 22,680 23,960 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, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 158 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% 8/1/12 - 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 8/1/16 - 7/31/17 94 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 16.03% 13.37% 7.73% 6.94% 87.28% 110.61% 98.68% Market Price 16.08% 13.37% 7.74% 6.94% 87.31% 110.80% 98.65% INDEX PERFORMANCE Defined Small Cap Core Index(1) N/A N/A N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Small Cap Core Index(2) 16.77% N/A N/A N/A N/A N/A N/A Nasdaq US 700 Small Cap Index(2) 19.14% N/A N/A N/A N/A N/A N/A S&P SmallCap 600(R) Index 17.66% 15.87% 9.11% 8.39% 108.90% 139.10% 127.97% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Small Cap Core Index was replaced with the Nasdaq AlphaDEX(R) Small Cap Core Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (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. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FYX's one-year NAV return of 16.03% underperformed the benchmark S&P SmallCap 600(R) Index's return of 17.66% by 1.63%. The Fund's holdings amongst the Financial sector were the top contributors to the Fund's return with a 4.1% contribution, stemming from their 16.2% allocation and 29.1% return. The top returning sector for the Fund, however, was Materials at 30.5%. The sector with the greatest average allocation over the period was Industrials at 20.3%. The least contributing sector was Telecommunication Services at -0.3%, stemming from its -17.7% return and 1.2% allocation. Within the Telecommunication Services sector, Cincinnati Bell, Inc. and Shenandoah Telecommunications Co. each had -28.2% returns. On a relative basis, the Fund underperformed the benchmark. The Fund's holdings within the Consumer Discretionary and Information Technology sectors created -0.7% of relative underperformance each as the Fund underperformed the benchmark by -2.7% and -3.4%, respectively. The Fund's holdings within the Energy sector reversed 1.9% of relative underperformance as the Fund outperformed the benchmark by 32.1%. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 20.88% Industrials 20.24 Information Technology 14.76 Financials 14.47 Health Care 11.20 Real Estate 5.29 Materials 4.95 Consumer Staples 4.21 Utilities 1.58 Energy 1.33 Telecommunication Services 1.09 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Scientific Games Corp., Class A 0.45% ArcBest Corp. 0.42 LendingTree, Inc. 0.40 Dillard's, Inc., Class A 0.40 iRobot Corp. 0.39 Brink's (The) Co. 0.37 Atlas Air Worldwide Holdings, Inc. 0.36 Sanderson Farms, Inc. 0.36 Air Transport Services Group, Inc. 0.35 2U, Inc. 0.35 ------- Total 3.85% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2007 - JULY 31, 2017 First Trust Small Cap S&P SmallCap Core AlphaDEX(R) Fund 600(R) Index 7/07 $10,000 $10,000 1/08 8,985 9,199 7/08 8,786 9,172 1/09 5,346 5,821 7/09 7,400 7,405 1/10 8,274 8,088 7/10 8,927 8,824 1/11 10,714 10,590 7/11 11,089 11,006 1/12 11,536 11,384 7/12 11,246 11,446 1/13 13,085 13,145 7/13 15,360 15,426 1/14 16,856 16,883 7/14 16,843 17,129 1/15 17,239 17,922 7/15 17,763 19,180 1/16 15,196 17,082 7/16 18,153 20,322 1/17 20,135 22,948 7/17 21,064 23,912 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, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 129 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% 8/1/12 - 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 8/1/16 - 7/31/17 123 0 0 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) The First Trust Large Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FTA." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Value Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 23.35% 14.64% 7.91% 7.13% 98.01% 114.09% 102.31% Market Price 23.37% 14.66% 7.89% 7.13% 98.18% 113.66% 102.34% INDEX PERFORMANCE Defined Large Cap Value Index(1) N/A N/A N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Large Cap Value Index(2) 24.21% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Value Index(2) 16.94% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 16.04% 14.78% 7.74% 7.23% 99.22% 110.73% 104.20% S&P 500(R) Value Index 14.34% 13.94% 5.81% 5.24% 92.00% 75.94% 68.65% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Large Cap Value Index was replaced with the Nasdaq AlphaDEX(R) Large Cap Value Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (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. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FTA's one-year NAV return of 23.35% outperformed the benchmark S&P 500(R) Value Index's return of 14.34% by 9.01%. With a 10.4% contribution to the Fund's return, Financials was the top contributing sector due to its high 23.7% allocation and 44.1% return. Securities such as Lincoln National Corp. (71.6% return) and Bank of America Corp. (61.6% return) led the Financials sector to such a high return for the Fund. The Telecommuncation Services sector detracted 0.3% of performance from the Fund as these securities had a -8.8% return over the period and were given a 2.0% allocation. CenturyLink, Inc. was the primary cause of the poor performance for the Telecommunication Services sector with its -19.2% return. On a relative basis, the Fund outperformed the benchmark. The primary causes of the relative outperformance were attributable to the Energy and Industrials sectors where the Fund outperformed the benchmark by 21.6% and 16.6%, respectively. No sector caused any relative underperformance, but it was the Materials sector that contributed the least to the relative outperformance at 0.1%. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 19.39% Financials 18.80 Utilities 14.58 Information Technology 8.58 Industrials 8.20 Health Care 8.09 Consumer Staples 6.53 Energy 5.48 Materials 5.15 Real Estate 3.03 Telecommunication Services 2.17 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Target Corp. 0.96% Gap (The), Inc. 0.96 Ally Financial, Inc. 0.96 Gilead Sciences, Inc. 0.96 LyondellBasell Industries N.V., Class A 0.95 Exelon Corp. 0.94 Hewlett Packard Enterprise Co. 0.94 Intel Corp. 0.93 Capital One Financial Corp. 0.93 Textron, Inc. 0.93 ------- Total 9.46% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2007 - JULY 31, 2017 First Trust Large Cap S&P 500(R) S&P 500(R) Value AlphaDEX(R) Fund Index Value Index 7/07 $10,000 $10,000 $10,000 1/08 9,334 9,568 9,543 7/08 8,315 8,891 8,414 1/09 5,283 5,873 5,279 7/09 7,049 7,116 6,423 1/10 8,217 7,819 7,135 7/10 8,707 8,101 7,385 1/11 10,252 9,554 8,653 7/11 10,300 9,693 8,506 1/12 10,658 9,956 8,750 7/12 10,811 10,578 9,164 1/13 12,653 11,626 10,454 7/13 14,394 13,222 11,940 1/14 15,200 14,128 12,437 7/14 16,907 15,462 13,646 1/15 17,051 16,138 13,911 7/15 16,858 17,195 14,546 1/16 14,847 16,030 13,412 7/16 17,353 18,161 15,387 1/17 19,866 19,243 16,663 7/17 21,403 21,073 17,594 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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 134 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% 8/1/12 - 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 8/1/16 - 7/31/17 118 0 0 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) The First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FTC." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Growth Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 9.10% 15.23% 7.41% 6.96% 103.16% 104.34% 99.03% Market Price 9.16% 15.23% 7.39% 6.96% 103.16% 104.06% 99.09% INDEX PERFORMANCE Defined Large Cap Growth Index(1) N/A N/A N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Large Cap Growth Index(2) 9.81% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Growth Index(2) 15.28% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 16.04% 14.78% 7.74% 7.23% 99.22% 110.73% 104.20% S&P 500(R) Growth Index 16.97% 15.41% 9.49% 9.06% 104.78% 147.68% 142.77% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Large Cap Growth Index was replaced with the Nasdaq AlphaDEX(R) Large Cap Growth Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (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. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FTC's one-year NAV return of 9.10% underperformed the benchmark S&P 500(R) Growth Index's return of 16.97% by 7.87%. The Real Estate sector reduced the Fund's return by 1.1% followed closely by the Consumer Staples sector with a -0.8% contribution. Information Technology was the Fund's highest contributing, performing, and allocated sector over the period. Information Technology contributed 6.0% to the Fund's return, resulting from its 24.5% allocation and 24.4% return. NVIDIA Corp. stood out amongst Information Technology with a 189.7% return within the Fund and contributing 1.2% to the Fund's return. On a relative basis, the Fund underperformed the benchmark. The primary cause of the underperformance can be attributable to the Information Technology sector where the Fund under allocated and underperformed the benchmark by 9.8% and -7.6%, respectively. The Telecommunication Services sector, represented primarily by T-Mobile US, Inc. within the Fund and by Verizon Communications, Inc. within the benchmark, reversed 0.3% of underperformance as the benchmark did not have any exposure to T-Mobile US, Inc., which had a 36.1% return over the period. 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 28.56% Health Care 16.93 Consumer Discretionary 16.44 Financials 15.27 Industrials 12.44 Materials 4.19 Real Estate 2.31 Consumer Staples 1.94 Energy 1.39 Telecommunication Services 0.53 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Boeing (The) Co. 1.08% Vertex Pharmaceuticals, Inc. 1.04 Charter Communications, Inc., Class A 1.03 Lam Research Corp. 0.99 NVIDIA Corp. 0.99 PayPal Holdings, Inc. 0.96 Total System Services, Inc. 0.96 E*TRADE Financial Corp. 0.95 Activision Blizzard, Inc. 0.95 Applied Materials, Inc. 0.95 ------- Total 9.90% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2007 - JULY 31, 2017 First Trust Large Cap Growth S&P 500(R) S&P 500(R) AlphaDEX(R) Fund Index Growth Index 7/07 $10,000 $10,000 $10,000 1/08 9,590 9,568 9,600 7/08 9,138 8,891 9,371 1/09 5,890 5,873 6,486 7/09 6,910 7,116 7,830 1/10 7,569 7,819 8,509 7/10 8,306 8,101 8,826 1/11 10,051 9,554 10,480 7/11 10,252 9,693 10,957 1/12 9,932 9,956 11,246 7/12 10,058 10,578 12,094 1/13 11,263 11,626 12,867 7/13 12,918 13,222 14,573 1/14 14,186 14,128 15,948 7/14 15,357 15,462 17,412 1/15 16,488 16,138 18,565 7/15 18,017 17,195 20,110 1/16 16,507 16,030 18,919 7/16 18,732 18,161 21,173 1/17 18,521 19,243 21,935 7/17 20,436 21,073 24,767 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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 146 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% 8/1/12 - 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 8/1/16 - 7/31/17 106 0 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FAB." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Index, Nasdaq US 600 Mid Cap Index, and Nasdaq US 700 Small Cap Index (together the "Nasdaq US Multi Cap Value Index") that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 19.46% 13.65% 8.11% 7.18% 89.64% 118.19% 103.28% Market Price 19.46% 13.67% 8.07% 7.18% 89.79% 117.35% 103.23% INDEX PERFORMANCE Defined Multi Cap Value Index(1) N/A N/A N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Multi Cap Value Index(2) 20.34% N/A N/A N/A N/A N/A N/A Nasdaq US Multi Cap Value Index(2) 16.99% N/A N/A N/A N/A N/A N/A S&P Composite 1500(R) Index 16.00% 14.85% 7.90% 7.38% 99.84% 113.97% 107.09% S&P Composite 1500(R) Value Index 14.46% 14.10% 6.11% 5.51% 93.40% 81.01% 73.18% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Multi Cap Value Index was replaced with the Nasdaq AlphaDEX(R) Multi Cap Value Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (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. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FAB's one-year NAV return of 19.46% outperformed the benchmark S&P Composite 1500(R) Value Index's return of 14.46% by 5.00%. Financials was the top performing and top contributing sector over the period with a 37.12% return. This sector was given a 21.4% average allocation and contributed 7.9% to the Fund's return. Securities such as Ocwen Financial Corp. and LPL Financial Holdings, Inc. stood out as the top performing securities within Financials with 87.0% and 74.0% returns, respectively. Telecommunication Services was the worst performing and least contributing sector over the period with a -17.67% return. Telecommunication Services was given a 1.6% average allocation and contributed -0.4% to the Fund's return. Within Telecommunication Services, Frontier Communications Corp. stood out with a -76.9% return. On a relative basis, the Fund outperformed the benchmark. The primary cause of the relative outperformance is attributable to the Energy sector where the Fund outperformed the benchmark by 16.5%, creating 1.9% of relative outperformance. Consumer Discretionary securities reversed 1.3% of outperformance due to the Fund over allocating and underperforming relative to the benchmark by 13.2% and -3.6%, respectively. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 21.04% Financials 18.18 Industrials 14.32 Utilities 10.38 Information Technology 8.14 Materials 5.97 Consumer Staples 5.68 Health Care 5.13 Real Estate 5.00 Energy 4.37 Telecommunication Services 1.79 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Target Corp. 0.48% Gap (The), Inc. 0.48 Ally Financial, Inc. 0.48 Gilead Sciences, Inc. 0.48 LyondellBasell Industries N.V., Class A 0.48 Exelon Corp. 0.47 Hewlett Packard Enterprise Co. 0.47 Intel Corp. 0.47 Textron, Inc. 0.46 Capital One Financial Corp. 0.46 ------- Total 4.73% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2007 - JULY 31, 2017 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Value AlphaDEX(R) Fund 1500(R) Index Value Index 7/07 $10,000 $10,000 $10,000 1/08 9,234 9,548 9,504 7/08 8,447 8,949 8,491 1/09 5,338 5,627 5,578 7/09 7,475 7,162 6,520 1/10 8,679 7,883 7,256 7/10 9,242 8,217 7,544 1/11 11,032 9,728 8,863 7/11 11,103 9,889 8,733 1/12 11,590 10,137 8,981 7/12 11,506 10,707 9,360 1/13 13,565 11,848 10,718 7/13 15,640 13,488 12,260 1/14 16,755 14,431 12,821 7/14 18,045 15,701 14,004 1/15 18,043 16,403 14,294 7/15 17,911 17,467 14,917 1/16 15,465 16,196 13,701 7/16 18,265 18,445 15,816 1/17 20,886 19,628 17,195 7/17 21,820 21,398 18,101 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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 97 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% 8/1/12 - 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 8/1/16 - 7/31/17 155 0 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FAD." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Index, Nasdaq US 600 Mid Cap Index, and Nasdaq US 700 Small Cap Index (together the "Nasdaq US Multi Cap Growth Index") that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/17 7/31/17 7/31/17 to 7/31/17 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 11.85% 14.32% 7.69% 7.30% 95.26% 109.83% 105.57% Market Price 11.89% 14.34% 7.68% 7.30% 95.42% 109.58% 105.59% INDEX PERFORMANCE Defined Multi Cap Growth Index(1) N/A N/A N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Multi Cap Growth Index(2) 12.68% N/A N/A N/A N/A N/A N/A Nasdaq US Multi Cap Growth Index(2) 15.19% N/A N/A N/A N/A N/A N/A S&P Composite 1500(R) Index 16.00% 14.85% 7.90% 7.38% 99.84% 113.97% 107.09% S&P Composite 1500(R) Growth Index 16.81% 15.40% 9.55% 9.11% 104.67% 148.97% 143.90% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Multi Cap Growth Index was replaced with the Nasdaq AlphaDEX(R) Multi Cap Growth Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (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. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FAD's one-year NAV return of 11.85% underperformed the benchmark S&P Composite 1500(R) Growth Index's return of 16.81% by 4.96%. The top contributing and performing sector over the period was Information Technology with a 5.7% contribution and 25.1% return. This sector was given the highest allocation at 23.1% within the Fund. NVIDIA Corp. stood out as the top performing Information Technology security in the Fund with a 189.7% return. Real Estate was the least contributing sector at -1.1%. Pennsylvania Real Estate Investment Trust and Chatham Lodging Trust were the two worst performing Real Estate securities within the Fund with -23.9% and -21.5% returns, respectively. On a relative basis, the Fund underperformed the benchmark. The primary cause of the relative underperformance is due to the Fund taking a 9.8% lower allocation to the top performing Information Technology sector, while also underperforming the benchmark by 6.7% within this sector. The Fund reversed 0.4% of relative underperformance by outperforming the Consumer Discretionary sector by 2.6%. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 28.50% Health Care 17.16 Financials 15.53 Consumer Discretionary 13.94 Industrials 12.88 Materials 4.99 Real Estate 3.84 Consumer Staples 1.54 Energy 0.84 Telecommunication Services 0.49 Utilities 0.29 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Boeing (The) Co. 0.54% Vertex Pharmaceuticals, Inc. 0.52 Charter Communications, Inc., Class A 0.52 Lam Research Corp. 0.50 NVIDIA Corp. 0.50 PayPal Holdings, Inc. 0.48 Total System Services, Inc. 0.48 E*TRADE Financial Corp. 0.48 Activision Blizzard, Inc. 0.48 Applied Materials, Inc. 0.48 ------- Total 4.98% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2007 - JULY 31, 2017 First Trust Multi Cap Growth S&P Composite S&P Composite 1500(R) AlphaDEX(R) Fund 1500(R) Index Growth Index 7/07 $10,000 $10,000 $10,000 1/08 9,408 9,548 9,592 7/08 9,415 8,949 9,415 1/09 5,901 5,879 6,438 7/09 7,106 7,162 7,829 1/10 7,800 7,883 8,524 7/10 8,573 8,217 8,906 1/11 10,433 9,728 10,629 7/11 10,865 9,889 11,134 1/12 10,654 10,137 11,388 7/12 10,746 10,707 12,164 1/13 12,099 11,848 13,061 7/13 13,755 13,488 14,798 1/14 15,166 14,431 16,179 7/14 15,768 15,701 17,538 1/15 16,781 16,403 18,713 7/15 18,272 17,467 20,286 1/16 16,367 16,196 18,958 7/16 18,758 18,445 21,314 1/17 19,114 19,628 22,173 7/17 20,980 21,398 24,896 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, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 156 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% 8/1/12 - 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 8/1/16 - 7/31/17 96 0 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) The First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNK." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Value Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (4/19/11) Ended (4/19/11) 7/31/17 7/31/17 to 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 15.72% 12.60% 9.79% 80.99% 79.83% Market Price 15.72% 12.56% 9.79% 80.71% 79.83% INDEX PERFORMANCE Defined Mid Cap Value Index(1) N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Mid Cap Value Index(2) 16.61% N/A N/A N/A N/A Nasdaq US 600 Mid Cap Value Index(2) 16.73% N/A N/A N/A N/A S&P MidCap 400(R) Value Index 14.91% 15.26% 11.73% 103.40% 100.75% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mid Cap Value Index was replaced with the Nasdaq AlphaDEX(R) Mid Cap Value Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (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. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FNK's one-year NAV return of 15.72% outperformed the benchmark S&P MidCap 400(R) Value Index's return of 14.91% by 0.81%. Financials was the strongest performing sector for the Fund over the period with a 28.9% return, coupled with its average 21.9% allocation led to a 6.5% contribution to the Fund's return, which was the highest amongst all the sectors. LPL Financial Holdings, Inc. and SVB Financial Group were the top performers in the Financials sector with 74.0% and 73.6% returns, respectively. Telecommunication Services was the worst performing sector in the Fund with a -46.2% return. Telecommunication Services had an average 1.4% allocation in the Fund, which limited its negative contribution to only -1.0%. On a relative basis, the Fund outperformed the benchmark. It was the Fund's holdings within the Real Estate sector which caused the most relative outperformance. The Fund's allocation to Real Estate outperformed the benchmark by 20.1%, leading to 1.9% of relative outperformance. The Consumer Discretionary sector reversed 2.1% of relative outperformance as the Fund over weighted this relatively poor performing sector by 8.3% and underperformed by -8.0%. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 19.98% Financials 19.68 Industrials 17.68 Utilities 9.06 Information Technology 8.01 Materials 7.97 Real Estate 7.45 Energy 4.22 Consumer Staples 3.78 Telecommunication Services 1.40 Health Care 0.77 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Alcoa Corp. 0.82% CNO Financial Group, Inc. 0.81 OneMain Holdings, Inc. 0.80 Assured Guaranty Ltd. 0.79 Kohl's Corp. 0.79 Radian Group, Inc. 0.78 RLJ Lodging Trust 0.78 Dana, Inc. 0.78 Air Lease Corp. 0.78 AmTrust Financial Services, Inc. 0.78 ------- Total 7.91% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2017 First Trust Mid Cap S&P MidCap 400(R) Value AlphaDEX(R) Fund Value Index 4/11 $10,000 $10,000 7/11 9,625 9,581 1/12 9,982 9,720 7/12 9,935 9,869 1/13 11,765 11,640 7/13 13,549 13,358 1/14 14,657 14,305 7/14 15,487 15,311 1/15 15,205 15,816 7/15 15,351 16,204 1/16 13,091 14,376 7/16 15,539 17,468 1/17 17,704 19,524 7/17 17,984 20,073 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, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 173 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% 8/1/12 - 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 8/1/16 - 7/31/17 79 0 0 0 Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) The First Trust Mid Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNY." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Growth Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (4/19/11) Ended (4/19/11) 7/31/17 7/31/17 to 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 12.94% 12.96% 9.60% 83.91% 77.89% Market Price 13.05% 12.95% 9.60% 83.81% 77.89% INDEX PERFORMANCE Defined Mid Cap Growth Index(1) N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Mid Cap Growth Index(2) 13.81% N/A N/A N/A N/A Nasdaq US 600 Mid Cap Growth Index(2) 12.54% N/A N/A N/A N/A S&P MidCap 400(R) Growth Index 13.71% 14.77% 11.34% 99.11% 96.35% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mid Cap Growth Index was replaced with the Nasdaq AlphaDEX(R) Mid Cap Growth Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (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. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FNY's one-year NAV return of 12.94% underperformed the benchmark S&P MidCap 400(R) Growth Index's return of 13.71% by 0.77%. The Fund's top contributing, performing, and allocated sector over the period was Information Technology with a 6.7% contribution, 29.1% return, and 23.5% allocation. Within Information Technology, Coherent, Inc. and Cognex Corp. were the top performing securities with 143.9% and 134.2% returns, respectively. Real Estate was the least contributing sector to the Fund's return with a -1.6% contribution, followed by Energy with a -0.6% contribution. Within Real Estate, Spirit Realty Capital, Inc. and DDR Corp. were the two worst performers with -16.8% and -16.0% returns, respectively. On a relative basis, the Fund underperformed the benchmark. The Fund's holdings amongst the Financials sector created -1.5% of relative underperformance as the Fund underperformed the benchmark by -3.5%. The Fund's holdings amongst the Consumer Discretionary sector reversed 0.8% of underperformance as the Fund outperformed the benchmark by 7.1%. Page 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 31.20% Health Care 16.54 Financials 15.65 Industrials 12.88 Consumer Discretionary 9.46 Materials 6.78 Real Estate 5.90 Consumer Staples 0.84 Utilities 0.44 Telecommunication Services 0.31 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- MKS Instruments, Inc. 0.91% Coherent, Inc. 0.86 Square, Inc., Class A 0.82 Align Technology, Inc. 0.81 Universal Display Corp. 0.81 Exelixis, Inc. 0.80 Take-Two Interactive Software, Inc. 0.79 BWX Technologies, Inc. 0.79 Live Nation Entertainment, Inc. 0.78 TransUnion 0.77 ------- Total 8.14% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2017 First Trust Mid Cap Growth S&P MidCap 400(R) AlphaDEX(R) Fund Growth Index 4/11 $10,000 $10,000 7/11 9,881 9,910 1/12 9,804 9,779 7/12 9,673 9,861 1/13 11,050 11,485 7/13 12,290 12,894 1/14 13,612 13,883 7/14 13,824 14,345 1/15 14,646 15,414 7/15 15,748 16,711 1/16 13,744 14,724 7/16 15,753 17,266 1/17 16,331 18,295 7/17 17,791 19,634 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, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 178 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% 8/1/12 - 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 8/1/16 - 7/31/17 74 0 0 0 Page 21 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) The First Trust Small Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYT." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Value Index 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) 7/31/17 7/31/17 to 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 15.41% 12.69% 9.98% 81.71% 81.79% Market Price 15.52% 12.72% 9.99% 81.95% 81.85% INDEX PERFORMANCE Defined Small Cap Value Index(1) N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Small Cap Value Index(2) 16.26% N/A N/A N/A N/A Nasdaq US 700 Small Cap Value Index(2) 18.93% N/A N/A N/A N/A S&P SmallCap 600(R) Value Index 16.60% 15.70% 12.72% 107.37% 112.16% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Small Cap Value Index was replaced with the Nasdaq AlphaDEX(R) Small Cap Value Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (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. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FYT's one-year NAV return of 15.41% underperformed the benchmark S&P SmallCap 600(R) Value Index's return of 16.60% by 1.19%. The Fund's holdings amongst the Financials sector were the top contributors with a 4.5% contribution, stemming from their 15.1% allocation and 30.2% return. The top returning sector for the Fund, however, was Information Technology with a 39.5% return. The sector with the greatest average allocation over the period was the Industrials sector with a 21.8% allocation. The least contributing and performing sector was Consumer Discretionary with a -0.9% contribution stemming from its -4.9% return and 24.5% allocation. On a relative basis, the Fund underperformed the benchmark. The primary cause of the relative underperformance is attributable to the Consumer Discretionary sector where the Fund overweighted the benchmark by 7.9% and underperformed the benchmark by 5.1%. The Fund's Energy sector holdings reversed 3.3% of underperformance as the Fund outperformed the benchmark by 49.0%. Page 22 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 26.76% Industrials 24.67 Financials 14.37 Information Technology 7.26 Consumer Staples 6.38 Real Estate 6.29 Materials 5.01 Health Care 4.21 Utilities 1.82 Energy 1.81 Telecommunication Services 1.42 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- ArcBest Corp. 0.86% Dillard's, Inc., Class A 0.81 Atlas Air Worldwide Holdings, Inc. 0.72 Sanderson Farms, Inc. 0.72 Kaiser Aluminum Corp. 0.70 Waddell & Reed Financial, Inc., Class A 0.70 Aegion Corp. 0.70 Ramco-Gershenson Properties Trust 0.69 Fossil Group, Inc. 0.69 Aircastle Ltd. 0.69 ------- Total 7.28% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2017 First Trust Small Cap S&P SmallCap 600(R) Value AlphaDEX(R) Fund Value Index 4/11 $10,000 $10,000 7/11 9,930 9,813 1/12 10,692 10,331 7/12 10,005 10,231 1/13 11,945 11,945 7/13 14,241 14,054 1/14 15,577 15,278 7/14 15,931 15,723 1/15 15,996 16,154 7/15 15,630 16,701 1/16 13,090 14,973 7/16 15,754 18,195 1/17 18,060 20,662 7/17 18,181 21,216 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, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 125 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% 8/1/12 - 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 8/1/16 - 7/31/17 127 0 0 0 Page 23 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) The First Trust Small Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYC." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Growth Index 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) 7/31/17 7/31/17 to 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 17.12% 13.98% 11.25% 92.41% 95.43% Market Price 17.11% 14.02% 11.26% 92.74% 95.48% INDEX PERFORMANCE Defined Small Cap Growth Index(1) N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Small Cap Growth Index(2) 18.03% N/A N/A N/A N/A Nasdaq US 700 Small Cap Growth Index(2) 19.30% N/A N/A N/A N/A S&P SmallCap 600(R) Growth Index 18.49% 15.99% 13.17% 109.95% 117.56% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Small Cap Growth Index was replaced with the Nasdaq AlphaDEX(R) Small Cap Growth Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (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. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FYC's one-year NAV return of 17.12% underperformed the benchmark S&P SmallCap 600(R) Growth Index's return of 18.49% by 1.37%. The Fund's top contributing and performing sector over the period was Financials with a 3.9% contribution and 28.1% return. The Industrials and Information Technology sectors were second and third in the Fund in contribution with 3.7% and 3.6% contributions, respectively. Telecommunication Services was the least contributing sector to the Fund's return with a -0.6% contribution, stemming from its -22.2% return and 1.2% allocation. The Real Estate and Energy sectors followed closely with -0.5% and -0.4% contributions, respectively. On a relative basis, the Fund underperformed the benchmark. The Fund's holdings amongst the Information Technology sector contributed -1.9% of relative underperformance as the Fund underperformed the benchmark by 9.6%. The Fund's holdings amongst the Consumer Discretionary sector reversed 2.2% of relative drag as the Fund outperformed the benchmark by 16.6%. Page 24 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 24.27% Health Care 18.65 Financials 16.00 Consumer Discretionary 14.36 Industrials 13.99 Real Estate 4.59 Materials 4.32 Consumer Staples 1.58 Utilities 0.81 Energy 0.74 Telecommunication Services 0.69 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Scientific Games Corp., Class A 0.90% LendingTree, Inc. 0.81 iRobot Corp. 0.79 Brink's (The) Co. 0.74 Air Transport Services Group, Inc. 0.71 2U, Inc. 0.70 Portola Pharmaceuticals, Inc. 0.70 Lumentum Holdings, Inc. 0.70 Exact Sciences Corp. 0.70 New Relic, Inc. 0.69 ------- Total 7.44% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2017 First Trust Small Cap Growth S&P SmallCap 600(R) AlphaDEX(R) Fund Growth Index 4/11 $10,000 $10,000 7/11 9,920 9,982 1/12 9,826 10,155 7/12 10,157 10,362 1/13 11,338 11,710 7/13 13,014 13,710 1/14 14,413 15,107 7/14 13,992 15,093 1/15 14,637 16,071 7/15 16,115 17,778 1/16 14,186 15,737 7/16 16,685 18,361 1/17 17,809 20,597 7/17 19,540 21,757 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, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 175 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% 8/1/12 - 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 8/1/16 - 7/31/17 77 0 0 0 Page 25 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) The First Trust Mega Cap AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mega Cap Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FMK." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select 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) 7/31/17 7/31/17 to 7/31/17 7/31/17 to 7/31/17 FUND PERFORMANCE NAV 16.10% 13.08% 9.00% 84.86% 70.97% Market Price 16.23% 13.08% 9.00% 84.86% 70.97% INDEX PERFORMANCE Defined Mega Cap Index(1) N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Mega Cap Index(2) 17.00% N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(2) 16.17% N/A N/A N/A N/A S&P 100(R) Index 15.82% 13.96% 12.73% 92.23% 110.70% --------------------------------------------------------------------------------------------------------------------------------
(1) The Defined Mega Cap Index was replaced with the Nasdaq AlphaDEX(R) Mega Cap Index effective April 8, 2016. The new index is substantially similar to the old index. The old index was terminated on February 22, 2017, so performance data does not exist for these time periods. (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. (See Notes to Fund Performance Overview on page 28.) PERFORMANCE REVIEW FMK's one-year NAV return of 16.10% outperformed the benchmark S&P 100(R) Index's return of 15.82% by 0.28%. Financials was the strongest performing sector for the Fund over the period with a 46.6% return, coupled with its average 18.5% allocation led to a 6.6% contribution to the Fund's return, which was the highest amongst all the sectors. Morgan Stanley and Bank of America Corp. were the top performers in the Financials sector with 71.2% and 67.7% returns, respectively. Real Estate was the worst performing sector in the Fund with a -2.4% return. Real Estate had an average 0.5% allocation in the Fund, which limited the negative contribution to only -0.2%. On a relative basis, the Fund outperformed the benchmark. The Fund's holdings within the Energy sector created 1.6% of relative outperformance due to the Fund taking a 4.4% smaller allocation to this relatively poor performing sector (5.3% return) and outperforming by 7.1%. The Fund's holdings within the Information Technology sector reversed 2.7% of outperformance as the Fund underperformed the benchmark by 8.9%. 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 22.60% Information Technology 22.34 Consumer Discretionary 19.37 Financials 9.90 Industrials 8.88 Consumer Staples 6.89 Energy 3.36 Telecommunication Services 3.33 Utilities 2.67 Real Estate 0.66 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- NVIDIA Corp. 3.62% Gilead Sciences, Inc. 3.46 Intel Corp. 3.39 Allergan PLC 3.35 UnitedHealth Group, Inc. 3.33 AT&T, Inc. 3.33 General Motors Co. 3.32 Aetna, Inc. 3.27 Boeing (The) Co. 3.16 FedEx Corp. 3.08 ------- Total 33.31% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 11, 2011 - JULY 31, 2017 First Trust Mega Cap S&P 100(R) AlphaDEX(R) Fund Index 5/11 $10,000 $10,000 7/11 9,612 9,761 1/12 9,571 10,120 7/12 9,248 10,960 1/13 10,467 11,784 7/13 11,969 13,341 1/14 12,545 14,108 7/14 13,829 15,520 1/15 13,679 15,998 7/15 14,699 17,202 1/16 13,304 16,228 7/16 14,726 18,190 1/17 15,712 19,216 7/17 17,097 21,066 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, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2017 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, 2012 through July 31, 2017. 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% 8/1/12 - 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 8/1/16 - 7/31/17 85 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/12 - 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 8/1/16 - 7/31/17 167 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, 2017 (UNAUDITED) As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund or First Trust Mega Cap AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2017. 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, 2017 JULY 31, 2017 PERIOD (a) PERIOD (b) ---------------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $1,089.30 0.61% $3.16 Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $1,047.80 0.63% $3.20 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $1,046.10 0.64% $3.25 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $1,077.40 0.62% $3.19 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $1,103.40 0.62% $3.23 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
Page 29 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2017 (UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2017 JULY 31, 2017 PERIOD (a) PERIOD (b) ---------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $1,044.70 0.68% $3.45 Hypothetical (5% return before expenses) $1,000.00 $1,021.42 0.68% $3.41 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $1,097.60 0.72% $3.74 Hypothetical (5% return before expenses) $1,000.00 $1,021.22 0.72% $3.61 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $1,015.80 0.70% $3.50 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $1,089.40 0.70% $3.63 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $1,006.70 0.70% $3.48 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $1,097.20 0.70% $3.64 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) Actual $1,000.00 $1,088.20 0.70% $3.62 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2017 through July 31, 2017), multiplied by 181/365 (to reflect the one-half year period). Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.5% 34,338 Boeing (The) Co. $ 8,325,591 20,566 General Dynamics Corp. 4,037,723 16,258 L3 Technologies, Inc. 2,844,662 14,674 Lockheed Martin Corp. 4,286,716 15,869 Northrop Grumman Corp. 4,175,610 8,409 Raytheon Co. 1,444,414 12,927 Rockwell Collins, Inc. 1,377,113 144,174 Textron, Inc. 7,083,269 10,100 TransDigm Group, Inc. 2,849,614 22,243 United Technologies Corp. 2,637,353 --------------- 39,062,065 --------------- AIR FREIGHT & LOGISTICS -- 0.7% 39,548 C.H. Robinson Worldwide, Inc. 2,594,349 24,045 Expeditors International of Washington, Inc. 1,415,769 24,999 FedEx Corp. 5,200,542 12,283 United Parcel Service, Inc., Class B 1,354,692 --------------- 10,565,352 --------------- AIRLINES -- 1.6% 45,392 Alaska Air Group, Inc. 3,868,760 53,978 American Airlines Group, Inc. 2,722,650 126,360 Delta Air Lines, Inc. 6,237,130 109,280 Southwest Airlines Co. 6,066,133 90,240 United Continental Holdings, Inc. (a) 6,107,443 --------------- 25,002,116 --------------- AUTO COMPONENTS -- 0.9% 32,060 BorgWarner, Inc. 1,498,484 194,239 Goodyear Tire & Rubber (The) Co. 6,120,471 47,795 Lear Corp. 7,082,741 --------------- 14,701,696 --------------- AUTOMOBILES -- 1.4% 606,853 Ford Motor Co. 6,808,891 194,409 General Motors Co. 6,994,836 50,286 Harley-Davidson, Inc. 2,447,419 18,777 Tesla, Inc. (a) (b) 6,073,796 --------------- 22,324,942 --------------- BANKS -- 3.5% 167,947 Bank of America Corp. 4,050,882 59,816 BB&T Corp. 2,830,493 81,229 Citigroup, Inc. 5,560,125 114,190 Citizens Financial Group, Inc. 4,005,785 37,087 Comerica, Inc. 2,681,761 52,317 Fifth Third Bancorp 1,396,864 27,137 First Republic Bank 2,722,655 100,451 Huntington Bancshares, Inc. 1,330,976 44,575 JPMorgan Chase & Co. 4,091,985 72,473 KeyCorp 1,307,413 16,773 M&T Bank Corp. 2,736,515 32,628 PNC Financial Services Group (The), Inc. 4,202,486 185,535 Regions Financial Corp. 2,708,811 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 71,834 SunTrust Banks, Inc. $ 4,115,370 7,729 SVB Financial Group (a) 1,379,163 26,161 U.S. Bancorp 1,380,778 73,531 Wells Fargo & Co. 3,966,262 92,792 Zions Bancorporation 4,205,333 --------------- 54,673,657 --------------- BEVERAGES -- 0.4% 28,040 Constellation Brands, Inc., Class A 5,421,534 27,334 Monster Beverage Corp. (a) 1,441,869 --------------- 6,863,403 --------------- BIOTECHNOLOGY -- 2.5% 56,190 AbbVie, Inc. 3,928,243 23,427 Alkermes PLC (a) 1,274,663 7,884 Amgen, Inc. 1,375,837 5,004 Biogen, Inc. (a) 1,449,108 14,954 BioMarin Pharmaceutical, Inc. (a) 1,311,914 20,918 Celgene Corp. (a) 2,832,506 95,939 Gilead Sciences, Inc. 7,299,999 32,361 Incyte Corp. (a) 4,313,398 11,062 Regeneron Pharmaceuticals, Inc. (a) 5,438,301 9,711 TESARO, Inc. (a) 1,239,706 52,692 Vertex Pharmaceuticals, Inc. (a) 7,999,699 --------------- 38,463,374 --------------- BUILDING PRODUCTS -- 0.6% 83,269 Fortune Brands Home & Security, Inc. 5,468,275 93,970 Johnson Controls International PLC 3,660,132 --------------- 9,128,407 --------------- CAPITAL MARKETS -- 5.0% 16,380 Affiliated Managers Group, Inc. 3,043,895 10,667 Ameriprise Financial, Inc. 1,545,435 79,858 Bank of New York Mellon (The) Corp. 4,234,870 94,841 Charles Schwab (The) Corp. 4,068,679 10,843 CME Group, Inc. 1,329,569 142,850 E*TRADE Financial Corp. (a) 5,856,850 151,608 Franklin Resources, Inc. 6,789,006 12,243 Goldman Sachs Group (The), Inc. 2,758,715 61,811 Intercontinental Exchange, Inc. 4,123,412 115,785 Invesco Ltd. 4,025,844 33,485 Moody's Corp. 4,407,631 121,916 Morgan Stanley 5,717,860 41,913 Northern Trust Corp. 3,667,807 84,652 Raymond James Financial, Inc. 7,042,200 37,210 S&P Global, Inc. 5,715,084 45,407 State Street Corp. 4,233,295 91,507 T. Rowe Price Group, Inc. 7,569,459 31,592 TD Ameritrade Holding Corp. 1,444,702 --------------- 77,574,313 --------------- See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS -- 2.8% 28,477 Air Products and Chemicals, Inc. $ 4,048,006 12,870 Albemarle Corp. 1,490,346 42,913 Celanese Corp., Series A 4,126,943 48,576 CF Industries Holdings, Inc. 1,425,706 80,848 Eastman Chemical Co. 6,723,320 10,063 International Flavors & Fragrances, Inc. 1,340,190 80,468 LyondellBasell Industries N.V., Class A 7,249,362 237,954 Mosaic (The) Co. 5,744,210 15,479 Sherwin-Williams (The) Co. 5,220,602 82,048 Westlake Chemical Corp. 5,772,897 --------------- 43,141,582 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.4% 21,554 Cintas Corp. 2,906,557 42,621 Republic Services, Inc. 2,737,121 18,516 Waste Management, Inc. 1,391,477 --------------- 7,035,155 --------------- COMMUNICATIONS EQUIPMENT -- 1.1% 173,562 Cisco Systems, Inc. 5,458,525 194,854 Juniper Networks, Inc. 5,446,169 31,317 Motorola Solutions, Inc. 2,839,826 20,301 Palo Alto Networks, Inc. (a) 2,675,266 --------------- 16,419,786 --------------- CONSTRUCTION MATERIALS -- 0.1% 6,100 Martin Marietta Materials, Inc. 1,381,223 --------------- CONSUMER FINANCE -- 1.5% 324,913 Ally Financial, Inc. 7,356,030 32,245 American Express Co. 2,748,241 82,191 Capital One Financial Corp. 7,083,220 21,838 Discover Financial Services 1,330,808 182,177 Synchrony Financial 5,523,607 --------------- 24,041,906 --------------- CONTAINERS & PACKAGING -- 0.9% 71,974 International Paper Co. 3,957,131 60,963 Packaging Corp. of America 6,674,229 71,909 WestRock Co. 4,129,015 --------------- 14,760,375 --------------- DISTRIBUTORS -- 0.4% 29,282 Genuine Parts Co. 2,486,920 123,655 LKQ Corp. (a) 4,273,517 --------------- 6,760,437 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.7% 32,074 Berkshire Hathaway, Inc., Class B (a) 5,611,988 207,667 Leucadia National Corp. 5,405,572 --------------- 11,017,560 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 179,980 AT&T, Inc. $ 7,019,220 284,364 CenturyLink, Inc. (b) 6,617,150 60,820 Verizon Communications, Inc. 2,943,688 --------------- 16,580,058 --------------- ELECTRIC UTILITIES -- 4.4% 101,432 Alliant Energy Corp. 4,111,039 39,100 American Electric Power Co., Inc. 2,758,114 48,742 Duke Energy Corp. 4,148,919 69,477 Edison International 5,466,450 53,075 Entergy Corp. 4,071,914 89,481 Eversource Energy 5,439,550 188,266 Exelon Corp. 7,218,119 38,770 NextEra Energy, Inc. 5,663,909 102,315 PG&E Corp. 6,925,702 63,791 Pinnacle West Capital Corp. 5,532,593 140,523 PPL Corp. 5,386,247 113,464 Southern (The) Co. 5,438,330 118,407 Xcel Energy, Inc. 5,601,835 --------------- 67,762,721 --------------- ELECTRICAL EQUIPMENT -- 0.6% 22,422 AMETEK, Inc. 1,380,747 69,803 Eaton Corp. PLC 5,462,085 16,773 Rockwell Automation, Inc. 2,768,048 --------------- 9,610,880 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.5% 36,796 Amphenol Corp., Class A 2,819,310 108,598 CDW Corp. 6,888,371 225,979 Corning, Inc. 6,585,028 86,309 TE Connectivity Ltd. 6,938,380 --------------- 23,231,089 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.6% 30,789 American Tower Corp. 4,197,464 12,024 Digital Realty Trust, Inc. 1,386,848 6,329 Equinix, Inc. 2,852,670 5,280 Essex Property Trust, Inc. 1,381,776 169,976 HCP, Inc. 5,379,740 371,687 Host Hotels & Resorts, Inc. 6,935,680 46,319 Prologis, Inc. 2,816,658 30,201 SBA Communications Corp. (a) 4,154,148 25,671 SL Green Realty Corp. 2,651,044 500,537 VEREIT, Inc. 4,159,463 18,143 Welltower, Inc. 1,331,515 81,083 Weyerhaeuser Co. 2,677,361 --------------- 39,924,367 --------------- FOOD & STAPLES RETAILING -- 1.4% 67,520 CVS Health Corp. 5,396,874 232,957 Kroger (The) Co. 5,712,106 52,032 Walgreens Boots Alliance, Inc. 4,197,421 71,781 Wal-Mart Stores, Inc. 5,741,762 --------------- 21,048,163 --------------- Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS -- 2.4% 164,108 Archer-Daniels-Midland Co. $ 6,922,075 91,030 Bunge Ltd. 7,135,842 37,979 Conagra Brands, Inc. 1,300,401 24,513 General Mills, Inc. 1,364,394 79,636 Hormel Foods Corp. 2,721,162 45,573 Ingredion, Inc. 5,620,062 34,432 J.M. Smucker (The) Co. 4,197,261 13,930 McCormick & Co., Inc. 1,327,529 108,423 Tyson Foods, Inc., Class A 6,869,681 --------------- 37,458,407 --------------- GAS UTILITIES -- 0.5% 49,121 Atmos Energy Corp. 4,261,738 84,167 UGI Corp. 4,247,908 --------------- 8,509,646 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.4% 89,735 Baxter International, Inc. 5,427,173 6,962 Becton, Dickinson and Co. 1,402,147 146,982 Boston Scientific Corp. (a) 3,912,661 28,364 Cooper (The) Cos., Inc. 6,917,129 32,187 Danaher Corp. 2,622,919 20,949 DENTSPLY SIRONA, Inc. 1,299,466 45,945 Edwards Lifesciences Corp. (a) 5,291,945 59,856 Hologic, Inc. (a) 2,646,234 33,652 IDEXX Laboratories, Inc. (a) 5,601,712 7,258 Intuitive Surgical, Inc. (a) 6,809,891 30,607 Medtronic PLC 2,570,070 34,880 ResMed, Inc. 2,689,945 29,359 Stryker Corp. 4,318,709 10,580 Zimmer Biomet Holdings, Inc. 1,283,565 --------------- 52,793,566 --------------- HEALTH CARE PROVIDERS & SERVICES -- 4.1% 71,835 AmerisourceBergen Corp. 6,739,560 21,656 Anthem, Inc. 4,032,564 34,857 Cardinal Health, Inc. 2,693,052 34,006 Centene Corp. (a) 2,700,756 8,114 Cigna Corp. 1,408,266 104,860 DaVita, Inc. (a) 6,792,831 106,369 Express Scripts Holding Co. (a) 6,662,954 46,726 HCA Healthcare, Inc. (a) 3,753,967 5,643 Humana, Inc. 1,304,661 35,246 Laboratory Corp. of America Holdings (a) 5,600,942 41,269 McKesson Corp. 6,680,213 24,439 Quest Diagnostics, Inc. 2,646,988 36,622 UnitedHealth Group, Inc. 7,024,466 55,623 Universal Health Services, Inc., Class B 6,164,697 --------------- 64,205,917 --------------- HEALTH CARE TECHNOLOGY -- 0.3% 81,730 Cerner Corp. (a) 5,260,960 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 3.8% 33,139 Aramark $ 1,320,920 103,565 Carnival Corp. 6,916,071 30,035 Darden Restaurants, Inc. 2,519,336 32,102 Domino's Pizza, Inc. 5,987,023 21,257 Las Vegas Sands Corp. 1,309,644 40,616 Marriott International, Inc., Class A 4,231,781 26,604 McDonald's Corp. 4,127,345 173,618 MGM Resorts International 5,717,241 125,079 Norwegian Cruise Line Holdings Ltd. (a) 6,888,100 62,169 Royal Caribbean Cruises Ltd. 7,029,449 67,627 Wyndham Worldwide Corp. 7,058,230 68,887 Yum China Holdings, Inc. (a) 2,465,466 36,826 Yum! Brands, Inc. 2,779,626 --------------- 58,350,232 --------------- HOUSEHOLD DURABLES -- 2.3% 196,431 D.R. Horton, Inc. 7,010,623 133,075 Garmin Ltd. 6,679,034 101,886 Lennar Corp., Class A 5,342,902 22,477 Mohawk Industries, Inc. (a) 5,596,548 126,646 Newell Brands, Inc. 6,676,777 28,352 Whirlpool Corp. 5,043,254 --------------- 36,349,138 --------------- HOUSEHOLD PRODUCTS -- 0.2% 26,176 Church & Dwight Co., Inc. 1,396,489 15,585 Procter & Gamble (The) Co. 1,415,430 --------------- 2,811,919 --------------- INDUSTRIAL CONGLOMERATES -- 0.7% 13,045 3M Co. 2,624,263 50,286 General Electric Co. 1,287,824 10,188 Honeywell International, Inc. 1,386,791 23,463 Roper Technologies, Inc. 5,454,209 --------------- 10,753,087 --------------- INSURANCE -- 5.4% 52,453 Aflac, Inc. 4,183,127 4,567 Alleghany Corp. (a) 2,801,124 46,070 Allstate (The) Corp. 4,192,370 43,443 American International Group, Inc. 2,843,344 29,113 Arch Capital Group Ltd. (a) 2,831,530 47,443 Arthur J. Gallagher & Co. 2,789,174 28,025 Chubb Ltd. 4,104,541 37,493 Cincinnati Financial Corp. 2,855,467 26,675 Everest Re Group, Ltd. 6,999,253 90,886 FNF Group 4,440,690 51,668 Hartford Financial Services Group (The), Inc. 2,841,740 60,288 Lincoln National Corp. 4,404,641 29,016 Loews Corp. 1,412,499 34,840 Marsh & McLennan Cos., Inc. 2,716,475 42,393 Principal Financial Group, Inc. 2,829,733 37,674 Prudential Financial, Inc. 4,265,827 See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 42,310 Reinsurance Group of America, Inc. $ 5,931,862 35,505 Torchmark Corp. 2,803,830 53,671 Travelers (The) Cos., Inc. 6,874,718 116,500 Unum Group 5,840,145 58,906 W. R. Berkley Corp. 4,062,747 31,007 XL Group Ltd. 1,376,711 --------------- 83,401,548 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.7% 7,016 Amazon.com, Inc. (a) 6,930,264 276,719 Liberty Interactive Corp. QVC Group, Class A (a) 6,624,653 36,361 Netflix, Inc. (a) 6,605,339 2,905 Priceline Group (The), Inc. (a) 5,892,793 --------------- 26,053,049 --------------- INTERNET SOFTWARE & SERVICES -- 1.1% 5,844 Alphabet, Inc., Class A (a) 5,525,502 38,891 eBay, Inc. (a) 1,389,575 35,979 Facebook, Inc., Class A (a) 6,089,446 76,002 Twitter, Inc. (a) 1,222,872 29,218 VeriSign, Inc. (a) 2,955,985 --------------- 17,183,380 --------------- IT SERVICES -- 3.5% 10,982 Accenture PLC, Class A 1,414,701 21,163 Alliance Data Systems Corp. 5,109,383 13,255 Automatic Data Processing, Inc. 1,576,152 71,897 Broadridge Financial Solutions, Inc. 5,454,106 40,909 Cognizant Technology Solutions Corp., Class A 2,835,812 47,710 Fidelity National Information Services, Inc. 4,352,106 22,200 Fiserv, Inc. (a) 2,852,700 43,988 Gartner, Inc. (a) 5,644,540 26,487 International Business Machines Corp. 3,831,874 33,550 Mastercard, Inc., Class A 4,287,690 126,527 PayPal Holdings, Inc. (a) 7,408,156 93,264 Total System Services, Inc. 5,918,534 21,444 Vantiv, Inc., Class A (a) 1,362,766 28,967 Visa, Inc., Class A 2,883,955 --------------- 54,932,475 --------------- LEISURE PRODUCTS -- 0.6% 60,897 Hasbro, Inc. 6,447,775 126,164 Mattel, Inc. 2,525,803 --------------- 8,973,578 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 15,655 Illumina, Inc. (a) 2,721,622 11,539 Mettler-Toledo International, Inc. (a) 6,612,770 7,782 Thermo Fisher Scientific, Inc. 1,365,974 SHARES DESCRIPTION VALUE ------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 29,552 Waters Corp. (a) $ 5,125,499 --------------- 15,825,865 --------------- MACHINERY -- 2.2% 25,115 Cummins, Inc. 4,216,809 10,989 Deere & Co. 1,409,669 50,792 Dover Corp. 4,266,528 42,875 Fortive Corp. 2,775,728 28,445 Illinois Tool Works, Inc. 4,002,496 74,306 Ingersoll-Rand PLC 6,530,011 82,261 PACCAR, Inc. 5,630,765 8,497 Parker-Hannifin Corp. 1,410,332 28,954 Stanley Black & Decker, Inc. 4,073,538 --------------- 34,315,876 --------------- MEDIA -- 2.4% 20,159 Charter Communications, Inc., Class A (a) 7,900,514 104,687 Comcast Corp., Class A 4,234,589 262,899 Discovery Communications, Inc., Class A (a) 6,467,315 21,637 DISH Network Corp., Class A (a) 1,385,417 110,417 Interpublic Group of Cos. (The), Inc. 2,386,111 993,151 Sirius XM Holdings, Inc. (b) 5,819,865 95,843 Twenty-First Century Fox, Inc., Class A 2,789,031 161,830 Viacom, Inc., Class B 5,651,104 --------------- 36,633,946 --------------- METALS & MINING -- 1.0% 83,861 Newmont Mining Corp. 3,117,113 117,343 Nucor Corp. 6,767,171 151,703 Steel Dynamics, Inc. 5,371,803 --------------- 15,256,087 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.3% 338,124 Annaly Capital Management, Inc. 4,067,632 --------------- MULTILINE RETAIL -- 1.3% 75,358 Dollar General Corp. 5,663,907 292,198 Macy's, Inc. 6,939,703 129,864 Target Corp. 7,359,393 --------------- 19,963,003 --------------- MULTI-UTILITIES -- 2.9% 99,369 Ameren Corp. 5,574,601 99,204 CenterPoint Energy, Inc. 2,796,561 88,097 CMS Energy Corp. 4,073,605 67,218 Consolidated Edison, Inc. 5,569,683 51,355 DTE Energy Co. 5,498,066 126,306 Public Service Enterprise Group, Inc. 5,679,981 101,339 SCANA Corp. 6,523,191 48,181 Sempra Energy 5,444,935 66,382 WEC Energy Group, Inc. 4,180,075 --------------- 45,340,698 --------------- Page 34 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS -- 3.5% 43,528 Andeavor $ 4,332,342 54,153 Cabot Oil & Gas Corp. 1,346,785 83,649 Cheniere Energy, Inc. (a) 3,780,935 52,068 Chevron Corp. 5,685,305 123,579 ConocoPhillips 5,606,779 23,182 EQT Corp. 1,476,693 50,468 Exxon Mobil Corp. 4,039,459 141,765 Kinder Morgan, Inc. 2,896,259 103,810 Marathon Petroleum Corp. 5,812,322 191,961 Noble Energy, Inc. 5,549,592 22,687 Occidental Petroleum Corp. 1,405,006 26,040 ONEOK, Inc. 1,473,083 32,849 Phillips 66 2,751,104 58,616 Range Resources Corp. 1,237,384 100,663 Valero Energy Corp. 6,942,727 --------------- 54,335,775 --------------- PHARMACEUTICALS -- 1.3% 27,932 Allergan PLC 7,048,081 20,530 Johnson & Johnson 2,724,742 139,944 Mylan N.V. (a) 5,456,417 40,435 Pfizer, Inc. 1,340,825 65,314 Zoetis, Inc. 4,083,431 --------------- 20,653,496 --------------- PROFESSIONAL SERVICES -- 0.1% 9,884 Equifax, Inc. 1,437,529 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 74,621 CBRE Group, Inc., Class A (a) 2,834,852 --------------- ROAD & RAIL -- 1.0% 124,465 CSX Corp. 6,141,103 14,861 J.B. Hunt Transport Services, Inc. 1,348,041 38,932 Kansas City Southern 4,017,393 33,481 Norfolk Southern Corp. 3,769,291 --------------- 15,275,828 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.7% 108,826 Advanced Micro Devices, Inc. (a) 1,481,122 164,383 Applied Materials, Inc. 7,283,811 201,264 Intel Corp. 7,138,834 14,841 KLA-Tencor Corp. 1,374,722 48,014 Lam Research Corp. 7,656,312 30,245 Maxim Integrated Products, Inc. 1,374,333 70,390 Microchip Technology, Inc. 5,634,016 181,936 Micron Technology, Inc. (a) 5,116,040 46,973 NVIDIA Corp. 7,633,582 42,895 Qorvo, Inc. (a) 2,940,881 98,380 QUALCOMM, Inc. 5,232,832 14,152 Skyworks Solutions, Inc. 1,484,120 42,234 Xilinx, Inc. 2,671,723 --------------- 57,022,328 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE -- 4.6% 117,956 Activision Blizzard, Inc. $ 7,287,322 48,014 Adobe Systems, Inc. (a) 7,033,571 44,645 ANSYS, Inc. (a) 5,783,760 40,415 Autodesk, Inc. (a) 4,477,578 118,199 CA, Inc. 3,668,897 51,389 Electronic Arts, Inc. (a) 5,999,152 30,681 Intuit, Inc. 4,209,740 19,705 Microsoft Corp. 1,432,553 27,087 Oracle Corp. 1,352,454 56,735 Red Hat, Inc. (a) 5,609,389 31,364 salesforce.com, Inc. (a) 2,847,851 64,066 ServiceNow, Inc. (a) 7,076,090 55,869 Synopsys, Inc. (a) 4,277,889 31,068 VMware, Inc., Class A (a) 2,880,314 70,005 Workday, Inc., Class A (a) 7,148,211 --------------- 71,084,771 --------------- SPECIALTY RETAIL -- 3.2% 23,295 Advance Auto Parts, Inc. 2,609,273 94,758 Best Buy Co., Inc. 5,528,181 86,148 CarMax, Inc. (a) 5,707,305 137,796 Foot Locker, Inc. 6,502,593 308,807 Gap (The), Inc. 7,358,871 26,562 Home Depot (The), Inc. 3,973,675 75,610 L Brands, Inc. 3,507,548 17,520 Lowe's Cos., Inc. 1,356,048 28,939 Tiffany & Co. 2,763,964 37,639 TJX (The) Cos., Inc. 2,646,398 100,215 Tractor Supply Co. 5,624,066 9,456 Ulta Beauty, Inc. (a) 2,375,442 --------------- 49,953,364 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.4% 18,859 Apple, Inc. 2,804,899 409,322 Hewlett Packard Enterprise Co. 7,167,228 77,697 HP, Inc. 1,484,013 33,910 NetApp, Inc. 1,472,372 105,145 Seagate Technology PLC 3,465,579 61,312 Western Digital Corp. 5,218,878 --------------- 21,612,969 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 28,689 Coach, Inc. 1,352,399 58,641 Hanesbrands, Inc. 1,344,052 23,020 NIKE, Inc., Class B 1,359,331 47,157 VF Corp. 2,932,694 --------------- 6,988,476 --------------- TOBACCO -- 0.1% 11,564 Philip Morris International, Inc. 1,349,634 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.4% 24,099 United Rentals, Inc. (a) 2,866,817 22,570 W.W. Grainger, Inc. 3,763,322 --------------- 6,630,139 --------------- See Notes to Financial Statements Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 67,212 T-Mobile US, Inc. (a) $ 4,144,292 --------------- TOTAL COMMON STOCKS -- 99.9% 1,552,838,089 (Cost $1,376,917,921) --------------- MONEY MARKET FUNDS -- 0.2% 2,664,161 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 2,664,161 95,762 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (c) 95,762 --------------- TOTAL MONEY MARKET FUNDS -- 0.2% 2,759,923 (Cost $2,759,923) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.6% $ 2,141,871 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $2,141,927. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $2,186,869. (d) 2,141,871 7,375,654 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $7,375,863. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $7,559,035. (d) 7,375,654 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.6% 9,517,525 (Cost $9,517,525) --------------- TOTAL INVESTMENTS -- 100.7% 1,565,115,537 (Cost $1,389,195,369) (e) NET OTHER ASSETS AND LIABILITIES -- (0.7)% (10,668,420) --------------- NET ASSETS -- 100.0% $ 1,554,447,117 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $11,855,646 and the total value of the collateral held by the Fund is $12,193,276. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,403,202,006. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $192,256,759 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $30,343,228. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $1,552,838,089$ -- $ -- Money Market Funds 2,759,923 -- -- Repurchase Agreements -- 9,517,525 -- -------------------------------------------- Total Investments $1,555,598,012 $ 9,517,525 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. Page 36 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 11,855,646 Non-cash Collateral(2) (11,855,646) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 9,517,525 Non-cash Collateral(4) (9,517,525) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.9% 41,938 BWX Technologies, Inc. $ 2,209,294 21,566 Esterline Technologies Corp. (a) 2,081,119 21,344 HEICO Corp. 1,715,417 29,046 Hexcel Corp. 1,486,284 20,445 KLX, Inc. (a) 1,061,504 15,589 Orbital ATK, Inc. 1,592,884 35,286 Spirit AeroSystems Holdings, Inc., Class A 2,132,333 8,009 Teledyne Technologies, Inc. (a) 1,091,947 --------------- 13,370,782 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 39,541 XPO Logistics, Inc. (a) 2,376,810 --------------- AIRLINES -- 0.8% 21,773 Hawaiian Holdings, Inc. (a) 901,403 111,940 JetBlue Airways Corp. (a) 2,454,844 49,479 Spirit Airlines, Inc. (a) 1,922,259 --------------- 5,278,506 --------------- AUTO COMPONENTS -- 1.1% 114,446 Dana, Inc. 2,714,659 26,943 Gentex Corp. 458,570 14,974 LCI Industries 1,598,474 35,353 Tenneco, Inc. 1,955,021 5,009 Visteon Corp. (a) 558,704 --------------- 7,285,428 --------------- AUTOMOBILES -- 0.4% 24,450 Thor Industries, Inc. 2,575,808 --------------- BANKS -- 4.8% 40,565 Associated Banc-Corp. 971,532 33,515 BancorpSouth, Inc. 1,007,126 45,487 BankUnited, Inc. 1,565,663 18,226 BOK Financial Corp. 1,550,486 13,468 Cathay General Bancorp 504,377 8,993 Commerce Bancshares, Inc. 521,954 9,165 Community Bank System, Inc. 503,159 10,885 Cullen/Frost Bankers, Inc. 988,140 22,787 CVB Financial Corp. 490,832 34,900 East West Bancorp, Inc. 1,988,602 36,095 F.N.B. Corp. 494,502 4,113 First Citizens BancShares, Inc., Class A 1,513,666 11,563 First Financial Bankshares, Inc. 500,100 29,340 First Horizon National Corp. 511,396 26,901 Fulton Financial Corp. 490,943 27,922 Glacier Bancorp, Inc. 975,036 12,524 Great Western Bancorp, Inc. 488,561 31,293 Hancock Holding Co. 1,439,478 19,501 Hilltop Holdings, Inc. 488,110 6,271 IBERIABANK Corp. 507,010 38,257 Investors Bancorp, Inc. 508,053 11,606 MB Financial, Inc. 474,685 28,942 People's United Financial, Inc. 504,748 24,508 Popular, Inc. 1,032,767 15,913 Prosperity Bancshares, Inc. 1,020,023 43,967 Sterling Bancorp 1,015,638 46,213 Synovus Financial Corp. 2,009,341 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 128,260 TCF Financial Corp. $ 2,021,378 6,604 Texas Capital Bancshares, Inc. (a) 517,423 13,655 UMB Financial Corp. 951,207 83,516 Umpqua Holdings Corp. 1,548,387 86,557 Valley National Bancorp 1,028,297 19,575 Webster Financial Corp. 1,016,530 20,777 Western Alliance Bancorp (a) 1,046,745 20,059 Wintrust Financial Corp. 1,510,643 --------------- 33,706,538 --------------- BIOTECHNOLOGY -- 2.0% 32,041 Alnylam Pharmaceuticals, Inc. (a) 2,651,072 24,328 Bluebird Bio, Inc. (a) 2,292,914 103,759 Exelixis, Inc. (a) 2,812,907 8,444 Intercept Pharmaceuticals, Inc. (a) (b) 989,046 21,217 Intrexon Corp. (a) (b) 458,075 40,190 Ionis Pharmaceuticals, Inc. (a) 2,105,956 24,651 Kite Pharma, Inc. (a) 2,672,415 --------------- 13,982,385 --------------- BUILDING PRODUCTS -- 1.1% 27,221 A.O. Smith Corp. 1,457,685 18,902 Allegion PLC 1,535,598 11,133 Lennox International, Inc. 1,903,743 38,188 Owens Corning 2,560,505 --------------- 7,457,531 --------------- CAPITAL MARKETS -- 2.7% 161,746 BGC Partners, Inc., Class A 2,039,617 11,184 CBOE Holdings, Inc. 1,057,223 32,404 Eaton Vance Corp. 1,590,712 21,750 Evercore Partners, Inc., Class A 1,710,637 3,076 FactSet Research Systems, Inc. 514,369 72,370 Federated Investors, Inc., Class B 2,086,427 66,970 Legg Mason, Inc. 2,679,470 24,075 LPL Financial Holdings, Inc. 1,101,672 10,166 MarketAxess Holdings, Inc. 2,062,580 19,851 MSCI, Inc. 2,162,766 19,007 SEI Investments Co. 1,074,086 11,116 Stifel Financial Corp. (a) 565,249 --------------- 18,644,808 --------------- CHEMICALS -- 2.4% 7,755 Ashland Global Holdings, Inc. 503,842 47,831 Cabot Corp. 2,598,658 53,915 Chemours (The) Co. 2,566,893 30,000 H.B. Fuller Co. 1,545,600 6,982 Minerals Technologies, Inc. 494,326 1,110 NewMarket Corp. 510,722 67,518 Olin Corp. 1,990,431 161,235 Platform Specialty Products Corp. (a) 2,258,902 39,580 PolyOne Corp. 1,447,837 6,347 Sensient Technologies Corp. 471,963 37,198 Trinseo S.A. 2,615,019 --------------- 17,004,193 --------------- Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES -- 1.7% 9,155 Clean Harbors, Inc. (a) $ 520,004 32,156 Copart, Inc. (a) 1,012,592 36,920 Deluxe Corp. 2,665,624 32,742 Healthcare Services Group, Inc. 1,710,769 12,178 KAR Auction Services, Inc. 511,963 25,187 MSA Safety, Inc. 2,018,990 37,665 Rollins, Inc. 1,635,038 13,394 Stericycle, Inc. (a) 1,032,410 22,344 Tetra Tech, Inc. 1,060,223 --------------- 12,167,613 --------------- COMMUNICATIONS EQUIPMENT -- 1.3% 17,061 Arista Networks, Inc. (a) 2,547,037 61,285 Ciena Corp. (a) 1,578,089 26,880 CommScope Holding Co., Inc. (a) 988,646 39,347 Finisar Corp. (a) 1,071,025 6,613 InterDigital, Inc. 481,757 29,715 NetScout Systems, Inc. (a) 1,025,168 19,670 Ubiquiti Networks, Inc. (a) (b) 1,072,015 7,721 ViaSat, Inc. (a) 510,281 --------------- 9,274,018 --------------- CONSTRUCTION & ENGINEERING -- 2.1% 63,237 AECOM (a) 2,017,260 17,128 Dycom Industries, Inc. (a) 1,551,797 23,452 EMCOR Group, Inc. 1,583,010 33,493 Fluor Corp. 1,454,601 18,794 Jacobs Engineering Group, Inc. 990,820 56,602 MasTec, Inc. (a) 2,615,012 77,630 Quanta Services, Inc. (a) 2,618,460 10,249 Valmont Industries, Inc. 1,565,022 --------------- 14,395,982 --------------- CONSTRUCTION MATERIALS -- 0.3% 70,816 Summit Materials, Inc., Class A (a) 2,014,007 --------------- CONSUMER FINANCE -- 1.4% 9,938 Credit Acceptance Corp. (a) (b) 2,475,556 122,790 Navient Corp. 1,811,152 83,142 OneMain Holdings, Inc. (a) 2,223,217 200,280 Santander Consumer USA Holdings, Inc. (a) 2,565,587 88,890 SLM Corp. (a) 984,901 --------------- 10,060,413 --------------- CONTAINERS & PACKAGING -- 2.1% 11,768 AptarGroup, Inc. 952,384 5,783 Avery Dennison Corp. 537,414 33,154 Bemis Co., Inc. 1,404,735 44,827 Berry Global Group, Inc. (a) 2,513,898 17,134 Crown Holdings, Inc. (a) 1,018,959 111,272 Graphic Packaging Holding Co. 1,467,678 36,653 Greif, Inc., Class A 2,055,867 106,838 Owens-Illinois, Inc. (a) 2,553,428 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONTAINERS & PACKAGING (CONTINUED) 16,083 Silgan Holdings, Inc. $ 487,315 39,760 Sonoco Products Co. 1,927,565 --------------- 14,919,243 --------------- DISTRIBUTORS -- 0.2% 13,042 Pool Corp. 1,410,101 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.2% 19,860 Bright Horizons Family Solutions, Inc. (a) 1,569,139 3,409 Graham Holdings Co., Class B 2,019,492 32,592 Grand Canyon Education, Inc. (a) 2,397,793 49,606 H&R Block, Inc. 1,512,983 15,280 Service Corp. International 530,674 13,042 ServiceMaster Global Holdings, Inc. (a) 573,326 --------------- 8,603,407 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% 146,870 Frontier Communications Corp. (b) 2,248,580 16,541 Zayo Group Holdings, Inc. (a) 542,379 --------------- 2,790,959 --------------- ELECTRIC UTILITIES -- 2.1% 28,522 ALLETE, Inc. 2,089,807 87,280 Great Plains Energy, Inc. 2,693,461 63,140 Hawaiian Electric Industries, Inc. 2,082,988 17,966 IDACORP, Inc. 1,551,544 58,766 OGE Energy Corp. 2,107,349 53,450 PNM Resources, Inc. 2,129,982 44,746 Portland General Electric Co. 1,999,699 --------------- 14,654,830 --------------- ELECTRICAL EQUIPMENT -- 1.1% 21,164 EnerSys 1,529,522 28,293 Generac Holdings, Inc. (a) 1,017,699 9,033 Hubbell, Inc. 1,073,030 31,338 Regal Beloit Corp. 2,612,022 23,928 Sensata Technologies Holding N.V. (a) 1,079,632 --------------- 7,311,905 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.4% 19,608 Anixter International, Inc. (a) 1,544,130 32,588 Arrow Electronics, Inc. (a) 2,649,079 52,584 Avnet, Inc. 2,018,174 125,120 AVX Corp. 2,235,894 27,104 Belden, Inc. 1,949,862 24,081 Cognex Corp. 2,289,140 11,359 Coherent, Inc. (a) 3,010,135 31,319 Dolby Laboratories, Inc., Class A 1,620,758 29,492 FLIR Systems, Inc. 1,100,641 See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 17,612 IPG Photonics Corp. (a) $ 2,688,296 52,530 Jabil, Inc. 1,602,165 39,388 Keysight Technologies, Inc. (a) 1,638,147 12,391 Littelfuse, Inc. 2,232,610 67,075 Sanmina Corp. (a) 2,404,639 17,043 SYNNEX Corp. 2,026,754 15,182 Tech Data Corp. (a) 1,554,637 23,392 Universal Display Corp. 2,821,075 20,339 Zebra Technologies Corp., Class A (a) 2,068,883 --------------- 37,455,019 --------------- ENERGY EQUIPMENT & SERVICES -- 0.8% 18,811 Helmerich & Payne, Inc. (b) 952,213 67,134 Oceaneering International, Inc. 1,721,987 25,315 Patterson-UTI Energy, Inc. 489,592 310,519 Transocean Ltd. (a) 2,685,989 --------------- 5,849,781 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.0% 36,771 Acadia Realty Trust 1,093,570 22,646 American Homes 4 Rent, Class A 521,084 45,676 Columbia Property Trust, Inc. 993,453 92,660 CoreCivic, Inc. 2,566,682 14,811 CoreSite Realty Corp. 1,608,178 14,590 Corporate Office Properties Trust 485,701 58,147 Cousins Properties, Inc. 534,371 18,336 CyrusOne, Inc. 1,094,843 19,128 DCT Industrial Trust, Inc. 1,077,671 112,704 DDR Corp. 1,148,454 13,377 Douglas Emmett, Inc. 511,804 80,873 Equity Commonwealth (a) 2,553,969 11,840 Equity LifeStyle Properties, Inc. 1,033,632 13,568 Gaming and Leisure Properties, Inc. 514,770 34,570 GEO Group (The), Inc. 1,014,629 17,203 Gramercy Property Trust 519,875 70,136 Hospitality Properties Trust 2,038,152 6,802 Kilroy Realty Corp. 472,127 6,947 Lamar Advertising Co., Class A 490,250 85,757 LaSalle Hotel Properties 2,533,262 13,795 Life Storage, Inc. 1,007,587 6,453 National Health Investors, Inc. 498,494 66,321 Outfront Media, Inc. 1,516,761 25,378 Physicians Realty Trust 472,538 48,493 Piedmont Office Realty Trust, Inc., Class A 1,018,838 7,721 PS Business Parks, Inc. 1,038,166 35,532 Rayonier, Inc. 1,032,915 41,860 Retail Properties of America, Inc., Class A 553,808 128,615 RLJ Lodging Trust 2,721,493 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 15,970 Ryman Hospitality Properties, Inc. $ 999,562 75,017 Senior Housing Properties Trust 1,459,081 44,691 Starwood Waypoint Homes 1,562,397 11,658 Sun Communities, Inc. 1,037,679 158,534 Sunstone Hotel Investors, Inc. 2,580,934 20,331 Uniti Group, Inc. 520,474 15,486 WP Carey, Inc. 1,060,946 --------------- 41,888,150 --------------- FOOD & STAPLES RETAILING -- 0.7% 14,316 Casey's General Stores, Inc. 1,528,233 5,835 PriceSmart, Inc. 491,599 45,091 Sprouts Farmers Market, Inc. (a) 1,085,340 56,331 US Foods Holding Corp. (a) 1,585,718 --------------- 4,690,890 --------------- FOOD PRODUCTS -- 1.2% 88,582 Flowers Foods, Inc. 1,558,157 50,198 Fresh Del Monte Produce, Inc. 2,583,691 93,270 Pilgrim's Pride Corp. (a) 2,265,528 13,165 Post Holdings, Inc. (a) 1,095,328 14,764 Snyder's-Lance, Inc. 513,640 --------------- 8,016,344 --------------- GAS UTILITIES -- 1.3% 27,459 National Fuel Gas Co. 1,625,847 25,748 New Jersey Resources Corp. 1,085,278 21,964 ONE Gas, Inc. 1,598,540 29,916 South Jersey Industries, Inc. 1,016,247 27,983 Southwest Gas Holdings, Inc. 2,241,438 21,984 Spire, Inc. 1,596,039 --------------- 9,163,389 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.6% 14,267 ABIOMED, Inc. (a) 2,112,800 17,024 Align Technology, Inc. (a) 2,846,923 6,561 Cantel Medical Corp. 486,826 6,987 DexCom, Inc. (a) 465,404 32,101 Hill-Rom Holdings, Inc. 2,392,167 37,506 Integra LifeSciences Holdings Corp. (a) 1,862,548 16,817 Masimo Corp. (a) 1,590,888 14,792 Neogen Corp. (a) 974,349 19,934 NuVasive, Inc. (a) 1,311,458 4,921 Teleflex, Inc. 1,019,730 16,222 West Pharmaceutical Services, Inc. 1,438,891 55,778 Wright Medical Group N.V. (a) 1,465,288 --------------- 17,967,272 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.5% 2,499 Chemed Corp. 493,552 51,286 HealthEquity, Inc. (a) 2,352,489 52,801 HealthSouth Corp. 2,247,210 33,866 MEDNAX, Inc. (a) 1,591,025 Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 14,777 Molina Healthcare, Inc. (a) $ 987,104 10,886 Patterson Cos., Inc. 454,164 14,233 WellCare Health Plans, Inc. (a) 2,519,099 --------------- 10,644,643 --------------- HEALTH CARE TECHNOLOGY -- 1.1% 10,909 athenahealth, Inc. (a) 1,508,933 27,524 Cotiviti Holdings, Inc. (a) 1,184,908 32,680 Medidata Solutions, Inc. (a) 2,510,151 41,682 Veeva Systems, Inc., Class A (a) 2,657,644 --------------- 7,861,636 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 12,102 Buffalo Wild Wings, Inc. (a) 1,300,965 40,646 Cheesecake Factory (The), Inc. 1,933,937 15,910 Choice Hotels International, Inc. 1,028,581 6,112 Cracker Barrel Old Country Store, Inc. 950,110 9,273 Dunkin' Brands Group, Inc. 491,747 92,964 ILG, Inc. 2,464,476 5,189 Jack in the Box, Inc. 481,332 30,095 Texas Roadhouse, Inc. 1,423,494 10,080 Vail Resorts, Inc. 2,124,461 98,862 Wendy's (The) Co. 1,526,429 --------------- 13,725,532 --------------- HOUSEHOLD DURABLES -- 1.8% 72,293 CalAtlantic Group, Inc. 2,537,484 21,726 Helen of Troy Ltd. (a) 2,188,895 9,730 Leggett & Platt, Inc. 468,791 424 NVR, Inc. (a) 1,106,827 104,182 PulteGroup, Inc. 2,544,124 19,146 Tempur Sealy International, Inc. (a) (b) 1,104,150 51,746 Toll Brothers, Inc. 1,996,878 14,556 Tupperware Brands Corp. 883,695 --------------- 12,830,844 --------------- HOUSEHOLD PRODUCTS -- 0.1% 57,720 HRG Group, Inc. (a) 956,420 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5% 151,105 Calpine Corp. (a) 2,172,890 26,131 Ormat Technologies, Inc. 1,549,568 --------------- 3,722,458 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 16,073 Carlisle Cos., Inc. 1,568,564 --------------- INSURANCE -- 5.1% 15,431 American Financial Group, Inc. 1,564,703 13,164 American National Insurance Co. 1,566,516 168,796 AmTrust Financial Services, Inc. (b) 2,700,736 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 41,013 Aspen Insurance Holdings Ltd. $ 2,001,434 19,717 Assurant, Inc. 2,075,609 61,226 Assured Guaranty Ltd. 2,755,782 39,523 Axis Capital Holdings Ltd. 2,552,395 11,867 Brown & Brown, Inc. 529,268 122,393 CNO Financial Group, Inc. 2,800,352 10,292 Enstar Group Ltd. (a) 2,085,159 4,086 Erie Indemnity Co., Class A 520,802 45,748 First American Financial Corp. 2,214,661 5,767 Hanover Insurance Group (The), Inc. 547,058 96,894 National General Holdings Corp. 2,055,122 104,683 Old Republic International Corp. 2,053,880 13,495 Primerica, Inc. 1,093,770 16,813 ProAssurance Corp. 1,039,043 18,379 RenaissanceRe Holdings Ltd. 2,700,059 9,358 RLI Corp. 543,326 39,339 Validus Holdings Ltd. 2,116,045 --------------- 35,515,720 --------------- INTERNET SOFTWARE & SERVICES -- 1.5% 16,220 Cimpress N.V. (a) (b) 1,431,253 7,756 CoStar Group, Inc. (a) 2,137,166 58,613 GrubHub, Inc. (a) 2,703,818 18,020 j2 Global, Inc. 1,525,032 4,891 LogMeIn, Inc. 569,557 52,143 Zillow Group, Inc., Class C (a) 2,354,778 --------------- 10,721,604 --------------- IT SERVICES -- 3.6% 24,963 Black Knight Financial Services, Inc., Class A (a) 1,060,927 15,708 Booz Allen Hamilton Holding Corp. 538,784 16,349 CACI International, Inc., Class A (a) 2,045,260 47,130 CoreLogic, Inc. (a) 2,146,771 32,196 CSRA, Inc. 1,049,912 41,419 DST Systems, Inc. 2,273,903 30,392 EPAM Systems, Inc. (a) 2,611,585 5,850 Euronet Worldwide, Inc. (a) 565,169 140,416 First Data Corp., Class A (a) 2,620,163 36,731 Genpact Ltd. 1,065,199 9,842 Jack Henry & Associates, Inc. 1,056,243 19,776 Leidos Holdings, Inc. 1,056,829 24,483 MAXIMUS, Inc. 1,477,794 23,478 Sabre Corp. 519,568 108,933 Square, Inc., Class A (a) 2,870,385 51,995 Teradata Corp. (a) 1,654,481 4,902 WEX, Inc. (a) 532,749 --------------- 25,145,722 --------------- LEISURE PRODUCTS -- 0.3% 24,443 Brunswick Corp. 1,383,718 5,541 Polaris Industries, Inc. 496,806 --------------- 1,880,524 --------------- See Notes to Financial Statements Page 41 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES -- 1.0% 8,700 Bio-Techne Corp. $ 1,008,417 17,722 Bruker Corp. 508,267 5,053 Charles River Laboratories International, Inc. (a) 496,204 34,948 INC Research Holdings, Inc., Class A (a) 1,922,140 7,501 PerkinElmer, Inc. 493,791 34,070 PRA Health Sciences, Inc. (a) 2,534,808 --------------- 6,963,627 --------------- MACHINERY -- 3.5% 15,169 AGCO Corp. 1,094,292 40,878 Allison Transmission Holdings, Inc. 1,545,188 26,198 Barnes Group, Inc. 1,576,596 25,965 Colfax Corp. (a) 1,071,835 11,224 Donaldson Co., Inc. 533,028 4,523 IDEX Corp. 527,110 50,883 ITT, Inc. 2,086,203 26,077 John Bean Technologies Corp. 2,409,515 54,636 Kennametal, Inc. 2,016,068 5,550 Lincoln Electric Holdings, Inc. 484,293 12,639 Nordson Corp. 1,605,153 14,840 Oshkosh Corp. 1,021,882 33,154 Timken (The) Co. 1,508,507 29,506 Toro (The) Co. 2,097,581 91,173 Trinity Industries, Inc. 2,499,052 4,008 WABCO Holdings, Inc. (a) 551,381 5,586 Wabtec Corp. 420,961 22,690 Woodward, Inc. 1,586,939 --------------- 24,635,584 --------------- MARINE -- 0.3% 30,583 Kirby Corp. (a) 1,862,505 --------------- MEDIA -- 1.8% 19,139 AMC Networks, Inc., Class A (a) 1,223,939 2,157 Cable One, Inc. 1,639,104 52,624 Cinemark Holdings, Inc. 2,047,074 29,068 John Wiley & Sons, Inc., Class A 1,606,007 73,331 Live Nation Entertainment, Inc. (a) 2,733,046 37,308 News Corp., Class A 533,878 177,347 TEGNA, Inc. 2,630,056 --------------- 12,413,104 --------------- METALS & MINING -- 1.5% 78,272 Alcoa Corp. 2,849,101 31,309 Compass Minerals International, Inc. 2,161,886 100,218 Hecla Mining Co. 542,179 35,099 Reliance Steel & Aluminum Co. 2,539,764 6,539 Royal Gold, Inc. 566,670 40,710 Worthington Industries, Inc. 2,062,776 --------------- 10,722,376 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.8% 120,036 AGNC Investment Corp. $ 2,542,363 16,175 Blackstone Mortgage Trust, Inc., Class A 499,322 137,175 Chimera Investment Corp. 2,581,634 304,598 MFA Financial, Inc. 2,586,037 32,848 New Residential Investment Corp. 558,416 68,484 Starwood Property Trust, Inc. 1,509,387 257,878 Two Harbors Investment Corp. 2,550,413 --------------- 12,827,572 --------------- MULTILINE RETAIL -- 0.5% 66,086 Kohl's Corp. 2,732,656 21,372 Nordstrom, Inc. (b) 1,038,038 --------------- 3,770,694 --------------- MULTI-UTILITIES -- 1.4% 48,150 Avista Corp. 2,533,171 15,151 Black Hills Corp. 1,055,419 19,508 MDU Resources Group, Inc. 514,036 60,464 NiSource, Inc. 1,575,692 41,881 NorthWestern Corp. 2,420,303 26,238 Vectren Corp. 1,577,166 --------------- 9,675,787 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.3% 23,651 Antero Resources Corp. (a) 487,684 79,768 Murphy Oil Corp. 2,120,233 114,805 PBF Energy, Inc., Class A (b) 2,614,110 202,422 QEP Resources, Inc. (a) 1,734,756 18,931 SemGroup Corp., Class A 512,084 39,879 World Fuel Services Corp. 1,289,687 --------------- 8,758,554 --------------- PAPER & FOREST PRODUCTS -- 0.7% 66,517 Domtar Corp. 2,598,154 84,797 Louisiana-Pacific Corp. (a) 2,129,253 --------------- 4,727,407 --------------- PERSONAL PRODUCTS -- 0.4% 13,447 Edgewell Personal Care Co. (a) 970,874 7,165 Herbalife Ltd. (a) (b) 476,544 24,400 Nu Skin Enterprises, Inc., Class A 1,545,984 --------------- 2,993,402 --------------- PHARMACEUTICALS -- 0.2% 9,861 Jazz Pharmaceuticals PLC (a) 1,514,748 --------------- PROFESSIONAL SERVICES -- 0.7% 13,733 ManpowerGroup, Inc. 1,471,491 31,992 Robert Half International, Inc. 1,447,638 47,205 TransUnion (a) 2,163,405 --------------- 5,082,534 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 8,321 Howard Hughes (The) Corp. (a) 1,046,865 16,356 Jones Lang LaSalle, Inc. 2,080,810 63,004 Realogy Holdings Corp. 2,091,733 --------------- 5,219,408 --------------- Page 42 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL -- 1.4% 5,585 AMERCO $ 2,170,108 29,895 Genesee & Wyoming, Inc., Class A (a) 1,947,958 27,591 Knight Transportation, Inc. 983,619 5,971 Landstar System, Inc. 496,489 21,466 Old Dominion Freight Line, Inc. 2,058,804 28,403 Ryder System, Inc. 2,066,602 --------------- 9,723,580 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.8% 16,453 Cavium, Inc. (a) 1,019,099 40,745 Cirrus Logic, Inc. (a) 2,503,373 112,333 Cypress Semiconductor Corp. 1,595,129 93,141 Entegris, Inc. (a) 2,430,980 39,637 Integrated Device Technology, Inc. (a) 1,036,111 36,659 MACOM Technology Solutions Holdings, Inc. (a) 2,219,702 30,939 Marvell Technology Group Ltd. 481,411 10,921 Microsemi Corp. (a) 568,766 30,379 MKS Instruments, Inc. 2,541,203 15,906 Monolithic Power Systems, Inc. 1,627,502 145,616 ON Semiconductor Corp. (a) 2,176,959 14,956 Silicon Laboratories, Inc. (a) 1,123,196 --------------- 19,323,431 --------------- SOFTWARE -- 4.7% 9,249 Aspen Technology, Inc. (a) 525,991 23,843 Blackbaud, Inc. 2,201,663 61,047 Cadence Design Systems, Inc. (a) 2,252,634 18,601 Ellie Mae, Inc. (a) 1,622,379 10,999 Fair Isaac Corp. 1,567,907 40,954 Fortinet, Inc. (a) 1,511,612 22,316 Guidewire Software, Inc. (a) 1,610,323 37,357 Paycom Software, Inc. (a) 2,618,352 43,797 Pegasystems, Inc. 2,647,529 23,546 Proofpoint, Inc. (a) 2,007,061 18,545 PTC, Inc. (a) 1,023,498 56,870 RealPage, Inc. (a) 2,203,712 8,984 Splunk, Inc. (a) 539,130 66,534 SS&C Technologies Holdings, Inc. 2,578,858 33,368 Tableau Software, Inc., Class A (a) 2,150,568 34,827 Take-Two Interactive Software, Inc. (a) 2,768,050 8,729 Tyler Technologies, Inc. (a) 1,499,729 4,866 Ultimate Software Group (The), Inc. (a) 1,098,305 --------------- 32,427,301 --------------- SPECIALTY RETAIL -- 3.9% 212,081 American Eagle Outfitters, Inc. 2,511,039 60,616 AutoNation, Inc. (a) (b) 2,568,906 84,064 Bed Bath & Beyond, Inc. 2,513,514 16,668 Burlington Stores, Inc. (a) 1,450,616 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 64,163 Dick's Sporting Goods, Inc. $ 2,395,846 118,258 GameStop Corp., Class A 2,565,016 82,794 Michaels (The) Cos., Inc. (a) 1,667,471 46,560 Penske Automotive Group, Inc. 2,027,222 75,720 Sally Beauty Holdings, Inc. (a) 1,531,816 40,411 Signet Jewelers Ltd. (b) 2,471,537 137,840 Urban Outfitters, Inc. (a) 2,700,286 52,692 Williams-Sonoma, Inc. 2,446,489 --------------- 26,849,758 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.1% 25,030 NCR Corp. (a) 947,386 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 17,238 Carter's, Inc. 1,495,052 26,410 Columbia Sportswear Co. 1,599,918 17,855 PVH Corp. 2,129,923 69,304 Skechers U.S.A., Inc., Class A (a) 1,946,749 --------------- 7,171,642 --------------- THRIFTS & MORTGAGE FINANCE -- 1.4% 55,047 Essent Group Ltd. (a) 2,114,906 228,177 MGIC Investment Corp. (a) 2,662,825 116,782 New York Community Bancorp, Inc. 1,533,347 156,304 Radian Group, Inc. 2,722,816 15,395 Washington Federal, Inc. 514,963 --------------- 9,548,857 --------------- TOBACCO -- 0.1% 23,973 Vector Group Ltd. 482,577 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 68,404 Air Lease Corp. 2,707,431 20,861 Beacon Roofing Supply, Inc. (a) 958,146 11,892 MSC Industrial Direct Co., Inc., Class A 846,829 35,008 Univar, Inc. (a) 1,086,648 17,840 WESCO International, Inc. (a) 914,300 --------------- 6,513,354 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.1% 13,038 Macquarie Infrastructure Corp. 988,411 --------------- WATER UTILITIES -- 0.1% 15,348 Aqua America, Inc. 512,316 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 92,093 Telephone & Data Systems, Inc. 2,618,204 --------------- TOTAL COMMON STOCKS -- 99.9% 697,163,898 (Cost $622,639,882) --------------- See Notes to Financial Statements Page 43 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.7% 3,560,402 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) $ 3,560,402 1,125,516 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (c) 1,125,516 --------------- TOTAL MONEY MARKET FUNDS -- 0.7% 4,685,918 (Cost $4,685,918) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.8% $ 2,862,411 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $2,862,485. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $2,922,546. (d) 2,862,411 9,856,872 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $9,857,152. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $10,101,944. (d) 9,856,872 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.8% 12,719,283 (Cost $12,719,283) --------------- TOTAL INVESTMENTS -- 102.4% 714,569,099 (Cost $640,045,083) (e) NET OTHER ASSETS AND LIABILITIES -- (2.4)% (16,574,381) --------------- NET ASSETS -- 100.0% $ 697,994,718 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $15,867,249 and the total value of the collateral held by the Fund is $16,295,174. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $643,960,861. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $88,320,421 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $17,712,183. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 697,163,898 $ -- $ -- Money Market Funds 4,685,918 -- -- Repurchase Agreements -- 12,719,283 -- -------------------------------------------- Total Investments $ 701,849,816 $ 12,719,283 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. Page 44 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 15,867,249 Non-cash Collateral(2) (15,867,249) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 12,719,283 Non-cash Collateral(4) (12,719,283) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.4% 35,545 AAR Corp. $ 1,329,383 14,850 Aerojet Rocketdyne Holdings, Inc. (a) 348,233 24,574 Axon Enterprise, Inc. (a) (b) 604,275 10,876 Engility Holdings, Inc. (a) 317,253 29,355 Mercury Systems, Inc. (a) 1,288,978 12,920 Moog, Inc., Class A (a) 960,214 19,550 Triumph Group, Inc. 500,480 142,344 Wesco Aircraft Holdings, Inc. (a) 1,544,432 --------------- 6,893,248 --------------- AIR FREIGHT & LOGISTICS -- 1.0% 70,911 Air Transport Services Group, Inc. (a) 1,727,392 29,615 Atlas Air Worldwide Holdings, Inc. (a) 1,759,131 5,798 Forward Air Corp. 300,510 32,218 Hub Group, Inc., Class A (a) 1,097,023 --------------- 4,884,056 --------------- AIRLINES -- 0.1% 17,601 SkyWest, Inc. 642,437 --------------- AUTO COMPONENTS -- 1.9% 99,002 American Axle & Manufacturing Holdings, Inc. (a) 1,459,290 42,782 Cooper Tire & Rubber Co. 1,563,682 15,311 Cooper-Standard Holdings, Inc. (a) 1,565,703 11,196 Dorman Products, Inc. (a) 874,184 43,383 Fox Factory Holding Corp. (a) 1,668,076 31,844 Gentherm, Inc. (a) 1,065,182 17,746 Standard Motor Products, Inc. 894,043 --------------- 9,090,160 --------------- AUTOMOBILES -- 0.3% 35,301 Winnebago Industries, Inc. 1,299,077 --------------- BANKS -- 4.9% 12,886 1st Source Corp. 632,703 25,634 Ameris Bancorp 1,174,037 9,593 BancFirst Corp. 1,024,053 16,398 Banner Corp. 947,312 8,788 Berkshire Hills Bancorp, Inc. 326,474 21,157 Brookline Bancorp, Inc. 314,181 24,850 CenterState Banks, Inc. 621,001 19,631 Central Pacific Financial Corp. 607,187 4,689 City Holding Co. 307,739 7,751 Columbia Banking System, Inc. 308,800 14,121 Community Trust Bancorp, Inc. 610,027 13,698 ConnectOne Bancorp, Inc. 308,205 9,760 Eagle Bancorp, Inc. (a) 609,512 7,571 Enterprise Financial Services Corp. 299,433 12,938 FCB Financial Holdings, Inc., Class A (a) 610,027 213,394 First BanCorp (a) 1,250,489 10,535 First Busey Corp. 308,043 24,360 First Commonwealth Financial Corp. 317,411 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 22,303 First Financial Bancorp $ 570,957 23,086 First Merchants Corp. 933,598 6,558 Heartland Financial USA, Inc. 308,882 11,723 Horizon Bancorp 309,135 4,634 Independent Bank Corp. 330,636 5,191 Independent Bank Group, Inc. 313,277 32,773 Lakeland Bancorp, Inc. 634,157 13,465 Lakeland Financial Corp. 619,390 8,101 LegacyTexas Financial Group, Inc. 313,671 18,435 MainSource Financial Group, Inc. 644,119 18,658 National Bank Holdings Corp., Class A 636,797 17,907 Old National Bancorp 291,884 16,742 Pacific Premier Bancorp, Inc. (a) 601,038 14,124 Renasant Corp. 598,716 17,227 S&T Bancorp, Inc. 652,559 15,194 Sandy Spring Bancorp, Inc. 608,368 38,451 Seacoast Banking Corp. of Florida (a) 898,600 16,746 ServisFirst Bancshares, Inc. 608,550 22,779 State Bank Financial Corp. 625,283 10,029 TowneBank 313,908 17,575 TriCo Bancshares 648,517 19,209 Trustmark Corp. 613,920 9,112 Union Bankshares Corp. 281,470 22,222 United Community Banks, Inc. 616,883 11,984 Washington Trust Bancorp, Inc. 652,529 --------------- 24,203,478 --------------- BEVERAGES -- 0.6% 7,012 Boston Beer (The) Co., Inc., Class A (a) (b) 1,099,482 1,350 Coca-Cola Bottling Co. Consolidated 324,121 13,206 National Beverage Corp. 1,348,597 --------------- 2,772,200 --------------- BIOTECHNOLOGY -- 3.7% 73,808 Array BioPharma, Inc. (a) 554,298 30,481 Blueprint Medicines Corp. (a) 1,595,071 11,746 Eagle Pharmaceuticals, Inc. (a) (b) 577,316 27,327 Emergent BioSolutions, Inc. (a) 993,883 43,665 Exact Sciences Corp. (a) 1,694,202 28,689 FibroGen, Inc. (a) 979,729 18,979 Genomic Health, Inc. (a) 605,430 24,094 Halozyme Therapeutics, Inc. (a) 305,512 65,442 Ironwood Pharmaceuticals, Inc. (a) 1,161,596 31,003 Juno Therapeutics, Inc. (a) (b) 881,415 18,777 Lexicon Pharmaceuticals, Inc. (a) (b) 306,065 7,633 Ligand Pharmaceuticals, Inc. (a) 922,906 103,169 MiMedx Group, Inc. (a) (b) 1,543,408 73,109 Momenta Pharmaceuticals, Inc. (a) 1,209,954 11,954 Myriad Genetics, Inc. (a) 290,124 Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 27,496 Portola Pharmaceuticals, Inc. (a) $ 1,696,503 29,816 Repligen Corp. (a) 1,200,690 36,652 Sarepta Therapeutics, Inc. (a) 1,414,034 5,171 Spark Therapeutics, Inc. (a) 367,141 --------------- 18,299,277 --------------- BUILDING PRODUCTS -- 2.3% 16,765 AAON, Inc. 566,657 15,368 Advanced Drainage Systems, Inc. 315,812 12,931 American Woodmark Corp. (a) 1,269,178 16,303 Apogee Enterprises, Inc. 849,223 13,430 Armstrong World Industries, Inc. (a) 652,027 100,812 Builders FirstSource, Inc. (a) 1,579,724 13,257 Continental Building Products, Inc. (a) 291,654 14,072 Griffon Corp. 288,476 55,489 NCI Building Systems, Inc. (a) 998,802 12,720 Patrick Industries, Inc. (a) 967,992 34,416 Ply Gem Holdings, Inc. (a) 602,280 21,200 Simpson Manufacturing Co., Inc. 938,948 9,131 Trex Co., Inc. (a) 686,743 14,151 Universal Forest Products, Inc. 1,186,561 --------------- 11,194,077 --------------- CAPITAL MARKETS -- 1.0% 15,239 Cohen & Steers, Inc. 615,656 16,879 Financial Engines, Inc. 648,997 76,838 Greenhill & Co., Inc. 1,421,503 5,153 Piper Jaffray Cos. 321,547 81,803 Waddell & Reed Financial, Inc., Class A (b) 1,690,868 --------------- 4,698,571 --------------- CHEMICALS -- 2.1% 19,306 A. Schulman, Inc. 507,748 40,912 Calgon Carbon Corp. 654,592 11,580 Chase Corp. 1,251,219 84,441 Ferro Corp. (a) 1,624,645 10,127 GCP Applied Technologies, Inc. (a) 306,848 28,183 Innophos Holdings, Inc. 1,177,204 18,849 Innospec, Inc. 1,176,177 44,844 Kraton Corp. (a) 1,668,197 8,507 Quaker Chemical Corp. 1,206,888 10,634 Stepan Co. 873,796 --------------- 10,447,314 --------------- COMMERCIAL SERVICES & SUPPLIES -- 3.2% 132,570 ACCO Brands Corp. (a) 1,544,441 23,051 Brink's (The) Co. 1,801,436 23,401 Covanta Holding Corp. 353,355 40,643 Herman Miller, Inc. 1,368,653 23,242 HNI Corp. 877,386 31,439 Interface, Inc. 595,769 61,623 Knoll, Inc. 1,193,021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 35,679 McGrath RentCorp $ 1,267,675 31,044 Mobile Mini, Inc. 956,155 15,142 Multi-Color Corp. 1,218,931 110,317 Steelcase, Inc., Class A 1,505,827 13,172 Team, Inc. (a) 189,018 8,781 UniFirst Corp. 1,249,097 6,117 US Ecology, Inc. 317,472 26,149 Viad Corp. 1,400,279 --------------- 15,838,515 --------------- COMMUNICATIONS EQUIPMENT -- 1.1% 29,917 ADTRAN, Inc. 701,554 20,355 EchoStar Corp., Class A (a) 1,236,159 27,072 Lumentum Holdings, Inc. (a) 1,694,707 66,143 Oclaro, Inc. (a) (b) 646,878 11,810 Plantronics, Inc. 533,576 58,668 Viavi Solutions, Inc. (a) 643,588 --------------- 5,456,462 --------------- CONSTRUCTION & ENGINEERING -- 1.1% 70,587 Aegion Corp. (a) 1,689,853 10,296 Argan, Inc. 663,577 16,652 Comfort Systems USA, Inc. 554,512 12,806 Granite Construction, Inc. 627,750 24,771 Primoris Services Corp. 617,293 53,720 Tutor Perini Corp. (a) 1,428,952 --------------- 5,581,937 --------------- CONSTRUCTION MATERIALS -- 0.1% 3,932 US Concrete, Inc. (a) 308,072 --------------- CONSUMER FINANCE -- 1.0% 30,773 Encore Capital Group, Inc. (a) 1,233,997 10,596 FirstCash, Inc. 616,158 8,017 Green Dot Corp., Class A (a) 322,604 32,853 Nelnet, Inc., Class A 1,612,754 24,450 PRA Group, Inc. (a) 958,440 --------------- 4,743,953 --------------- DISTRIBUTORS -- 0.1% 18,686 Core-Mark Holding Co., Inc. 685,216 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.2% 40,697 Adtalem Global Education, Inc. 1,322,653 7,217 Capella Education Co. 495,808 51,711 K12, Inc. (a) 915,802 28,776 Sotheby's (a) 1,628,434 13,254 Strayer Education, Inc. 1,042,029 9,242 Weight Watchers International, Inc. (a) 331,048 --------------- 5,735,774 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 13,540 ATN International, Inc. 785,320 15,800 Cincinnati Bell, Inc. (a) 294,670 580,071 Globalstar, Inc. (a) (b) 1,073,131 See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 139,768 Iridium Communications, Inc. (a) (b) $ 1,390,692 47,231 Vonage Holdings Corp. (a) 312,197 --------------- 3,856,010 --------------- ELECTRIC UTILITIES -- 0.5% 23,898 El Paso Electric Co. 1,240,306 4,800 MGE Energy, Inc. 319,440 23,401 Otter Tail Corp. 946,571 --------------- 2,506,317 --------------- ELECTRICAL EQUIPMENT -- 0.7% 41,094 Atkore International Group, Inc. (a) 855,577 16,607 AZZ, Inc. 841,975 28,935 Encore Wire Corp. 1,290,501 18,892 General Cable Corp. 364,616 --------------- 3,352,669 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.3% 7,751 Badger Meter, Inc. 350,733 38,252 Benchmark Electronics, Inc. (a) 1,287,180 8,337 ePlus, Inc. (a) 674,463 28,963 Fabrinet (a) 1,303,625 36,022 II-VI, Inc. (a) 1,372,438 30,897 Insight Enterprises, Inc. (a) 1,251,946 18,237 Itron, Inc. (a) 1,331,301 18,256 Knowles Corp. (a) 276,578 29,989 Methode Electronics, Inc. 1,192,063 11,926 MTS Systems Corp. 628,500 8,220 OSI Systems, Inc. (a) 657,353 23,503 Plexus Corp. (a) 1,259,996 5,688 Rogers Corp. (a) 671,013 38,323 ScanSource, Inc. (a) 1,517,591 88,965 TTM Technologies, Inc. (a) 1,546,212 55,823 Vishay Intertechnology, Inc. 996,441 --------------- 16,317,433 --------------- ENERGY EQUIPMENT & SERVICES -- 0.9% 108,382 Archrock, Inc. 1,186,783 18,989 Dril-Quip, Inc. (a) 846,909 23,138 Exterran Corp. (a) 640,691 109,535 Helix Energy Solutions Group, Inc. (a) 716,359 86,161 McDermott International, Inc. (a) 583,310 11,377 Oil States International, Inc. (a) 282,719 --------------- 4,256,771 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.7% 49,982 CareTrust REIT, Inc. 911,672 183,207 CBL & Associates Properties, Inc. (b) 1,610,390 63,115 Chesapeake Lodging Trust 1,592,391 141,045 DiamondRock Hospitality Co. 1,647,406 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 7,372 EastGroup Properties, Inc. $ 642,691 36,904 Four Corners Property Trust, Inc. 936,624 83,634 Franklin Street Properties Corp. 884,011 67,480 Government Properties Income Trust 1,196,420 83,438 Hersha Hospitality Trust 1,565,297 25,655 iStar, Inc. (a) 306,577 6,011 LTC Properties, Inc. 310,408 20,524 Monmouth Real Estate Investment Corp. 316,275 30,735 New Senior Investment Group, Inc. 319,337 13,494 Parkway, Inc. 310,497 28,743 Pebblebrook Hotel Trust 967,777 5,903 QTS Realty Trust, Inc., Class A 315,633 119,724 Ramco-Gershenson Properties Trust 1,686,911 33,771 Rexford Industrial Realty, Inc. 963,149 7,363 Seritage Growth Properties, Class A (b) 344,368 11,191 STAG Industrial, Inc. 305,402 49,687 Summit Hotel Properties, Inc. 890,888 18,354 Terreno Realty Corp. 635,415 33,429 Tier REIT, Inc. 617,768 11,650 Universal Health Realty Income Trust 902,642 147,617 Washington Prime Group, Inc. 1,331,505 79,734 Xenia Hotels & Resorts, Inc. 1,620,195 --------------- 23,131,649 --------------- FOOD & STAPLES RETAILING -- 1.8% 36,180 Andersons (The), Inc. 1,246,401 22,547 Performance Food Group Co. (a) 649,353 135,775 Smart & Final Stores, Inc. (a) 1,167,665 59,493 SpartanNash Co. 1,650,336 281,660 SUPERVALU, Inc. (a) 1,008,343 42,083 United Natural Foods, Inc. (a) 1,621,458 31,700 Weis Markets, Inc. 1,499,727 --------------- 8,843,283 --------------- FOOD PRODUCTS -- 1.3% 17,893 Calavo Growers, Inc. 1,324,977 98,122 Darling Ingredients, Inc. (a) 1,596,445 54,510 Dean Foods Co. 817,650 4,678 J&J Snack Foods Corp. 614,689 13,354 Sanderson Farms, Inc. (b) 1,746,035 8,864 Tootsie Roll Industries, Inc. (b) 329,741 --------------- 6,429,537 --------------- GAS UTILITIES -- 0.3% 8,243 Chesapeake Utilities Corp. 636,772 15,483 Northwest Natural Gas Co. 976,977 --------------- 1,613,749 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.7% 5,826 Abaxis, Inc. 273,822 1,441 Atrion Corp. 911,000 Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 38,336 Cardiovascular Systems, Inc. (a) $ 1,209,501 14,897 Glaukos Corp. (a) 598,561 18,636 Globus Medical, Inc., Class A (a) 573,057 15,728 Halyard Health, Inc. (a) 632,580 7,163 ICU Medical, Inc. (a) 1,231,320 16,186 Inogen, Inc. (a) 1,527,635 24,080 Insulet Corp. (a) 1,211,465 14,284 Integer Holdings Corp. (a) 654,207 50,720 K2M Group Holdings, Inc. (a) 1,234,018 40,483 Merit Medical Systems, Inc. (a) 1,659,803 8,281 Natus Medical, Inc. (a) 291,491 14,080 Penumbra, Inc. (a) 1,149,632 --------------- 13,158,092 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 24,589 Amedisys, Inc. (a) 1,164,535 15,820 AMN Healthcare Services, Inc. (a) 583,758 62,612 Diplomat Pharmacy, Inc. (a) 993,653 42,566 Ensign Group (The), Inc. 952,201 4,550 LHC Group, Inc. (a) 263,445 23,000 LifePoint Health, Inc. (a) 1,366,200 21,186 Magellan Health, Inc. (a) 1,579,416 17,616 National HealthCare Corp. 1,148,035 28,787 Owens & Minor, Inc. 927,805 25,741 Premier, Inc., Class A (a) 898,361 40,246 Select Medical Holdings Corp. (a) 651,985 67,887 Surgery Partners, Inc. (a) 1,347,557 44,508 Teladoc, Inc. (a) 1,459,862 15,971 Tenet Healthcare Corp. (a) (b) 277,097 31,005 Tivity Health, Inc. (a) 1,229,348 --------------- 14,843,258 --------------- HEALTH CARE TECHNOLOGY -- 0.4% 24,208 Allscripts Healthcare Solutions, Inc. (a) 298,000 48,740 Evolent Health, Inc., Class A (a) 1,203,878 17,948 Quality Systems, Inc. (a) 306,911 --------------- 1,808,789 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.4% 46,449 Belmond Ltd., Class A (a) 606,159 2,318 Biglari Holdings, Inc. (a) 867,674 33,169 BJ's Restaurants, Inc. (a) 1,170,866 14,550 Bloomin' Brands, Inc. 253,606 49,800 Boyd Gaming Corp. 1,247,988 128,703 Caesars Entertainment Corp. (a) (b) 1,589,482 6,740 Churchill Downs, Inc. 1,260,717 23,579 ClubCorp Holdings, Inc. 399,664 9,288 Dave & Buster's Entertainment, Inc. (a) 576,878 26,244 Denny's Corp. (a) 298,132 21,037 DineEquity, Inc. 865,462 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 16,486 Hyatt Hotels Corp., Class A (a) $ 916,127 41,130 International Speedway Corp., Class A 1,472,454 62,740 La Quinta Holdings, Inc. (a) 935,453 13,116 Marriott Vacations Worldwide Corp. 1,532,605 72,170 Penn National Gaming, Inc. (a) 1,454,947 78,160 Pinnacle Entertainment, Inc. (a) 1,485,040 13,234 Planet Fitness, Inc., Class A 299,882 39,349 Red Rock Resorts, Inc., Class A 940,441 59,174 Scientific Games Corp., Class A (a) 2,192,397 18,985 SeaWorld Entertainment, Inc. (b) 291,989 8,856 Shake Shack, Inc., Class A (a) (b) 292,337 11,660 Sonic Corp. 275,876 19,993 Wingstop, Inc. (a) (b) 599,990 --------------- 21,826,166 --------------- HOUSEHOLD DURABLES -- 2.1% 2,382 Cavco Industries, Inc. (a) 310,613 23,334 Installed Building Products, Inc. (a) 1,255,369 18,356 iRobot Corp. (a) 1,936,741 38,659 KB Home 886,064 38,017 La-Z-Boy, Inc. 1,284,975 34,972 M.D.C. Holdings, Inc. 1,199,190 36,598 Meritage Homes Corp. (a) 1,491,368 5,820 TopBuild Corp. (a) 307,180 117,092 TRI Pointe Group, Inc. (a) 1,557,324 4,621 Universal Electronics, Inc. (a) 316,307 --------------- 10,545,131 --------------- HOUSEHOLD PRODUCTS -- 0.1% 20,579 Central Garden & Pet Co., Class A (a) 633,010 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 112,051 Dynegy, Inc. (a) 1,006,218 35,101 NRG Yield, Inc., Class C 652,878 12,957 Pattern Energy Group, Inc. 325,221 --------------- 1,984,317 --------------- INDUSTRIAL CONGLOMERATES -- 0.1% 9,276 Raven Industries, Inc. 319,094 --------------- INSURANCE -- 3.9% 71,213 Ambac Financial Group, Inc. (a) 1,454,882 35,261 American Equity Investment Life Holding Co. 944,290 10,847 AMERISAFE, Inc. 626,414 25,486 Argo Group International Holdings Ltd. 1,527,886 29,209 Employers Holdings, Inc. 1,266,210 15,068 FBL Financial Group, Inc., Class A 1,023,117 16,343 Horace Mann Educators Corp. 603,057 See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 9,858 Infinity Property & Casualty Corp. $ 986,293 23,324 James River Group Holdings Ltd. 936,692 8,002 Kemper Corp. 314,078 55,655 Maiden Holdings Ltd. 617,770 32,756 MBIA, Inc. (a) 333,128 3,866 National Western Life Group, Inc., Class A 1,301,257 11,253 Navigators Group (The), Inc. 641,421 18,090 Safety Insurance Group, Inc. 1,283,485 18,515 Selective Insurance Group, Inc. 937,785 12,005 State Auto Financial Corp. 309,609 27,227 Stewart Information Services Corp. 1,070,021 111,111 Third Point Reinsurance Ltd. (a) 1,616,665 14,021 United Fire Group, Inc. 632,628 36,772 Universal Insurance Holdings, Inc. (b) 877,012 --------------- 19,303,700 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.4% 102,962 Etsy, Inc. (a) 1,479,564 29,049 HSN, Inc. 1,151,793 106,513 Liberty TripAdvisor Holdings, Inc., Class A (a) 1,251,528 23,738 Nutrisystem, Inc. 1,323,393 6,503 Shutterfly, Inc. (a) 318,907 20,089 Wayfair, Inc., Class A (a) (b) 1,533,795 --------------- 7,058,980 --------------- INTERNET SOFTWARE & SERVICES -- 3.9% 32,916 2U, Inc. (a) 1,703,403 32,834 Alarm.com Holdings, Inc. (a) 1,248,677 25,493 Benefitfocus, Inc. (a) (b) 911,375 67,739 Box, Inc., Class A (a) 1,276,880 73,985 Endurance International Group Holdings, Inc. (a) 684,361 31,201 Envestnet, Inc. (a) 1,218,399 71,768 Five9, Inc. (a) 1,583,202 48,797 GTT Communications, Inc. (a) 1,490,748 35,909 New Relic, Inc. (a) 1,686,287 25,079 Q2 Holdings, Inc. (a) 975,573 53,720 Quotient Technology, Inc. (a) 623,152 7,008 Shutterstock, Inc. (a) 295,317 4,845 SPS Commerce, Inc. (a) 280,041 9,972 Stamps.com, Inc. (a) (b) 1,476,853 61,994 TrueCar, Inc. (a) (b) 1,173,547 61,045 Web.com Group, Inc. (a) 1,339,938 15,800 WebMD Health Corp. (a) 1,046,750 --------------- 19,014,503 --------------- IT SERVICES -- 1.1% 64,947 Convergys Corp. 1,556,779 35,709 EVERTEC, Inc. 637,406 16,673 ExlService Holdings, Inc. (a) 959,531 SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES (CONTINUED) 22,394 ManTech International Corp., Class A $ 889,490 36,849 Sykes Enterprises, Inc. (a) 1,252,866 7,571 TeleTech Holdings, Inc. 316,468 --------------- 5,612,540 --------------- LEISURE PRODUCTS -- 0.8% 69,695 American Outdoor Brands Corp. (a) (b) 1,440,596 120,848 Callaway Golf Co. 1,538,395 19,880 Sturm Ruger & Co., Inc. (b) 1,145,088 --------------- 4,124,079 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 56,469 Accelerate Diagnostics, Inc. (a) (b) 1,482,311 15,509 Cambrex Corp. (a) 946,049 14,626 Luminex Corp. 298,809 --------------- 2,727,169 --------------- MACHINERY -- 4.9% 25,113 Actuant Corp., Class A 607,735 10,204 Alamo Group, Inc. 949,074 11,569 Albany International Corp., Class A 618,941 7,761 Altra Industrial Motion Corp. 345,753 40,325 American Railcar Industries, Inc. (b) 1,482,750 5,565 Astec Industries, Inc. 279,753 64,084 Briggs & Stratton Corp. 1,500,847 26,682 Chart Industries, Inc. (a) 907,188 12,984 EnPro Industries, Inc. 1,000,028 15,535 ESCO Technologies, Inc. 958,509 35,586 Federal Signal Corp. 658,341 22,383 Franklin Electric Co., Inc. 904,273 36,383 Gorman-Rupp (The) Co. 1,099,494 33,393 Greenbrier (The) Cos., Inc. (b) 1,502,685 76,742 Harsco Corp. (a) 1,185,664 25,669 Hillenbrand, Inc. 924,084 3,461 Lindsay Corp. 317,270 11,949 Lydall, Inc. (a) 591,476 74,386 Meritor, Inc. (a) 1,285,390 30,432 Mueller Industries, Inc. 958,608 23,552 Navistar International Corp. (a) 724,695 4,593 Proto Labs, Inc. (a) 339,423 6,071 RBC Bearings, Inc. (a) 627,377 26,571 Rexnord Corp. (a) 615,384 25,127 SPX FLOW, Inc. (a) 891,003 3,405 Standex International Corp. 326,710 7,239 Sun Hydraulics Corp. 299,405 4,185 Tennant Co. 316,177 70,265 Wabash National Corp. 1,340,656 9,775 Watts Water Technologies, Inc., Class A 629,510 --------------- 24,188,203 --------------- MARINE -- 0.2% 30,848 Matson, Inc. 869,914 --------------- Page 50 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 1.5% 69,374 E.W. Scripps (The) Co., Class A (a) $ 1,363,199 141,692 Gannett Co., Inc. 1,270,977 15,587 Meredith Corp. 926,647 13,759 MSG Networks, Inc., Class A (a) 294,443 114,573 New Media Investment Group, Inc. 1,597,148 28,345 Scholastic Corp. 1,174,333 9,388 Sinclair Broadcast Group, Inc., Class A 338,438 21,525 Time, Inc. 302,426 --------------- 7,267,611 --------------- METALS & MINING -- 1.3% 36,319 Allegheny Technologies, Inc. (b) 687,882 33,010 Carpenter Technology Corp. 1,334,594 99,129 Century Aluminum Co. (a) 1,663,384 63,590 Commercial Metals Co. 1,182,774 17,447 Kaiser Aluminum Corp. 1,697,419 --------------- 6,566,053 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.5% 83,258 Apollo Commercial Real Estate Finance, Inc. 1,501,142 88,846 Capstead Mortgage Corp. 868,914 36,729 CYS Investments, Inc. 312,564 13,506 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 314,015 92,426 Invesco Mortgage Capital, Inc. 1,537,044 69,102 Ladder Capital Corp. 909,382 84,441 PennyMac Mortgage Investment Trust 1,486,162 18,127 Redwood Trust, Inc. 313,053 --------------- 7,242,276 --------------- MULTILINE RETAIL -- 1.3% 25,581 Big Lots, Inc. 1,270,608 26,772 Dillard's, Inc., Class A (b) 1,976,309 265,710 JC Penney Co., Inc. (a) (b) 1,437,491 36,254 Ollie's Bargain Outlet Holdings, Inc. (a) 1,620,554 --------------- 6,304,962 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.5% 42,586 CVR Energy, Inc. (b) 805,302 75,155 Green Plains, Inc. 1,484,311 --------------- 2,289,613 --------------- PAPER & FOREST PRODUCTS -- 1.4% 40,643 Boise Cascade Co. (a) 1,233,515 33,036 Clearwater Paper Corp. (a) 1,623,719 29,945 KapStone Paper and Packaging Corp. 684,543 11,547 Neenah Paper, Inc. 922,605 63,232 P.H. Glatfelter Co. 1,294,359 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PAPER & FOREST PRODUCTS (CONTINUED) 33,187 Schweitzer-Mauduit International, Inc. $ 1,275,045 --------------- 7,033,786 --------------- PERSONAL PRODUCTS -- 0.3% 8,428 Inter Parfums, Inc. 327,006 13,033 Revlon, Inc., Class A (a) 254,795 14,456 USANA Health Sciences, Inc. (a) 825,438 --------------- 1,407,239 --------------- PHARMACEUTICALS -- 0.9% 130,885 Corcept Therapeutics, Inc. (a) 1,632,136 48,264 Innoviva, Inc. (a) 662,182 35,834 Supernus Pharmaceuticals, Inc. (a) 1,449,485 15,507 Theravance Biopharma Inc. (a) (b) 498,240 --------------- 4,242,043 --------------- PROFESSIONAL SERVICES -- 1.8% 11,996 Advisory Board (The) Co. (a) 674,175 35,342 FTI Consulting, Inc. (a) 1,159,571 28,601 Huron Consulting Group, Inc. (a) 1,015,335 26,232 ICF International, Inc. (a) 1,186,998 4,351 Insperity, Inc. 328,501 26,837 Korn/Ferry International 897,698 78,160 Navigant Consulting, Inc. (a) 1,323,249 11,408 On Assignment, Inc. (a) 561,844 47,173 TriNet Group, Inc. (a) 1,651,055 --------------- 8,798,426 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6% 26,651 HFF, Inc., Class A 978,625 32,429 Kennedy-Wilson Holdings, Inc. 651,823 35,154 Marcus & Millichap, Inc. (a) 899,942 5,511 RE/MAX Holdings, Inc., Class A 320,465 --------------- 2,850,855 --------------- ROAD & RAIL -- 1.1% 74,973 ArcBest Corp. 2,084,249 44,508 Heartland Express, Inc. 940,454 24,085 Saia, Inc. (a) 1,309,020 42,097 Werner Enterprises, Inc. 1,248,176 --------------- 5,581,899 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.9% 14,324 Advanced Energy Industries, Inc. (a) 1,039,206 94,848 Amkor Technology, Inc. (a) 983,574 56,964 Brooks Automation, Inc. 1,399,036 12,551 Cabot Microelectronics Corp. 930,657 38,563 Diodes, Inc. (a) 1,023,076 99,641 FormFactor, Inc. (a) 1,305,297 22,150 MaxLinear, Inc. (a) 580,330 12,711 Power Integrations, Inc. 898,032 25,921 Semtech Corp. (a) 1,026,472 See Notes to Financial Statements Page 51 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 5,973 Synaptics, Inc. (a) $ 314,239 --------------- 9,499,919 --------------- SOFTWARE -- 2.6% 21,229 8x8, Inc. (a) 269,608 40,185 Barracuda Networks, Inc. (a) 902,957 14,350 BroadSoft, Inc. (a) 632,117 38,292 Callidus Software, Inc. (a) 930,496 40,616 FireEye, Inc. (a) 594,212 7,850 Gigamon, Inc. (a) 312,038 18,791 HubSpot, Inc. (a) 1,359,529 19,366 Imperva, Inc. (a) 872,438 20,510 Paylocity Holding Corp. (a) 932,590 19,999 Progress Software Corp. 640,168 22,712 Qualys, Inc. (a) 911,887 42,255 RingCentral, Inc., Class A (a) 1,470,474 49,687 TiVo Corp. 973,865 41,517 Varonis Systems, Inc. (a) 1,546,508 22,238 Zendesk, Inc. (a) 652,018 --------------- 13,000,905 --------------- SPECIALTY RETAIL -- 4.8% 31,762 Aaron's, Inc. 1,469,945 21,849 Asbury Automotive Group, Inc. (a) 1,179,846 86,766 Buckle (The), Inc. (b) 1,483,699 44,476 Caleres, Inc. 1,213,305 163,953 Chico's FAS, Inc. 1,500,170 12,101 Children's Place (The), Inc. 1,278,471 87,256 DSW, Inc., Class A 1,574,098 228,806 Express, Inc. (a) 1,386,564 25,026 Five Below, Inc. (a) 1,209,006 45,559 Genesco, Inc. (a) 1,462,444 24,391 Group 1 Automotive, Inc. 1,452,484 96,678 Guess?, Inc. 1,262,615 13,112 Lithia Motors, Inc., Class A 1,353,814 22,196 Monro Muffler Brake, Inc. 1,034,334 12,504 Murphy USA, Inc. (a) 946,928 273,837 Office Depot, Inc. 1,607,423 78,949 Party City Holdco, Inc. (a) 1,101,338 17,407 Select Comfort Corp. (a) 588,531 29,917 Tile Shop Holdings, Inc. 436,788 --------------- 23,541,803 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.8% 49,554 3D Systems Corp. (a) (b) 832,507 6,520 Electronics For Imaging, Inc. (a) 316,742 96,452 Pure Storage, Inc., Class A (a) 1,164,176 50,124 Super Micro Computer, Inc. (a) 1,345,829 --------------- 3,659,254 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.1% 149,221 Fossil Group, Inc. (a) 1,678,736 37,141 G-III Apparel Group Ltd. (a) 966,780 19,772 Oxford Industries, Inc. 1,248,206 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 23,196 Steven Madden Ltd. (a) $ 951,036 11,028 Wolverine World Wide, Inc. 310,990 --------------- 5,155,748 --------------- THRIFTS & MORTGAGE FINANCE -- 2.2% 13,022 BofI Holding, Inc. (a) (b) 362,923 15,760 Dime Community Bancshares, Inc. 327,808 40,089 Flagstar Bancorp, Inc. (a) 1,305,298 8,969 LendingTree, Inc. (a) 1,978,561 10,412 Meta Financial Group, Inc. 742,376 69,064 Nationstar Mortgage Holdings, Inc. (a) 1,231,411 19,788 Northwest Bancshares, Inc. 318,587 90,583 Oritani Financial Corp. 1,503,678 79,713 TrustCo Bank Corp. NY 661,618 18,507 United Financial Bancorp, Inc. 334,792 31,629 Walker & Dunlop, Inc. (a) 1,589,357 13,622 WSFS Financial Corp. 615,033 --------------- 10,971,442 --------------- TOBACCO -- 0.1% 9,548 Universal Corp. 610,595 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.3% 71,009 Aircastle Ltd. 1,671,552 15,693 Applied Industrial Technologies, Inc. 886,654 42,410 BMC Stock Holdings, Inc. (a) 933,020 24,031 GATX Corp. (b) 1,485,837 10,992 GMS, Inc. (a) 329,980 18,582 Kaman Corp. 949,912 33,232 Rush Enterprises, Inc., Class A (a) 1,433,296 29,667 SiteOne Landscape Supply, Inc. (a) 1,557,517 36,948 Triton International Ltd. 1,332,345 20,592 Veritiv Corp. (a) 764,993 --------------- 11,345,106 --------------- WATER UTILITIES -- 0.3% 6,515 American States Water Co. 322,167 16,788 California Water Service Group 653,053 12,561 SJW Group 664,100 --------------- 1,639,320 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 40,304 United States Cellular Corp. (a) 1,526,716 --------------- TOTAL COMMON STOCKS -- 100.0% 491,633,758 (Cost $441,776,240) --------------- Page 52 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 1.1% 4,989,748 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) $ 4,989,748 517,952 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (c) 517,952 --------------- TOTAL MONEY MARKET FUNDS -- 1.1% 5,507,700 (Cost $5,507,700) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 3.6% $ 4,011,543 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $4,011,648. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $4,095,821. (d) 4,011,543 13,813,977 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $13,814,368. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $14,157,434. (d) 13,813,977 --------------- TOTAL REPURCHASE AGREEMENTS -- 3.6% 17,825,520 (Cost $17,825,520) --------------- TOTAL INVESTMENTS -- 104.7% 514,966,978 (Cost $465,109,460) (e) NET OTHER ASSETS AND LIABILITIES -- (4.7)% (22,969,804) --------------- NET ASSETS -- 100.0% $ 491,997,174 =============== (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 $22,146,235 and the total value of the collateral held by the Fund is $22,836,975. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $468,196,620. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $63,425,354 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $16,654,996. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 491,633,758 $ -- $ -- Money Market Funds 5,507,700 -- -- Repurchase Agreements -- 17,825,520 -- -------------------------------------------- Total Investments $ 497,141,458 $ 17,825,520 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. See Notes to Financial Statements Page 53 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- 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) $ 22,146,235 Non-cash Collateral(2) (22,146,235) --------------- 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, 2017, 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) $ 17,825,520 Non-cash Collateral(4) (17,825,520) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.6% 10,933 L3 Technologies, Inc. $ 1,912,947 11,313 Raytheon Co. 1,943,234 17,388 Rockwell Collins, Inc. 1,852,344 199,196 Textron, Inc. 9,786,499 14,962 United Technologies Corp. 1,774,044 --------------- 17,269,068 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 26,601 C.H. Robinson Worldwide, Inc. 1,745,025 32,349 Expeditors International of Washington, Inc. 1,904,709 25,221 FedEx Corp. 5,246,725 --------------- 8,896,459 --------------- AIRLINES -- 1.8% 74,581 American Airlines Group, Inc. 3,761,866 174,585 Delta Air Lines, Inc. 8,617,516 99,742 United Continental Holdings, Inc. (a) 6,750,538 --------------- 19,129,920 --------------- AUTO COMPONENTS -- 1.7% 268,369 Goodyear Tire & Rubber (The) Co. 8,456,307 66,033 Lear Corp. 9,785,430 --------------- 18,241,737 --------------- AUTOMOBILES -- 2.1% 838,436 Ford Motor Co. 9,407,252 268,596 General Motors Co. 9,664,084 69,470 Harley-Davidson, Inc. 3,381,105 --------------- 22,452,441 --------------- BANKS -- 2.1% 82,643 BB&T Corp. 3,910,666 112,224 Citigroup, Inc. 7,681,733 43,896 PNC Financial Services Group (The), Inc. 5,653,805 98,918 Wells Fargo & Co. 5,335,637 --------------- 22,581,841 --------------- BIOTECHNOLOGY -- 1.0% 132,551 Gilead Sciences, Inc. 10,085,806 --------------- CAPITAL MARKETS -- 3.5% 22,629 Affiliated Managers Group, Inc. 4,205,147 14,356 Ameriprise Financial, Inc. 2,079,897 107,432 Bank of New York Mellon (The) Corp. 5,697,119 209,470 Franklin Resources, Inc. 9,380,066 106,645 Invesco Ltd. 3,708,047 41,825 State Street Corp. 3,899,345 101,143 T. Rowe Price Group, Inc. 8,366,549 --------------- 37,336,170 --------------- CHEMICALS -- 3.5% 26,231 Air Products and Chemicals, Inc. 3,728,736 89,362 Eastman Chemical Co. 7,431,344 111,176 LyondellBasell Industries N.V., Class A 10,015,846 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CHEMICALS (CONTINUED) 328,763 Mosaic (The) Co. $ 7,936,339 113,361 Westlake Chemical Corp. 7,976,080 --------------- 37,088,345 --------------- COMMUNICATIONS EQUIPMENT -- 1.4% 239,799 Cisco Systems, Inc. 7,541,679 269,216 Juniper Networks, Inc. 7,524,587 --------------- 15,066,266 --------------- CONSUMER FINANCE -- 2.6% 448,907 Ally Financial, Inc. 10,163,254 21,687 American Express Co. 1,848,383 113,560 Capital One Financial Corp. 9,786,601 183,808 Synchrony Financial 5,573,059 --------------- 27,371,297 --------------- CONTAINERS & PACKAGING -- 0.5% 96,737 WestRock Co. 5,554,639 --------------- DISTRIBUTORS -- 0.5% 19,694 Genuine Parts Co. 1,672,611 113,893 LKQ Corp. (a) 3,936,142 --------------- 5,608,753 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.2% 32,362 Berkshire Hathaway, Inc., Class B (a) 5,662,379 286,913 Leucadia National Corp. 7,468,346 --------------- 13,130,725 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.2% 248,664 AT&T, Inc. 9,697,896 392,888 CenturyLink, Inc. (b) 9,142,504 84,029 Verizon Communications, Inc. 4,067,003 --------------- 22,907,403 --------------- ELECTRIC UTILITIES -- 8.1% 93,424 Alliant Energy Corp. 3,786,475 54,020 American Electric Power Co., Inc. 3,810,571 65,572 Duke Energy Corp. 5,581,489 95,992 Edison International 7,552,650 48,885 Entergy Corp. 3,750,457 90,286 Eversource Energy 5,488,486 260,110 Exelon Corp. 9,972,617 53,562 NextEra Energy, Inc. 7,824,872 113,091 PG&E Corp. 7,655,130 88,134 Pinnacle West Capital Corp. 7,643,862 194,147 PPL Corp. 7,441,654 156,761 Southern (The) Co. 7,513,555 163,593 Xcel Energy, Inc. 7,739,585 --------------- 85,761,403 --------------- ELECTRICAL EQUIPMENT -- 0.7% 96,435 Eaton Corp. PLC 7,546,039 --------------- See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.8% 312,216 Corning, Inc. $ 9,097,974 119,242 TE Connectivity Ltd. 9,585,865 --------------- 18,683,839 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.7% 234,847 HCP, Inc. 7,432,907 513,524 Host Hotels & Resorts, Inc. 9,582,358 35,469 SL Green Realty Corp. 3,662,884 673,360 VEREIT, Inc. 5,595,621 54,537 Weyerhaeuser Co. 1,800,812 --------------- 28,074,582 --------------- FOOD & STAPLES RETAILING -- 2.4% 93,286 CVS Health Corp. 7,456,350 235,038 Kroger (The) Co. 5,763,132 47,920 Walgreens Boots Alliance, Inc. 3,865,706 99,177 Wal-Mart Stores, Inc. 7,933,168 --------------- 25,018,356 --------------- FOOD PRODUCTS -- 4.0% 226,729 Archer-Daniels-Midland Co. 9,563,429 100,610 Bunge Ltd. 7,886,818 32,977 General Mills, Inc. 1,835,500 110,022 Hormel Foods Corp. 3,759,452 45,980 Ingredion, Inc. 5,670,253 31,713 J.M. Smucker (The) Co. 3,865,815 149,802 Tyson Foods, Inc., Class A 9,491,455 --------------- 42,072,722 --------------- GAS UTILITIES -- 0.9% 45,242 Atmos Energy Corp. 3,925,196 113,224 UGI Corp. 5,714,415 --------------- 9,639,611 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.9% 90,537 Baxter International, Inc. 5,475,678 21,649 Danaher Corp. 1,764,177 28,178 DENTSPLY SIRONA, Inc. 1,747,881 --------------- 8,987,736 --------------- HEALTH CARE PROVIDERS & SERVICES -- 4.7% 29,134 Anthem, Inc. 5,425,042 48,162 Cardinal Health, Inc. 3,720,996 46,980 Centene Corp. (a) 3,731,152 144,875 DaVita, Inc. (a) 9,385,003 146,963 Express Scripts Holding Co. (a) 9,205,762 57,019 McKesson Corp. 9,229,666 16,439 Quest Diagnostics, Inc. 1,780,508 61,481 Universal Health Services, Inc., Class B 6,813,939 --------------- 49,292,068 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 2.1% 143,086 Carnival Corp. $ 9,555,283 20,203 Darden Restaurants, Inc. 1,694,628 28,597 Las Vegas Sands Corp. 1,761,861 68,717 Royal Caribbean Cruises Ltd. 7,769,831 46,338 Yum China Holdings, Inc. (a) 1,658,437 --------------- 22,440,040 --------------- HOUSEHOLD DURABLES -- 2.6% 271,395 D.R. Horton, Inc. 9,686,087 147,082 Garmin Ltd. 7,382,046 102,799 Lennar Corp., Class A 5,390,780 28,605 Whirlpool Corp. 5,088,257 --------------- 27,547,170 --------------- HOUSEHOLD PRODUCTS -- 0.2% 20,967 Procter & Gamble (The) Co. 1,904,223 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 13,707 Honeywell International, Inc. 1,865,797 --------------- INSURANCE -- 9.3% 70,560 Aflac, Inc. 5,627,160 6,309 Alleghany Corp. (a) 3,869,562 61,974 Allstate (The) Corp. 5,639,634 60,028 American International Group, Inc. 3,928,833 40,228 Arch Capital Group Ltd. (a) 3,912,575 31,914 Arthur J. Gallagher & Co. 1,876,224 37,703 Chubb Ltd. 5,521,981 25,219 Cincinnati Financial Corp. 1,920,679 36,853 Everest Re Group, Ltd. 9,669,859 122,267 FNF Group 5,973,966 34,755 Hartford Financial Services Group (The), Inc. 1,911,525 81,103 Lincoln National Corp. 5,925,385 39,031 Loews Corp. 1,900,029 28,517 Principal Financial Group, Inc. 1,903,510 50,685 Prudential Financial, Inc. 5,739,063 42,692 Reinsurance Group of America, Inc. 5,985,418 23,885 Torchmark Corp. 1,886,198 74,151 Travelers (The) Cos., Inc. 9,498,002 160,964 Unum Group 8,069,125 79,242 W. R. Berkley Corp. 5,465,321 41,715 XL Group Ltd. 1,852,146 --------------- 98,076,195 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.9% 382,318 Liberty Interactive Corp. QVC Group, Class A (a) 9,152,693 --------------- IT SERVICES -- 0.7% 27,514 Cognizant Technology Solutions Corp., Class A 1,907,271 35,632 International Business Machines Corp. 5,154,881 --------------- 7,062,152 --------------- Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE PRODUCTS -- 0.2% 84,858 Mattel, Inc. $ 1,698,857 --------------- MACHINERY -- 2.0% 23,135 Cummins, Inc. 3,884,367 46,784 Dover Corp. 3,929,856 113,654 PACCAR, Inc. 7,779,616 11,434 Parker-Hannifin Corp. 1,897,815 26,666 Stanley Black & Decker, Inc. 3,751,640 --------------- 21,243,294 --------------- MEDIA -- 1.9% 363,225 Discovery Communications, Inc., Class A (a) 8,935,335 74,271 Interpublic Group of Cos. (The), Inc. 1,604,997 132,422 Twenty-First Century Fox, Inc., Class A 3,853,480 163,273 Viacom, Inc., Class B 5,701,493 --------------- 20,095,305 --------------- METALS & MINING -- 1.1% 115,864 Newmont Mining Corp. 4,306,665 129,701 Nucor Corp. 7,479,857 --------------- 11,786,522 --------------- MULTILINE RETAIL -- 2.6% 104,116 Dollar General Corp. 7,825,359 403,707 Macy's, Inc. 9,588,041 179,423 Target Corp. 10,167,901 --------------- 27,581,301 --------------- MULTI-UTILITIES -- 5.6% 137,292 Ameren Corp. 7,702,081 137,063 CenterPoint Energy, Inc. 3,863,806 81,145 CMS Energy Corp. 3,752,145 92,870 Consolidated Edison, Inc. 7,695,208 70,949 DTE Energy Co. 7,595,800 174,513 Public Service Enterprise Group, Inc. 7,847,850 140,009 SCANA Corp. 9,012,379 48,613 Sempra Energy 5,493,755 89,297 WEC Energy Group, Inc. 5,623,032 --------------- 58,586,056 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.5% 58,558 Andeavor 5,828,278 71,940 Chevron Corp. 7,855,128 124,682 ConocoPhillips 5,656,822 67,897 Exxon Mobil Corp. 5,434,476 195,869 Kinder Morgan, Inc. 4,001,604 143,432 Marathon Petroleum Corp. 8,030,758 265,219 Noble Energy, Inc. 7,667,481 45,383 Phillips 66 3,800,826 139,076 Valero Energy Corp. 9,592,072 --------------- 57,867,445 --------------- PHARMACEUTICALS -- 1.6% 38,595 Allergan PLC 9,738,677 13,810 Johnson & Johnson 1,832,863 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 141,193 Mylan N.V. (a) $ 5,505,115 --------------- 17,076,655 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 103,098 CBRE Group, Inc., Class A (a) 3,916,693 --------------- ROAD & RAIL -- 0.7% 35,859 Kansas City Southern 3,700,290 30,836 Norfolk Southern Corp. 3,471,517 --------------- 7,171,807 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.4% 278,071 Intel Corp. 9,863,179 99,259 QUALCOMM, Inc. 5,279,586 --------------- 15,142,765 --------------- SOFTWARE -- 0.6% 159,011 CA, Inc. 4,935,702 36,440 Oracle Corp. 1,819,449 --------------- 6,755,151 --------------- SPECIALTY RETAIL -- 4.0% 32,190 Advance Auto Parts, Inc. 3,605,602 130,918 Best Buy Co., Inc. 7,637,756 190,385 Foot Locker, Inc. 8,984,268 426,654 Gap (The), Inc. 10,167,165 101,709 L Brands, Inc. 4,718,281 25,316 TJX (The) Cos., Inc. 1,779,968 101,111 Tractor Supply Co. 5,674,349 --------------- 42,567,389 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.6% 565,530 Hewlett Packard Enterprise Co. 9,902,430 214,692 HP, Inc. 4,100,617 45,620 NetApp, Inc. 1,980,820 141,449 Seagate Technology PLC 4,662,159 84,713 Western Digital Corp. 7,210,771 --------------- 27,856,797 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 38,594 Coach, Inc. 1,819,321 78,888 Hanesbrands, Inc. 1,808,113 30,968 NIKE, Inc., Class B 1,828,661 31,717 VF Corp. 1,972,480 --------------- 7,428,575 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 20,787 W.W. Grainger, Inc. 3,466,024 --------------- TOTAL COMMON STOCKS -- 99.9% 1,056,086,132 (Cost $970,454,463) --------------- See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.2% 1,521,718 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) $ 1,521,718 787,854 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (c) 787,854 --------------- TOTAL MONEY MARKET FUNDS -- 0.2% 2,309,572 (Cost $2,309,572) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 1,223,397 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $1,223,428. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $1,249,098. (d) 1,223,397 4,212,834 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $4,212,954. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $4,317,578. (d) 4,212,834 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.5% 5,436,231 (Cost $5,436,231) --------------- TOTAL INVESTMENTS -- 100.6% 1,063,831,935 (Cost $978,200,266) (e) NET OTHER ASSETS AND LIABILITIES -- (0.6)% (6,834,535) --------------- NET ASSETS -- 100.0% $ 1,056,997,400 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $6,823,811 and the total value of the collateral held by the Fund is $6,964,569. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $997,289,357. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $99,504,030 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $32,961,452. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $1,056,086,132 $ -- $ -- Money Market Funds 2,309,572 -- -- Repurchase Agreements -- 5,436,231 -- -------------------------------------------- Total Investments $1,058,395,704 $ 5,436,231 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. Page 58 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 6,823,811 Non-cash Collateral(2) (6,823,811) --------------- 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, 2017, 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) $ 5,436,231 Non-cash Collateral(4) (5,436,231) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 3.2% 29,025 Boeing (The) Co. $ 7,037,401 16,926 General Dynamics Corp. 3,323,082 12,079 Lockheed Martin Corp. 3,528,638 13,062 Northrop Grumman Corp. 3,437,004 12,471 TransDigm Group, Inc. 3,518,568 --------------- 20,844,693 --------------- AIR FREIGHT & LOGISTICS -- 0.2% 10,108 United Parcel Service, Inc., Class B 1,114,811 --------------- AIRLINES -- 1.3% 37,359 Alaska Air Group, Inc. 3,184,108 92,371 Southwest Airlines Co. 5,127,514 --------------- 8,311,622 --------------- AUTOMOBILES -- 0.8% 15,874 Tesla, Inc. (a) 5,134,763 --------------- BANKS -- 7.0% 138,224 Bank of America Corp. 3,333,963 128,698 Citizens Financial Group, Inc. 4,514,726 45,785 Comerica, Inc. 3,310,713 88,441 Fifth Third Bancorp 2,361,375 33,499 First Republic Bank 3,360,955 82,674 Huntington Bancshares, Inc. 1,095,430 50,239 JPMorgan Chase & Co. 4,611,940 122,516 KeyCorp 2,210,189 20,706 M&T Bank Corp. 3,378,184 229,050 Regions Financial Corp. 3,344,130 7,788 Signature Bank (a) 1,079,261 59,120 SunTrust Banks, Inc. 3,386,985 13,061 SVB Financial Group (a) 2,330,605 44,221 U.S. Bancorp 2,333,984 104,575 Zions Bancorporation 4,739,339 --------------- 45,391,779 --------------- BEVERAGES -- 1.2% 23,702 Constellation Brands, Inc., Class A 4,582,782 12,946 Molson Coors Brewing Co., Class B 1,151,935 46,215 Monster Beverage Corp. (a) 2,437,841 --------------- 8,172,558 --------------- BIOTECHNOLOGY -- 4.7% 46,247 AbbVie, Inc. 3,233,128 19,281 Alkermes PLC (a) 1,049,079 13,331 Amgen, Inc. 2,326,393 4,118 Biogen, Inc. (a) 1,192,532 25,281 BioMarin Pharmaceutical, Inc. (a) 2,217,902 17,679 Celgene Corp. (a) 2,393,913 26,633 Incyte Corp. (a) 3,549,912 11,687 Regeneron Pharmaceuticals, Inc. (a) 5,745,563 16,417 TESARO, Inc. (a) 2,095,794 44,541 Vertex Pharmaceuticals, Inc. (a) 6,762,215 --------------- 30,566,431 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- BUILDING PRODUCTS -- 1.3% 87,980 Fortune Brands Home & Security, Inc. $ 5,777,647 77,336 Johnson Controls International PLC 3,012,237 --------------- 8,789,884 --------------- CAPITAL MARKETS -- 7.1% 78,056 Charles Schwab (The) Corp. 3,348,602 8,925 CME Group, Inc. 1,094,384 150,930 E*TRADE Financial Corp. (a) 6,188,130 15,112 Goldman Sachs Group (The), Inc. 3,405,187 69,659 Intercontinental Exchange, Inc. 4,646,952 37,738 Moody's Corp. 4,967,453 128,812 Morgan Stanley 6,041,283 34,495 Northern Trust Corp. 3,018,657 71,552 Raymond James Financial, Inc. 5,952,411 31,454 S&P Global, Inc. 4,831,020 53,407 TD Ameritrade Holding Corp. 2,442,302 --------------- 45,936,381 --------------- CHEMICALS -- 1.9% 21,755 Albemarle Corp. 2,519,229 48,365 Celanese Corp., Series A 4,651,262 8,279 International Flavors & Fragrances, Inc. 1,102,597 13,084 Sherwin-Williams (The) Co. 4,412,841 --------------- 12,685,929 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 18,216 Cintas Corp. 2,456,427 36,026 Republic Services, Inc. 2,313,590 15,240 Waste Management, Inc. 1,145,286 --------------- 5,915,303 --------------- COMMUNICATIONS EQUIPMENT -- 1.2% 10,247 Harris Corp. 1,172,974 38,659 Motorola Solutions, Inc. 3,505,598 25,059 Palo Alto Networks, Inc. (a) 3,302,275 --------------- 7,980,847 --------------- CONSTRUCTION MATERIALS -- 0.2% 5,021 Martin Marietta Materials, Inc. 1,136,905 --------------- CONSUMER FINANCE -- 0.2% 17,974 Discover Financial Services 1,095,336 --------------- CONTAINERS & PACKAGING -- 1.4% 59,235 International Paper Co. 3,256,740 51,530 Packaging Corp. of America 5,641,505 --------------- 8,898,245 --------------- ELECTRICAL EQUIPMENT -- 0.7% 5,498 Acuity Brands, Inc. 1,114,170 20,704 Rockwell Automation, Inc. 3,416,781 --------------- 4,530,951 --------------- Page 60 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 45,425 Amphenol Corp., Class A $ 3,480,464 91,794 CDW Corp. 5,822,493 --------------- 9,302,957 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.3% 25,342 American Tower Corp. 3,454,875 9,897 Digital Realty Trust, Inc. 1,141,520 5,350 Equinix, Inc. 2,411,406 4,344 Essex Property Trust, Inc. 1,136,825 39,153 Prologis, Inc. 2,380,894 24,857 SBA Communications Corp. (a) 3,419,080 14,934 Welltower, Inc. 1,096,006 --------------- 15,040,606 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.8% 11,767 Becton, Dickinson and Co. 2,369,874 165,653 Boston Scientific Corp. (a) 4,409,683 23,974 Cooper (The) Cos., Inc. 5,846,539 38,835 Edwards Lifesciences Corp. (a) 4,473,015 50,594 Hologic, Inc. (a) 2,236,761 28,447 IDEXX Laboratories, Inc. (a) 4,735,287 6,137 Intuitive Surgical, Inc. (a) 5,758,102 25,870 Medtronic PLC 2,172,304 29,483 ResMed, Inc. 2,273,729 24,162 Stryker Corp. 3,554,230 --------------- 37,829,524 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 60,719 AmerisourceBergen Corp. 5,696,657 38,455 HCA Healthcare, Inc. (a) 3,089,475 29,790 Laboratory Corp. of America Holdings (a) 4,733,929 30,956 UnitedHealth Group, Inc. 5,937,670 --------------- 19,457,731 --------------- HEALTH CARE TECHNOLOGY -- 0.7% 69,082 Cerner Corp. (a) 4,446,808 --------------- HOTELS, RESTAURANTS & LEISURE -- 5.3% 27,136 Domino's Pizza, Inc. 5,060,864 45,778 Marriott International, Inc., Class A 4,769,610 21,894 McDonald's Corp. 3,396,635 146,753 MGM Resorts International 4,832,576 105,725 Norwegian Cruise Line Holdings Ltd. (a) 5,822,276 19,170 Starbucks Corp. 1,034,796 57,165 Wyndham Worldwide Corp. 5,966,311 45,462 Yum! Brands, Inc. 3,431,472 --------------- 34,314,540 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOUSEHOLD DURABLES -- 1.6% 18,998 Mohawk Industries, Inc. (a) $ 4,730,312 107,048 Newell Brands, Inc. 5,643,571 --------------- 10,373,883 --------------- HOUSEHOLD PRODUCTS -- 0.5% 21,546 Church & Dwight Co., Inc. 1,149,479 8,389 Clorox (The) Co. 1,119,848 8,658 Kimberly-Clark Corp. 1,066,319 --------------- 3,335,646 --------------- INDUSTRIAL CONGLOMERATES -- 1.0% 11,029 3M Co. 2,218,704 19,833 Roper Technologies, Inc. 4,610,379 --------------- 6,829,083 --------------- INSURANCE -- 0.3% 29,451 Marsh & McLennan Cos., Inc. 2,296,295 --------------- INTERNET & DIRECT MARKETING RETAIL -- 2.5% 5,931 Amazon.com, Inc. (a) 5,858,523 30,733 Netflix, Inc. (a) 5,582,957 2,454 Priceline Group (The), Inc. (a) 4,977,939 --------------- 16,419,419 --------------- INTERNET SOFTWARE & SERVICES -- 2.4% 4,939 Alphabet, Inc., Class A (a) 4,669,824 65,749 eBay, Inc. (a) 2,349,212 30,413 Facebook, Inc., Class A (a) 5,147,400 62,551 Twitter, Inc. (a) 1,006,446 24,698 VeriSign, Inc. (a) 2,498,697 --------------- 15,671,579 --------------- IT SERVICES -- 6.8% 18,563 Accenture PLC, Class A 2,391,286 17,888 Alliance Data Systems Corp. 4,318,700 10,909 Automatic Data Processing, Inc. 1,297,189 60,771 Broadridge Financial Solutions, Inc. 4,610,088 53,769 Fidelity National Information Services, Inc. 4,904,808 18,766 Fiserv, Inc. (a) 2,411,431 37,177 Gartner, Inc. (a) 4,770,553 27,610 Mastercard, Inc., Class A 3,528,558 106,947 PayPal Holdings, Inc. (a) 6,261,747 98,538 Total System Services, Inc. 6,253,221 17,647 Vantiv, Inc., Class A (a) 1,121,467 24,482 Visa, Inc., Class A 2,437,428 --------------- 44,306,476 --------------- LEISURE PRODUCTS -- 0.8% 51,474 Hasbro, Inc. 5,450,067 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.9% 13,231 Illumina, Inc. (a) 2,300,210 9,752 Mettler-Toledo International, Inc. (a) 5,588,676 24,978 Waters Corp. (a) 4,332,184 --------------- 12,221,070 --------------- See Notes to Financial Statements Page 61 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY -- 1.9% 36,241 Fortive Corp. $ 2,346,243 32,054 Illinois Tool Works, Inc. 4,510,318 62,806 Ingersoll-Rand PLC 5,519,391 --------------- 12,375,952 --------------- MEDIA -- 2.7% 17,040 Charter Communications, Inc., Class A (a) 6,678,147 86,158 Comcast Corp., Class A 3,485,091 17,811 DISH Network Corp., Class A (a) 1,140,438 839,469 Sirius XM Holdings, Inc. (b) 4,919,288 10,521 Walt Disney (The) Co. 1,156,574 --------------- 17,379,538 --------------- METALS & MINING -- 0.7% 128,230 Steel Dynamics, Inc. 4,540,624 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.7% 381,070 Annaly Capital Management, Inc. 4,584,272 --------------- MULTILINE RETAIL -- 0.2% 15,985 Dollar Tree, Inc. (a) 1,152,199 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.4% 44,569 Cabot Oil & Gas Corp. 1,108,431 94,270 Cheniere Energy, Inc. (a) 4,261,004 44,017 ONEOK, Inc. 2,490,041 36,915 Williams (The) Cos., Inc. 1,173,159 --------------- 9,032,635 --------------- PHARMACEUTICALS -- 0.9% 20,061 Bristol-Myers Squibb Co. 1,141,471 13,582 Eli Lilly and Co. 1,122,688 53,756 Zoetis, Inc. 3,360,825 --------------- 5,624,984 --------------- PROFESSIONAL SERVICES -- 0.4% 16,707 Equifax, Inc. 2,429,866 --------------- ROAD & RAIL -- 1.1% 105,202 CSX Corp. 5,190,667 12,232 J.B. Hunt Transport Services, Inc. 1,109,565 10,264 Union Pacific Corp. 1,056,781 --------------- 7,357,013 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.9% 183,969 Advanced Micro Devices, Inc. (a) 2,503,818 138,947 Applied Materials, Inc. 6,156,742 25,089 KLA-Tencor Corp. 2,323,994 40,585 Lam Research Corp. 6,471,684 24,894 Maxim Integrated Products, Inc. 1,131,183 74,370 Microchip Technology, Inc. 5,952,575 192,226 Micron Technology, Inc. (a) 5,405,395 39,707 NVIDIA Corp. 6,452,785 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 36,259 Qorvo, Inc. (a) $ 2,485,917 23,928 Skyworks Solutions, Inc. 2,509,329 14,530 Texas Instruments, Inc. 1,182,451 35,696 Xilinx, Inc. 2,258,129 --------------- 44,834,002 --------------- SOFTWARE -- 9.2% 99,702 Activision Blizzard, Inc. 6,159,590 40,582 Adobe Systems, Inc. (a) 5,944,857 37,738 ANSYS, Inc. (a) 4,888,958 33,260 Autodesk, Inc. (a) 3,684,875 14,047 Citrix Systems, Inc. (a) 1,109,432 43,436 Electronic Arts, Inc. (a) 5,070,719 25,249 Intuit, Inc. 3,464,415 16,215 Microsoft Corp. 1,178,830 59,947 Red Hat, Inc. (a) 5,926,960 38,722 salesforce.com, Inc. (a) 3,515,958 54,151 ServiceNow, Inc. (a) 5,980,978 62,964 Synopsys, Inc. (a) 4,821,153 26,260 VMware, Inc., Class A (a) 2,434,565 59,174 Workday, Inc., Class A (a) 6,042,257 --------------- 60,223,547 --------------- SPECIALTY RETAIL -- 2.6% 72,817 CarMax, Inc. (a) 4,824,126 29,935 Home Depot (The), Inc. 4,478,276 19,362 Ross Stores, Inc. 1,071,106 35,724 Tiffany & Co. 3,411,999 11,670 Ulta Beauty, Inc. (a) 2,931,621 --------------- 16,717,128 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 23,284 Apple, Inc. 3,463,029 --------------- TOBACCO -- 0.2% 9,516 Philip Morris International, Inc. 1,110,612 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.4% 20,371 United Rentals, Inc. (a) 2,423,334 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 55,317 T-Mobile US, Inc. (a) 3,410,846 --------------- TOTAL COMMON STOCKS -- 99.9% 650,461,703 (Cost $565,707,867) --------------- MONEY MARKET FUNDS -- 0.1% 748,595 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 748,595 (Cost $748,595) --------------- Page 62 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.4% $ 601,838 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $601,854. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $614,482. (d) $ 601,838 2,072,464 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $2,072,523. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $2,123,992. (d) 2,072,464 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.4% 2,674,302 (Cost $2,674,302) --------------- TOTAL INVESTMENTS -- 100.4% 653,884,600 (Cost $569,130,764) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (2,936,090) --------------- NET ASSETS -- 100.0% $ 650,948,510 =============== (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 $3,373,930 and the total value of the collateral held by the Fund is $3,426,154. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $569,660,042. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $86,423,381 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,198,823. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 650,461,703 $ -- $ -- Money Market Funds 748,595 -- -- Repurchase Agreements -- 2,674,302 -- -------------------------------------------- Total Investments $ 651,210,298 $ 2,674,302 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. See Notes to Financial Statements Page 63 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- 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) $ 3,373,930 Non-cash Collateral(2) (3,373,930) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 2,674,302 Non-cash Collateral(4) (2,674,302) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.9% 3,237 AAR Corp. $ 121,064 2,057 Esterline Technologies Corp. (a) 198,501 2,771 Hexcel Corp. 141,792 975 KLX, Inc. (a) 50,622 576 L3 Technologies, Inc. 100,783 1,154 Moog, Inc., Class A (a) 85,765 991 Orbital ATK, Inc. 101,260 596 Raytheon Co. 102,375 916 Rockwell Collins, Inc. 97,581 3,366 Spirit AeroSystems Holdings, Inc., Class A 203,407 764 Teledyne Technologies, Inc. (a) 104,164 10,492 Textron, Inc. 515,472 872 Triumph Group, Inc. 22,323 788 United Technologies Corp. 93,433 12,962 Wesco Aircraft Holdings, Inc. (a) 140,638 --------------- 2,079,180 --------------- AIR FREIGHT & LOGISTICS -- 0.6% 2,697 Atlas Air Worldwide Holdings, Inc. (a) 160,202 1,401 C.H. Robinson Worldwide, Inc. 91,906 1,704 Expeditors International of Washington, Inc. 100,331 1,328 FedEx Corp. 276,264 2,159 Hub Group, Inc., Class A (a) 73,514 --------------- 702,217 --------------- AIRLINES -- 1.3% 3,928 American Airlines Group, Inc. 198,128 9,195 Delta Air Lines, Inc. 453,865 10,678 JetBlue Airways Corp. (a) 234,169 3,776 Spirit Airlines, Inc. (a) 146,698 5,253 United Continental Holdings, Inc. (a) 355,523 --------------- 1,388,383 --------------- AUTO COMPONENTS -- 1.8% 9,016 American Axle & Manufacturing Holdings, Inc. (a) 132,896 3,896 Cooper Tire & Rubber Co. 142,399 1,115 Cooper-Standard Holdings, Inc. (a) 114,020 10,917 Dana, Inc. 258,951 2,900 Gentherm, Inc. (a) 97,005 14,135 Goodyear Tire & Rubber (The) Co. 445,394 3,478 Lear Corp. 515,405 1,586 Standard Motor Products, Inc. 79,903 3,372 Tenneco, Inc. 186,471 --------------- 1,972,444 --------------- AUTOMOBILES -- 1.1% 44,160 Ford Motor Co. 495,475 14,147 General Motors Co. 509,009 3,659 Harley-Davidson, Inc. 178,084 2,366 Winnebago Industries, Inc. 87,069 --------------- 1,269,637 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS -- 2.0% 3,870 Associated Banc-Corp. $ 92,686 2,893 BankUnited, Inc. 99,577 4,353 BB&T Corp. 205,984 5,911 Citigroup, Inc. 404,608 630 Community Trust Bancorp, Inc. 27,216 3,443 F.N.B. Corp. 47,169 19,433 First BanCorp (a) 113,877 2,761 People's United Financial, Inc. 48,152 2,312 PNC Financial Services Group (The), Inc. 297,786 2,338 Popular, Inc. 98,523 1,518 Prosperity Bancshares, Inc. 97,304 12,235 TCF Financial Corp. 192,824 784 TriCo Bancshares 28,930 1,749 Trustmark Corp. 55,898 5,311 Umpqua Holdings Corp. 98,466 4,128 Valley National Bancorp 49,041 5,210 Wells Fargo & Co. 281,027 --------------- 2,239,068 --------------- BEVERAGES -- 0.1% 627 Boston Beer (The) Co., Inc., Class A (a) 98,314 --------------- BIOTECHNOLOGY -- 0.6% 2,442 Emergent BioSolutions, Inc. (a) 88,816 6,982 Gilead Sciences, Inc. 531,260 --------------- 620,076 --------------- BUILDING PRODUCTS -- 0.5% 1,373 Advanced Drainage Systems, Inc. 28,215 1,223 Armstrong World Industries, Inc. (a) 59,377 3,643 Owens Corning 244,263 1,894 Simpson Manufacturing Co., Inc. 83,885 1,289 Universal Forest Products, Inc. 108,083 --------------- 523,823 --------------- CAPITAL MARKETS -- 2.4% 1,192 Affiliated Managers Group, Inc. 221,509 756 Ameriprise Financial, Inc. 109,529 5,658 Bank of New York Mellon (The) Corp. 300,044 5,178 Federated Investors, Inc., Class B 149,282 11,033 Franklin Resources, Inc. 494,058 6,997 Greenhill & Co., Inc. 129,445 5,617 Invesco Ltd. 195,303 5,111 Legg Mason, Inc. 204,491 1,148 LPL Financial Holdings, Inc. 52,532 2,203 State Street Corp. 205,386 1,060 Stifel Financial Corp. (a) 53,901 5,327 T. Rowe Price Group, Inc. 440,649 7,449 Waddell & Reed Financial, Inc., Class A 153,971 --------------- 2,710,100 --------------- See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS -- 2.5% 1,382 Air Products and Chemicals, Inc. $ 196,451 4,563 Cabot Corp. 247,908 1,828 Calgon Carbon Corp. 29,248 4,707 Eastman Chemical Co. 391,434 1,908 H.B. Fuller Co. 98,300 2,566 Innophos Holdings, Inc. 107,182 1,263 Innospec, Inc. 78,811 5,856 LyondellBasell Industries N.V., Class A 527,567 17,316 Mosaic (The) Co. 418,008 106 NewMarket Corp. 48,772 3,776 PolyOne Corp. 138,126 950 Stepan Co. 78,061 5,971 Westlake Chemical Corp. 420,120 --------------- 2,779,988 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 9,658 ACCO Brands Corp. (a) 112,516 2,817 Deluxe Corp. 203,387 3,701 Herman Miller, Inc. 124,631 1,411 HNI Corp. 53,265 1,405 Interface, Inc. 26,625 5,612 Knoll, Inc. 108,648 3,249 McGrath RentCorp 115,437 1,885 Mobile Mini, Inc. 58,058 8,037 Steelcase, Inc., Class A 109,705 639 Stericycle, Inc. (a) 49,254 1,175 Team, Inc. (a) 16,861 1,066 Tetra Tech, Inc. 50,582 588 UniFirst Corp. 83,643 2,381 Viad Corp. 127,503 --------------- 1,240,115 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 2,724 ADTRAN, Inc. 63,878 12,630 Cisco Systems, Inc. 397,214 1,854 EchoStar Corp., Class A (a) 112,593 14,179 Juniper Networks, Inc. 396,303 1,417 NetScout Systems, Inc. (a) 48,887 528 Plantronics, Inc. 23,855 2,621 Viavi Solutions, Inc. (a) 28,752 --------------- 1,071,482 --------------- CONSTRUCTION & ENGINEERING -- 1.1% 6,032 AECOM (a) 192,421 6,428 Aegion Corp. (a) 153,886 1,516 Comfort Systems USA, Inc. 50,483 1,492 EMCOR Group, Inc. 100,710 2,130 Fluor Corp. 92,506 571 Granite Construction, Inc. 27,990 896 Jacobs Engineering Group, Inc. 47,237 1,107 Primoris Services Corp. 27,586 5,924 Quanta Services, Inc. (a) 199,817 4,892 Tutor Perini Corp. (a) 130,127 978 Valmont Industries, Inc. 149,341 --------------- 1,172,104 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONSUMER FINANCE -- 2.2% 23,644 Ally Financial, Inc. $ 535,300 1,142 American Express Co. 97,333 5,981 Capital One Financial Corp. 515,443 2,062 Encore Capital Group, Inc. (a) 82,686 965 FirstCash, Inc. 56,115 11,713 Navient Corp. 172,767 2,992 Nelnet, Inc., Class A 146,877 9,914 OneMain Holdings, Inc. (a) 265,100 1,484 PRA Group, Inc. (a) 58,173 19,105 Santander Consumer USA Holdings, Inc. (a) 244,735 9,681 Synchrony Financial 293,528 --------------- 2,468,057 --------------- CONTAINERS & PACKAGING -- 0.9% 1,123 AptarGroup, Inc. 90,885 552 Avery Dennison Corp. 51,297 3,163 Bemis Co., Inc. 134,016 1,634 Crown Holdings, Inc. (a) 97,174 10,615 Graphic Packaging Holding Co. 140,012 1,534 Silgan Holdings, Inc. 46,480 3,793 Sonoco Products Co. 183,885 5,095 WestRock Co. 292,555 --------------- 1,036,304 --------------- DISTRIBUTORS -- 0.3% 835 Core-Mark Holding Co., Inc. 30,620 1,037 Genuine Parts Co. 88,072 5,999 LKQ Corp. (a) 207,325 --------------- 326,017 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 3,706 Adtalem Global Education, Inc. 120,445 244 Graham Holdings Co., Class B 144,546 4,732 H&R Block, Inc. 144,326 4,620 K12, Inc. (a) 81,820 1,458 Service Corp. International 50,636 826 Weight Watchers International, Inc. (a) 29,587 --------------- 571,360 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 1,704 Berkshire Hathaway, Inc., Class B (a) 298,149 15,112 Leucadia National Corp. 393,365 --------------- 691,514 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 13,097 AT&T, Inc. 510,783 822 ATN International, Inc. 47,676 20,693 CenturyLink, Inc. (b) 481,526 14,010 Frontier Communications Corp. (b) 214,493 12,728 Iridium Communications, Inc. (a) (b) 126,644 4,426 Verizon Communications, Inc. 214,218 --------------- 1,595,340 --------------- Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 5.3% 2,721 ALLETE, Inc. $ 199,368 4,921 Alliant Energy Corp. 199,448 2,845 American Electric Power Co., Inc. 200,686 3,454 Duke Energy Corp. 294,005 5,056 Edison International 397,806 1,601 El Paso Electric Co. 83,092 2,575 Entergy Corp. 197,554 4,755 Eversource Energy 289,056 13,700 Exelon Corp. 525,258 6,661 Great Plains Energy, Inc. 205,558 6,023 Hawaiian Electric Industries, Inc. 198,699 1,714 IDACORP, Inc. 148,021 429 MGE Energy, Inc. 28,550 2,821 NextEra Energy, Inc. 412,120 4,204 OGE Energy Corp. 150,755 1,421 Otter Tail Corp. 57,479 5,956 PG&E Corp. 403,162 4,642 Pinnacle West Capital Corp. 402,601 3,824 PNM Resources, Inc. 152,386 4,269 Portland General Electric Co. 190,782 10,226 PPL Corp. 391,963 8,257 Southern (The) Co. 395,758 8,616 Xcel Energy, Inc. 407,623 --------------- 5,931,730 --------------- ELECTRICAL EQUIPMENT -- 1.1% 2,495 Atkore International Group, Inc. (a) 51,946 1,008 AZZ, Inc. 51,106 5,079 Eaton Corp. PLC 397,432 1,939 Encore Wire Corp. 86,479 1,346 EnerSys 97,275 1,349 Generac Holdings, Inc. (a) 48,524 862 Hubbell, Inc. 102,397 2,989 Regal Beloit Corp. 249,133 2,283 Sensata Technologies Holding N.V. (a) 103,009 --------------- 1,187,301 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.2% 1,247 Anixter International, Inc. (a) 98,201 2,487 Arrow Electronics, Inc. (a) 202,168 5,016 Avnet, Inc. 192,514 11,935 AVX Corp. 213,279 693 Badger Meter, Inc. 31,358 1,939 Belden, Inc. 139,492 3,483 Benchmark Electronics, Inc. (a) 117,203 16,444 Corning, Inc. 479,178 1,992 Dolby Laboratories, Inc., Class A 103,086 759 ePlus, Inc. (a) 61,403 2,813 FLIR Systems, Inc. 104,981 2,070 Insight Enterprises, Inc. (a) 83,876 3,341 Jabil, Inc. 101,901 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 2,505 Keysight Technologies, Inc. (a) $ 104,183 1,628 Knowles Corp. (a) 24,664 2,010 Methode Electronics, Inc. 79,898 533 MTS Systems Corp. 28,089 367 OSI Systems, Inc. (a) 29,349 2,140 Plexus Corp. (a) 114,725 254 Rogers Corp. (a) 29,964 6,398 Sanmina Corp. (a) 229,368 2,792 ScanSource, Inc. (a) 110,563 1,219 SYNNEX Corp. 144,964 6,281 TE Connectivity Ltd. 504,930 965 Tech Data Corp. (a) 98,816 4,988 Vishay Intertechnology, Inc. 89,036 --------------- 3,517,189 --------------- ENERGY EQUIPMENT & SERVICES -- 0.7% 9,870 Archrock, Inc. 108,076 1,153 Dril-Quip, Inc. (a) 51,424 4,884 Helix Energy Solutions Group, Inc. (a) 31,941 897 Helmerich & Payne, Inc. (b) 45,406 6,404 Oceaneering International, Inc. 164,263 1,015 Oil States International, Inc. (a) 25,223 2,415 Patterson-UTI Energy, Inc. 46,706 29,621 Transocean Ltd. (a) 256,222 --------------- 729,261 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.5% 1,754 Acadia Realty Trust 52,164 16,684 CBL & Associates Properties, Inc. (b) 146,652 5,748 Chesapeake Lodging Trust 145,022 2,179 Columbia Property Trust, Inc. 47,393 8,839 CoreCivic, Inc. 244,840 10,751 DDR Corp. 109,553 10,275 DiamondRock Hospitality Co. 120,012 7,715 Equity Commonwealth (a) 243,640 7,472 Franklin Street Properties Corp. 78,979 3,298 GEO Group (The), Inc. 96,796 6,145 Government Properties Income Trust 108,951 12,369 HCP, Inc. 391,479 7,598 Hersha Hospitality Trust 142,539 6,690 Hospitality Properties Trust 194,411 27,047 Host Hotels & Resorts, Inc. 504,697 8,181 LaSalle Hotel Properties 241,667 658 Life Storage, Inc. 48,060 4,218 Outfront Media, Inc. 96,466 1,206 Parkway, Inc. 27,750 1,745 Pebblebrook Hotel Trust 58,754 2,313 Piedmont Office Realty Trust, Inc., Class A 48,596 10,903 Ramco-Gershenson Properties Trust 153,623 See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 3,993 Retail Properties of America, Inc., Class A $ 52,827 12,269 RLJ Lodging Trust 259,612 7,156 Senior Housing Properties Trust 139,184 1,868 SL Green Realty Corp. 192,908 15,123 Sunstone Hotel Investors, Inc. 246,202 3,044 Tier REIT, Inc. 56,253 35,466 VEREIT, Inc. 294,723 13,443 Washington Prime Group, Inc. 121,256 2,873 Weyerhaeuser Co. 94,867 739 WP Carey, Inc. 50,629 7,261 Xenia Hotels & Resorts, Inc. 147,544 --------------- 4,958,049 --------------- FOOD & STAPLES RETAILING -- 2.3% 3,295 Andersons (The), Inc. 113,513 1,366 Casey's General Stores, Inc. 145,821 4,913 CVS Health Corp. 392,696 12,379 Kroger (The) Co. 303,533 1,007 Performance Food Group Co. (a) 29,002 557 PriceSmart, Inc. 46,927 12,364 Smart & Final Stores, Inc. (a) 106,330 5,418 SpartanNash Co. 150,295 4,301 Sprouts Farmers Market, Inc. (a) 103,525 25,165 SUPERVALU, Inc. (a) 90,091 3,832 United Natural Foods, Inc. (a) 147,647 5,374 US Foods Holding Corp. (a) 151,278 2,524 Walgreens Boots Alliance, Inc. 203,611 5,224 Wal-Mart Stores, Inc. 417,868 2,887 Weis Markets, Inc. 136,584 --------------- 2,538,721 --------------- FOOD PRODUCTS -- 3.0% 11,942 Archer-Daniels-Midland Co. 503,714 5,299 Bunge Ltd. 415,389 8,935 Darling Ingredients, Inc. (a) 145,372 4,870 Dean Foods Co. 73,050 8,450 Flowers Foods, Inc. 148,636 4,788 Fresh Del Monte Produce, Inc. 246,438 1,737 General Mills, Inc. 96,681 5,795 Hormel Foods Corp. 198,015 2,422 Ingredion, Inc. 298,681 209 J&J Snack Foods Corp. 27,463 1,670 J.M. Smucker (The) Co. 203,573 8,897 Pilgrim's Pride Corp. (a) 216,108 628 Post Holdings, Inc. (a) 52,250 1,216 Sanderson Farms, Inc. (b) 158,992 792 Tootsie Roll Industries, Inc. (b) 29,462 7,890 Tyson Foods, Inc., Class A 499,910 --------------- 3,313,734 --------------- GAS UTILITIES -- 1.3% 2,383 Atmos Energy Corp. 206,749 368 Chesapeake Utilities Corp. 28,428 2,619 National Fuel Gas Co. 155,071 1,228 New Jersey Resources Corp. 51,760 SHARES DESCRIPTION VALUE ------------------------------------------------------------- GAS UTILITIES (CONTINUED) 1,383 Northwest Natural Gas Co. $ 87,268 2,095 ONE Gas, Inc. 152,474 1,427 South Jersey Industries, Inc. 48,475 2,669 Southwest Gas Holdings, Inc. 213,787 2,097 Spire, Inc. 152,242 5,963 UGI Corp. 300,953 --------------- 1,397,207 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.5% 4,769 Baxter International, Inc. 288,429 1,140 Danaher Corp. 92,898 1,484 DENTSPLY SIRONA, Inc. 92,052 833 Globus Medical, Inc., Class A (a) 25,615 703 Halyard Health, Inc. (a) 28,275 637 Integer Holdings Corp. (a) 29,175 739 Natus Medical, Inc. (a) 26,013 --------------- 582,457 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.2% 1,535 Anthem, Inc. 285,832 2,537 Cardinal Health, Inc. 196,009 2,474 Centene Corp. (a) 196,485 238 Chemed Corp. 47,005 7,631 DaVita, Inc. (a) 494,336 3,801 Diplomat Pharmacy, Inc. (a) 60,322 2,584 Ensign Group (The), Inc. 57,804 7,740 Express Scripts Holding Co. (a) 484,834 407 LHC Group, Inc. (a) 23,565 2,094 LifePoint Health, Inc. (a) 124,384 1,543 Magellan Health, Inc. (a) 115,031 3,003 McKesson Corp. 486,096 2,423 MEDNAX, Inc. (a) 113,832 705 Molina Healthcare, Inc. (a) 47,094 1,604 National HealthCare Corp. 104,533 2,572 Owens & Minor, Inc. 82,896 2,300 Premier, Inc., Class A (a) 80,270 866 Quest Diagnostics, Inc. 93,796 3,665 Select Medical Holdings Corp. (a) 59,373 1,427 Tenet Healthcare Corp. (a) (b) 24,758 3,238 Universal Health Services, Inc., Class B 358,867 --------------- 3,537,122 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 141 Biglari Holdings, Inc. (a) 52,779 3,021 BJ's Restaurants, Inc. (a) 106,641 1,300 Bloomin' Brands, Inc. 22,659 4,535 Boyd Gaming Corp. 113,647 1,539 Buffalo Wild Wings, Inc. (a) 165,443 7,536 Carnival Corp. 503,254 3,877 Cheesecake Factory (The), Inc. 184,468 596 Cracker Barrel Old Country Store, Inc. 92,648 1,064 Darden Restaurants, Inc. 89,248 846 Dave & Buster's Entertainment, Inc. (a) 52,545 Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,880 DineEquity, Inc. $ 77,343 1,001 Hyatt Hotels Corp., Class A (a) 55,626 3,746 International Speedway Corp., Class A 134,107 1,506 Las Vegas Sands Corp. 92,785 3,619 Royal Caribbean Cruises Ltd. 409,200 1,693 SeaWorld Entertainment, Inc. (b) 26,038 2,441 Yum China Holdings, Inc. (a) 87,364 --------------- 2,265,795 --------------- HOUSEHOLD DURABLES -- 2.7% 6,896 CalAtlantic Group, Inc. 242,049 213 Cavco Industries, Inc. (a) 27,775 14,294 D.R. Horton, Inc. 510,153 7,747 Garmin Ltd. 388,822 1,554 Helen of Troy Ltd. (a) 156,565 3,454 KB Home 79,166 2,547 La-Z-Boy, Inc. 86,089 5,414 Lennar Corp., Class A 283,910 2,343 M.D.C. Holdings, Inc. 80,341 3,333 Meritage Homes Corp. (a) 135,820 20 NVR, Inc. (a) 52,209 9,938 PulteGroup, Inc. 242,686 4,936 Toll Brothers, Inc. 190,480 520 TopBuild Corp. (a) 27,446 10,663 TRI Pointe Group, Inc. (a) 141,818 2,083 Tupperware Brands Corp. 126,459 1,507 Whirlpool Corp. 268,065 --------------- 3,039,853 --------------- HOUSEHOLD PRODUCTS -- 0.1% 1,104 Procter & Gamble (The) Co. 100,265 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 14,414 Calpine Corp. (a) 207,273 10,011 Dynegy, Inc. (a) 89,899 --------------- 297,172 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 1,022 Carlisle Cos., Inc. 99,737 722 Honeywell International, Inc. 98,279 829 Raven Industries, Inc. 28,517 --------------- 226,533 --------------- INSURANCE -- 8.5% 3,716 Aflac, Inc. 296,351 332 Alleghany Corp. (a) 203,629 3,264 Allstate (The) Corp. 297,024 6,485 Ambac Financial Group, Inc. (a) 132,489 3,150 American Equity Investment Life Holding Co. 84,357 1,472 American Financial Group, Inc. 149,261 3,162 American International Group, Inc. 206,953 1,256 American National Insurance Co. 149,464 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 988 AMERISAFE, Inc. $ 57,057 16,102 AmTrust Financial Services, Inc. 257,632 2,119 Arch Capital Group Ltd. (a) 206,094 2,321 Argo Group International Holdings Ltd. 139,144 1,681 Arthur J. Gallagher & Co. 98,826 2,934 Aspen Insurance Holdings Ltd. 143,179 1,411 Assurant, Inc. 148,536 5,841 Assured Guaranty Ltd. 262,903 3,770 Axis Capital Holdings Ltd. 243,467 1,986 Chubb Ltd. 290,870 1,328 Cincinnati Financial Corp. 101,140 11,675 CNO Financial Group, Inc. 267,124 1,957 Employers Holdings, Inc. 84,836 736 Enstar Group Ltd. (a) 149,114 1,941 Everest Re Group, Ltd. 509,299 915 FBL Financial Group, Inc., Class A 62,128 4,364 First American Financial Corp. 211,261 6,440 FNF Group 314,658 1,830 Hartford Financial Services Group (The), Inc. 100,650 729 Horace Mann Educators Corp. 26,900 599 Infinity Property & Casualty Corp. 59,930 1,416 James River Group Holdings Ltd. 56,867 714 Kemper Corp. 28,024 4,272 Lincoln National Corp. 312,112 2,056 Loews Corp. 100,086 5,068 Maiden Holdings Ltd. 56,255 9,243 National General Holdings Corp. 196,044 352 National Western Life Group, Inc., Class A 118,480 1,025 Navigators Group (The), Inc. 58,425 9,986 Old Republic International Corp. 195,925 1,502 Principal Financial Group, Inc. 100,259 1,604 ProAssurance Corp. 99,127 2,670 Prudential Financial, Inc. 302,324 2,249 Reinsurance Group of America, Inc. 315,310 1,403 RenaissanceRe Holdings Ltd. 206,115 1,212 Safety Insurance Group, Inc. 85,991 1,124 Selective Insurance Group, Inc. 56,931 1,824 Stewart Information Services Corp. 71,683 10,118 Third Point Reinsurance Ltd. (a) 147,217 1,258 Torchmark Corp. 99,344 3,905 Travelers (The) Cos., Inc. 500,191 1,277 United Fire Group, Inc. 57,618 8,478 Unum Group 425,002 2,815 Validus Holdings Ltd. 151,419 4,174 W. R. Berkley Corp. 287,881 2,197 XL Group Ltd. 97,547 --------------- 9,380,453 --------------- See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & DIRECT MARKETING RETAIL -- 0.6% 1,764 HSN, Inc. $ 69,942 20,137 Liberty Interactive Corp. QVC Group, Class A (a) 482,080 9,700 Liberty TripAdvisor Holdings, Inc., Class A (a) 113,975 --------------- 665,997 --------------- IT SERVICES -- 1.4% 1,498 Booz Allen Hamilton Holding Corp. 51,381 1,170 CACI International, Inc., Class A (a) 146,367 1,449 Cognizant Technology Solutions Corp., Class A 100,445 5,914 Convergys Corp. 141,759 3,071 CSRA, Inc. 100,145 3,161 DST Systems, Inc. 173,539 558 Euronet Worldwide, Inc. (a) 53,908 3,504 Genpact Ltd. 101,616 1,877 International Business Machines Corp. 271,546 943 Leidos Holdings, Inc. 50,394 2,001 ManTech International Corp., Class A 79,480 1,557 MAXIMUS, Inc. 93,980 3,356 Sykes Enterprises, Inc. (a) 114,104 3,307 Teradata Corp. (a) 105,229 --------------- 1,583,893 --------------- LEISURE PRODUCTS -- 0.5% 5,077 American Outdoor Brands Corp. (a) 104,942 1,554 Brunswick Corp. 87,972 11,005 Callaway Golf Co. 140,094 4,470 Mattel, Inc. 89,489 1,332 Sturm Ruger & Co., Inc. (b) 76,723 --------------- 499,220 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.0% 482 Charles River Laboratories International, Inc. (a) 47,332 --------------- MACHINERY -- 3.1% 1,120 Actuant Corp., Class A 27,104 1,447 AGCO Corp. 104,387 619 Alamo Group, Inc. 57,573 517 Albany International Corp., Class A 27,659 3,672 American Railcar Industries, Inc. (b) 135,019 2,499 Barnes Group, Inc. 150,390 5,836 Briggs & Stratton Corp. 136,679 1,620 Chart Industries, Inc. (a) 55,080 1,238 Colfax Corp. (a) 51,105 1,218 Cummins, Inc. 204,502 1,071 Donaldson Co., Inc. 50,862 2,464 Dover Corp. 206,976 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 3,241 Federal Signal Corp. $ 59,958 1,359 Franklin Electric Co., Inc. 54,904 2,209 Gorman-Rupp (The) Co. 66,756 3,041 Greenbrier (The) Cos., Inc. (b) 136,845 1,558 Hillenbrand, Inc. 56,088 3,640 ITT, Inc. 149,240 6,774 Meritor, Inc. (a) 117,055 1,847 Mueller Industries, Inc. 58,180 708 Oshkosh Corp. 48,753 5,986 PACCAR, Inc. 409,742 602 Parker-Hannifin Corp. 99,920 410 Proto Labs, Inc. (a) 30,299 1,185 Rexnord Corp. (a) 27,445 1,405 Stanley Black & Decker, Inc. 197,669 374 Tennant Co. 28,256 2,108 Timken (The) Co. 95,914 8,697 Trinity Industries, Inc. 238,385 5,119 Wabash National Corp. 97,670 382 WABCO Holdings, Inc. (a) 52,552 890 Watts Water Technologies, Inc., Class A 57,316 1,443 Woodward, Inc. 100,923 --------------- 3,391,206 --------------- MARINE -- 0.2% 2,917 Kirby Corp. (a) 177,646 2,756 Matson, Inc. 77,719 --------------- 255,365 --------------- MEDIA -- 2.2% 3,651 AMC Networks, Inc., Class A (a) 233,481 5,020 Cinemark Holdings, Inc. 195,278 19,131 Discovery Communications, Inc., Class A (a) 470,623 4,649 E.W. Scripps (The) Co., Class A (a) 91,353 12,903 Gannett Co., Inc. 115,740 3,912 Interpublic Group of Cos. (The), Inc. 84,538 1,849 John Wiley & Sons, Inc., Class A 102,157 1,393 Meredith Corp. 82,814 10,434 New Media Investment Group, Inc. 145,450 3,559 News Corp., Class A 50,929 1,899 Scholastic Corp. 78,676 16,918 TEGNA, Inc. 250,894 1,923 Time, Inc. 27,018 6,975 Twenty-First Century Fox, Inc., Class A 202,973 8,600 Viacom, Inc., Class B 300,312 --------------- 2,432,236 --------------- METALS & MINING -- 1.7% 7,467 Alcoa Corp. 271,799 3,006 Carpenter Technology Corp. 121,532 4,261 Commercial Metals Co. 79,255 2,987 Compass Minerals International, Inc. 206,252 Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 1,589 Kaiser Aluminum Corp. $ 154,594 6,103 Newmont Mining Corp. 226,848 6,831 Nucor Corp. 393,944 3,348 Reliance Steel & Aluminum Co. 242,261 3,883 Worthington Industries, Inc. 196,752 --------------- 1,893,237 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.5% 11,451 AGNC Investment Corp. 242,532 7,582 Apollo Commercial Real Estate Finance, Inc. 136,703 7,938 Capstead Mortgage Corp. 77,634 13,085 Chimera Investment Corp. 246,260 8,417 Invesco Mortgage Capital, Inc. 139,975 4,195 Ladder Capital Corp. 55,206 23,245 MFA Financial, Inc. 197,350 7,690 PennyMac Mortgage Investment Trust 135,344 6,533 Starwood Property Trust, Inc. 143,987 24,600 Two Harbors Investment Corp. 243,294 --------------- 1,618,285 --------------- MULTILINE RETAIL -- 2.0% 2,330 Big Lots, Inc. 115,731 2,438 Dillard's, Inc., Class A (b) 179,973 5,484 Dollar General Corp. 412,178 24,197 JC Penney Co., Inc. (a) (b) 130,906 6,304 Kohl's Corp. 260,670 21,263 Macy's, Inc. 504,996 2,039 Nordstrom, Inc. (b) 99,034 9,450 Target Corp. 535,532 --------------- 2,239,020 --------------- MULTI-UTILITIES -- 3.5% 7,231 Ameren Corp. 405,659 4,593 Avista Corp. 241,638 723 Black Hills Corp. 50,364 7,219 CenterPoint Energy, Inc. 203,504 4,274 CMS Energy Corp. 197,630 4,891 Consolidated Edison, Inc. 405,268 3,737 DTE Energy Co. 400,083 5,768 NiSource, Inc. 150,314 3,196 NorthWestern Corp. 184,697 9,191 Public Service Enterprise Group, Inc. 413,319 7,374 SCANA Corp. 474,664 2,560 Sempra Energy 289,306 2,503 Vectren Corp. 150,455 4,703 WEC Energy Group, Inc. 296,148 --------------- 3,863,049 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.7% 3,084 Andeavor 306,951 2,256 Antero Resources Corp. (a) 46,519 3,789 Chevron Corp. 413,721 6,567 ConocoPhillips 297,945 2,585 CVR Energy, Inc. (b) 48,882 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 3,576 Exxon Mobil Corp. $ 286,223 6,844 Green Plains, Inc. 135,169 10,316 Kinder Morgan, Inc. 210,756 7,554 Marathon Petroleum Corp. 422,948 9,512 Murphy Oil Corp. 252,829 13,969 Noble Energy, Inc. 403,844 10,952 PBF Energy, Inc., Class A (b) 249,377 2,390 Phillips 66 200,163 19,310 QEP Resources, Inc. (a) 165,487 1,806 SemGroup Corp., Class A 48,852 7,325 Valero Energy Corp. 505,205 3,804 World Fuel Services Corp. 123,021 --------------- 4,117,892 --------------- PAPER & FOREST PRODUCTS -- 0.8% 2,723 Boise Cascade Co. (a) 82,643 2,407 Clearwater Paper Corp. (a) 118,304 6,345 Domtar Corp. 247,836 8,089 Louisiana-Pacific Corp. (a) 203,115 701 Neenah Paper, Inc. 56,010 4,237 P.H. Glatfelter Co. 86,731 3,022 Schweitzer-Mauduit International, Inc. 116,105 --------------- 910,744 --------------- PERSONAL PRODUCTS -- 0.2% 641 Edgewell Personal Care Co. (a) 46,280 752 Inter Parfums, Inc. 29,177 1,552 Nu Skin Enterprises, Inc., Class A 98,335 878 USANA Health Sciences, Inc. (a) 50,134 --------------- 223,926 --------------- PHARMACEUTICALS -- 0.8% 2,033 Allergan PLC 512,987 727 Johnson & Johnson 96,487 7,437 Mylan N.V. (a) 289,969 --------------- 899,443 --------------- PROFESSIONAL SERVICES -- 0.7% 1,092 Advisory Board (The) Co. (a) 61,370 3,218 FTI Consulting, Inc. (a) 105,583 2,605 Huron Consulting Group, Inc. (a) 92,477 2,389 ICF International, Inc. (a) 108,102 2,398 Korn/Ferry International 80,213 873 ManpowerGroup, Inc. 93,542 7,118 Navigant Consulting, Inc. (a) 120,508 510 On Assignment, Inc. (a) 25,118 2,035 Robert Half International, Inc. 92,084 --------------- 778,997 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 5,430 CBRE Group, Inc., Class A (a) 206,286 1,170 Jones Lang LaSalle, Inc. 148,847 1,449 Kennedy-Wilson Holdings, Inc. 29,125 2,134 Marcus & Millichap, Inc. (a) 54,630 See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT (CONTINUED) 4,508 Realogy Holdings Corp. $ 149,666 --------------- 588,554 --------------- ROAD & RAIL -- 1.4% 534 AMERCO 207,491 6,827 ArcBest Corp. 189,791 2,139 Genesee & Wyoming, Inc., Class A (a) 139,377 3,977 Heartland Express, Inc. 84,034 1,889 Kansas City Southern 194,926 2,632 Knight Transportation, Inc. 93,831 570 Landstar System, Inc. 47,395 1,624 Norfolk Southern Corp. 182,830 2,709 Ryder System, Inc. 197,107 1,614 Saia, Inc. (a) 87,721 3,834 Werner Enterprises, Inc. 113,678 --------------- 1,538,181 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.8% 3,445 Diodes, Inc. (a) 91,396 14,646 Intel Corp. 519,494 5,228 QUALCOMM, Inc. 278,077 --------------- 888,967 --------------- SOFTWARE -- 0.4% 8,375 CA, Inc. 259,960 1,919 Oracle Corp. 95,816 3,016 TiVo Corp. 59,113 --------------- 414,889 --------------- SPECIALTY RETAIL -- 6.0% 2,892 Aaron's, Inc. 133,842 1,695 Advance Auto Parts, Inc. 189,857 20,231 American Eagle Outfitters, Inc. 239,535 1,990 Asbury Automotive Group, Inc. (a) 107,460 5,782 AutoNation, Inc. (a) (b) 245,041 8,019 Bed Bath & Beyond, Inc. 239,768 6,896 Best Buy Co., Inc. 402,313 7,901 Buckle (The), Inc. (b) 135,107 4,050 Caleres, Inc. 110,484 14,930 Chico's FAS, Inc. 136,609 811 Children's Place (The), Inc. 85,682 6,121 Dick's Sporting Goods, Inc. 228,558 7,946 DSW, Inc., Class A 143,346 20,836 Express, Inc. (a) 126,266 10,027 Foot Locker, Inc. 473,174 11,281 GameStop Corp., Class A 244,685 22,472 Gap (The), Inc. 535,508 4,149 Genesco, Inc. (a) 133,183 2,221 Group 1 Automotive, Inc. 132,261 8,804 Guess?, Inc. 114,980 5,357 L Brands, Inc. 248,511 1,194 Lithia Motors, Inc., Class A 123,280 10,531 Michaels (The) Cos., Inc. (a) 212,094 1,983 Monro Muffler Brake, Inc. 92,408 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 759 Murphy USA, Inc. (a) $ 57,479 24,937 Office Depot, Inc. 146,380 7,189 Party City Holdco, Inc. (a) 100,287 4,442 Penske Automotive Group, Inc. 193,405 9,631 Sally Beauty Holdings, Inc. (a) 194,835 1,585 Select Comfort Corp. (a) 53,589 3,855 Signet Jewelers Ltd. (b) 235,772 1,333 TJX (The) Cos., Inc. 93,723 5,325 Tractor Supply Co. 298,839 13,149 Urban Outfitters, Inc. (a) 257,589 5,026 Williams-Sonoma, Inc. 233,357 --------------- 6,699,207 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.4% 29,786 Hewlett Packard Enterprise Co. 521,553 11,308 HP, Inc. 215,983 2,403 NetApp, Inc. 104,338 7,450 Seagate Technology PLC 245,552 3,359 Super Micro Computer, Inc. (a) 90,189 4,462 Western Digital Corp. 379,806 --------------- 1,557,421 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.2% 1,644 Carter's, Inc. 142,584 2,033 Coach, Inc. 95,836 2,519 Columbia Sportswear Co. 152,601 13,589 Fossil Group, Inc. (a) 152,876 3,318 G-III Apparel Group Ltd. (a) 86,368 4,155 Hanesbrands, Inc. 95,233 1,631 NIKE, Inc., Class B 96,311 1,325 Oxford Industries, Inc. 83,647 1,277 PVH Corp. 152,333 4,958 Skechers U.S.A., Inc., Class A (a) 139,270 1,408 Steven Madden Ltd. (a) 57,728 1,671 VF Corp. 103,919 --------------- 1,358,706 --------------- THRIFTS & MORTGAGE FINANCE -- 1.0% 1,408 Dime Community Bancshares, Inc. 29,287 2,686 Flagstar Bancorp, Inc. (a) 87,456 21,766 MGIC Investment Corp. (a) 254,009 6,289 Nationstar Mortgage Holdings, Inc. (a) 112,133 11,140 New York Community Bancorp, Inc. 146,268 1,765 Northwest Bancshares, Inc. 28,417 6,599 Oritani Financial Corp. 109,543 14,910 Radian Group, Inc. 259,732 3,561 TrustCo Bank Corp. NY 29,556 --------------- 1,056,401 --------------- TOBACCO -- 0.0% 427 Universal Corp. 27,307 --------------- Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS -- 1.2% 6,525 Air Lease Corp. $ 258,259 6,466 Aircastle Ltd. 152,210 953 Applied Industrial Technologies, Inc. 53,845 1,990 Beacon Roofing Supply, Inc. (a) 91,401 2,575 BMC Stock Holdings, Inc. (a) 56,650 2,188 GATX Corp. 135,284 1,128 Kaman Corp. 57,663 1,134 MSC Industrial Direct Co., Inc., Class A 80,752 3,026 Rush Enterprises, Inc., Class A (a) 130,511 1,840 Veritiv Corp. (a) 68,356 1,095 W.W. Grainger, Inc. 182,580 1,702 WESCO International, Inc. (a) 87,228 --------------- 1,354,739 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.0% 622 Macquarie Infrastructure Corp. 47,154 --------------- WATER UTILITIES -- 0.0% 581 American States Water Co. 28,730 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 8,785 Telephone & Data Systems, Inc. 249,757 3,670 United States Cellular Corp. (a) 139,020 --------------- 388,777 --------------- TOTAL COMMON STOCKS -- 100.0% 110,927,240 (Cost $102,932,210) --------------- MONEY MARKET FUNDS -- 0.4% 399,635 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 399,635 60,144 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (c) 60,144 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 459,779 (Cost $459,779) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.3% $ 321,290 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $321,298. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $328,039. (d) $ 321,290 1,106,379 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $1,106,410. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $1,133,887. (d) 1,106,379 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.3% 1,427,669 (Cost $1,427,669) --------------- TOTAL INVESTMENTS -- 101.7% 112,814,688 (Cost $104,819,658) (e) NET OTHER ASSETS AND LIABILITIES -- (1.7)% (1,855,678) --------------- NET ASSETS -- 100.0% $ 110,959,010 =============== (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 $1,781,775 and the total value of the collateral held by the Fund is $1,829,042. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $106,670,398. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $11,032,847 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $4,888,557. See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 110,927,240 $ -- $ -- Money Market Funds 459,779 -- -- Repurchase Agreements -- 1,427,669 -- -------------------------------------------- Total Investments $ 111,387,019 $ 1,427,669 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. ----------------------------- 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) $ 1,781,775 Non-cash Collateral(2) (1,781,775) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,427,669 Non-cash Collateral(4) (1,427,669) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.4% 2,515 Aerojet Rocketdyne Holdings, Inc. (a) $ 58,977 3,062 Axon Enterprise, Inc. (a) (b) 75,295 2,323 Boeing (The) Co. 563,235 4,649 BWX Technologies, Inc. 244,909 494 Curtiss-Wright Corp. 47,631 1,842 Engility Holdings, Inc. (a) 53,731 1,355 General Dynamics Corp. 266,027 2,524 HEICO Corp. 202,854 967 Lockheed Martin Corp. 282,490 2,485 Mercury Systems, Inc. (a) 109,116 1,046 Northrop Grumman Corp. 275,234 998 TransDigm Group, Inc. 281,576 --------------- 2,461,075 --------------- AIR FREIGHT & LOGISTICS -- 0.4% 6,004 Air Transport Services Group, Inc. (a) 146,257 809 United Parcel Service, Inc., Class B 89,225 3,507 XPO Logistics, Inc. (a) 210,806 --------------- 446,288 --------------- AIRLINES -- 0.8% 2,990 Alaska Air Group, Inc. 254,838 1,931 Hawaiian Holdings, Inc. (a) 79,943 2,193 SkyWest, Inc. 80,045 7,393 Southwest Airlines Co. 410,385 --------------- 825,211 --------------- AUTO COMPONENTS -- 0.4% 930 Dorman Products, Inc. (a) 72,614 3,673 Fox Factory Holding Corp. (a) 141,227 4,779 Gentex Corp. 81,339 1,328 LCI Industries 141,764 --------------- 436,944 --------------- AUTOMOBILES -- 0.6% 1,271 Tesla, Inc. (a) 411,130 2,168 Thor Industries, Inc. 228,399 --------------- 639,529 --------------- BANKS -- 8.3% 1,606 1st Source Corp. 78,855 2,170 Ameris Bancorp 99,386 797 BancFirst Corp. 85,080 2,972 BancorpSouth, Inc. 89,309 11,064 Bank of America Corp. 266,864 546 Bank of Hawaii Corp. 45,684 967 Bank of the Ozarks 41,726 1,851 Banner Corp. 106,932 1,488 Berkshire Hills Bancorp, Inc. 55,279 1,616 BOK Financial Corp. 137,473 1,672 Boston Private Financial Holdings, Inc. 25,665 1,757 Brookline Bancorp, Inc. 26,092 2,389 Cathay General Bancorp 89,468 2,104 CenterState Banks, Inc. 52,579 2,446 Central Pacific Financial Corp. 75,655 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 10,301 Citizens Financial Group, Inc. $ 361,359 794 City Holding Co. 52,110 644 Columbia Banking System, Inc. 25,657 3,665 Comerica, Inc. 265,016 798 Commerce Bancshares, Inc. 46,316 813 Community Bank System, Inc. 44,634 1,138 ConnectOne Bancorp, Inc. 25,605 965 Cullen/Frost Bankers, Inc. 87,603 907 Customers Bancorp, Inc. (a) 27,074 2,021 CVB Financial Corp. 43,532 826 Eagle Bancorp, Inc. (a) 51,584 3,095 East West Bancorp, Inc. 176,353 629 Enterprise Financial Services Corp. 24,877 1,095 FCB Financial Holdings, Inc., Class A (a) 51,629 7,079 Fifth Third Bancorp 189,009 1,784 First Busey Corp. 52,164 487 First Citizens BancShares, Inc., Class A 179,226 2,024 First Commonwealth Financial Corp. 26,373 1,888 First Financial Bancorp 48,333 2,051 First Financial Bankshares, Inc. 88,706 2,602 First Horizon National Corp. 45,353 1,918 First Merchants Corp. 77,564 2,681 First Republic Bank 268,985 2,476 Glacier Bancorp, Inc. 86,462 1,111 Great Western Bancorp, Inc. 43,340 3,700 Hancock Holding Co. 170,200 1,110 Heartland Financial USA, Inc. 52,281 3,459 Hilltop Holdings, Inc. 86,579 1,985 Horizon Bancorp 52,345 6,617 Huntington Bancshares, Inc. 87,675 556 IBERIABANK Corp. 44,953 385 Independent Bank Corp. 27,470 431 Independent Bank Group, Inc. 26,011 1,293 International Bancshares Corp. 45,772 3,393 Investors Bancorp, Inc. 45,059 4,021 JPMorgan Chase & Co. 369,128 9,806 KeyCorp 176,900 4,084 Lakeland Bancorp, Inc. 79,025 1,678 Lakeland Financial Corp. 77,188 1,372 LegacyTexas Financial Group, Inc. 53,124 1,657 M&T Bank Corp. 270,340 1,561 MainSource Financial Group, Inc. 54,541 1,029 MB Financial, Inc. 42,086 2,325 National Bank Holdings Corp., Class A 79,352 694 NBT Bancorp, Inc. 25,081 1,487 Old National Bancorp 24,238 2,086 Pacific Premier Bancorp, Inc. (a) 74,887 18,334 Regions Financial Corp. 267,676 1,760 Renasant Corp. 74,606 1,459 S&T Bancorp, Inc. 55,267 1,286 Sandy Spring Bancorp, Inc. 51,491 See Notes to Financial Statements Page 75 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 3,194 Seacoast Banking Corp. of Florida (a) $ 74,644 2,087 ServisFirst Bancshares, Inc. 75,842 623 Signature Bank (a) 86,335 734 Southside Bancshares, Inc. 25,492 1,929 State Bank Financial Corp. 52,951 3,899 Sterling Bancorp 90,067 660 Stock Yards Bancorp, Inc. 23,661 4,732 SunTrust Banks, Inc. 271,096 1,045 SVB Financial Group (a) 186,470 4,099 Synovus Financial Corp. 178,225 1,171 Texas Capital Bancshares, Inc. (a) 91,748 833 TowneBank 26,073 3,539 U.S. Bancorp 186,788 1,817 UMB Financial Corp. 126,572 1,543 Union Bankshares Corp. 47,663 2,769 United Community Banks, Inc. 76,867 1,015 Washington Trust Bancorp, Inc. 55,267 2,604 Webster Financial Corp. 135,226 649 WesBanco, Inc. 24,811 2,764 Western Alliance Bancorp (a) 139,250 2,372 Wintrust Financial Corp. 178,635 8,370 Zions Bancorporation 379,328 --------------- 8,611,197 --------------- BEVERAGES -- 0.7% 1,897 Constellation Brands, Inc., Class A 366,785 1,036 Molson Coors Brewing Co., Class B 92,184 3,699 Monster Beverage Corp. (a) 195,122 1,118 National Beverage Corp. 114,170 --------------- 768,261 --------------- BIOTECHNOLOGY -- 5.1% 3,702 AbbVie, Inc. 258,807 1,543 Alkermes PLC (a) 83,955 2,842 Alnylam Pharmaceuticals, Inc. (a) 235,147 1,394 AMAG Pharmaceuticals, Inc. (a) 27,392 1,067 Amgen, Inc. 186,202 9,197 Array BioPharma, Inc. (a) 69,069 330 Biogen, Inc. (a) 95,565 2,023 BioMarin Pharmaceutical, Inc. (a) 177,478 2,158 Bluebird Bio, Inc. (a) 203,391 2,581 Blueprint Medicines Corp. (a) 135,064 1,415 Celgene Corp. (a) 191,605 1,326 Eagle Pharmaceuticals, Inc. (a) (b) 65,173 3,697 Exact Sciences Corp. (a) 143,444 9,202 Exelixis, Inc. (a) 249,466 3,239 FibroGen, Inc. (a) 110,612 2,365 Genomic Health, Inc. (a) 75,443 2,001 Halozyme Therapeutics, Inc. (a) 25,373 2,132 Incyte Corp. (a) 284,174 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 749 Intercept Pharmaceuticals, Inc. (a) $ 87,730 1,882 Intrexon Corp. (a) (b) 40,632 3,564 Ionis Pharmaceuticals, Inc. (a) 186,754 5,541 Ironwood Pharmaceuticals, Inc. (a) 98,353 3,500 Juno Therapeutics, Inc. (a) (b) 99,505 2,186 Kite Pharma, Inc. (a) 236,984 1,560 Lexicon Pharmaceuticals, Inc. (a) (b) 25,428 634 Ligand Pharmaceuticals, Inc. (a) 76,657 8,735 MiMedx Group, Inc. (a) (b) 130,676 6,190 Momenta Pharmaceuticals, Inc. (a) 102,444 2,328 Portola Pharmaceuticals, Inc. (a) 143,638 474 Prothena Corp. PLC (a) (b) 29,274 935 Regeneron Pharmaceuticals, Inc. (a) 459,665 2,524 Repligen Corp. (a) 101,641 3,103 Sarepta Therapeutics, Inc. (a) 119,714 429 Spark Therapeutics, Inc. (a) 30,459 1,314 TESARO, Inc. (a) 167,745 349 United Therapeutics Corp. (a) 44,812 3,565 Vertex Pharmaceuticals, Inc. (a) 541,238 --------------- 5,340,709 --------------- BUILDING PRODUCTS -- 1.9% 2,414 A.O. Smith Corp. 129,270 2,089 AAON, Inc. 70,608 2,235 Allegion PLC 181,571 1,095 American Woodmark Corp. (a) 107,474 1,354 Apogee Enterprises, Inc. 70,530 8,535 Builders FirstSource, Inc. (a) 133,743 2,245 Continental Building Products, Inc. (a) 49,390 7,042 Fortune Brands Home & Security, Inc. 462,448 1,169 Griffon Corp. 23,965 6,190 Johnson Controls International PLC 241,101 987 Lennox International, Inc. 168,777 4,609 NCI Building Systems, Inc. (a) 82,962 1,436 Patrick Industries, Inc. (a) 109,280 2,914 Ply Gem Holdings, Inc. (a) 50,995 1,138 Trex Co., Inc. (a) 85,589 1,562 USG Corp. (a) 42,236 --------------- 2,009,939 --------------- CAPITAL MARKETS -- 4.9% 17,931 BGC Partners, Inc., Class A 226,110 992 CBOE Holdings, Inc. 93,774 6,248 Charles Schwab (The) Corp. 268,039 714 CME Group, Inc. 87,551 1,290 Cohen & Steers, Inc. 52,116 12,081 E*TRADE Financial Corp. (a) 495,321 2,874 Eaton Vance Corp. 141,085 2,572 Evercore Partners, Inc., Class A 202,288 546 FactSet Research Systems, Inc. 91,302 1,429 Financial Engines, Inc. 54,945 Page 76 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 1,210 Goldman Sachs Group (The), Inc. $ 272,649 5,576 Intercontinental Exchange, Inc. 371,975 902 MarketAxess Holdings, Inc. 183,007 3,021 Moody's Corp. 397,654 10,310 Morgan Stanley 483,539 579 Morningstar, Inc. 47,808 1,761 MSCI, Inc. 191,861 2,761 Northern Trust Corp. 241,615 5,727 Raymond James Financial, Inc. 476,429 2,518 S&P Global, Inc. 386,739 1,686 SEI Investments Co. 95,276 4,275 TD Ameritrade Holding Corp. 195,496 --------------- 5,056,579 --------------- CHEMICALS -- 2.5% 1,635 A. Schulman, Inc. 43,001 1,741 Albemarle Corp. 201,608 3,871 Celanese Corp., Series A 372,274 980 Chase Corp. 105,889 4,782 Chemours (The) Co. 227,671 7,149 Ferro Corp. (a) 137,547 841 GCP Applied Technologies, Inc. (a) 25,482 663 International Flavors & Fragrances, Inc. 88,298 3,797 Kraton Corp. (a) 141,249 619 Minerals Technologies, Inc. 43,825 5,988 Olin Corp. 176,526 14,300 Platform Specialty Products Corp. (a) 200,343 720 Quaker Chemical Corp. 102,146 507 Scotts Miracle-Gro (The) Co. 48,667 1,126 Sensient Technologies Corp. 83,729 1,047 Sherwin-Williams (The) Co. 353,122 3,299 Trinseo S.A. 231,920 --------------- 2,583,297 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 1,952 Brink's (The) Co. 152,549 1,458 Cintas Corp. 196,611 4,278 Copart, Inc. (a) 134,714 3,872 Healthcare Services Group, Inc. 202,312 2,160 KAR Auction Services, Inc. 90,806 2,234 MSA Safety, Inc. 179,078 1,282 Multi-Color Corp. 103,201 2,884 Republic Services, Inc. 185,211 4,454 Rollins, Inc. 193,348 1,036 US Ecology, Inc. 53,768 1,220 Waste Management, Inc. 91,683 --------------- 1,583,281 --------------- COMMUNICATIONS EQUIPMENT -- 1.7% 619 Acacia Communications, Inc. (a) (b) 27,094 1,513 Arista Networks, Inc. (a) 225,876 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMUNICATIONS EQUIPMENT (CONTINUED) 5,435 Ciena Corp. (a) $ 139,951 3,576 CommScope Holding Co., Inc. (a) 131,525 3,490 Finisar Corp. (a) 94,998 820 Harris Corp. 93,865 1,173 InterDigital, Inc. 85,453 2,292 Lumentum Holdings, Inc. (a) 143,479 3,094 Motorola Solutions, Inc. 280,564 8,242 Oclaro, Inc. (a) (b) 80,607 2,006 Palo Alto Networks, Inc. (a) 264,351 2,617 Ubiquiti Networks, Inc. (a) (b) 142,626 --------------- 1,710,389 --------------- CONSTRUCTION & ENGINEERING -- 0.4% 1,283 Argan, Inc. 82,689 1,519 Dycom Industries, Inc. (a) 137,622 5,020 MasTec, Inc. (a) 231,924 --------------- 452,235 --------------- CONSTRUCTION MATERIALS -- 0.3% 490 Eagle Materials, Inc. 46,109 402 Martin Marietta Materials, Inc. 91,025 6,281 Summit Materials, Inc., Class A (c) 178,632 --------------- 315,766 --------------- CONSUMER FINANCE -- 0.4% 881 Credit Acceptance Corp. (a) (b) 219,457 1,439 Discover Financial Services 87,693 11,825 SLM Corp. (a) 131,021 --------------- 438,171 --------------- CONTAINERS & PACKAGING -- 1.3% 3,976 Berry Global Group, Inc. (a) 222,974 3,251 Greif, Inc., Class A 182,349 4,741 International Paper Co. 260,660 9,475 Owens-Illinois, Inc. (a) 226,452 4,124 Packaging Corp. of America 451,496 --------------- 1,343,931 --------------- DISTRIBUTORS -- 0.1% 1,157 Pool Corp. 125,095 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 1,761 Bright Horizons Family Solutions, Inc. (a) 139,136 899 Capella Education Co. 61,761 2,891 Grand Canyon Education, Inc. (a) 212,691 1,157 ServiceMaster Global Holdings, Inc. (a) 50,862 2,436 Sotheby's (a) 137,853 1,122 Strayer Education, Inc. 88,212 --------------- 690,515 --------------- See Notes to Financial Statements Page 77 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 1,312 Cincinnati Bell, Inc. (a) $ 24,469 640 Cogent Communications Holdings, Inc. 26,720 49,112 Globalstar, Inc. (a) (b) 90,857 2,934 Zayo Group Holdings, Inc. (a) 96,206 --------------- 238,252 --------------- ELECTRICAL EQUIPMENT -- 0.4% 440 Acuity Brands, Inc. 89,166 1,569 General Cable Corp. 30,281 1,657 Rockwell Automation, Inc. 273,455 --------------- 392,902 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.5% 3,636 Amphenol Corp., Class A 278,590 7,347 CDW Corp. 466,020 2,136 Cognex Corp. 203,048 1,007 Coherent, Inc. (a) 266,855 2,452 Fabrinet (a) 110,364 3,050 II-VI, Inc. (a) 116,205 1,562 IPG Photonics Corp. (a) 238,424 1,544 Itron, Inc. (a) 112,712 1,099 Littelfuse, Inc. 198,018 7,532 TTM Technologies, Inc. (a) 130,906 2,075 Universal Display Corp. 250,245 2,255 Zebra Technologies Corp., Class A (a) 229,379 --------------- 2,600,766 --------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 2,883 Exterran Corp. (a) 79,830 10,736 McDermott International, Inc. (a) 72,683 --------------- 152,513 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.6% 4,017 American Homes 4 Rent, Class A 92,431 2,028 American Tower Corp. 276,477 2,586 Brandywine Realty Trust 43,471 5,642 CareTrust REIT, Inc. 102,910 1,314 CoreSite Realty Corp. 142,674 1,294 Corporate Office Properties Trust 43,077 2,439 CyrusOne, Inc. 145,633 1,696 DCT Industrial Trust, Inc. 95,553 792 Digital Realty Trust, Inc. 91,349 1,186 Douglas Emmett, Inc. 45,376 624 EastGroup Properties, Inc. 54,400 428 Equinix, Inc. 192,912 1,050 Equity LifeStyle Properties, Inc. 91,665 348 Essex Property Trust, Inc. 91,072 4,166 Four Corners Property Trust, Inc. 105,733 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 2,407 Gaming and Leisure Properties, Inc. $ 91,322 4,344 iStar, Inc. (a) 51,911 603 Kilroy Realty Corp. 41,854 1,232 Lamar Advertising Co., Class A 86,942 499 LTC Properties, Inc. 25,768 1,705 Monmouth Real Estate Investment Corp. 26,274 572 National Health Investors, Inc. 44,187 5,204 New Senior Investment Group, Inc. 54,070 2,251 Physicians Realty Trust 41,914 3,134 Prologis, Inc. 190,579 685 PS Business Parks, Inc. 92,105 490 QTS Realty Trust, Inc., Class A 26,200 4,727 Rayonier, Inc. 137,414 2,805 Rexford Industrial Realty, Inc. 79,999 2,125 Ryman Hospitality Properties, Inc. 133,004 1,065 Sabra Health Care REIT, Inc. 24,708 1,990 SBA Communications Corp. (a) 273,724 612 Seritage Growth Properties, Class A 28,623 930 STAG Industrial, Inc. 25,380 3,964 Starwood Waypoint Homes 138,581 4,127 Summit Hotel Properties, Inc. 73,997 1,551 Sun Communities, Inc. 138,055 1,554 Terreno Realty Corp. 53,799 1,803 Uniti Group, Inc. 46,157 968 Universal Health Realty Income Trust 75,001 1,195 Welltower, Inc. 87,701 --------------- 3,704,002 --------------- FOOD PRODUCTS -- 0.2% 1,273 B&G Foods, Inc. 46,146 1,987 Blue Buffalo Pet Products, Inc. (a) 44,449 1,515 Calavo Growers, Inc. 112,186 --------------- 202,781 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.6% 484 Abaxis, Inc. 22,748 1,265 ABIOMED, Inc. (a) 187,334 1,510 Align Technology, Inc. (a) 252,517 163 Atrion Corp. 103,049 942 Becton, Dickinson and Co. 189,719 13,259 Boston Scientific Corp. (a) 352,955 1,164 Cantel Medical Corp. 86,369 3,246 Cardiovascular Systems, Inc. (a) 102,411 1,919 Cooper (The) Cos., Inc. 467,987 620 DexCom, Inc. (a) 41,298 3,108 Edwards Lifesciences Corp. (a) 357,979 1,261 Glaukos Corp. (a) 50,667 2,847 Hill-Rom Holdings, Inc. 212,158 4,050 Hologic, Inc. (a) 179,051 606 ICU Medical, Inc. (a) 104,171 Page 78 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 2,277 IDEXX Laboratories, Inc. (a) $ 379,029 1,370 Inogen, Inc. (a) 129,301 2,039 Insulet Corp. (a) 102,582 3,326 Integra LifeSciences Holdings Corp. (a) 165,169 491 Intuitive Surgical, Inc. (a) 460,686 4,294 K2M Group Holdings, Inc. (a) 104,473 1,491 Masimo Corp. (a) 141,049 2,071 Medtronic PLC 173,902 3,428 Merit Medical Systems, Inc. (a) 140,548 1,312 Neogen Corp. (a) 86,421 609 Nevro Corp. (a) 52,411 2,357 NuVasive, Inc. (a) 155,067 1,023 NxStage Medical, Inc. (a) 24,092 1,192 Penumbra, Inc. (a) 97,327 2,360 ResMed, Inc. 182,003 1,934 Stryker Corp. 284,491 655 Teleflex, Inc. 135,729 1,439 West Pharmaceutical Services, Inc. 127,639 6,596 Wright Medical Group N.V. (a) 173,277 --------------- 5,825,609 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.6% 2,082 Amedisys, Inc. (a) 98,604 4,860 AmerisourceBergen Corp. 455,965 1,971 AMN Healthcare Services, Inc. (a) 72,730 3,078 HCA Healthcare, Inc. (a) 247,287 4,548 HealthEquity, Inc. (a) 208,617 4,683 HealthSouth Corp. 199,308 2,384 Laboratory Corp. of America Holdings (a) 378,841 5,748 Surgery Partners, Inc. (a) 114,098 3,768 Teladoc, Inc. (a) 123,590 3,281 Tivity Health, Inc. (a) 130,092 2,478 UnitedHealth Group, Inc. 475,305 1,262 WellCare Health Plans, Inc. (a) 223,361 --------------- 2,727,798 --------------- HEALTH CARE TECHNOLOGY -- 1.2% 1,290 athenahealth, Inc. (a) 178,433 5,529 Cerner Corp. (a) 355,902 2,441 Cotiviti Holdings, Inc. (a) 105,085 5,158 Evolent Health, Inc., Class A (a) 127,402 1,387 HMS Holdings Corp. (a) 27,851 2,898 Medidata Solutions, Inc. (a) 222,595 3,697 Veeva Systems, Inc., Class A (a) 235,721 --------------- 1,252,989 --------------- HOTELS, RESTAURANTS & LEISURE -- 5.0% 5,788 Belmond Ltd., Class A (a) 75,533 10,897 Caesars Entertainment Corp. (a) (b) 134,578 2,117 Choice Hotels International, Inc. 136,864 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 571 Churchill Downs, Inc. $ 106,806 4,444 Denny's Corp. (a) 50,484 2,172 Domino's Pizza, Inc. 405,078 822 Dunkin' Brands Group, Inc. 43,591 8,245 ILG, Inc. 218,575 920 Jack in the Box, Inc. 85,339 5,212 La Quinta Holdings, Inc. (a) 77,711 3,664 Marriott International, Inc., Class A 381,752 1,110 Marriott Vacations Worldwide Corp. 129,703 1,752 McDonald's Corp. 271,805 11,746 MGM Resorts International 386,796 8,462 Norwegian Cruise Line Holdings Ltd. (a) 466,002 632 Papa John's International, Inc. 45,081 6,110 Penn National Gaming, Inc. (a) 123,178 6,617 Pinnacle Entertainment, Inc. (a) 125,723 2,241 Planet Fitness, Inc., Class A 50,781 4,442 Red Rock Resorts, Inc., Class A 106,164 5,010 Scientific Games Corp., Class A (a) 185,620 1,500 Shake Shack, Inc., Class A (a) (b) 49,515 760 Six Flags Entertainment Corp. 43,221 1,974 Sonic Corp. 46,705 1,534 Starbucks Corp. 82,805 3,559 Texas Roadhouse, Inc. 168,341 894 Vail Resorts, Inc. 188,419 11,691 Wendy's (The) Co. 180,509 1,693 Wingstop, Inc. (a) 50,807 4,576 Wyndham Worldwide Corp. 477,597 3,639 Yum! Brands, Inc. 274,672 --------------- 5,169,755 --------------- HOUSEHOLD DURABLES -- 1.3% 2,469 Installed Building Products, Inc. (a) 132,832 1,554 iRobot Corp. (a) 163,963 1,726 Leggett & Platt, Inc. 83,159 1,521 Mohawk Industries, Inc. (a) 378,714 8,568 Newell Brands, Inc. 451,705 2,547 Tempur Sealy International, Inc. (a) (b) 146,885 --------------- 1,357,258 --------------- HOUSEHOLD PRODUCTS -- 0.5% 1,742 Central Garden & Pet Co., Class A (a) 53,584 1,724 Church & Dwight Co., Inc. 91,975 672 Clorox (The) Co. 89,705 944 Energizer Holdings, Inc. 43,490 5,119 HRG Group, Inc. (a) 84,822 693 Kimberly-Clark Corp. 85,350 233 WD-40 Co. 24,850 --------------- 473,776 --------------- See Notes to Financial Statements Page 79 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.2% 2,972 NRG Yield, Inc., Class C $ 55,279 2,317 Ormat Technologies, Inc. 137,398 2,194 Pattern Energy Group, Inc. 55,070 --------------- 247,747 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 883 3M Co. 177,633 1,587 Roper Technologies, Inc. 368,914 --------------- 546,547 --------------- INSURANCE -- 0.5% 2,105 Brown & Brown, Inc. 93,883 2,357 Marsh & McLennan Cos., Inc. 183,775 2,721 MBIA, Inc. (a) 27,672 1,795 Primerica, Inc. 145,485 3,055 Universal Insurance Holdings, Inc. 72,862 --------------- 523,677 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.7% 475 Amazon.com, Inc. (a) 469,195 8,717 Etsy, Inc. (a) 125,263 2,460 Netflix, Inc. (a) 446,884 2,512 Nutrisystem, Inc. 140,044 197 Priceline Group (The), Inc. (a) 399,615 1,101 Shutterfly, Inc. (a) 53,993 1,701 Wayfair, Inc., Class A (a) (b) 129,871 --------------- 1,764,865 --------------- INTERNET SOFTWARE & SERVICES -- 4.0% 2,787 2U, Inc. (a) 144,227 3,475 Alarm.com Holdings, Inc. (a) 132,154 395 Alphabet, Inc., Class A (a) 373,472 2,878 Benefitfocus, Inc. (a) 102,888 7,169 Box, Inc., Class A (a) 135,136 1,918 Cimpress N.V. (a) (b) 169,244 688 CoStar Group, Inc. (a) 189,578 5,263 eBay, Inc. (a) 188,047 9,219 Endurance International Group Holdings, Inc. (a) 85,276 2,642 Envestnet, Inc. (a) 103,170 2,434 Facebook, Inc., Class A (a) 411,955 6,076 Five9, Inc. (a) 134,037 5,198 GrubHub, Inc. (a) 239,784 4,131 GTT Communications, Inc. (a) 126,202 1,598 j2 Global, Inc. 135,239 868 LogMeIn, Inc. 101,079 3,040 New Relic, Inc. (a) 142,758 2,831 Q2 Holdings, Inc. (a) 110,126 4,548 Quotient Technology, Inc. (a) 52,757 1,187 Shutterstock, Inc. (a) 50,020 820 SPS Commerce, Inc. (a) 47,396 844 Stamps.com, Inc. (a) 124,996 6,561 TrueCar, Inc. (a) (b) 124,200 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INTERNET SOFTWARE & SERVICES (CONTINUED) 5,007 Twitter, Inc. (a) $ 80,563 1,977 VeriSign, Inc. (a) 200,013 5,168 Web.com Group, Inc. (a) 113,438 1,312 WebMD Health Corp. (a) 86,920 1,510 Yelp, Inc. (a) 49,120 4,625 Zillow Group, Inc., Class C (a) 208,865 --------------- 4,162,660 --------------- IT SERVICES -- 4.9% 1,486 Accenture PLC, Class A 191,427 988 Acxiom Corp. (a) 26,646 1,432 Alliance Data Systems Corp. 345,728 873 Automatic Data Processing, Inc. 103,809 2,214 Black Knight Financial Services, Inc., Class A (a) 94,095 4,864 Broadridge Financial Solutions, Inc. 368,983 4,180 CoreLogic, Inc. (a) 190,399 632 CSG Systems International, Inc. 26,133 2,695 EPAM Systems, Inc. (a) 231,581 4,449 EVERTEC, Inc. 79,415 1,385 ExlService Holdings, Inc. (a) 79,707 4,304 Fidelity National Information Services, Inc. 392,611 12,453 First Data Corp., Class A (a) 232,373 1,502 Fiserv, Inc. (a) 193,007 2,976 Gartner, Inc. (a) 381,880 873 Jack Henry & Associates, Inc. 93,690 2,210 Mastercard, Inc., Class A 282,438 8,560 PayPal Holdings, Inc. (a) 501,188 4,164 Sabre Corp. 92,149 653 Science Applications International Corp. 45,978 9,661 Square, Inc., Class A (a) 254,567 7,887 Total System Services, Inc. 500,509 1,413 Vantiv, Inc., Class A (a) 89,796 1,960 Visa, Inc., Class A 195,138 869 WEX, Inc. (a) 94,443 --------------- 5,087,690 --------------- LEISURE PRODUCTS -- 0.4% 4,120 Hasbro, Inc. 436,226 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.6% 4,781 Accelerate Diagnostics, Inc. (a) (b) 125,501 772 Bio-Techne Corp. 89,483 1,288 Cambrex Corp. (a) 78,568 1,059 Illumina, Inc. (a) 184,107 3,874 INC Research Holdings, Inc., Class A (a) 213,070 781 Mettler-Toledo International, Inc. (a) 447,575 3,022 PRA Health Sciences, Inc. (a) 224,837 1,999 Waters Corp. (a) 346,707 --------------- 1,709,848 --------------- Page 80 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY -- 2.5% 3,625 Allison Transmission Holdings, Inc. $ 137,025 462 Astec Industries, Inc. 23,225 1,079 EnPro Industries, Inc. 83,105 1,754 ESCO Technologies, Inc. 108,222 2,901 Fortive Corp. 187,811 8,122 Harsco Corp. (a) 125,485 2,566 Illinois Tool Works, Inc. 361,062 5,027 Ingersoll-Rand PLC 441,773 2,313 John Bean Technologies Corp. 213,721 4,846 Kennametal, Inc. 178,817 1,012 Lydall, Inc. (a) 50,094 373 Middleby (The) Corp. (a) 48,744 2,935 Navistar International Corp. (a) 90,310 1,121 Nordson Corp. 142,367 756 RBC Bearings, Inc. (a) 78,125 2,836 SPX FLOW, Inc. (a) 100,564 2,617 Toro (The) Co. 186,042 2,405 Welbilt, Inc. (a) 46,873 --------------- 2,603,365 --------------- MEDIA -- 1.9% 191 Cable One, Inc. 145,141 1,364 Charter Communications, Inc., Class A (a) 534,565 6,896 Comcast Corp., Class A 278,943 1,426 DISH Network Corp., Class A (a) 91,307 6,504 Live Nation Entertainment, Inc. (a) 242,404 2,330 MSG Networks, Inc., Class A (a) 49,862 664 Scripps Networks Interactive, Inc., Class A 58,040 1,590 Sinclair Broadcast Group, Inc., Class A 57,320 67,192 Sirius XM Holdings, Inc. (b) 393,745 842 Walt Disney (The) Co. 92,561 --------------- 1,943,888 --------------- METALS & MINING -- 0.8% 6,900 AK Steel Holding Corp. (a) 39,054 4,525 Allegheny Technologies, Inc. (b) 85,703 8,393 Century Aluminum Co. (a) 140,835 2,991 Coeur Mining, Inc. (a) 24,765 17,777 Hecla Mining Co. 96,174 1,160 Royal Gold, Inc. 100,526 10,264 Steel Dynamics, Inc. 363,448 --------------- 850,505 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.6% 30,501 Annaly Capital Management, Inc. 366,927 1,435 Blackstone Mortgage Trust, Inc., Class A 44,298 1,122 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 26,087 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 5,827 New Residential Investment Corp. $ 99,059 3,069 Redwood Trust, Inc. 53,002 --------------- 589,373 --------------- MULTILINE RETAIL -- 0.2% 1,280 Dollar Tree, Inc. (a) 92,263 3,069 Ollie's Bargain Outlet Holdings, Inc. (a) 137,184 --------------- 229,447 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.7% 3,567 Cabot Oil & Gas Corp. 88,711 7,546 Cheniere Energy, Inc. (a) 341,079 3,523 ONEOK, Inc. 199,296 2,955 Williams (The) Cos., Inc. 93,910 --------------- 722,996 --------------- PAPER & FOREST PRODUCTS -- 0.1% 3,731 KapStone Paper and Packaging Corp. 85,291 --------------- PERSONAL PRODUCTS -- 0.0% 1,083 Revlon, Inc., Class A (a) 21,173 --------------- PHARMACEUTICALS -- 0.9% 1,606 Bristol-Myers Squibb Co. 91,381 11,081 Corcept Therapeutics, Inc. (a) 138,180 1,087 Eli Lilly and Co. 89,851 4,086 Innoviva, Inc. (a) 56,060 874 Jazz Pharmaceuticals PLC (a) 134,255 3,034 Supernus Pharmaceuticals, Inc. (a) 122,725 1,313 Theravance Biopharma Inc. (a) (b) 42,187 4,303 Zoetis, Inc. 269,024 --------------- 943,663 --------------- PROFESSIONAL SERVICES -- 0.6% 1,337 Equifax, Inc. 194,453 737 Insperity, Inc. 55,644 5,233 TransUnion (a) 239,828 3,994 TriNet Group, Inc. (a) 139,790 --------------- 629,715 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 3,009 HFF, Inc., Class A 110,490 1,107 Howard Hughes (The) Corp. (a) 139,272 458 RE/MAX Holdings, Inc., Class A 26,633 --------------- 276,395 --------------- ROAD & RAIL -- 0.7% 8,421 CSX Corp. 415,492 979 J.B. Hunt Transport Services, Inc. 88,805 1,904 Old Dominion Freight Line, Inc. 182,613 821 Union Pacific Corp. 84,530 --------------- 771,440 --------------- See Notes to Financial Statements Page 81 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.1% 1,617 Advanced Energy Industries, Inc. (a) $ 117,313 14,725 Advanced Micro Devices, Inc. (a) 200,407 10,707 Amkor Technology, Inc. (a) 111,032 11,122 Applied Materials, Inc. 492,816 4,823 Brooks Automation, Inc. 118,453 1,417 Cabot Microelectronics Corp. 105,070 1,459 Cavium, Inc. (a) 90,370 3,614 Cirrus Logic, Inc. (a) 222,044 9,963 Cypress Semiconductor Corp. 141,475 8,261 Entegris, Inc. (a) 215,612 8,436 FormFactor, Inc. (a) 110,512 5,273 Integrated Device Technology, Inc. (a) 137,836 2,008 KLA-Tencor Corp. 186,001 3,248 Lam Research Corp. 517,926 3,251 MACOM Technology Solutions Holdings, Inc. (a) 196,848 1,993 Maxim Integrated Products, Inc. 90,562 2,760 MaxLinear, Inc. (a) 72,312 5,953 Microchip Technology, Inc. 476,478 15,386 Micron Technology, Inc. (a) 432,654 1,937 Microsemi Corp. (a) 100,879 3,368 MKS Instruments, Inc. 281,733 1,411 Monolithic Power Systems, Inc. 144,373 3,178 NVIDIA Corp. 516,457 12,915 ON Semiconductor Corp. (a) 193,079 1,435 Power Integrations, Inc. 101,383 2,902 Qorvo, Inc. (a) 198,961 2,926 Semtech Corp. (a) 115,870 1,326 Silicon Laboratories, Inc. (a) 99,583 1,915 Skyworks Solutions, Inc. 200,826 1,163 Texas Instruments, Inc. 94,645 921 Veeco Instruments, Inc. (a) 28,367 2,857 Xilinx, Inc. 180,734 --------------- 6,292,611 --------------- SOFTWARE -- 8.8% 1,763 8x8, Inc. (a) 22,390 7,980 Activision Blizzard, Inc. 493,004 3,248 Adobe Systems, Inc. (a) 475,800 3,021 ANSYS, Inc. (a) 391,371 820 Aspen Technology, Inc. (a) 46,633 2,662 Autodesk, Inc. (a) 294,923 4,536 Barracuda Networks, Inc. (a) 101,924 2,115 Blackbaud, Inc. 195,299 1,788 BroadSoft, Inc. (a) 78,761 5,414 Cadence Design Systems, Inc. (a) 199,777 3,181 Callidus Software, Inc. (a) 77,298 1,124 Citrix Systems, Inc. (a) 88,774 3,477 Electronic Arts, Inc. (a) 405,905 1,650 Ellie Mae, Inc. (a) 143,913 975 Fair Isaac Corp. 138,986 5,061 FireEye, Inc. (a) 74,042 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 3,632 Fortinet, Inc. (a) $ 134,057 1,329 Gigamon, Inc. (a) 52,828 1,979 Guidewire Software, Inc. (a) 142,805 1,591 HubSpot, Inc. (a) 115,109 1,609 Imperva, Inc. (a) 72,486 2,021 Intuit, Inc. 277,301 1,298 Microsoft Corp. 94,365 134 MicroStrategy, Inc., Class A (a) 18,024 3,313 Paycom Software, Inc. (a) 232,208 2,315 Paylocity Holding Corp. (a) 105,263 3,884 Pegasystems, Inc. 234,788 1,693 Progress Software Corp. 54,193 2,610 Proofpoint, Inc. (a) 222,476 2,467 PTC, Inc. (a) 136,154 1,887 Qualys, Inc. (a) 75,763 5,044 RealPage, Inc. (a) 195,455 4,798 Red Hat, Inc. (a) 474,378 3,578 RingCentral, Inc., Class A (a) 124,514 3,099 salesforce.com, Inc. (a) 281,389 4,334 ServiceNow, Inc. (a) 478,690 1,594 Splunk, Inc. (a) 95,656 5,901 SS&C Technologies Holdings, Inc. 228,723 5,040 Synopsys, Inc. (a) 385,913 3,699 Tableau Software, Inc., Class A (a) 238,401 3,089 Take-Two Interactive Software, Inc. (a) 245,514 774 Tyler Technologies, Inc. (a) 132,981 647 Ultimate Software Group (The), Inc. (a) 146,034 3,515 Varonis Systems, Inc. (a) 130,934 2,102 VMware, Inc., Class A (a) 194,876 4,736 Workday, Inc., Class A (a) 483,593 2,771 Zendesk, Inc. (a) 81,246 --------------- 9,114,917 --------------- SPECIALTY RETAIL -- 1.6% 1,971 Burlington Stores, Inc. (a) 171,536 5,828 CarMax, Inc. (a) 386,105 2,119 Five Below, Inc. (a) 102,369 2,396 Home Depot (The), Inc. 358,442 1,550 Ross Stores, Inc. 85,746 2,859 Tiffany & Co. 273,063 3,728 Tile Shop Holdings, Inc. 54,429 934 Ulta Beauty, Inc. (a) 234,630 --------------- 1,666,320 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.6% 5,594 3D Systems Corp. (a) (b) 93,979 1,864 Apple, Inc. 277,233 3,330 NCR Corp. (a) 126,040 8,166 Pure Storage, Inc., Class A (a) 98,564 --------------- 595,816 --------------- Page 82 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE -- 0.9% 1,711 Beneficial Bancorp, Inc. $ 26,692 2,205 BofI Holding, Inc. (a) (b) 61,453 4,882 Essent Group Ltd. (a) 187,566 759 LendingTree, Inc. (a) 167,435 1,518 Meridian Bancorp, Inc. 26,793 1,175 Meta Financial Group, Inc. 83,777 1,496 Northfield Bancorp, Inc. 25,118 946 OceanFirst Financial Corp. 25,618 1,537 United Financial Bancorp, Inc. 27,804 2,678 Walker & Dunlop, Inc. (a) 134,570 1,365 Washington Federal, Inc. 45,659 1,697 WSFS Financial Corp. 76,620 --------------- 889,105 --------------- TOBACCO -- 0.1% 762 Philip Morris International, Inc. 88,933 2,126 Vector Group Ltd. 42,796 --------------- 131,729 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 913 GMS, Inc. (a) 27,408 2,512 SiteOne Landscape Supply, Inc. (a) 131,880 3,910 Triton International Ltd. 140,995 1,630 United Rentals, Inc. (a) 193,905 4,657 Univar, Inc. (a) 144,553 --------------- 638,741 --------------- WATER UTILITIES -- 0.1% 1,063 SJW Group 56,201 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 4,428 T-Mobile US, Inc. (a) 273,030 --------------- TOTAL COMMON STOCKS -- 99.9% 103,741,794 (Cost $88,810,769) --------------- MONEY MARKET FUNDS -- 0.6% 404,888 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (d) (e) 404,888 159,571 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.91% (d) 159,571 --------------- TOTAL MONEY MARKET FUNDS -- 0.6% 564,459 (Cost $564,459) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.4% $ 325,513 JPMorgan Chase & Co., 0.94% (d), dated 07/31/17, due 08/01/17, with a maturity value of $325,521. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $332,351. (e) $ 325,513 1,120,921 RBC Capital Markets LLC, 1.02% (d), dated 07/31/17, due 08/01/17, with a maturity value of $1,120,953. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $1,148,791. (e) 1,120,921 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.4% 1,446,434 (Cost $1,446,434) --------------- TOTAL INVESTMENTS -- 101.9% 105,752,687 (Cost $90,821,662) (f) NET OTHER ASSETS AND LIABILITIES -- (1.9)% (1,923,244) --------------- NET ASSETS -- 100.0% $ 103,829,443 =============== (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 $1,808,592 and the total value of the collateral held by the Fund is $1,853,084. (c) Non-income producing security which makes payment-in-kind distributions. For the year ended July 31, 2017, the Fund received 27 shares of Summit Materials, Inc., Class A. (d) Interest rate shown reflects yield as of July 31, 2017. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for federal income tax purposes is $90,983,055. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $15,490,480 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $720,848. See Notes to Financial Statements Page 83 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 103,741,794 $ -- $ -- Money Market Funds 564,459 -- -- Repurchase Agreements -- 1,446,434 -- -------------------------------------------- Total Investments $ 104,306,253 $ 1,446,434 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. ----------------------------- 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) $ 1,808,592 Non-cash Collateral(2) (1,808,592) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,446,434 Non-cash Collateral(4) (1,446,434) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.4% 3,546 Esterline Technologies Corp. (a) $ 342,189 4,776 Hexcel Corp. 244,388 1,681 KLX, Inc. (a) 87,277 1,709 Orbital ATK, Inc. 174,626 5,803 Spirit AeroSystems Holdings, Inc., Class A 350,675 1,317 Teledyne Technologies, Inc. (a) 179,560 --------------- 1,378,715 --------------- AIRLINES -- 1.2% 18,408 JetBlue Airways Corp. (a) 403,687 6,509 Spirit Airlines, Inc. (a) 252,875 --------------- 656,562 --------------- AUTO COMPONENTS -- 1.3% 18,821 Dana, Inc. 446,434 5,814 Tenneco, Inc. 321,514 --------------- 767,948 --------------- BANKS -- 2.5% 6,671 Associated Banc-Corp. 159,771 4,987 BankUnited, Inc. 171,653 5,936 F.N.B. Corp. 81,323 4,760 People's United Financial, Inc. 83,014 4,031 Popular, Inc. 169,866 2,617 Prosperity Bancshares, Inc. 167,750 21,092 TCF Financial Corp. 332,410 9,156 Umpqua Holdings Corp. 169,752 7,117 Valley National Bancorp 84,550 --------------- 1,420,089 --------------- BUILDING PRODUCTS -- 0.7% 6,280 Owens Corning 421,074 --------------- CAPITAL MARKETS -- 1.4% 8,927 Federated Investors, Inc., Class B 257,365 8,811 Legg Mason, Inc. 352,528 1,979 LPL Financial Holdings, Inc. 90,559 1,828 Stifel Financial Corp. (a) 92,954 --------------- 793,406 --------------- CHEMICALS -- 1.6% 7,865 Cabot Corp. 427,306 3,289 H.B. Fuller Co. 169,449 182 NewMarket Corp. 83,740 6,509 PolyOne Corp. 238,099 --------------- 918,594 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 4,857 Deluxe Corp. 350,675 1,101 Stericycle, Inc. (a) 84,865 1,837 Tetra Tech, Inc. 87,166 --------------- 522,706 --------------- COMMUNICATIONS EQUIPMENT -- 0.2% 2,444 NetScout Systems, Inc. (a) 84,318 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONSTRUCTION & ENGINEERING -- 2.4% 10,400 AECOM (a) $ 331,760 2,572 EMCOR Group, Inc. 173,610 3,672 Fluor Corp. 159,475 1,545 Jacobs Engineering Group, Inc. 81,452 10,213 Quanta Services, Inc. (a) 344,485 1,686 Valmont Industries, Inc. 257,452 --------------- 1,348,234 --------------- CONSUMER FINANCE -- 2.1% 20,193 Navient Corp. 297,847 17,091 OneMain Holdings, Inc. (a) 457,013 32,937 Santander Consumer USA Holdings, Inc. (a) 421,923 --------------- 1,176,783 --------------- CONTAINERS & PACKAGING -- 2.2% 1,935 AptarGroup, Inc. 156,600 951 Avery Dennison Corp. 88,376 5,452 Bemis Co., Inc. 231,001 2,818 Crown Holdings, Inc. (a) 167,586 18,299 Graphic Packaging Holding Co. 241,364 2,645 Silgan Holdings, Inc. 80,144 6,538 Sonoco Products Co. 316,962 --------------- 1,282,033 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.0% 420 Graham Holdings Co., Class B 248,808 8,158 H&R Block, Inc. 248,819 2,513 Service Corp. International 87,277 --------------- 584,904 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 24,153 Frontier Communications Corp. (b) 369,782 --------------- ELECTRIC UTILITIES -- 3.8% 4,691 ALLETE, Inc. 343,710 11,483 Great Plains Energy, Inc. 354,365 10,383 Hawaiian Electric Industries, Inc. 342,535 2,955 IDACORP, Inc. 255,194 7,248 OGE Energy Corp. 259,913 6,593 PNM Resources, Inc. 262,731 7,358 Portland General Electric Co. 328,829 --------------- 2,147,277 --------------- ELECTRICAL EQUIPMENT -- 1.8% 2,320 EnerSys 167,667 2,326 Generac Holdings, Inc. (a) 83,666 1,486 Hubbell, Inc. 176,522 5,154 Regal Beloit Corp. 429,586 3,935 Sensata Technologies Holding N.V. (a) 177,547 --------------- 1,034,988 --------------- See Notes to Financial Statements Page 85 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.2% 2,150 Anixter International, Inc. (a) $ 169,312 4,287 Arrow Electronics, Inc. (a) 348,490 8,647 Avnet, Inc. 331,872 20,576 AVX Corp. 367,693 3,343 Belden, Inc. 240,495 3,434 Dolby Laboratories, Inc., Class A 177,709 4,851 FLIR Systems, Inc. 181,039 5,759 Jabil, Inc. 175,650 4,318 Keysight Technologies, Inc. (a) 179,586 11,030 Sanmina Corp. (a) 395,426 2,102 SYNNEX Corp. 249,970 1,664 Tech Data Corp. (a) 170,394 --------------- 2,987,636 --------------- ENERGY EQUIPMENT & SERVICES -- 1.5% 1,546 Helmerich & Payne, Inc. (b) 78,259 11,041 Oceaneering International, Inc. 283,202 4,163 Patterson-UTI Energy, Inc. 80,512 51,066 Transocean Ltd. (a) 441,721 --------------- 883,694 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.5% 3,024 Acadia Realty Trust 89,934 3,755 Columbia Property Trust, Inc. 81,671 15,238 CoreCivic, Inc. 422,093 18,534 DDR Corp. 188,861 13,300 Equity Commonwealth (a) 420,014 5,685 GEO Group (The), Inc. 166,855 11,534 Hospitality Properties Trust 335,178 14,103 LaSalle Hotel Properties 416,603 1,134 Life Storage, Inc. 82,827 7,271 Outfront Media, Inc. 166,288 3,987 Piedmont Office Realty Trust, Inc., Class A 83,767 6,884 Retail Properties of America, Inc., Class A 91,075 21,151 RLJ Lodging Trust 447,555 12,337 Senior Housing Properties Trust 239,955 26,072 Sunstone Hotel Investors, Inc. 424,452 1,273 WP Carey, Inc. 87,213 --------------- 3,744,341 --------------- FOOD & STAPLES RETAILING -- 1.4% 2,354 Casey's General Stores, Inc. 251,290 959 PriceSmart, Inc. 80,796 7,415 Sprouts Farmers Market, Inc. (a) 178,479 9,263 US Foods Holding Corp. (a) 260,753 --------------- 771,318 --------------- FOOD PRODUCTS -- 2.0% 14,567 Flowers Foods, Inc. 256,233 8,255 Fresh Del Monte Produce, Inc. 424,885 15,338 Pilgrim's Pride Corp. (a) 372,560 SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 1,083 Post Holdings, Inc. (a) $ 90,106 --------------- 1,143,784 --------------- GAS UTILITIES -- 2.3% 4,516 National Fuel Gas Co. 267,393 2,117 New Jersey Resources Corp. 89,232 3,612 ONE Gas, Inc. 262,881 2,460 South Jersey Industries, Inc. 83,566 4,602 Southwest Gas Holdings, Inc. 368,620 3,615 Spire, Inc. 262,449 --------------- 1,334,141 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.6% 411 Chemed Corp. 81,173 4,177 MEDNAX, Inc. (a) 196,235 1,215 Molina Healthcare, Inc. (a) 81,162 --------------- 358,570 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.3% 2,654 Buffalo Wild Wings, Inc. (a) 285,305 6,685 Cheesecake Factory (The), Inc. 318,072 1,027 Cracker Barrel Old Country Store, Inc. 159,647 --------------- 763,024 --------------- HOUSEHOLD DURABLES -- 3.1% 11,889 CalAtlantic Group, Inc. 417,304 2,680 Helen of Troy Ltd. (a) 270,010 35 NVR, Inc. (a) 91,365 17,133 PulteGroup, Inc. 418,388 8,509 Toll Brothers, Inc. 328,362 3,591 Tupperware Brands Corp. 218,010 --------------- 1,743,439 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.6% 24,850 Calpine Corp. (a) 357,343 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 1,762 Carlisle Cos., Inc. 171,954 --------------- INSURANCE -- 8.5% 2,538 American Financial Group, Inc. 257,353 2,165 American National Insurance Co. 257,635 27,758 AmTrust Financial Services, Inc. 444,128 5,059 Aspen Insurance Holdings Ltd. 246,879 2,432 Assurant, Inc. 256,017 10,069 Assured Guaranty Ltd. 453,206 6,499 Axis Capital Holdings Ltd. 419,706 20,128 CNO Financial Group, Inc. 460,529 1,269 Enstar Group Ltd. (a) 257,099 7,523 First American Financial Corp. 364,189 15,935 National General Holdings Corp. 337,981 17,215 Old Republic International Corp. 337,758 2,765 ProAssurance Corp. 170,877 2,418 RenaissanceRe Holdings Ltd. 355,228 4,852 Validus Holdings Ltd. 260,989 --------------- 4,879,574 --------------- Page 86 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES -- 2.6% 2,583 Booz Allen Hamilton Holding Corp. $ 88,597 2,016 CACI International, Inc., Class A (a) 252,202 5,295 CSRA, Inc. 172,670 5,449 DST Systems, Inc. 299,150 962 Euronet Worldwide, Inc. (a) 92,939 6,041 Genpact Ltd. 175,189 1,626 Leidos Holdings, Inc. 86,893 2,684 MAXIMUS, Inc. 162,006 5,701 Teradata Corp. (a) 181,406 --------------- 1,511,052 --------------- LEISURE PRODUCTS -- 0.3% 2,680 Brunswick Corp. 151,715 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.1% 831 Charles River Laboratories International, Inc. (a) 81,604 --------------- MACHINERY -- 3.1% 2,494 AGCO Corp. 179,917 4,309 Barnes Group, Inc. 259,316 2,135 Colfax Corp. (a) 88,133 1,845 Donaldson Co., Inc. 87,619 6,276 ITT, Inc. 257,316 1,220 Oshkosh Corp. 84,009 3,635 Timken (The) Co. 165,392 14,994 Trinity Industries, Inc. 410,985 659 WABCO Holdings, Inc. (a) 90,659 2,487 Woodward, Inc. 173,941 --------------- 1,797,287 --------------- MARINE -- 0.5% 5,029 Kirby Corp. (a) 306,266 --------------- MEDIA -- 2.5% 6,295 AMC Networks, Inc., Class A (a) 402,565 8,655 Cinemark Holdings, Inc. 336,679 3,187 John Wiley & Sons, Inc., Class A 176,082 6,135 News Corp., Class A 87,792 29,165 TEGNA, Inc. 432,517 --------------- 1,435,635 --------------- METALS & MINING -- 2.8% 12,872 Alcoa Corp. 468,541 5,148 Compass Minerals International, Inc. 355,469 5,772 Reliance Steel & Aluminum Co. 417,662 6,695 Worthington Industries, Inc. 339,236 --------------- 1,580,908 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 3.2% 19,741 AGNC Investment Corp. 418,114 22,558 Chimera Investment Corp. 424,542 40,074 MFA Financial, Inc. 340,228 11,262 Starwood Property Trust, Inc. 248,215 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 42,408 Two Harbors Investment Corp. $ 419,415 --------------- 1,850,514 --------------- MULTILINE RETAIL -- 1.1% 10,868 Kohl's Corp. 449,392 3,514 Nordstrom, Inc. (b) 170,675 --------------- 620,067 --------------- MULTI-UTILITIES -- 2.3% 7,919 Avista Corp. 416,619 1,246 Black Hills Corp. 86,796 9,943 NiSource, Inc. 259,114 5,510 NorthWestern Corp. 318,423 4,315 Vectren Corp. 259,375 --------------- 1,340,327 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.7% 3,889 Antero Resources Corp. (a) 80,191 16,397 Murphy Oil Corp. 435,832 18,880 PBF Energy, Inc., Class A (b) 429,897 33,289 QEP Resources, Inc. (a) 285,287 3,114 SemGroup Corp., Class A 84,234 6,558 World Fuel Services Corp. 212,086 --------------- 1,527,527 --------------- PAPER & FOREST PRODUCTS -- 1.4% 10,939 Domtar Corp. 427,277 13,945 Louisiana-Pacific Corp. (a) 350,159 --------------- 777,436 --------------- PERSONAL PRODUCTS -- 0.4% 1,106 Edgewell Personal Care Co. (a) 79,853 2,675 Nu Skin Enterprises, Inc., Class A 169,488 --------------- 249,341 --------------- PROFESSIONAL SERVICES -- 0.6% 1,505 ManpowerGroup, Inc. 161,261 3,507 Robert Half International, Inc. 158,692 --------------- 319,953 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.9% 2,017 Jones Lang LaSalle, Inc. 256,603 7,771 Realogy Holdings Corp. 257,997 --------------- 514,600 --------------- ROAD & RAIL -- 2.1% 921 AMERCO 357,864 3,687 Genesee & Wyoming, Inc., Class A (a) 240,245 4,537 Knight Transportation, Inc. 161,744 982 Landstar System, Inc. 81,653 4,671 Ryder System, Inc. 339,862 --------------- 1,181,368 --------------- SPECIALTY RETAIL -- 7.6% 34,877 American Eagle Outfitters, Inc. 412,944 9,968 AutoNation, Inc. (a) (b) 422,444 13,825 Bed Bath & Beyond, Inc. 413,367 See Notes to Financial Statements Page 87 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 10,551 Dick's Sporting Goods, Inc. $ 393,974 19,448 GameStop Corp., Class A 421,827 18,154 Michaels (The) Cos., Inc. (a) 365,621 7,657 Penske Automotive Group, Inc. 333,386 16,603 Sally Beauty Holdings, Inc. (a) 335,879 6,645 Signet Jewelers Ltd. (b) 406,408 22,669 Urban Outfitters, Inc. (a) 444,086 8,665 Williams-Sonoma, Inc. 402,316 --------------- 4,352,252 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.8% 2,835 Carter's, Inc. 245,880 4,343 Columbia Sportswear Co. 263,099 2,203 PVH Corp. 262,796 8,547 Skechers U.S.A., Inc., Class A (a) 240,085 --------------- 1,011,860 --------------- THRIFTS & MORTGAGE FINANCE -- 2.0% 37,524 MGIC Investment Corp. (a) 437,905 19,205 New York Community Bancorp, Inc. 252,161 25,704 Radian Group, Inc. 447,764 --------------- 1,137,830 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.6% 11,249 Air Lease Corp. 445,235 3,431 Beacon Roofing Supply, Inc. (a) 157,586 1,956 MSC Industrial Direct Co., Inc., Class A 139,287 2,934 WESCO International, Inc. (a) 150,368 --------------- 892,476 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.1% 1,073 Macquarie Infrastructure Corp. 81,344 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 15,144 Telephone & Data Systems, Inc. 430,544 --------------- TOTAL COMMON STOCKS -- 100.0% 57,198,137 (Cost $56,410,643) --------------- MONEY MARKET FUNDS -- 0.5% 303,783 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 303,783 (Cost $303,783) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.9% $ 244,229 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $244,235. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $249,360. (d) $ 244,229 841,016 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $841,039. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $861,926. (d) 841,016 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.9% 1,085,245 (Cost $1,085,245) --------------- TOTAL INVESTMENTS -- 102.4% 58,587,165 (Cost $57,799,671) (e) NET OTHER ASSETS AND LIABILITIES -- (2.4)% (1,386,037) --------------- NET ASSETS -- 100.0% $ 57,201,128 =============== (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 $1,365,211 and the total value of the collateral held by the Fund is $1,390,349. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $58,691,691. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,137,127 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,241,653. Page 88 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 57,198,137 $ -- $ -- Money Market Funds 303,783 -- -- Repurchase Agreements -- 1,085,245 -- -------------------------------------------- Total Investments $ 57,501,920 $ 1,085,245 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. ----------------------------- 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) $ 1,365,211 Non-cash Collateral(2) (1,365,211) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,085,245 Non-cash Collateral(4) (1,085,245) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.6% 14,173 BWX Technologies, Inc. $ 746,634 1,505 Curtiss-Wright Corp. 145,112 7,695 HEICO Corp. 618,447 --------------- 1,510,193 --------------- AIR FREIGHT & LOGISTICS -- 0.7% 10,690 XPO Logistics, Inc. (a) 642,576 --------------- AIRLINES -- 0.3% 5,886 Hawaiian Holdings, Inc. (a) 243,680 --------------- AUTO COMPONENTS -- 0.7% 14,568 Gentex Corp. 247,947 4,048 LCI Industries 432,124 --------------- 680,071 --------------- AUTOMOBILES -- 0.7% 6,611 Thor Industries, Inc. 696,469 --------------- BANKS -- 8.4% 9,061 BancorpSouth, Inc. 272,283 1,665 Bank of Hawaii Corp. 139,310 2,947 Bank of the Ozarks 127,163 4,928 BOK Financial Corp. 419,225 7,282 Cathay General Bancorp 272,711 2,432 Commerce Bancshares, Inc. 141,153 2,477 Community Bank System, Inc. 135,987 2,943 Cullen/Frost Bankers, Inc. 267,165 6,161 CVB Financial Corp. 132,708 9,435 East West Bancorp, Inc. 537,606 1,484 First Citizens BancShares, Inc., Class A 546,142 6,252 First Financial Bankshares, Inc. 270,399 7,932 First Horizon National Corp. 138,255 7,548 Glacier Bancorp, Inc. 263,576 3,385 Great Western Bancorp, Inc. 132,049 11,280 Hancock Holding Co. 518,880 10,545 Hilltop Holdings, Inc. 263,941 1,696 IBERIABANK Corp. 137,122 3,942 International Bancshares Corp. 139,547 10,342 Investors Bancorp, Inc. 137,342 3,138 MB Financial, Inc. 128,344 11,887 Sterling Bancorp 274,590 12,495 Synovus Financial Corp. 543,283 3,571 Texas Capital Bancshares, Inc. (a) 279,788 5,537 UMB Financial Corp. 385,707 7,938 Webster Financial Corp. 412,220 8,426 Western Alliance Bancorp (a) 424,502 7,231 Wintrust Financial Corp. 544,567 --------------- 7,985,565 --------------- BIOTECHNOLOGY -- 4.1% 8,663 Alnylam Pharmaceuticals, Inc. (a) 716,776 6,576 Bluebird Bio, Inc. (a) 619,788 28,052 Exelixis, Inc. (a) 760,490 2,283 Intercept Pharmaceuticals, Inc. (a) (b) 267,408 5,737 Intrexon Corp. (a) (b) 123,862 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 10,866 Ionis Pharmaceuticals, Inc. (a) $ 569,378 6,665 Kite Pharma, Inc. (a) 722,553 1,065 United Therapeutics Corp. (a) 136,746 --------------- 3,917,001 --------------- BUILDING PRODUCTS -- 1.7% 7,360 A.O. Smith Corp. 394,128 6,814 Allegion PLC 553,569 3,009 Lennox International, Inc. 514,539 4,762 USG Corp. (a) 128,765 --------------- 1,591,001 --------------- CAPITAL MARKETS -- 4.1% 54,661 BGC Partners, Inc., Class A 689,275 3,024 CBOE Holdings, Inc. 285,859 8,761 Eaton Vance Corp. 430,077 7,840 Evercore Partners, Inc., Class A 616,616 1,663 FactSet Research Systems, Inc. 278,087 2,748 MarketAxess Holdings, Inc. 557,542 1,763 Morningstar, Inc. 145,571 5,368 MSCI, Inc. 584,843 5,139 SEI Investments Co. 290,405 --------------- 3,878,275 --------------- CHEMICALS -- 3.3% 14,576 Chemours (The) Co. 693,963 1,888 Minerals Technologies, Inc. 133,670 18,254 Olin Corp. 538,128 43,591 Platform Specialty Products Corp. (a) 610,710 1,544 Scotts Miracle-Gro (The) Co. 148,209 3,431 Sensient Technologies Corp. 255,129 10,057 Trinseo S.A. 707,007 --------------- 3,086,816 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.6% 13,041 Copart, Inc. (a) 410,661 11,802 Healthcare Services Group, Inc. 616,655 6,585 KAR Auction Services, Inc. 276,833 6,810 MSA Safety, Inc. 545,890 13,578 Rollins, Inc. 589,421 --------------- 2,439,460 --------------- COMMUNICATIONS EQUIPMENT -- 2.6% 4,613 Arista Networks, Inc. (a) 688,675 16,568 Ciena Corp. (a) 426,626 10,900 CommScope Holding Co., Inc. (a) 400,902 10,637 Finisar Corp. (a) 289,539 3,576 InterDigital, Inc. 260,511 7,976 Ubiquiti Networks, Inc. (a) (b) 434,692 --------------- 2,500,945 --------------- CONSTRUCTION & ENGINEERING -- 1.2% 4,630 Dycom Industries, Inc. (a) 419,478 15,303 MasTec, Inc. (a) 706,999 --------------- 1,126,477 --------------- Page 90 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION MATERIALS -- 0.7% 1,495 Eagle Materials, Inc. $ 140,680 19,144 Summit Materials, Inc., Class A (a) 544,455 --------------- 685,135 --------------- CONSUMER FINANCE -- 1.1% 2,686 Credit Acceptance Corp. (a) (b) 669,082 36,046 SLM Corp. (a) 399,390 --------------- 1,068,472 --------------- CONTAINERS & PACKAGING -- 2.0% 12,120 Berry Global Group, Inc. (a) 679,689 9,909 Greif, Inc., Class A 555,796 28,884 Owens-Illinois, Inc. (a) 690,328 --------------- 1,925,813 --------------- DISTRIBUTORS -- 0.4% 3,527 Pool Corp. 381,339 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.3% 5,370 Bright Horizons Family Solutions, Inc. (a) 424,283 8,812 Grand Canyon Education, Inc. (a) 648,299 3,527 ServiceMaster Global Holdings, Inc. (a) 155,047 --------------- 1,227,629 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 8,943 Zayo Group Holdings, Inc. (a) 293,241 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.5% 6,509 Cognex Corp. 618,746 3,071 Coherent, Inc. (a) 813,815 4,762 IPG Photonics Corp. (a) 726,872 3,350 Littelfuse, Inc. 603,603 6,324 Universal Display Corp. 762,674 6,874 Zebra Technologies Corp., Class A (a) 699,223 --------------- 4,224,933 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.4% 12,244 American Homes 4 Rent, Class A 281,735 7,882 Brandywine Realty Trust 132,496 4,004 CoreSite Realty Corp. 434,754 3,945 Corporate Office Properties Trust 131,329 7,435 CyrusOne, Inc. 443,944 5,171 DCT Industrial Trust, Inc. 291,334 3,616 Douglas Emmett, Inc. 138,348 3,201 Equity LifeStyle Properties, Inc. 279,447 7,336 Gaming and Leisure Properties, Inc. 278,328 1,839 Kilroy Realty Corp. 127,645 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 3,756 Lamar Advertising Co., Class A $ 265,061 1,745 National Health Investors, Inc. 134,801 6,861 Physicians Realty Trust 127,752 2,087 PS Business Parks, Inc. 280,618 14,409 Rayonier, Inc. 418,870 6,476 Ryman Hospitality Properties, Inc. 405,333 12,082 Starwood Waypoint Homes 422,387 4,727 Sun Communities, Inc. 420,750 5,496 Uniti Group, Inc. 140,698 --------------- 5,155,630 --------------- FOOD PRODUCTS -- 0.3% 3,881 B&G Foods, Inc. 140,686 6,058 Blue Buffalo Pet Products, Inc. (a) 135,518 --------------- 276,204 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.8% 3,858 ABIOMED, Inc. (a) 571,331 4,603 Align Technology, Inc. (a) 769,760 3,547 Cantel Medical Corp. 263,187 1,889 DexCom, Inc. (a) 125,826 8,678 Hill-Rom Holdings, Inc. 646,685 10,139 Integra LifeSciences Holdings Corp. (a) 503,503 4,547 Masimo Corp. (a) 430,146 3,999 Neogen Corp. (a) 263,414 1,857 Nevro Corp. (a) 159,814 7,186 NuVasive, Inc. (a) 472,767 1,995 Teleflex, Inc. 413,404 4,386 West Pharmaceutical Services, Inc. 389,038 20,107 Wright Medical Group N.V. (a) 528,211 --------------- 5,537,086 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.0% 13,865 HealthEquity, Inc. (a) 635,988 14,276 HealthSouth Corp. 607,587 3,848 WellCare Health Plans, Inc. (a) 681,057 --------------- 1,924,632 --------------- HEALTH CARE TECHNOLOGY -- 2.4% 3,932 athenahealth, Inc. (a) 543,874 7,441 Cotiviti Holdings, Inc. (a) 320,335 8,834 Medidata Solutions, Inc. (a) 678,540 11,268 Veeva Systems, Inc., Class A (a) 718,448 --------------- 2,261,197 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.6% 6,453 Choice Hotels International, Inc. 417,187 2,508 Dunkin' Brands Group, Inc. 132,999 25,134 ILG, Inc. 666,302 2,806 Jack in the Box, Inc. 260,285 1,925 Papa John's International, Inc. 137,310 2,318 Six Flags Entertainment Corp. 131,825 See Notes to Financial Statements Page 91 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 10,848 Texas Roadhouse, Inc. $ 513,110 2,726 Vail Resorts, Inc. 574,532 35,637 Wendy's (The) Co. 550,235 --------------- 3,383,785 --------------- HOUSEHOLD DURABLES -- 0.7% 5,262 Leggett & Platt, Inc. 253,523 7,764 Tempur Sealy International, Inc. (a) (b) 447,750 --------------- 701,273 --------------- HOUSEHOLD PRODUCTS -- 0.4% 2,878 Energizer Holdings, Inc. 132,589 15,605 HRG Group, Inc. (a) 258,575 --------------- 391,164 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 7,064 Ormat Technologies, Inc. 418,895 --------------- INSURANCE -- 0.8% 6,416 Brown & Brown, Inc. 286,153 5,473 Primerica, Inc. 443,587 --------------- 729,740 --------------- INTERNET SOFTWARE & SERVICES -- 3.5% 5,848 Cimpress N.V. (a) (b) 516,028 2,097 CoStar Group, Inc. (a) 577,828 15,847 GrubHub, Inc. (a) 731,022 4,872 j2 Global, Inc. 412,317 2,645 LogMeIn, Inc. 308,010 4,603 Yelp, Inc. (a) 149,736 14,097 Zillow Group, Inc., Class C (a) 636,621 --------------- 3,331,562 --------------- IT SERVICES -- 4.3% 6,749 Black Knight Financial Services, Inc., Class A (a) 286,832 12,741 CoreLogic, Inc. (a) 580,353 8,217 EPAM Systems, Inc. (a) 706,087 37,962 First Data Corp., Class A (a) 708,371 2,661 Jack Henry & Associates, Inc. 285,578 12,695 Sabre Corp. 280,940 1,990 Science Applications International Corp. 140,116 29,451 Square, Inc., Class A (a) 776,034 2,651 WEX, Inc. (a) 288,111 --------------- 4,052,422 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.7% 2,351 Bio-Techne Corp. 272,504 11,810 INC Research Holdings, Inc., Class A (a) 649,550 9,210 PRA Health Sciences, Inc. (a) 685,224 --------------- 1,607,278 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY -- 3.1% 11,051 Allison Transmission Holdings, Inc. $ 417,728 7,049 John Bean Technologies Corp. 651,327 14,770 Kennametal, Inc. 545,013 1,137 Middleby (The) Corp. (a) 148,583 3,417 Nordson Corp. 433,959 7,976 Toro (The) Co. 567,014 7,330 Welbilt, Inc. (a) 142,862 --------------- 2,906,486 --------------- MEDIA -- 1.4% 583 Cable One, Inc. 443,021 19,825 Live Nation Entertainment, Inc. (a) 738,878 2,024 Scripps Networks Interactive, Inc., Class A 176,918 --------------- 1,358,817 --------------- METALS & MINING -- 0.8% 21,033 AK Steel Holding Corp. (a) 119,047 54,189 Hecla Mining Co. 293,162 3,536 Royal Gold, Inc. 306,430 --------------- 718,639 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.5% 4,373 Blackstone Mortgage Trust, Inc., Class A 134,995 17,761 New Residential Investment Corp. 301,937 --------------- 436,932 --------------- PHARMACEUTICALS -- 0.4% 2,667 Jazz Pharmaceuticals PLC (a) 409,678 --------------- PROFESSIONAL SERVICES -- 0.8% 15,953 TransUnion (a) 731,126 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 3,375 Howard Hughes (The) Corp. (a) 424,609 --------------- ROAD & RAIL -- 0.6% 5,804 Old Dominion Freight Line, Inc. 556,662 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.9% 4,449 Cavium, Inc. (a) 275,571 11,016 Cirrus Logic, Inc. (a) 676,823 30,370 Cypress Semiconductor Corp. 431,254 25,182 Entegris, Inc. (a) 657,250 16,073 Integrated Device Technology, Inc. (a) 420,148 9,910 MACOM Technology Solutions Holdings, Inc. (a) 600,051 5,906 Microsemi Corp. (a) 307,584 10,266 MKS Instruments, Inc. 858,751 4,299 Monolithic Power Systems, Inc. 439,874 39,368 ON Semiconductor Corp. (a) 588,552 4,043 Silicon Laboratories, Inc. (a) 303,629 --------------- 5,559,487 --------------- Page 92 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE -- 10.0% 2,501 Aspen Technology, Inc. (a) $ 142,232 6,446 Blackbaud, Inc. 595,224 16,503 Cadence Design Systems, Inc. (a) 608,961 5,029 Ellie Mae, Inc. (a) 438,629 2,974 Fair Isaac Corp. 423,944 11,072 Fortinet, Inc. (a) 408,667 6,033 Guidewire Software, Inc. (a) 435,341 10,100 Paycom Software, Inc. (a) 707,909 11,841 Pegasystems, Inc. 715,788 7,958 Proofpoint, Inc. (a) 678,340 7,521 PTC, Inc. (a) 415,084 15,374 RealPage, Inc. (a) 595,742 4,858 Splunk, Inc. (a) 291,529 17,988 SS&C Technologies Holdings, Inc. 697,215 11,276 Tableau Software, Inc., Class A (a) 726,738 9,416 Take-Two Interactive Software, Inc. (a) 748,384 2,359 Tyler Technologies, Inc. (a) 405,300 1,973 Ultimate Software Group (The), Inc. (a) 445,326 --------------- 9,480,353 --------------- SPECIALTY RETAIL -- 0.6% 6,009 Burlington Stores, Inc. (a) 522,963 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 10,150 NCR Corp. (a) 384,177 --------------- THRIFTS & MORTGAGE FINANCE -- 0.8% 14,881 Essent Group Ltd. (a) 571,728 4,162 Washington Federal, Inc. 139,219 --------------- 710,947 --------------- TOBACCO -- 0.1% 6,481 Vector Group Ltd. 130,463 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 14,196 Univar, Inc. (a) 440,644 --------------- TOTAL COMMON STOCKS -- 99.9% 94,647,942 (Cost $82,375,787) --------------- MONEY MARKET FUNDS -- 0.4% 392,775 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 392,775 (Cost $392,775) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.5% $ 315,774 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $315,783. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $322,408. (d) $ 315,774 1,087,387 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $1,087,417. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $1,114,422. (d) 1,087,387 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.5% 1,403,161 (Cost $1,403,161) --------------- TOTAL INVESTMENTS -- 101.8% 96,443,878 (Cost $84,171,723) (e) NET OTHER ASSETS AND LIABILITIES -- (1.8)% (1,743,491) --------------- NET ASSETS -- 100.0% $ 94,700,387 =============== (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 $1,728,081 and the total value of the collateral held by the Fund is $1,797,645. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $84,378,495. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $12,992,546 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $927,163. See Notes to Financial Statements Page 93 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 94,647,942 $ -- $ -- Money Market Funds 392,775 -- -- Repurchase Agreements -- 1,403,161 -- -------------------------------------------- Total Investments $ 95,040,717 $ 1,403,161 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. ----------------------------- 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) $ 1,728,081 Non-cash Collateral(2) (1,728,081) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,403,161 Non-cash Collateral(4) (1,403,161) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.7% 9,033 AAR Corp. $ 337,834 3,223 Moog, Inc., Class A (a) 239,534 2,437 Triumph Group, Inc. 62,387 36,175 Wesco Aircraft Holdings, Inc. (a) 392,499 --------------- 1,032,254 --------------- AIR FREIGHT & LOGISTICS -- 1.1% 7,527 Atlas Air Worldwide Holdings, Inc. (a) 447,104 6,025 Hub Group, Inc., Class A (a) 205,151 --------------- 652,255 --------------- AUTO COMPONENTS -- 2.6% 25,160 American Axle & Manufacturing Holdings, Inc. (a) 370,858 10,873 Cooper Tire & Rubber Co. 397,408 3,113 Cooper-Standard Holdings, Inc. (a) 318,335 8,093 Gentherm, Inc. (a) 270,711 4,425 Standard Motor Products, Inc. 222,932 --------------- 1,580,244 --------------- AUTOMOBILES -- 0.4% 6,602 Winnebago Industries, Inc. 242,954 --------------- BANKS -- 1.0% 1,760 Community Trust Bancorp, Inc. 76,032 54,232 First BanCorp (a) 317,799 2,191 TriCo Bancshares 80,848 4,882 Trustmark Corp. 156,029 --------------- 630,708 --------------- BEVERAGES -- 0.4% 1,748 Boston Beer (The) Co., Inc., Class A (a) 274,086 --------------- BIOTECHNOLOGY -- 0.4% 6,814 Emergent BioSolutions, Inc. (a) 247,825 --------------- BUILDING PRODUCTS -- 1.3% 3,832 Advanced Drainage Systems, Inc. 78,747 3,413 Armstrong World Industries, Inc. (a) 165,701 5,286 Simpson Manufacturing Co., Inc. 234,117 3,596 Universal Forest Products, Inc. 301,525 --------------- 780,090 --------------- CAPITAL MARKETS -- 1.3% 19,528 Greenhill & Co., Inc. 361,268 20,791 Waddell & Reed Financial, Inc., Class A 429,750 --------------- 791,018 --------------- CHEMICALS -- 1.3% 5,100 Calgon Carbon Corp. 81,600 7,162 Innophos Holdings, Inc. 299,157 3,525 Innospec, Inc. 219,960 2,651 Stepan Co. 217,832 --------------- 818,549 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 4.2% 26,953 ACCO Brands Corp. (a) $ 314,002 10,329 Herman Miller, Inc. 347,829 3,938 HNI Corp. 148,659 3,919 Interface, Inc. 74,265 15,661 Knoll, Inc. 303,197 9,067 McGrath RentCorp 322,151 5,260 Mobile Mini, Inc. 162,008 22,429 Steelcase, Inc., Class A 306,156 3,285 Team, Inc. (a) 47,140 1,642 UniFirst Corp. 233,574 6,645 Viad Corp. 355,840 --------------- 2,614,821 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 7,603 ADTRAN, Inc. 178,290 5,173 EchoStar Corp., Class A (a) 314,156 1,472 Plantronics, Inc. 66,505 7,314 Viavi Solutions, Inc. (a) 80,235 --------------- 639,186 --------------- CONSTRUCTION & ENGINEERING -- 1.8% 17,939 Aegion Corp. (a) 429,460 4,231 Comfort Systems USA, Inc. 140,892 1,597 Granite Construction, Inc. 78,285 3,088 Primoris Services Corp. 76,953 13,653 Tutor Perini Corp. (a) 363,170 --------------- 1,088,760 --------------- CONSUMER FINANCE -- 1.6% 5,755 Encore Capital Group, Inc. (a) 230,775 2,693 FirstCash, Inc. 156,598 8,349 Nelnet, Inc., Class A 409,852 4,143 PRA Group, Inc. (a) 162,406 --------------- 959,631 --------------- DISTRIBUTORS -- 0.1% 2,329 Core-Mark Holding Co., Inc. 85,404 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.0% 10,343 Adtalem Global Education, Inc. 336,147 12,894 K12, Inc. (a) 228,353 2,305 Weight Watchers International, Inc. (a) 82,565 --------------- 647,065 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 2,294 ATN International, Inc. 133,052 35,520 Iridium Communications, Inc. (a) (b) 353,424 --------------- 486,476 --------------- ELECTRIC UTILITIES -- 0.8% 4,469 El Paso Electric Co. 231,941 1,197 MGE Energy, Inc. 79,661 3,965 Otter Tail Corp. 160,384 --------------- 471,986 --------------- See Notes to Financial Statements Page 95 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT -- 0.9% 6,963 Atkore International Group, Inc. (a) $ 144,970 2,814 AZZ, Inc. 142,670 5,412 Encore Wire Corp. 241,375 --------------- 529,015 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.6% 1,932 Badger Meter, Inc. 87,423 9,722 Benchmark Electronics, Inc. (a) 327,145 2,119 ePlus, Inc. (a) 171,427 5,779 Insight Enterprises, Inc. (a) 234,165 4,552 Knowles Corp. (a) 68,963 5,608 Methode Electronics, Inc. 222,918 1,487 MTS Systems Corp. 78,365 1,025 OSI Systems, Inc. (a) 81,969 5,973 Plexus Corp. (a) 320,213 709 Rogers Corp. (a) 83,641 7,792 ScanSource, Inc. (a) 308,563 13,919 Vishay Intertechnology, Inc. 248,454 --------------- 2,233,246 --------------- ENERGY EQUIPMENT & SERVICES -- 1.0% 27,544 Archrock, Inc. 301,607 3,218 Dril-Quip, Inc. (a) 143,523 13,656 Helix Energy Solutions Group, Inc. (a) 89,310 2,837 Oil States International, Inc. (a) 70,499 --------------- 604,939 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.9% 46,561 CBL & Associates Properties, Inc. (b) 409,271 16,040 Chesapeake Lodging Trust 404,689 28,676 DiamondRock Hospitality Co. 334,936 20,854 Franklin Street Properties Corp. 220,427 17,150 Government Properties Income Trust 304,070 21,205 Hersha Hospitality Trust 397,806 3,365 Parkway, Inc. 77,429 4,870 Pebblebrook Hotel Trust 163,973 30,427 Ramco-Gershenson Properties Trust 428,716 8,496 Tier REIT, Inc. 157,006 37,515 Washington Prime Group, Inc. 338,385 20,263 Xenia Hotels & Resorts, Inc. 411,744 --------------- 3,648,452 --------------- FOOD & STAPLES RETAILING -- 3.5% 9,195 Andersons (The), Inc. 316,768 2,811 Performance Food Group Co. (a) 80,957 34,507 Smart & Final Stores, Inc. (a) 296,760 15,120 SpartanNash Co. 419,429 70,231 SUPERVALU, Inc. (a) 251,427 SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD & STAPLES RETAILING (CONTINUED) 10,695 United Natural Foods, Inc. (a) $ 412,078 8,056 Weis Markets, Inc. 381,129 --------------- 2,158,548 --------------- FOOD PRODUCTS -- 2.0% 24,936 Darling Ingredients, Inc. (a) 405,709 13,591 Dean Foods Co. 203,865 583 J&J Snack Foods Corp. 76,606 3,394 Sanderson Farms, Inc. (b) 443,765 2,210 Tootsie Roll Industries, Inc. (b) 82,212 --------------- 1,212,157 --------------- GAS UTILITIES -- 0.5% 1,027 Chesapeake Utilities Corp. 79,336 3,861 Northwest Natural Gas Co. 243,629 --------------- 322,965 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.5% 2,323 Globus Medical, Inc., Class A (a) 71,432 1,961 Halyard Health, Inc. (a) 78,872 1,781 Integer Holdings Corp. (a) 81,570 2,065 Natus Medical, Inc. (a) 72,688 --------------- 304,562 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.3% 10,608 Diplomat Pharmacy, Inc. (a) 168,349 7,212 Ensign Group (The), Inc. 161,332 1,133 LHC Group, Inc. (a) 65,601 5,846 LifePoint Health, Inc. (a) 347,252 4,307 Magellan Health, Inc. (a) 321,087 4,477 National HealthCare Corp. 291,766 7,178 Owens & Minor, Inc. 231,347 6,419 Premier, Inc., Class A (a) 224,023 10,228 Select Medical Holdings Corp. (a) 165,694 3,982 Tenet Healthcare Corp. (a) (b) 69,088 --------------- 2,045,539 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.9% 393 Biglari Holdings, Inc. (a) 147,108 8,430 BJ's Restaurants, Inc. (a) 297,579 3,628 Bloomin' Brands, Inc. 63,236 12,656 Boyd Gaming Corp. 317,159 2,360 Dave & Buster's Entertainment, Inc. (a) 146,580 5,245 DineEquity, Inc. 215,779 2,793 Hyatt Hotels Corp., Class A (a) 155,207 10,453 International Speedway Corp., Class A 374,218 4,735 SeaWorld Entertainment, Inc. (b) 72,824 --------------- 1,789,690 --------------- HOUSEHOLD DURABLES -- 2.6% 593 Cavco Industries, Inc. (a) 77,327 9,639 KB Home 220,926 7,111 La-Z-Boy, Inc. 240,352 6,540 M.D.C. Holdings, Inc. 224,257 Page 96 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 9,301 Meritage Homes Corp. (a) $ 379,016 1,452 TopBuild Corp. (a) 76,636 29,757 TRI Pointe Group, Inc. (a) 395,768 --------------- 1,614,282 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 27,940 Dynegy, Inc. (a) 250,901 --------------- INDUSTRIAL CONGLOMERATES -- 0.1% 2,313 Raven Industries, Inc. 79,567 --------------- INSURANCE -- 6.2% 18,098 Ambac Financial Group, Inc. (a) 369,742 8,792 American Equity Investment Life Holding Co. 235,450 2,756 AMERISAFE, Inc. 159,159 6,477 Argo Group International Holdings Ltd. 388,296 5,462 Employers Holdings, Inc. 236,778 2,553 FBL Financial Group, Inc., Class A 173,349 2,037 Horace Mann Educators Corp. 75,165 1,671 Infinity Property & Casualty Corp. 167,183 3,951 James River Group Holdings Ltd. 158,672 1,996 Kemper Corp. 78,343 14,144 Maiden Holdings Ltd. 156,998 983 National Western Life Group, Inc., Class A 330,868 2,860 Navigators Group (The), Inc. 163,020 3,383 Safety Insurance Group, Inc. 240,024 3,137 Selective Insurance Group, Inc. 158,889 5,092 Stewart Information Services Corp. 200,116 28,238 Third Point Reinsurance Ltd. (a) 410,863 3,563 United Fire Group, Inc. 160,763 --------------- 3,863,678 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.8% 4,921 HSN, Inc. 195,117 27,069 Liberty TripAdvisor Holdings, Inc., Class A (a) 318,061 --------------- 513,178 --------------- IT SERVICES -- 1.5% 16,507 Convergys Corp. 395,673 5,584 ManTech International Corp., Class A 221,796 9,365 Sykes Enterprises, Inc. (a) 318,410 --------------- 935,879 --------------- LEISURE PRODUCTS -- 1.5% 14,169 American Outdoor Brands Corp. (a) (b) 292,873 30,712 Callaway Golf Co. 390,964 SHARES DESCRIPTION VALUE ------------------------------------------------------------- LEISURE PRODUCTS (CONTINUED) 3,718 Sturm Ruger & Co., Inc. (b) $ 214,157 --------------- 897,994 --------------- MACHINERY -- 5.6% 3,131 Actuant Corp., Class A 75,770 1,729 Alamo Group, Inc. 160,814 1,442 Albany International Corp., Class A 77,147 10,248 American Railcar Industries, Inc. (b) 376,819 16,287 Briggs & Stratton Corp. 381,442 4,520 Chart Industries, Inc. (a) 153,680 9,044 Federal Signal Corp. 167,314 3,793 Franklin Electric Co., Inc. 153,237 6,164 Gorman-Rupp (The) Co. 186,276 8,486 Greenbrier (The) Cos., Inc. (b) 381,870 4,349 Hillenbrand, Inc. 156,564 18,905 Meritor, Inc. (a) 326,678 5,156 Mueller Industries, Inc. 162,414 1,145 Proto Labs, Inc. (a) 84,616 3,313 Rexnord Corp. (a) 76,729 1,044 Tennant Co. 78,874 14,286 Wabash National Corp. 272,577 2,484 Watts Water Technologies, Inc., Class A 159,970 --------------- 3,432,791 --------------- MARINE -- 0.3% 7,691 Matson, Inc. 216,886 --------------- MEDIA -- 2.4% 12,974 E.W. Scripps (The) Co., Class A (a) 254,939 36,010 Gannett Co., Inc. 323,010 3,887 Meredith Corp. 231,082 29,117 New Media Investment Group, Inc. 405,891 5,301 Scholastic Corp. 219,621 5,367 Time, Inc. 75,406 --------------- 1,509,949 --------------- METALS & MINING -- 1.6% 8,389 Carpenter Technology Corp. 339,167 11,892 Commercial Metals Co. 221,191 4,434 Kaiser Aluminum Corp. 431,384 --------------- 991,742 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.5% 21,159 Apollo Commercial Real Estate Finance, Inc. 381,497 22,154 Capstead Mortgage Corp. 216,666 23,491 Invesco Mortgage Capital, Inc. 390,656 11,708 Ladder Capital Corp. 154,077 21,460 PennyMac Mortgage Investment Trust 377,696 --------------- 1,520,592 --------------- MULTILINE RETAIL -- 1.9% 6,501 Big Lots, Inc. 322,905 6,804 Dillard's, Inc., Class A (b) 502,271 See Notes to Financial Statements Page 97 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL (CONTINUED) 67,527 JC Penney Co., Inc. (a) (b) $ 365,321 --------------- 1,190,497 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.8% 7,216 CVR Energy, Inc. (b) 136,455 19,100 Green Plains, Inc. 377,225 --------------- 513,680 --------------- PAPER & FOREST PRODUCTS -- 2.1% 7,601 Boise Cascade Co. (a) 230,690 6,716 Clearwater Paper Corp. (a) 330,092 1,957 Neenah Paper, Inc. 156,364 11,825 P.H. Glatfelter Co. 242,058 8,434 Schweitzer-Mauduit International, Inc. 324,034 --------------- 1,283,238 --------------- PERSONAL PRODUCTS -- 0.4% 2,102 Inter Parfums, Inc. 81,558 2,449 USANA Health Sciences, Inc. (a) 139,838 --------------- 221,396 --------------- PROFESSIONAL SERVICES -- 2.7% 3,048 Advisory Board (The) Co. (a) 171,298 8,983 FTI Consulting, Inc. (a) 294,732 7,268 Huron Consulting Group, Inc. (a) 258,014 6,667 ICF International, Inc. (a) 301,682 6,691 Korn/Ferry International 223,814 19,863 Navigant Consulting, Inc. (a) 336,280 1,421 On Assignment, Inc. (a) 69,984 --------------- 1,655,804 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 4,043 Kennedy-Wilson Holdings, Inc. 81,264 5,956 Marcus & Millichap, Inc. (a) 152,474 --------------- 233,738 --------------- ROAD & RAIL -- 2.1% 19,054 ArcBest Corp. 529,701 11,098 Heartland Express, Inc. 234,501 4,504 Saia, Inc. (a) 244,793 10,699 Werner Enterprises, Inc. 317,225 --------------- 1,326,220 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.4% 9,616 Diodes, Inc. (a) 255,113 --------------- SOFTWARE -- 0.3% 8,418 TiVo Corp. 164,993 --------------- SPECIALTY RETAIL -- 8.7% 8,072 Aaron's, Inc. 373,572 5,553 Asbury Automotive Group, Inc. (a) 299,862 22,049 Buckle (The), Inc. (b) 377,038 11,303 Caleres, Inc. 308,346 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 41,668 Chico's FAS, Inc. $ 381,262 2,263 Children's Place (The), Inc. 239,086 22,175 DSW, Inc., Class A 400,037 58,149 Express, Inc. (a) 352,383 11,578 Genesco, Inc. (a) 371,654 6,199 Group 1 Automotive, Inc. 369,151 24,571 Guess?, Inc. 320,897 3,332 Lithia Motors, Inc., Class A 344,029 5,534 Monro Muffler Brake, Inc. 257,884 2,118 Murphy USA, Inc. (a) 160,396 69,593 Office Depot, Inc. 408,511 20,064 Party City Holdco, Inc. (a) 279,893 4,424 Select Comfort Corp. (a) 149,575 --------------- 5,393,576 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 9,374 Super Micro Computer, Inc. (a) 251,692 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.7% 37,923 Fossil Group, Inc. (a) 426,634 9,261 G-III Apparel Group Ltd. (a) 241,064 3,697 Oxford Industries, Inc. 233,391 3,930 Steven Madden Ltd. (a) 161,130 --------------- 1,062,219 --------------- THRIFTS & MORTGAGE FINANCE -- 1.8% 3,930 Dime Community Bancshares, Inc. 81,744 7,497 Flagstar Bancorp, Inc. (a) 244,102 17,551 Nationstar Mortgage Holdings, Inc. (a) 312,934 4,934 Northwest Bancshares, Inc. 79,438 18,416 Oritani Financial Corp. 305,706 9,938 TrustCo Bank Corp. NY 82,485 --------------- 1,106,409 --------------- TOBACCO -- 0.1% 1,190 Universal Corp. 76,101 --------------- TRADING COMPANIES & DISTRIBUTORS -- 3.0% 18,046 Aircastle Ltd. 424,803 2,659 Applied Industrial Technologies, Inc. 150,233 7,185 BMC Stock Holdings, Inc. (a) 158,070 6,107 GATX Corp. 377,596 3,149 Kaman Corp. 160,977 8,445 Rush Enterprises, Inc., Class A (a) 364,233 5,134 Veritiv Corp. (a) 190,728 --------------- 1,826,640 --------------- WATER UTILITIES -- 0.1% 1,625 American States Water Co. 80,356 --------------- Page 98 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 10,241 United States Cellular Corp. (a) $ 387,929 --------------- TOTAL COMMON STOCKS -- 99.9% 61,749,465 (Cost $62,540,244) --------------- MONEY MARKET FUNDS -- 0.9% 552,356 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 552,356 (Cost $552,356) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 3.2% $ 444,071 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $444,082. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $453,400. (d) 444,071 1,529,183 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $1,529,226. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $1,567,203. (d) 1,529,183 --------------- TOTAL REPURCHASE AGREEMENTS -- 3.2% 1,973,254 (Cost $1,973,254) --------------- TOTAL INVESTMENTS -- 104.0% 64,275,075 (Cost $65,065,854) (e) NET OTHER ASSETS AND LIABILITIES -- (4.0)% (2,472,721) --------------- NET ASSETS -- 100.0% $ 61,802,354 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $2,436,296 and the total value of the collateral held by the Fund is $2,528,013. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $65,933,060. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,046,842 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $4,704,827. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 61,749,465 $ -- $ -- Money Market Funds 552,356 -- -- Repurchase Agreements -- 1,973,254 -- -------------------------------------------- Total Investments $ 62,301,821 $ 1,973,254 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. See Notes to Financial Statements Page 99 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,436,296 Non-cash Collateral(2) (2,436,296) --------------- 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, 2017, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,973,254 Non-cash Collateral(4) (1,973,254) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.4% 14,186 Aerojet Rocketdyne Holdings, Inc. (a) $ 332,662 17,276 Axon Enterprise, Inc. (a) (b) 424,817 10,390 Engility Holdings, Inc. (a) 303,076 14,024 Mercury Systems, Inc. (a) 615,794 --------------- 1,676,349 --------------- AIR FREIGHT & LOGISTICS -- 0.7% 33,875 Air Transport Services Group, Inc. (a) 825,195 --------------- AIRLINES -- 0.4% 12,372 SkyWest, Inc. 451,578 --------------- AUTO COMPONENTS -- 1.0% 5,245 Dorman Products, Inc. (a) 409,529 20,722 Fox Factory Holding Corp. (a) 796,761 --------------- 1,206,290 --------------- BANKS -- 11.4% 9,059 1st Source Corp. 444,797 12,245 Ameris Bancorp 560,821 4,496 BancFirst Corp. 479,948 10,444 Banner Corp. 603,350 8,396 Berkshire Hills Bancorp, Inc. 311,911 9,430 Boston Private Financial Holdings, Inc. 144,751 9,915 Brookline Bancorp, Inc. 147,238 11,871 CenterState Banks, Inc. 296,656 13,801 Central Pacific Financial Corp. 426,865 4,481 City Holding Co. 294,088 3,635 Columbia Banking System, Inc. 144,818 6,420 ConnectOne Bancorp, Inc. 144,450 5,118 Customers Bancorp, Inc. (a) 152,772 4,663 Eagle Bancorp, Inc. (a) 291,204 3,548 Enterprise Financial Services Corp. 140,323 6,180 FCB Financial Holdings, Inc., Class A (a) 291,387 10,066 First Busey Corp. 294,330 11,416 First Commonwealth Financial Corp. 148,751 10,655 First Financial Bancorp 272,768 10,818 First Merchants Corp. 437,480 6,264 Heartland Financial USA, Inc. 295,034 11,201 Horizon Bancorp 295,370 2,171 Independent Bank Corp. 154,901 2,435 Independent Bank Group, Inc. 146,952 23,040 Lakeland Bancorp, Inc. 445,824 9,467 Lakeland Financial Corp. 435,482 7,739 LegacyTexas Financial Group, Inc. 299,654 8,807 MainSource Financial Group, Inc. 307,717 13,118 National Bank Holdings Corp., Class A 447,717 3,917 NBT Bancorp, Inc. 141,560 8,393 Old National Bancorp 136,806 11,769 Pacific Premier Bancorp, Inc. (a) 422,507 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 9,927 Renasant Corp. $ 420,806 8,229 S&T Bancorp, Inc. 311,715 7,258 Sandy Spring Bancorp, Inc. 290,610 18,019 Seacoast Banking Corp. of Florida (a) 421,104 11,772 ServisFirst Bancshares, Inc. 427,795 4,144 Southside Bancshares, Inc. 143,921 10,880 State Bank Financial Corp. 298,656 3,721 Stock Yards Bancorp, Inc. 133,398 4,699 TowneBank 147,079 8,705 Union Bankshares Corp. 268,898 15,621 United Community Banks, Inc. 433,639 5,723 Washington Trust Bancorp, Inc. 311,617 3,661 WesBanco, Inc. 139,960 --------------- 13,307,430 --------------- BEVERAGES -- 0.6% 6,308 National Beverage Corp. 644,173 --------------- BIOTECHNOLOGY -- 7.8% 7,867 AMAG Pharmaceuticals, Inc. (a) 154,587 51,889 Array BioPharma, Inc. (a) 389,686 14,561 Blueprint Medicines Corp. (a) 761,977 7,483 Eagle Pharmaceuticals, Inc. (a) (b) 367,789 20,860 Exact Sciences Corp. (a) 809,368 18,274 FibroGen, Inc. (a) 624,057 13,341 Genomic Health, Inc. (a) 425,578 11,291 Halozyme Therapeutics, Inc. (a) 143,170 31,261 Ironwood Pharmaceuticals, Inc. (a) 554,883 19,746 Juno Therapeutics, Inc. (a) (b) 561,379 8,802 Lexicon Pharmaceuticals, Inc. (a) (b) 143,473 3,579 Ligand Pharmaceuticals, Inc. (a) 432,737 49,281 MiMedx Group, Inc. (a) (b) 737,244 34,923 Momenta Pharmaceuticals, Inc. (a) 577,976 13,135 Portola Pharmaceuticals, Inc. (a) 810,429 2,677 Prothena Corp. PLC (a) (b) 165,331 14,241 Repligen Corp. (a) 573,485 17,509 Sarepta Therapeutics, Inc. (a) 675,497 2,422 Spark Therapeutics, Inc. (a) 171,962 --------------- 9,080,608 --------------- BUILDING PRODUCTS -- 3.8% 11,784 AAON, Inc. 398,299 6,177 American Woodmark Corp. (a) 606,273 7,639 Apogee Enterprises, Inc. 397,915 48,158 Builders FirstSource, Inc. (a) 754,636 12,665 Continental Building Products, Inc. (a) 278,630 6,596 Griffon Corp. 135,218 26,004 NCI Building Systems, Inc. (a) 468,072 8,102 Patrick Industries, Inc. (a) 616,562 16,440 Ply Gem Holdings, Inc. (a) 287,700 6,419 Trex Co., Inc. (a) 482,773 --------------- 4,426,078 --------------- See Notes to Financial Statements Page 101 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS -- 0.5% 7,278 Cohen & Steers, Inc. $ 294,031 8,061 Financial Engines, Inc. 309,946 --------------- 603,977 --------------- CHEMICALS -- 2.7% 9,223 A. Schulman, Inc. 242,565 5,531 Chase Corp. 597,624 40,336 Ferro Corp. (a) 776,065 4,746 GCP Applied Technologies, Inc. (a) 143,804 21,421 Kraton Corp. (a) 796,861 4,065 Quaker Chemical Corp. 576,702 --------------- 3,133,621 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 11,013 Brink's (The) Co. 860,666 7,235 Multi-Color Corp. 582,417 5,842 US Ecology, Inc. 303,200 --------------- 1,746,283 --------------- COMMUNICATIONS EQUIPMENT -- 1.2% 3,490 Acacia Communications, Inc. (a) (b) 152,757 12,934 Lumentum Holdings, Inc. (a) 809,669 46,499 Oclaro, Inc. (a) (b) 454,760 --------------- 1,417,186 --------------- CONSTRUCTION & ENGINEERING -- 0.4% 7,240 Argan, Inc. 466,618 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.4% 5,075 Capella Education Co. 348,653 13,746 Sotheby's (a) 777,886 6,333 Strayer Education, Inc. 497,900 --------------- 1,624,439 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 7,403 Cincinnati Bell, Inc. (a) 138,066 3,609 Cogent Communications Holdings, Inc. 150,676 277,091 Globalstar, Inc. (a) (b) 512,618 --------------- 801,360 --------------- ELECTRICAL EQUIPMENT -- 0.1% 8,856 General Cable Corp. 170,921 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.3% 13,837 Fabrinet (a) 622,803 17,208 II-VI, Inc. (a) 655,625 8,711 Itron, Inc. (a) 635,903 42,496 TTM Technologies, Inc. (a) 738,581 --------------- 2,652,912 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES -- 0.7% 16,266 Exterran Corp. (a) $ 450,406 60,574 McDermott International, Inc. (a) 410,086 --------------- 860,492 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.9% 31,836 CareTrust REIT, Inc. 580,689 3,523 EastGroup Properties, Inc. 307,135 23,506 Four Corners Property Trust, Inc. 596,582 24,508 iStar, Inc. (a) 292,871 2,817 LTC Properties, Inc. 145,470 9,618 Monmouth Real Estate Investment Corp. 148,213 29,362 New Senior Investment Group, Inc. 305,071 2,766 QTS Realty Trust, Inc., Class A 147,898 15,828 Rexford Industrial Realty, Inc. 451,415 6,006 Sabra Health Care REIT, Inc. 139,339 3,453 Seritage Growth Properties, Class A (b) 161,497 5,244 STAG Industrial, Inc. 143,109 23,287 Summit Hotel Properties, Inc. 417,536 8,767 Terreno Realty Corp. 303,513 5,460 Universal Health Realty Income Trust 423,041 --------------- 4,563,379 --------------- FOOD PRODUCTS -- 0.5% 8,546 Calavo Growers, Inc. 632,831 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.8% 2,728 Abaxis, Inc. 128,216 916 Atrion Corp. 579,095 18,312 Cardiovascular Systems, Inc. (a) 577,744 7,118 Glaukos Corp. (a) 286,001 3,421 ICU Medical, Inc. (a) 588,070 7,732 Inogen, Inc. (a) 729,746 11,504 Insulet Corp. (a) 578,766 24,229 K2M Group Holdings, Inc. (a) 589,492 19,337 Merit Medical Systems, Inc. (a) 792,817 5,774 NxStage Medical, Inc. (a) 135,978 6,726 Penumbra, Inc. (a) 549,178 --------------- 5,535,103 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.6% 11,747 Amedisys, Inc. (a) 556,338 11,120 AMN Healthcare Services, Inc. (a) 410,328 32,427 Surgery Partners, Inc. (a) 643,676 21,260 Teladoc, Inc. (a) 697,328 18,515 Tivity Health, Inc. (a) 734,120 --------------- 3,041,790 --------------- HEALTH CARE TECHNOLOGY -- 0.8% 29,103 Evolent Health, Inc., Class A (a) 718,844 7,824 HMS Holdings Corp. (a) 157,106 --------------- 875,950 --------------- Page 102 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 6.4% 32,653 Belmond Ltd., Class A (a) $ 426,122 61,481 Caesars Entertainment Corp. (a) (b) 759,290 3,221 Churchill Downs, Inc. 602,488 25,073 Denny's Corp. (a) 284,829 29,404 La Quinta Holdings, Inc. (a) 438,414 6,264 Marriott Vacations Worldwide Corp. 731,948 34,476 Penn National Gaming, Inc. (a) 695,036 37,335 Pinnacle Entertainment, Inc. (a) 709,365 12,645 Planet Fitness, Inc., Class A 286,536 25,063 Red Rock Resorts, Inc., Class A 599,006 28,266 Scientific Games Corp., Class A (a) 1,047,255 8,460 Shake Shack, Inc., Class A (a) (b) 279,265 11,141 Sonic Corp. 263,596 9,550 Wingstop, Inc. (a) 286,595 --------------- 7,409,745 --------------- HOUSEHOLD DURABLES -- 1.4% 13,932 Installed Building Products, Inc. (a) 749,541 8,768 iRobot Corp. (a) 925,112 --------------- 1,674,653 --------------- HOUSEHOLD PRODUCTS -- 0.4% 9,831 Central Garden & Pet Co., Class A (a) 302,401 1,312 WD-40 Co. 139,925 --------------- 442,326 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5% 16,765 NRG Yield, Inc., Class C 311,829 12,377 Pattern Energy Group, Inc. 310,663 --------------- 622,492 --------------- INSURANCE -- 0.5% 15,352 MBIA, Inc. (a) 156,130 17,233 Universal Insurance Holdings, Inc. 411,007 --------------- 567,137 --------------- INTERNET & DIRECT MARKETING RETAIL -- 2.2% 49,185 Etsy, Inc. (a) 706,788 14,173 Nutrisystem, Inc. 790,145 6,215 Shutterfly, Inc. (a) 304,783 9,596 Wayfair, Inc., Class A (a) (b) 732,655 --------------- 2,534,371 --------------- INTERNET SOFTWARE & SERVICES -- 8.8% 15,723 2U, Inc. (a) 813,665 19,607 Alarm.com Holdings, Inc. (a) 745,654 16,238 Benefitfocus, Inc. (a) 580,509 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INTERNET SOFTWARE & SERVICES (CONTINUED) 40,447 Box, Inc., Class A (a) $ 762,426 52,013 Endurance International Group Holdings, Inc. (a) 481,120 14,903 Envestnet, Inc. (a) 581,962 34,281 Five9, Inc. (a) 756,239 23,308 GTT Communications, Inc. (a) 712,059 17,154 New Relic, Inc. (a) 805,552 15,972 Q2 Holdings, Inc. (a) 621,311 25,662 Quotient Technology, Inc. (a) 297,679 6,696 Shutterstock, Inc. (a) 282,170 4,628 SPS Commerce, Inc. (a) 267,498 4,762 Stamps.com, Inc. (a) 705,252 37,018 TrueCar, Inc. (a) (b) 700,751 29,160 Web.com Group, Inc. (a) 640,062 7,403 WebMD Health Corp. (a) 490,449 --------------- 10,244,358 --------------- IT SERVICES -- 1.0% 5,573 Acxiom Corp. (a) 150,304 3,566 CSG Systems International, Inc. 147,454 25,103 EVERTEC, Inc. 448,089 7,813 ExlService Holdings, Inc. (a) 449,638 --------------- 1,195,485 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 26,976 Accelerate Diagnostics, Inc. (a) (b) 708,120 7,268 Cambrex Corp. (a) 443,348 --------------- 1,151,468 --------------- MACHINERY -- 3.2% 2,606 Astec Industries, Inc. 131,004 6,084 EnPro Industries, Inc. 468,590 9,895 ESCO Technologies, Inc. 610,521 45,825 Harsco Corp. (a) 707,996 5,707 Lydall, Inc. (a) 282,496 16,558 Navistar International Corp. (a) 509,490 4,267 RBC Bearings, Inc. (a) 440,952 16,005 SPX FLOW, Inc. (a) 567,537 --------------- 3,718,586 --------------- MEDIA -- 0.5% 13,145 MSG Networks, Inc., Class A (a) 281,303 8,968 Sinclair Broadcast Group, Inc., Class A 323,296 --------------- 604,599 --------------- METALS & MINING -- 1.2% 25,534 Allegheny Technologies, Inc. (b) 483,614 47,352 Century Aluminum Co. (a) 794,567 16,872 Coeur Mining, Inc. (a) 139,700 --------------- 1,417,881 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.4% 6,328 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 147,126 17,320 Redwood Trust, Inc. 299,116 --------------- 446,242 --------------- See Notes to Financial Statements Page 103 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL -- 0.7% 17,320 Ollie's Bargain Outlet Holdings, Inc. (a) $ 774,204 --------------- PAPER & FOREST PRODUCTS -- 0.4% 21,052 KapStone Paper and Packaging Corp. 481,249 --------------- PERSONAL PRODUCTS -- 0.1% 6,109 Revlon, Inc., Class A (a) 119,431 --------------- PHARMACEUTICALS -- 1.7% 62,522 Corcept Therapeutics, Inc. (a) 779,649 23,054 Innoviva, Inc. (a) 316,301 17,116 Supernus Pharmaceuticals, Inc. (a) 692,342 7,405 Theravance Biopharma Inc. (a) (b) 237,923 --------------- 2,026,215 --------------- PROFESSIONAL SERVICES -- 0.9% 4,155 Insperity, Inc. 313,702 22,536 TriNet Group, Inc. (a) 788,760 --------------- 1,102,462 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 16,975 HFF, Inc., Class A 623,322 2,583 RE/MAX Holdings, Inc., Class A 150,201 --------------- 773,523 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.3% 9,123 Advanced Energy Industries, Inc. (a) 661,874 60,411 Amkor Technology, Inc. (a) 626,462 27,213 Brooks Automation, Inc. 668,351 7,993 Cabot Microelectronics Corp. 592,681 47,596 FormFactor, Inc. (a) 623,508 15,574 MaxLinear, Inc. (a) 408,039 8,096 Power Integrations, Inc. 571,982 16,509 Semtech Corp. (a) 653,756 5,200 Veeco Instruments, Inc. (a) 160,160 --------------- 4,966,813 --------------- SOFTWARE -- 5.7% 9,950 8x8, Inc. (a) 126,365 25,596 Barracuda Networks, Inc. (a) 575,142 10,088 BroadSoft, Inc. (a) 444,376 17,946 Callidus Software, Inc. (a) 436,088 28,554 FireEye, Inc. (a) 417,745 7,499 Gigamon, Inc. (a) 298,085 8,978 HubSpot, Inc. (a) 649,558 9,075 Imperva, Inc. (a) 408,829 757 MicroStrategy, Inc., Class A (a) 101,824 13,065 Paylocity Holding Corp. (a) 594,066 9,553 Progress Software Corp. 305,792 10,643 Qualys, Inc. (a) 427,316 20,183 RingCentral, Inc., Class A (a) 702,368 19,834 Varonis Systems, Inc. (a) 738,817 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 15,635 Zendesk, Inc. (a) $ 458,418 --------------- 6,684,789 --------------- SPECIALTY RETAIL -- 0.8% 11,954 Five Below, Inc. (a) 577,498 21,033 Tile Shop Holdings, Inc. 307,082 --------------- 884,580 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 31,562 3D Systems Corp. (a) (b) 530,242 46,074 Pure Storage, Inc., Class A (a) 556,113 --------------- 1,086,355 --------------- THRIFTS & MORTGAGE FINANCE -- 3.2% 9,652 Beneficial Bancorp, Inc. 150,571 12,440 BofI Holding, Inc. (a) (b) 346,703 4,283 LendingTree, Inc. (a) 944,830 8,567 Meridian Bancorp, Inc. 151,207 6,633 Meta Financial Group, Inc. 472,933 8,443 Northfield Bancorp, Inc. 141,758 5,338 OceanFirst Financial Corp. 144,553 8,676 United Financial Bancorp, Inc. 156,949 15,109 Walker & Dunlop, Inc. (a) 759,227 9,578 WSFS Financial Corp. 432,447 --------------- 3,701,178 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.5% 5,152 GMS, Inc. (a) 154,663 14,171 SiteOne Landscape Supply, Inc. (a) 743,977 22,063 Triton International Ltd. 795,592 --------------- 1,694,232 --------------- WATER UTILITIES -- 0.3% 6,000 SJW Group 317,220 --------------- TOTAL COMMON STOCKS -- 99.9% 116,386,157 (Cost $103,623,202) --------------- MONEY MARKET FUNDS -- 1.1% 1,288,742 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.90% (c) (d) 1,288,742 (Cost $1,288,742) --------------- Page 104 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 4.0% $ 1,036,094 JPMorgan Chase & Co., 0.94% (c), dated 07/31/17, due 08/01/17, with a maturity value of $1,036,121. Collateralized by U.S. Treasury Note, interest rate of 1.125%, due 06/30/21. The value of the collateral including accrued interest is $1,057,861. (d) $ 1,036,094 3,567,847 RBC Capital Markets LLC, 1.02% (c), dated 07/31/17, due 08/01/17, with a maturity value of $3,567,948. Collateralized by U.S. Treasury Notes, interest rates of 1.750% to 2.000%, due 10/31/20 to 04/30/24. The value of the collateral including accrued interest is $3,656,555. (d) 3,567,847 --------------- TOTAL REPURCHASE AGREEMENTS -- 4.0% 4,603,941 (Cost $4,603,941) --------------- TOTAL INVESTMENTS -- 105.0% 122,278,840 (Cost $109,515,885) (e) NET OTHER ASSETS AND LIABILITIES -- (5.0)% (5,795,980) --------------- NET ASSETS -- 100.0% $ 116,482,860 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $5,737,724 and the total value of the collateral held by the Fund is $5,898,290. (c) Interest rate shown reflects yield as of July 31, 2017. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $110,200,728. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $13,892,902 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,814,790. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 116,386,157 $ -- $ -- Money Market Funds 1,288,742 -- -- Repurchase Agreements -- 4,603,941 -- -------------------------------------------- Total Investments $ 117,674,899 $ 4,603,941 $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. See Notes to Financial Statements Page 105 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 ----------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 5,737,724 Non-cash Collateral(2) (5,737,724) --------------- 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, 2017, 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) $ 4,603,941 Non-cash Collateral(4) (4,603,941) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2017, 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, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 4.4% 2,021 Boeing (The) Co. $ 490,012 505 General Dynamics Corp. 99,147 818 United Technologies Corp. 96,990 --------------- 686,149 --------------- AIR FREIGHT & LOGISTICS -- 3.1% 2,298 FedEx Corp. 478,053 --------------- AUTOMOBILES -- 6.2% 14,298 General Motors Co. 514,442 1,381 Tesla, Inc. (a) 446,712 --------------- 961,154 --------------- BANKS -- 2.6% 4,117 Bank of America Corp. 99,302 4,481 Citigroup, Inc. 306,724 --------------- 406,026 --------------- BIOTECHNOLOGY -- 10.7% 1,377 AbbVie, Inc. 96,266 2,320 Amgen, Inc. 404,863 1,105 Biogen, Inc. (a) 319,997 7,056 Gilead Sciences, Inc. 536,891 610 Regeneron Pharmaceuticals, Inc. (a) 299,888 --------------- 1,657,905 --------------- CAPITAL MARKETS -- 4.0% 1,350 Goldman Sachs Group (The), Inc. 304,195 6,724 Morgan Stanley 315,356 --------------- 619,551 --------------- COMMUNICATIONS EQUIPMENT -- 2.6% 12,765 Cisco Systems, Inc. 401,459 --------------- CONSUMER FINANCE -- 0.6% 1,185 American Express Co. 100,998 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.3% 1,179 Berkshire Hathaway, Inc., Class B (a) 206,290 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.3% 13,237 AT&T, Inc. 516,243 --------------- ELECTRIC UTILITIES -- 2.7% 1,194 Duke Energy Corp. 101,633 2,138 NextEra Energy, Inc. 312,341 --------------- 413,974 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 0.7% 755 American Tower Corp. 102,929 --------------- FOOD & STAPLES RETAILING -- 4.6% 3,725 CVS Health Corp. 297,739 5,279 Wal-Mart Stores, Inc. 422,267 --------------- 720,006 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 6.6% 3,289 Aetna, Inc. $ 507,526 2,694 UnitedHealth Group, Inc. 516,736 --------------- 1,024,262 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.7% 652 McDonald's Corp. 101,151 --------------- INSURANCE -- 1.3% 1,375 Chubb Ltd. 201,382 --------------- INTERNET & DIRECT MARKETING RETAIL -- 5.6% 413 Amazon.com, Inc. (a) 407,953 1,337 Netflix, Inc. (a) 242,880 106 Priceline Group (The), Inc. (a) 215,021 --------------- 865,854 --------------- INTERNET SOFTWARE & SERVICES -- 4.1% 323 Alphabet, Inc., Class A (a) 305,397 1,985 Facebook, Inc., Class A (a) 335,961 --------------- 641,358 --------------- IT SERVICES -- 4.0% 1,299 International Business Machines Corp. 187,927 7,444 PayPal Holdings, Inc. (a) 435,846 --------------- 623,773 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.9% 1,717 Thermo Fisher Scientific, Inc. 301,385 --------------- MACHINERY -- 1.4% 1,859 Caterpillar, Inc. 211,833 --------------- MEDIA -- 5.7% 1,186 Charter Communications, Inc., Class A (a) 464,805 5,133 Comcast Corp., Class A 207,630 1,880 Walt Disney (The) Co. 206,668 --------------- 879,103 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.4% 3,830 Chevron Corp. 418,198 2,272 ConocoPhillips 103,080 --------------- 521,278 --------------- PHARMACEUTICALS -- 3.3% 2,055 Allergan PLC 518,538 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 8.3% 14,803 Intel Corp. 525,062 3,454 NVIDIA Corp. 561,310 3,618 QUALCOMM, Inc. 192,441 --------------- 1,278,813 --------------- SOFTWARE -- 2.7% 2,824 Adobe Systems, Inc. (a) 413,688 --------------- See Notes to Financial Statements Page 107 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL -- 1.3% 1,303 Home Depot (The), Inc. $ 194,929 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 694 Apple, Inc. 103,219 --------------- TOBACCO -- 2.2% 5,365 Altria Group, Inc. 348,564 --------------- TOTAL INVESTMENTS -- 100.0% 15,499,867 (Cost $14,430,233) (b) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (3,778) --------------- NET ASSETS -- 100.0% $ 15,496,089 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $14,633,913. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,080,398 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $214,444. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 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* $ 15,499,867 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. 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, 2017
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............................................... $ 1,565,115,537 $ 714,569,099 $ 514,966,978 Cash................................................................ 1,701,148 -- -- Cash collateral received from securities on loan.................... 11,590 15,489 21,707 Receivables: Investment securities sold.................................... -- -- -- Dividends..................................................... 877,291 201,348 204,148 Securities lending income..................................... 11,218 21,883 29,629 Prepaid expenses.................................................... 9,125 7,082 6,588 ---------------- ---------------- ---------------- Total Assets.................................................. 1,567,725,909 714,814,901 515,229,050 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... -- -- 8,742 Payables: Capital shares redeemed....................................... -- -- -- Investment advisory fees...................................... 664,046 297,603 208,820 Collateral for securities on loan............................. 12,193,276 16,295,174 22,836,975 Licensing fees................................................ 133,496 59,099 41,145 Printing fees................................................. 70,306 40,313 31,798 Audit and tax fees............................................ 30,470 30,470 30,470 Trustees' fees................................................ 752 680 665 Other liabilities................................................... 186,446 96,844 73,261 ---------------- ---------------- ---------------- Total Liabilities............................................. 13,278,792 16,820,183 23,231,876 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,554,447,117 $ 697,994,718 $ 491,997,174 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,604,793,871 $ 803,474,796 $ 607,067,904 Par value........................................................... 287,500 116,500 87,500 Accumulated net investment income (loss)............................ 762,792 604,457 (206,406) Accumulated net realized gain (loss) on investments................. (227,317,214) (180,725,051) (164,809,342) Net unrealized appreciation (depreciation) on investments........... 175,920,168 74,524,016 49,857,518 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,554,447,117 $ 697,994,718 $ 491,997,174 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 54.07 $ 59.91 $ 56.23 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 28,750,002 11,650,002 8,750,002 ================ ================ ================ Investments, at cost................................................ $ 1,389,195,369 $ 640,045,083 $ 465,109,460 ================ ================ ================ Securities on loan, at value........................................ $ 11,855,646 $ 15,867,249 $ 22,146,235 ================ ================ ================
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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,063,831,935 $ 653,884,600 $ 112,814,688 $ 105,752,687 $ 58,587,165 $ 96,443,878 -- 729,700 -- -- 6,070 101,793 6,620 3,257 1,738 1,762 1,321 1,709 -- -- -- -- -- 1,758,603 858,813 217,115 76,271 23,774 28,195 6,061 876 8,614 1,716 2,802 1,925 3,188 7,503 7,001 5,727 5,685 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,064,705,747 654,850,287 112,900,140 105,786,710 58,624,676 98,315,232 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- -- -- -- -- -- -- -- -- -- -- -- 1,759,816 445,264 277,191 47,046 42,137 33,199 57,384 6,964,569 3,426,154 1,829,042 1,853,084 1,390,349 1,797,645 87,255 53,980 9,387 8,337 -- -- 48,870 30,099 6,852 5,911 -- -- 30,470 30,470 30,470 30,470 -- -- 704 677 639 638 -- -- 131,215 83,206 17,694 16,690 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 7,708,347 3,901,777 1,941,130 1,957,267 1,423,548 3,614,845 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,056,997,400 $ 650,948,510 $ 110,959,010 $ 103,829,443 $ 57,201,128 $ 94,700,387 ================ ================ ================ ================ ================ ================ $ 1,194,403,278 $ 662,830,312 $ 141,748,135 $ 112,435,267 $ 71,278,735 $ 105,599,069 207,500 116,500 21,000 17,500 17,000 27,000 906,544 90,737 65,264 -- 80,652 -- (224,151,591) (96,842,875) (38,870,419) (23,554,349) (14,962,753) (23,197,837) 85,631,669 84,753,836 7,995,030 14,931,025 787,494 12,272,155 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,056,997,400 $ 650,948,510 $ 110,959,010 $ 103,829,443 $ 57,201,128 $ 94,700,387 ================ ================ ================ ================ ================ ================ $ 50.94 $ 55.88 $ 52.84 $ 59.33 $ 33.65 $ 35.07 ================ ================ ================ ================ ================ ================ 20,750,002 11,650,002 2,100,002 1,750,002 1,700,002 2,700,002 ================ ================ ================ ================ ================ ================ $ 978,200,266 $ 569,130,764 $ 104,819,658 $ 90,821,662 $ 57,799,671 $ 84,171,723 ================ ================ ================ ================ ================ ================ $ 6,823,811 $ 3,373,930 $ 1,781,775 $ 1,808,592 $ 1,365,211 $ 1,728,081 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 111 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JULY 31, 2017
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............................................... $ 64,275,075 $ 122,278,840 $ 15,499,867 Cash................................................................ 47,817 133,128 -- Cash collateral received from securities on loan.................... 2,403 5,607 -- Receivables: Investment securities sold.................................... -- 1,951,254 -- Dividends..................................................... 39,621 24,103 13,817 Securities lending income..................................... 2,540 8,382 -- Prepaid expenses.................................................... -- -- -- ---------------- ---------------- ---------------- Total Assets.................................................. 64,367,456 124,401,314 15,513,684 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... -- -- 8,309 Payables: Capital shares redeemed....................................... -- 1,953,140 -- Investment advisory fees...................................... 37,089 67,024 9,286 Collateral for securities on loan............................. 2,528,013 5,898,290 -- Licensing fees................................................ -- -- -- Printing fees................................................. -- -- -- Audit and tax fees............................................ -- -- -- Trustees' fees................................................ -- -- -- Other liabilities................................................... -- -- -- ---------------- ---------------- ---------------- Total Liabilities............................................. 2,565,102 7,918,454 17,595 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 61,802,354 $ 116,482,860 $ 15,496,089 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 87,499,240 $ 127,012,642 $ 18,505,107 Par value........................................................... 18,000 30,000 5,000 Accumulated net investment income (loss)............................ (29,753) -- 13,108 Accumulated net realized gain (loss) on investments................. (24,894,354) (23,322,737) (4,096,760) Net unrealized appreciation (depreciation) on investments........... (790,779) 12,762,955 1,069,634 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 61,802,354 $ 116,482,860 $ 15,496,089 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 34.33 $ 38.83 $ 30.99 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 1,800,002 3,000,002 500,002 ================ ================ ================ Investments, at cost................................................ $ 65,065,854 $ 109,515,885 $ 14,430,233 ================ ================ ================ Securities on loan, at value........................................ $ 2,436,296 $ 5,737,724 $ -- ================ ================ ================
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, 2017
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............................................................. $ 27,078,443 $ 11,052,181 $ 6,492,636 Securities lending income (net of fees)............................... 118,293 155,489 450,427 Interest.............................................................. 120 723 572 Foreign tax withholding............................................... -- (5,310) (256) ---------------- ---------------- ---------------- Total investment income......................................... 27,196,856 11,203,083 6,943,379 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees.............................................. 7,469,921 3,449,336 2,451,175 Accounting and administration fees.................................... 689,046 339,186 236,599 Licensing fees........................................................ 430,761 203,465 146,919 Custodian fees........................................................ 186,156 127,251 109,642 Printing fees......................................................... 144,871 79,062 62,780 Legal fees............................................................ 77,462 36,413 26,185 Transfer agent fees................................................... 62,428 34,544 24,547 Audit and tax fees.................................................... 25,525 25,525 25,525 Trustees' fees and expenses........................................... 10,332 8,976 8,617 Listing fees.......................................................... 9,347 6,984 5,942 Expenses previously waived or reimbursed.............................. -- -- -- Other expenses........................................................ 40,102 20,511 14,874 ---------------- ---------------- ---------------- Total expenses.................................................. 9,145,951 4,331,253 3,112,805 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS).......................................... 18,050,905 6,871,830 3,830,574 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments..................................................... (31,926,493) (19,542,625) (12,191,504) In-kind redemptions............................................. 175,855,819 76,442,910 77,877,544 ---------------- ---------------- ---------------- Net realized gain (loss).............................................. 143,929,326 56,900,285 65,686,040 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments... 64,917,092 26,719,552 69,883 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................... 208,846,418 83,619,837 65,755,923 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................... $ 226,897,323 $ 90,491,667 $ 69,586,497 ================ ================ ================
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, 2017
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............................................................. $ 21,213,644 $ 7,618,058 $ 2,318,849 Securities lending income (net of fees)............................... 19,289 89,409 26,191 Interest.............................................................. 774 -- 155 Foreign tax withholding............................................... -- -- (491) ---------------- ---------------- ---------------- Total investment income......................................... 21,233,707 7,707,467 2,344,704 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees.............................................. 4,715,801 3,081,886 553,533 Accounting and administration fees.................................... 466,172 304,775 38,861 Licensing fees........................................................ 274,161 182,316 38,968 Custodian fees........................................................ 123,184 81,929 31,081 Printing fees......................................................... 99,240 58,502 13,038 Legal fees............................................................ 48,360 31,251 5,758 Transfer agent fees................................................... 46,944 30,858 5,544 Audit and tax fees.................................................... 25,525 25,525 25,525 Trustees' fees and expenses........................................... 9,431 8,836 7,930 Listing fees.......................................................... 6,703 6,976 8,819 Expenses previously waived or reimbursed.............................. -- -- -- Other expenses........................................................ 24,458 18,659 6,545 ---------------- ---------------- ---------------- Total expenses.................................................. 5,839,979 3,831,513 735,602 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS).......................................... 15,393,728 3,875,954 1,609,102 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments..................................................... (39,285,841) (8,815,640) (699,683) In-kind redemptions............................................. 154,537,330 39,949,019 14,136,702 ---------------- ---------------- ---------------- Net realized gain (loss).............................................. 115,251,489 31,133,379 13,437,019 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments... 58,877,537 18,327,961 3,958,208 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................... 174,129,026 49,461,340 17,395,227 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................... $ 189,522,754 $ 53,337,294 $ 19,004,329 ================ ================ ================
(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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 997,218 $ 1,143,650 $ 1,064,686 $ 1,437,870 $ 673,057 $ 320,997 22,643 10,885 26,045 78,021 53,289 -- 65 -- -- 77 -- -- -- (878) -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,019,926 1,153,657 1,090,731 1,515,968 726,346 320,997 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 449,626 402,346 (a) 645,329 (a) 552,067 (a) 619,913 (a) 107,839 (a) 33,091 -- -- -- -- -- 32,919 -- -- -- -- -- 29,322 -- -- -- -- -- 10,858 -- -- -- -- -- 4,494 -- -- -- -- -- 4,502 -- -- -- -- -- 25,525 -- -- -- -- -- 7,892 -- -- -- -- -- 9,053 -- -- -- -- -- 12,342 -- -- -- -- -- 6,060 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 625,684 402,346 645,329 552,067 619,913 107,839 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 394,242 751,311 445,402 963,901 106,433 213,158 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (46,262) (2,664,218) (2,309,514) (7,174,479) (4,084,091) (779,726) 5,757,228 8,240,585 9,528,343 16,596,643 12,810,014 2,416,360 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 5,710,966 5,576,367 7,218,829 9,422,164 8,725,923 1,636,634 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 4,037,103 (258,266) 3,912,620 (3,124,492) 5,340,758 416,999 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 9,748,069 5,318,101 11,131,449 6,297,672 14,066,681 2,053,633 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 10,142,311 $ 6,069,412 $ 11,576,851 $ 7,261,573 $ 14,173,114 $ 2,266,791 ================ ================ ================ ================ ================ ================
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) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2017 7/31/2016 7/31/2017 7/31/2016 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)............................ $ 18,050,905 $ 23,233,196 $ 6,871,830 $ 8,144,952 Net realized gain (loss)................................ 143,929,326 (15,269,524) 56,900,285 (42,505,515) Net change in unrealized appreciation (depreciation).... 64,917,092 12,871,561 26,719,552 (171,616) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 226,897,323 20,835,233 90,491,667 (34,532,179) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................... (18,611,751) (22,823,931) (6,923,601) (7,755,496) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 800,846,202 360,719,580 394,435,423 118,232,591 Cost of shares redeemed................................. (961,025,662) (784,813,444) (424,153,009) (448,752,652) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (160,179,460) (424,093,864) (29,717,586) (330,520,061) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. 48,106,112 (426,082,562) 53,850,480 (372,807,736) NET ASSETS: Beginning of period..................................... 1,506,341,005 1,932,423,567 644,144,238 1,016,951,974 --------------- --------------- --------------- --------------- End of period........................................... $ 1,554,447,117 $ 1,506,341,005 $ 697,994,718 $ 644,144,238 =============== =============== =============== =============== Accumulated net investment income (loss) at end of period..................................... $ 762,792 $ 1,362,972 $ 604,457 $ 693,958 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 32,100,002 42,050,002 12,200,002 19,200,002 Shares sold............................................. 16,050,000 8,100,000 7,100,000 2,350,000 Shares redeemed......................................... (19,400,000) (18,050,000) (7,650,000) (9,350,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 28,750,002 32,100,002 11,650,002 12,200,002 =============== =============== =============== ===============
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) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2017 7/31/2016 7/31/2017 7/31/2016 7/31/2017 7/31/2016 7/31/2017 7/31/2016 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 3,830,574 $ 4,350,795 $ 15,393,728 $ 18,229,292 $ 3,875,954 $ 4,819,381 $ 1,609,102 $ 2,010,703 65,686,040 (56,575,091) 115,251,489 (77,808,924) 31,133,379 21,390,062 13,437,019 (18,829,003) 69,883 28,813,288 58,877,537 57,696,381 18,327,961 (8,534,955) 3,958,208 10,608,894 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 69,586,497 (23,411,008) 189,522,754 (1,883,251) 53,337,294 17,674,488 19,004,329 (6,209,406) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (4,584,486) (4,081,541) (15,458,152) (18,294,192) (4,012,026) (4,618,806) (1,686,942) (1,983,056) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 340,091,089 67,117,666 818,188,240 75,101,924 265,481,467 516,977,365 58,846,637 12,659,650 (355,722,643) (298,880,828) (766,511,899) (405,415,052) (282,556,562) (593,100,019) (68,500,744) (98,058,016) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (15,631,554) (231,763,162) 51,676,341 (330,313,128) (17,075,095) (76,122,654) (9,654,107) (85,398,366) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 49,370,457 (259,255,711) 225,740,943 (350,490,571) 32,250,173 (63,066,972) 7,663,280 (93,590,828) 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 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 491,997,174 $ 442,626,717 $1,056,997,400 $ 831,256,457 $ 650,948,510 $ 618,698,337 $ 110,959,010 $ 103,295,730 ============== ============== ============== ============== ============== ============== ============== ============== $ (206,406) $ 432,402 $ 906,544 $ 1,007,759 $ 90,737 $ 226,809 $ 65,264 $ 145,530 ============== ============== ============== ============== ============== ============== ============== ============== 9,050,002 14,550,002 19,800,002 28,400,002 12,000,002 13,650,002 2,300,002 4,400,002 6,550,000 1,450,000 17,250,000 1,900,000 5,150,000 10,650,000 1,200,000 300,000 (6,850,000) (6,950,000) (16,300,000) (10,500,000) (5,500,000) (12,300,000) (1,400,000) (2,400,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 8,750,002 9,050,002 20,750,002 19,800,002 11,650,002 12,000,002 2,100,002 2,300,002 ============== ============== ============== ============== ============== ============== ============== ==============
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) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2017 7/31/2016 7/31/2017 7/31/2016 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)............................ $ 394,242 $ 462,717 $ 751,311 $ 739,569 Net realized gain (loss)................................ 5,710,966 (982,534) 5,576,367 (7,744,009) Net change in unrealized appreciation (depreciation).... 4,037,103 785,668 (258,266) 5,496,990 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 10,142,311 265,851 6,069,412 (1,507,450) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................................... (425,861) (428,710) (727,156) (728,316) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 43,432,601 62,083,079 64,828,682 26,848,523 Cost of shares redeemed................................. (34,612,882) (67,906,113) (60,126,301) (52,845,363) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 8,819,719 (5,823,034) 4,702,381 (25,996,840) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. 18,536,169 (5,985,893) 10,044,637 (28,232,606) NET ASSETS: Beginning of period..................................... 85,293,274 91,279,167 47,156,491 75,389,097 --------------- --------------- --------------- --------------- End of period........................................... $ 103,829,443 $ 85,293,274 $ 57,201,128 $ 47,156,491 =============== =============== =============== =============== Accumulated net investment income (loss) at end of period..................................... $ -- $ 33,218 $ 80,652 $ 56,645 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 1,600,002 1,750,002 1,600,002 2,550,002 Shares sold............................................. 800,000 1,250,000 1,950,000 950,000 Shares redeemed......................................... (650,000) (1,400,000) (1,850,000) (1,900,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 1,750,002 1,600,002 1,700,002 1,600,002 =============== =============== =============== ===============
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) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2017 7/31/2016 7/31/2017 7/31/2016 7/31/2017 7/31/2016 7/31/2017 7/31/2016 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 445,402 $ 336,386 $ 963,901 $ 455,924 $ 106,433 $ 208,811 $ 213,158 $ 276,447 7,218,829 (4,285,524) 9,422,164 (10,788,802) 8,725,923 (4,471,493) 1,636,634 (219,892) 3,912,620 (2,084,750) (3,124,492) 8,928,504 5,340,758 180,422 416,999 (195,421) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 11,576,851 (6,033,888) 7,261,573 (1,404,374) 14,173,114 (4,082,260) 2,266,791 (138,866) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (495,480) (299,960) (1,136,396) (405,321) (207,865) (173,635) (226,936) (262,771) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 60,411,916 61,500,779 125,818,098 34,468,378 121,215,332 45,751,871 17,324,174 11,625,854 (59,517,765) (86,714,895) (124,482,391) (50,807,784) (75,199,317) (73,486,039) (18,765,378) (14,190,560) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 894,151 (25,214,116) 1,335,707 (16,339,406) 46,016,015 (27,734,168) (1,441,204) (2,564,706) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 11,975,522 (31,547,964) 7,460,884 (18,149,101) 59,981,264 (31,990,063) 598,651 (2,966,343) 82,724,865 114,272,829 54,341,470 72,490,571 56,501,596 88,491,659 14,897,438 17,863,781 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 94,700,387 $ 82,724,865 $ 61,802,354 $ 54,341,470 $ 116,482,860 $ 56,501,596 $ 15,496,089 $ 14,897,438 ============== ============== ============== ============== ============== ============== ============== ============== $ -- $ 56,940 $ (29,753) $ 61,097 $ -- $ 19,721 $ 13,108 $ 26,886 ============== ============== ============== ============== ============== ============== ============== ============== 2,650,002 3,650,002 1,800,002 2,400,002 1,700,002 2,750,002 550,002 650,002 1,850,000 2,100,000 3,750,000 1,200,000 3,450,000 1,500,000 600,000 450,000 (1,800,000) (3,100,000) (3,750,000) (1,800,000) (2,150,000) (2,550,000) (650,000) (550,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 2,700,002 2,650,002 1,800,002 1,800,002 3,000,002 1,700,002 500,002 550,002 ============== ============== ============== ============== ============== ============== ============== ==============
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, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 46.93 $ 45.96 $ 43.21 $ 37.10 $ 28.66 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.61 0.64 0.57 0.49 0.48 Net realized and unrealized gain (loss) 7.16 0.95 2.75 6.10 8.45 ---------- ---------- ---------- ---------- ---------- Total from investment operations 7.77 1.59 3.32 6.59 8.93 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.63) (0.62) (0.57) (0.48) (0.49) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 54.07 $ 46.93 $ 45.96 $ 43.21 $ 37.10 ========== ========== ========== ========== ========== TOTAL RETURN (a) 16.68% 3.59% 7.67% 17.83% 31.41% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,554,447 $1,506,341 $1,932,424 $1,151,542 $ 500,829 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.61% 0.61% 0.64% 0.66% Ratio of net expenses to average net assets 0.61% 0.61% 0.61% 0.64% 0.66% Ratio of net investment income (loss) to average net assets 1.21% 1.43% 1.25% 1.25% 1.47% Portfolio turnover rate (b) 90% 109% 91% 78% 78%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 52.80 $ 52.97 $ 50.65 $ 44.95 $ 34.19 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.56 0.56 0.51 0.31 0.42 Net realized and unrealized gain (loss) 7.12 (0.21) 2.31 5.75 10.71 ---------- ---------- ---------- ---------- ---------- Total from investment operations 7.68 0.35 2.82 6.06 11.13 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.57) (0.52) (0.50) (0.36) (0.37) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 59.91 $ 52.80 $ 52.97 $ 50.65 $ 44.95 ========== ========== ========== ========== ========== TOTAL RETURN (a) 14.61% 0.76% 5.55% 13.49% 32.71% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 697,995 $ 644,144 $1,016,952 $ 861,094 $ 485,456 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.63% 0.62% 0.64% 0.66% Ratio of net expenses to average net assets 0.63% 0.63% 0.62% 0.64% 0.66% Ratio of net investment income (loss) to average net assets 1.00% 1.10% 0.97% 0.64% 1.04% Portfolio turnover rate (b) 103% 126% 102% 81% 81%
(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, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 48.91 $ 48.24 $ 46.07 $ 42.20 $ 31.20 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.41 0.39 0.35 0.22 0.34 Net realized and unrealized gain (loss) 7.40 0.64 2.17 3.86 11.00 ---------- ---------- ---------- ---------- ---------- Total from investment operations 7.81 1.03 2.52 4.08 11.34 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.49) (0.36) (0.35) (0.21) (0.34) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 56.23 $ 48.91 $ 48.24 $ 46.07 $ 42.20 ========== ========== ========== ========== ========== TOTAL RETURN (a) 16.03% 2.20% 5.45% 9.66% 36.58% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 491,997 $ 442,627 $ 701,882 $ 520,550 $ 289,082 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.64% 0.63% 0.66% 0.70% Ratio of net expenses to average net assets 0.63% 0.64% 0.63% 0.66% 0.70% Ratio of net investment income (loss) to average net assets 0.78% 0.86% 0.73% 0.49% 0.87% Portfolio turnover rate (b) 111% 126% 97% 89% 85%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 41.98 $ 41.61 $ 42.48 $ 36.78 $ 28.11 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.77 0.78 (c) 0.77 0.69 0.58 Net realized and unrealized gain (loss) 8.96 0.38 (0.87) 5.69 8.66 ---------- ---------- ---------- ---------- ---------- Total from investment operations 9.73 1.16 (0.10) 6.38 9.24 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.77) (0.79) (0.77) (0.68) (0.57) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 50.94 $ 41.98 $ 41.61 $ 42.48 $ 36.78 ========== ========== ========== ========== ========== TOTAL RETURN (a) 23.35% 2.94% (0.29)% 17.46% 33.15% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,056,997 $ 831,256 $1,181,747 $1,021,608 $ 467,124 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.62% 0.62% 0.64% 0.67% Ratio of net expenses to average net assets 0.62% 0.62% 0.62% 0.64% 0.67% Ratio of net investment income (loss) to average net assets 1.63% 2.00% 1.77% 1.80% 1.85% Portfolio turnover rate (b) 72% 94% 78% 68% 69%
(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, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 51.56 $ 49.95 $ 42.86 $ 36.26 $ 28.54 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.33 0.35 0.32 0.23 0.30 Net realized and unrealized gain (loss) 4.33 1.60 7.09 6.61 7.75 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.66 1.95 7.41 6.84 8.05 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.34) (0.34) (0.32) (0.24) (0.33) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 55.88 $ 51.56 $ 49.95 $ 42.86 $ 36.26 ========== ========== ========== ========== ========== TOTAL RETURN (a) 9.10% 3.96% 17.32% 18.88% 28.42% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 650,949 $ 618,698 $ 681,765 $ 304,293 $ 170,419 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.62% 0.63% 0.66% 0.70% Ratio of net expenses to average net assets 0.62% 0.62% 0.63% 0.66% 0.70% Ratio of net investment income (loss) to average net assets 0.63% 0.73% 0.68% 0.58% 0.88% Portfolio turnover rate (b) 148% 149% 143% 138% 141%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 44.91 $ 44.75 $ 45.71 $ 40.10 $ 29.93 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.73 0.70 0.64 0.55 0.51 Net realized and unrealized gain (loss) 7.96 0.13 (0.96) 5.60 10.16 ---------- ---------- ---------- ---------- ---------- Total from investment operations 8.69 0.83 (0.32) 6.15 10.67 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.76) (0.67) (0.64) (0.54) (0.50) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 52.84 $ 44.91 $ 44.75 $ 45.71 $ 40.10 ========== ========== ========== ========== ========== TOTAL RETURN (a) 19.46% 1.98% (0.74)% 15.38% 35.92% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 110,959 $ 103,296 $ 196,887 $ 175,986 $ 92,227 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.66% 0.68% 0.70% 0.70% 0.76% Ratio of net expenses to average net assets 0.66% 0.68% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.45% 1.61% 1.36% 1.29% 1.46% Portfolio turnover rate (b) 81% 96% 82% 74% 70%
(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, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 53.31 $ 52.16 $ 45.23 $ 39.59 $ 31.16 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.25 0.24 0.23 0.12 0.26 Net realized and unrealized gain (loss) 6.04 1.13 6.94 5.67 8.42 ---------- ---------- ---------- ---------- ---------- Total from investment operations 6.29 1.37 7.17 5.79 8.68 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.27) (0.22) (0.24) (0.15) (0.25) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 59.33 $ 53.31 $ 52.16 $ 45.23 $ 39.59 ========== ========== ========== ========== ========== TOTAL RETURN (a) 11.85% 2.66% 15.89% 14.63% 28.01% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 103,829 $ 85,293 $ 91,279 $ 61,062 $ 37,609 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.72% 0.74% 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 0.44% 0.50% 0.48% 0.27% 0.74% Portfolio turnover rate (b) 142% 160% 135% 139% 147%
(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, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 29.47 $ 29.56 $ 30.20 $ 26.63 $ 19.74 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.44 0.43 0.39 0.24 0.25 Net realized and unrealized gain (loss) 4.17 (0.10) (0.64) 3.56 6.89 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.61 0.33 (0.25) 3.80 7.14 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.43) (0.42) (0.39) (0.23) (0.25) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 33.65 $ 29.47 $ 29.56 $ 30.20 $ 26.63 ========== ========== ========== ========== ========== TOTAL RETURN (a) 15.72% 1.22% (0.87)% 14.30% 36.37% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 57,201 $ 47,156 $ 75,389 $ 101,173 $ 21,302 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 1.31% 1.49% 1.27% 0.90% 0.96% Portfolio turnover rate (b) 95% 114% 88% 84% 66%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 31.22 $ 31.31 $ 27.61 $ 24.62 $ 19.50 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.15 0.11 0.13 0.07 0.18 Net realized and unrealized gain (loss) 3.87 (0.11) 3.71 3.00 5.07 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.02 0.00 3.84 3.07 5.25 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.09) (0.14) (0.08) (0.13) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 35.07 $ 31.22 $ 31.31 $ 27.61 $ 24.62 ========== ========== ========== ========== ========== TOTAL RETURN (a) 12.94% 0.03% 13.91% 12.49% 27.05% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 94,700 $ 82,725 $ 114,273 $ 41,422 $ 22,161 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 0.48% 0.35% 0.42% 0.08% 0.83% Portfolio turnover rate (b) 153% 193% 159% 148% 156%
(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, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 30.19 $ 30.20 $ 31.06 $ 27.96 $ 19.81 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.41 0.26 0.28 0.23 0.20 Net realized and unrealized gain (loss) 4.23 (0.04) (0.85) 3.09 8.15 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.64 0.22 (0.57) 3.32 8.35 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.50) (0.23) (0.29) (0.22) (0.20) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.33 $ 30.19 $ 30.20 $ 31.06 $ 27.96 ========== ========== ========== ========== ========== TOTAL RETURN (a) 15.41% 0.79% (1.89)% 11.86% 42.34% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 61,802 $ 54,341 $ 72,491 $ 62,110 $ 44,743 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 1.22% 0.89% 0.86% 0.72% 1.32% Portfolio turnover rate (b) 110% 125% 96% 86% 104%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 33.24 $ 32.18 $ 27.96 $ 26.01 $ 20.37 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.05 0.09 0.04 (0.01) 0.05 Net realized and unrealized gain (loss) 5.63 1.04 4.20 1.97 5.66 ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.68 1.13 4.24 1.96 5.71 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.09) (0.07) (0.02) (0.01) (0.07) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 38.83 $ 33.24 $ 32.18 $ 27.96 $ 26.01 ========== ========== ========== ========== ========== TOTAL RETURN (a) 17.12% 3.54% 15.17% 7.52% 28.14% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 116,483 $ 56,502 $ 88,492 $ 33,557 $ 13,007 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 0.12% 0.32% 0.09% (0.10)% 0.17% Portfolio turnover rate (b) 162% 161% 153% 175% 147%
(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, ------------------------------------------------------------------ 2017 2016 2015 2014 2013 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 27.09 $ 27.48 $ 26.23 $ 22.97 $ 18.00 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.40 0.45 0.37 0.31 0.28 Net realized and unrealized gain (loss) 3.92 (0.42) 1.27 3.24 4.97 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.32 0.03 1.64 3.55 5.25 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.42) (0.42) (0.39) (0.29) (0.28) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.99 $ 27.09 $ 27.48 $ 26.23 $ 22.97 ========== ========== ========== ========== ========== TOTAL RETURN (a) 16.10% 0.19% 6.29% 15.54% 29.42% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 15,496 $ 14,897 $ 17,864 $ 13,117 $ 10,335 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 1.38% 1.69% 1.40% 1.28% 1.32% Portfolio turnover rate (b) 128% 145% 134% 125% 135%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (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, 2017 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 ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one exchange-traded funds considered either a Sector Fund or Style Fund. This report covers the twelve Style Funds listed below. The shares of each Style Fund are listed and traded on The Nasdaq Stock Market LLC ("Nasdaq"). First Trust Large Cap Core AlphaDEX(R) Fund - (ticker "FEX") First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX") First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX") First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA") First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC") First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB") First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD") First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK") First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY") First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT") First Trust Small Cap Growth AlphaDEX(R) Fund - (ticker "FYC") First Trust Mega Cap AlphaDEX(R) Fund - (ticker "FMK") Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Each Fund's Creation Units are generally issued and redeemed in-kind for securities in which the Fund invests, and in certain circumstances, for cash, and only to and from broker-dealers and large institutional investors that have entered into participation agreements. Except when aggregated in Creation Units, each Fund's shares are not redeemable securities. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Large Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Core Index First Trust Mid Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Core Index First Trust Small Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Core Index First Trust Large Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Value Index First Trust Large Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Growth Index First Trust Multi Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Value Index First Trust Multi Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Growth Index First Trust Mid Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Value Index First Trust Mid Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Growth Index First Trust Small Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Value Index First Trust Small Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Growth Index First Trust Mega Cap AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mega Cap Index
2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Page 127 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. Page 128 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 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, 2017, 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 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, 2017, 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 Page 129 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 2017, 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, 2017, 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 $ 18,611,751 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 6,923,601 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 4,584,486 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 15,458,152 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 4,012,026 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 1,686,942 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 425,861 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 727,156 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 495,480 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 1,136,396 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 207,865 -- -- First Trust Mega Cap AlphaDEX(R) Fund 226,936 -- --
Page 130 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 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 -- --
As of July 31, 2017, 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 $ 762,792 $ (213,310,577) $ 161,913,531 First Trust Mid Cap Core AlphaDEX(R) Fund 604,457 (176,809,273) 70,608,238 First Trust Small Cap Core AlphaDEX(R) Fund -- (161,928,588) 46,770,358 First Trust Large Cap Value AlphaDEX(R) Fund 906,544 (205,062,500) 66,542,578 First Trust Large Cap Growth AlphaDEX(R) Fund 90,737 (96,313,597) 84,224,558 First Trust Multi Cap Value AlphaDEX(R) Fund 84,362 (37,038,777) 6,144,290 First Trust Multi Cap Growth AlphaDEX(R) Fund -- (23,392,956) 14,769,632 First Trust Mid Cap Value AlphaDEX(R) Fund 80,652 (14,070,733) (104,526) First Trust Mid Cap Growth AlphaDEX(R) Fund -- (22,991,065) 12,065,383 First Trust Small Cap Value AlphaDEX(R) Fund -- (24,056,901) (1,657,985) First Trust Small Cap Growth AlphaDEX(R) Fund -- (22,637,894) 12,078,112 First Trust Mega Cap AlphaDEX(R) Fund 13,108 (3,893,080) 865,954
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 2014, 2015, 2016 and 2017 remain open to federal and state audit. As of July 31, 2017, 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, 2017, 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, 2017
Capital Loss Capital Loss Post Total Available Available Enactment - Capital through through No Loss 7/31/2018 7/31/2019 Expiration Available ------------- ------------- -------------- -------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 2,800,653 $ 1,020,863 $ 209,489,061 $ 213,310,577 First Trust Mid Cap Core AlphaDEX(R) Fund 2,119,642 1,502,304 173,187,327 176,809,273 First Trust Small Cap Core AlphaDEX(R) Fund 1,600,982 1,258,833 159,068,773 161,928,588 First Trust Large Cap Value AlphaDEX(R) Fund 5,098,300 298,768 199,665,432 205,062,500 First Trust Large Cap Growth AlphaDEX(R) Fund 3,224,180 1,803,151 91,286,266 96,313,597 First Trust Multi Cap Value AlphaDEX(R) Fund 1,180,819 322,362 35,535,596 37,038,777 First Trust Multi Cap Growth AlphaDEX(R) Fund 1,438,794 345,171 21,608,991 23,392,956 First Trust Mid Cap Value AlphaDEX(R) Fund -- -- 14,070,733 14,070,733 First Trust Mid Cap Growth AlphaDEX(R) Fund -- -- 22,991,065 22,991,065 First Trust Small Cap Value AlphaDEX(R) Fund -- -- 24,056,901 24,056,901 First Trust Small Cap Growth AlphaDEX(R) Fund -- -- 22,637,894 22,637,894 First Trust Mega Cap AlphaDEX(R) Fund -- -- 3,893,080 3,893,080
At the taxable year ended July 31, 2017, the following Funds' capital loss carryforwards expired in the following amounts:
Capital Loss Expired ------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 2,600,275 First Trust Mid Cap Core AlphaDEX(R) Fund 1,985,474 First Trust Small Cap Core AlphaDEX(R) Fund 1,882,188 First Trust Large Cap Value AlphaDEX(R) Fund 2,272,260 First Trust Large Cap Growth AlphaDEX(R) Fund 10,217,162 First Trust Multi Cap Value AlphaDEX(R) Fund 1,331,945 First Trust Multi Cap Growth AlphaDEX(R) Fund 2,554,292
During the taxable year ended July 31, 2017, the following Funds utilized Post-enactment capital loss carryforwards in the following amounts:
Capital Loss Utilized ------------- First Trust Multi Cap Value AlphaDEX(R) Fund $ 599,554 First Trust Multi Cap Growth AlphaDEX(R) Fund 92,411
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, 2017, 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 $ (39,334) $ (163,736,622) $ 163,775,956 First Trust Mid Cap Core AlphaDEX(R) Fund (37,730) (71,639,258) 71,676,988 First Trust Small Cap Core AlphaDEX(R) Fund 115,104 (73,237,254) 73,122,150 First Trust Large Cap Value AlphaDEX(R) Fund (36,791) (145,963,191) 145,999,982 First Trust Large Cap Growth AlphaDEX(R) Fund -- (27,724,139) 27,724,139 First Trust Multi Cap Value AlphaDEX(R) Fund (2,426) (12,193,486) 12,195,912 First Trust Multi Cap Growth AlphaDEX(R) Fund (1,599) (2,904,986) 2,906,585 First Trust Mid Cap Value AlphaDEX(R) Fund (148) (7,361,882) 7,362,030 First Trust Mid Cap Growth AlphaDEX(R) Fund (6,862) (9,336,475) 9,343,337 First Trust Small Cap Value AlphaDEX(R) Fund 81,645 (14,639,841) 14,558,196 First Trust Small Cap Growth AlphaDEX(R) Fund 81,711 (12,105,155) 12,023,444 First Trust Mega Cap AlphaDEX(R) Fund -- (1,944,147) 1,944,147
Page 132 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund, except for the First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund and First Trust Mega Cap AlphaDEX(R) Fund (the "Unitary Fee Funds"), for which expenses other than excluded expenses (discussed in Note 3) are paid by the Advisor. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. First Trust Portfolios L.P. ("FTP") has entered into licensing agreements with Nasdaq, Inc. for each of the Style Funds. The license agreements allow for the use by FTP of certain trademarks and trade names. The Funds and First Trust are sub-licensees to the applicable license agreement. The Funds, except for the Unitary Fee Funds, are required to pay licensing fees, which are shown on the Statements of Operations. The licensing fees for the Unitary Fee Funds are paid by First Trust from the unitary investment advisory fees it receives from each of these Funds. I. NEW AND AMENDED FINANCIAL REPORTING RULES AND FORMS On October 13, 2016, the SEC adopted new rules and forms, and amended existing rules and forms. The new and amended rules and forms are intended to modernize the reporting of information provided by funds and to improve the quality and type of information that funds provide to the SEC and investors. In part, the new and amended rules and forms amend Regulation S-X and require standardized, enhanced disclosures about derivatives in a fund's financial statements, as well as other amendments. The compliance date for the amendments of Regulation S-X is August 1, 2017, while the compliance date for the new form types and other rule amendments is on or after June 1, 2018. Management is evaluating the new and amended rules and forms to determine the impact to the Funds. J. NEW ACCOUNTING PRONOUNCEMENT In December 2016, FASB released Accounting Standards Update ("ASU") 2016-19 that makes technical changes to various sections of the ASC, including Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. The changes to ASC 820-10-50-2 require a reporting entity to disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of the ASU and has not yet determined its impact on the financial statements and disclosures. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. For the Unitary Fee Funds, First Trust is paid an annual unitary management fee of 0.70% of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit and other services, and license fees, but excluding fee payments under the Investment Management Agreement, distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. For such Funds, the Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each such Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). These Funds will have the Expense Cap in effect until at least November 30, 2018. Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding an expense ratio equal to the Expense Cap in place at the time the expenses were reimbursed or fees waived by First Trust. These amounts are included in "Expenses previously waived or reimbursed" on the Statements of Operations. For the fiscal year ended July 31, 2017, there were no waivers or expenses reimbursed by First Trust for the Funds. As of July 31, 2017, none of the Funds had previously waived fees or expenses reimbursed that are subject to recovery. Page 133 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 During the fiscal year ended July 31, 2017, First Trust recovered fees that were previously waived from First Trust Multi Cap Growth AlphaDEX(R) Fund of $12,342. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, or is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended July 31, 2017, 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 $ 1,353,741,895 $ 1,353,027,442 First Trust Mid Cap Core AlphaDEX(R) Fund 707,195,366 706,027,036 First Trust Small Cap Core AlphaDEX(R) Fund 539,959,101 538,610,218 First Trust Large Cap Value AlphaDEX(R) Fund 675,423,917 673,413,339 First Trust Large Cap Growth AlphaDEX(R) Fund 910,922,612 910,514,005 First Trust Multi Cap Value AlphaDEX(R) Fund 89,597,401 89,365,830 First Trust Multi Cap Growth AlphaDEX(R) Fund 127,237,288 127,165,117 First Trust Mid Cap Value AlphaDEX(R) Fund 54,397,799 54,183,095 First Trust Mid Cap Growth AlphaDEX(R) Fund 138,992,588 139,060,288 First Trust Small Cap Value AlphaDEX(R) Fund 85,142,603 84,917,497 First Trust Small Cap Growth AlphaDEX(R) Fund 142,904,977 142,912,554 First Trust Mega Cap AlphaDEX(R) Fund 19,595,000 19,563,207
For the fiscal year ended July 31, 2017, 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 $ 800,534,474 $ 960,910,283 First Trust Mid Cap Core AlphaDEX(R) Fund 393,741,718 424,430,263 First Trust Small Cap Core AlphaDEX(R) Fund 339,208,395 355,505,291 First Trust Large Cap Value AlphaDEX(R) Fund 817,368,850 766,615,688 First Trust Large Cap Growth AlphaDEX(R) Fund 265,227,624 282,413,923 First Trust Multi Cap Value AlphaDEX(R) Fund 58,748,403 68,453,355 First Trust Multi Cap Growth AlphaDEX(R) Fund 43,401,986 34,588,488 First Trust Mid Cap Value AlphaDEX(R) Fund 64,735,589 60,116,753 First Trust Mid Cap Growth AlphaDEX(R) Fund 60,268,945 59,288,010 First Trust Small Cap Value AlphaDEX(R) Fund 125,511,471 124,259,959 First Trust Small Cap Growth AlphaDEX(R) Fund 120,867,382 74,822,377 First Trust Mega Cap AlphaDEX(R) Fund 17,314,433 18,770,624
Page 134 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 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 December 31, 2018. 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 "Trust"), including the portfolios of investments, as of July 31, 2017, 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 Trust's 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 Trust is 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 Trust's 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, 2017 by correspondence with the Trust's 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, 2017, 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 25, 2017 Page 136 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 (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, 2017, 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 93.04% 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, 2017, 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 92.81% 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, 2017 (UNAUDITED) RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. FOR ADDITIONAL INFORMATION ABOUT THE RISKS ASSOCIATED WITH INVESTING IN THE FUNDS, PLEASE SEE THE FUNDS' STATEMENT OF ADDITIONAL INFORMATION, AS WELL AS OTHER REGULATORY FILINGS. READ THESE DOCUMENTS CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND. The following summarizes some of the risks that should be considered for the Funds. 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. 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 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, 2017 (UNAUDITED) 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. 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 net assets (including investment borrowings) 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 held by 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. REIT INVESTMENT RISK. Certain of the Funds may be subject to the risks associated with investing in real estate, which may include, but are not limited to, fluctuations in the value of underlying properties; defaults by borrowers or tenants; market saturation; changes in general and local operating expenses; and other economic, political or regulatory occurrences affecting companies in the real estate industry. In addition to risks related to investments in real estate generally, investing in real estate investment trusts ("REITs") involves certain other risks related to their structure and focus, which include, but are not limited to, dependency upon management skills, limited diversification, the risks of locating and managing financing for projects, heavy cash flow dependency, possible default by borrowers, the costs and potential losses of self-liquidation of one or more holdings, the risk of a possible lack of mortgage funds and associated interest rate risks, overbuilding, property vacancies, increases in property taxes and operating expenses, changes in zoning laws, losses due to environmental damages, changes in neighborhood values and appeal to purchases, the possibility of failing to maintain exemptions from registration under the 1940 Act and, in many cases, relatively small market capitalization, which may result in less market liquidity and greater price volatility. REITs are also subject to the risk that the real estate market may experience an economic downturn generally, which may have a material effect on the real estate in which the REITs invest and their underlying portfolio securities. 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. Page 139 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 (UNAUDITED) 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 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, 2016, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $7,490,185. This figure is comprised of $315,858 paid (or to be paid) in fixed compensation and $7,174,327 paid (or to be paid) in variable compensation. There were a total of 13 beneficiaries of the remuneration described above. Those amounts include $5,261,695 paid (or to be paid) to senior management of First Trust Advisors L.P. and $2,228,490 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. Page 140 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 (UNAUDITED) ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees (the "Board") of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreements (as applicable to a specific Fund, the "Agreement" and collectively, the "Agreements") with First Trust Advisors L.P. (the "Advisor" or "First Trust") on behalf of the following twelve series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Mega Cap AlphaDEX(R) Fund (FMK) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2018 at a meeting held on June 12, 2017. 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 24, 2017 and June 12, 2017, 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 the meeting held on April 24, 2017, 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 12, 2017 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. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of Page 141 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 (UNAUDITED) the Advisor's services, the Advisor, in its written materials and at the April 24, 2017 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, 2018. 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, as applicable. 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 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 how the MPI Peer Groups were assembled and 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, 2016 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board noted that effective April 8, 2016, each Fund changed its underlying index to an index developed and maintained by Nasdaq, Inc. using the AlphaDEX(R) stock selection methodology and that the performance information included a blend of the old and new indexes. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by MPI comparing each Fund's performance to that of its respective MPI Peer Group and to that of 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. Page 142 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2017 (UNAUDITED) 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, 2016 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. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of the Trust and each Fund. No single factor was determinative in the Board's analysis. Page 143 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2017 (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, Officer, Wheaton Orthopedics; 148 None c/o First Trust Advisors L.P. Limited Partner, Gundersen Real Estate 120 E. Liberty Drive, o Since Inception Limited Partnership (June 1992 to Suite 400 December 2016); 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. 148 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 148 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 148 Director of c/o First Trust Advisors L.P. Officer (January 2015 to Present), Covenant 120 E. Liberty Drive, o Since Inception Pelita Harapan Educational Foundation Transport Inc. Suite 400 (Educational Products and Services); (May 2003 to Wheaton, IL 60187 President and Chief May 2014) D.O.B.: 03/54 Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services); President (June 2002 to June 2012), Covenant College ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 148 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 and Stonebridge Advisors LLC
----------------------------- (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 144 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2017 (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 Chief o Indefinite Term Managing Director and Chief Financial Officer 120 E. Liberty Drive, Executive Officer January 2016 to Present), Controller (January 2011 Suite 400 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.; Chief Financial Officer (January 2016 to Present), Bondwave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), 120 E. Liberty Drive, Officer and Chief Vice President (April 2012 to July 2016), Suite 400 Accounting Officer o Since January 2016 First Trust Advisors L.P. and First Trust Portfolios Wheaton, IL 60187 L.P.; Vice President (September 2006 to April 2012), D.O.B.: 08/72 Guggenheim Funds Investment Advisors, LLC and Claymore Securities, Inc. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First 120 E. Liberty Drive, Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, Suite 400 o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Wheaton, IL 60187 D.O.B.: 05/60 Daniel J. Lindquist Vice President o Indefinite Term Managing Director (July 2012 to Present), 120 E. Liberty Drive, Senior Vice President (September 2005 to July 2012), Suite 400 o Since Inception First Trust Advisors L.P. and First Trust Portfolios Wheaton, IL 60187 L.P. D.O.B.: 02/70 Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. 120 E. Liberty Drive, and Assistant Secretary and First Trust Portfolios L.P. Suite 400 o Chief Compliance Wheaton, IL 60187 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 145 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2017 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). May 2017 Page 146 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 2016 and $420,000 for 2017. (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 2016 and $0 for 2017. 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 2016 and $0 for 2017. (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 2016 and $61,425 for 2017. 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 2016 and $0 for 2017. (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 2016 and $0 for 2017. 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 2016 and $0 for 2017 for the Adviser and $0 for 2016 and $0 for 2017 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 2016 were $61,425 for the registrant, $23,000 for the registrant's investment adviser and $42,100 for the registrant's distributor, and for 2017 were $61,425 for the registrant, $44,000 for the registrant's investment adviser and $65,150 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 19, 2017 -------------------- 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 19, 2017 -------------------- By (Signature and Title)* /s/ Donald P. Swade ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: September 19, 2017 -------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 cert_302.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 19, 2017 /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 19, 2017 /s/ Donald P. Swade -------------------- ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) EX-99.906CERT 3 cert_906.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 19, 2017 /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 19, 2017 /s/ Donald P. Swade -------------------- ---------------------------------------- Donald P. Swade, President and Chief Executive Officer (principal executive officer) EX-99.CODE ETH 4 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