0001445546-19-001697.txt : 20190410 0001445546-19-001697.hdr.sgml : 20190410 20190410160410 ACCESSION NUMBER: 0001445546-19-001697 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20190131 FILED AS OF DATE: 20190410 DATE AS OF CHANGE: 20190410 EFFECTIVENESS DATE: 20190410 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-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-22019 FILM NUMBER: 19741722 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 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-CSRS 1 adex_ncsrs.txt SEMI-ANNUAL CERTIFIED SHAREHOLDER REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-22019 ----------- First Trust Exchange-Traded AlphaDEX(R) Fund ----------------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ----------------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ----------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 630-765-8000 -------------- Date of fiscal year end: July 31 --------- Date of reporting period: January 31, 2019 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORT TO STOCKHOLDERS. The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Semi-Annual Report January 31, 2019 -------------------------------------------------------------------------------- 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 Family of ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS SEMI-ANNUAL REPORT JANUARY 31, 2019 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).................... 27 First Trust Energy AlphaDEX(R) Fund (FXN).............................. 28 First Trust Financials AlphaDEX(R) Fund (FXO).......................... 30 First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 34 First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 36 First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 39 First Trust Technology AlphaDEX(R) Fund (FXL).......................... 41 First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 44 Statements of Assets and Liabilities......................................... 46 Statements of Operations..................................................... 48 Statements of Changes in Net Assets.......................................... 50 Financial Highlights......................................................... 54 Notes to Financial Statements................................................ 59 Additional Information....................................................... 67 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2019 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the Sector Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds") which contains detailed information about the Funds for the six months ended January 31, 2019. We encourage you to read this report carefully and discuss it with your financial advisor. Market volatility was the norm over the last six months, continuing the pattern we had seen throughout 2018. August was a strong month for stocks, and the Dow Jones Industrial Average ("DJIA") finished the month just under its previous high in January 2018. At the close of the third quarter in September, the markets had moved higher into positive territory. In fact, all three major U.S. indices (the Nasdaq Composite Index, the DJIA and the S&P 500(R) Index) hit record levels during the third quarter. In October, markets were again very volatile, surprising analysts and investors alike. Both global markets and U.S. markets fell on fears of slowing growth, trade wars and higher interest rates. The DJIA was down 4.98% for October and the MSCI EAFE Index, an index of stocks in 21 developed markets (excluding the U.S. and Canada), was down 7.96%. However, as November ended, the DJIA climbed 617 points (2.49%) to its biggest one-day gain in eight months. The MSCI EAFE Index ended November down slightly. December held its own shocks as it became the worst December for stocks since the Great Depression. The DJIA and MSCI EAFE Index ended December with year-to-date returns of -3.48% and -13.79%, respectively. For the first time in nine years, the S&P 500(R) Index posted a negative return for the year, down 4.38%. During the fourth quarter, international equities outperformed the U.S. for the first time all year. Emerging markets, which suffered throughout most of 2018, dropped 7.5% in the fourth quarter, yet still managed to outperform the U.S. and developed markets by over 500 basis points. As 2019 began, investors wondered if the volatility of 2018 would continue. For the month of January, the DJIA rose steadily, ending the month up 7.29% from December's low. The MSCI EAFE Index also trended upward, ending January up 6.57%. The Federal Reserve (the "Fed") raised interest rates in September and again in December to a target range of 2.25-2.50%. The Fed also lowered its inflation and growth expectations for 2019 and subsequently reduced its interest rate hike projections as well, from three rate hikes to two. While trade tensions have had an impact on markets around the world and could continue to do so in the future, our First Trust economists believe that the long-term impact of U.S. tariffs will be to encourage countries to come back to the table and talk about more equal trade. Despite market volatility, we continue to believe that the combination of low interest rates, low inflation and strong corporate earnings still point to a positive economic environment and further growth, though we understand that past performance can never guarantee future performance. We continue to believe that you should invest for the long term and be prepared for market movements, which can happen at any time. You can do this by keeping current on your portfolio and speaking regularly with your investment professional. Markets go up and they also go down, but savvy investors are prepared for either through careful attention to investment goals. Thank you for giving First Trust the opportunity to be a part of your financial plan. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL REPORT JANUARY 31, 2019 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 In its latest forecast released in January 2019, the International Monetary Fund ("IMF") is calling for the world real gross domestic product ("GDP") growth rate to dip from an estimated 3.7% in 2018 to an estimated 3.5% in 2019, according to its own release. The IMF cited the ongoing trade dispute between the U.S. and China as being partly responsible for the small downward revision in growth. The U.S. real GDP growth rate is expected to decrease from an estimated 2.9% in 2018 to an estimated 2.5% in 2019. The growth rate for Emerging Market and Developing Economies is expected to dip from an estimated 4.6% in 2018 to an estimated 4.5% in 2019. As indicated by the growth forecasts, we believe there is no imminent threat of a global economic recession. We believe that concerns over the extent to which interest rates could trend higher in 2019 and the potential for trade tariffs escalating to an all-out trade war were largely behind the spikes in volatility in the stock market in 2018, particularly in the fourth quarter of 2018. For those investors who fear that higher interest rates could dampen the prospects for stocks in 2019, Federal Reserve (the "Fed") Chairman Jerome Powell announced on January 4, 2019 that the Fed will be adopting a "patient" approach to tightening monetary policy. With respect to trade, the Trump Administration sent trade representatives to China on January 7, 2019 to set up future trade policy talks. The two countries also agreed to a 90-day truce freezing tariffs until March 1, 2019. The tariffs were launched by the Trump Administration in early March 2018. SECTOR/EQUITY INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end mutual funds and exchange-traded funds ("ETFs"). The flows are reported over time on a rolling 12-month basis. For the 12-month period ended January 31, 2019, U.S. Equity funds/ETFs reported estimated net inflows totaling $8.47 billion, according to data from Morningstar. As has been the case for some time, investors favored passive funds over actively managed funds. Passive U.S. Equity funds/ETFs reported estimated net inflows totaling $160.63 billion, compared to estimated net outflows totaling $152.16 billion for actively managed U.S. Equity funds/ETFs for the same period. Investors were less enthusiastic about sector funds/ETFs. For the 12-month period ended January 31, 2019, Sector Equity funds/ETFs reported estimated net outflows totaling $41.83 billion. Passive Sector Equity funds/ETFs reported estimated net outflows totaling $12.96 billion, compared to estimated net outflows totaling $28.87 billion for actively managed Sector Equity funds/ETFs for the same period. For the six-month period ended January 31, 2019, five of the 11 major sectors that comprise the S&P 500(R) Index (the "Index") generated positive total returns, according to Bloomberg. The Index posted a total return of -3.00% over the period. Six of the 11 sectors outperformed the Index for the same period. Those six sectors were as follows: Real Estate (+6.30%); Utilities (+5.37%); Communication Services (+2.94%), Health Care (+2.81%); Consumer Staples (+1.27%); and Consumer Discretionary (-2.07%), according to Bloomberg. As of February 1, 2019, Bloomberg's consensus estimated earnings growth rates for 2019 for the Index and the 11 major sectors that comprise the Index were as follows: S&P 500(R) (+6.0%); Communication Services (+9.0%); Consumer Discretionary (+11.8%); Consumer Staples (+2.9%); Energy (-8.2%); Financials (+8.8%); Health Care (+7.1%); Industrials (+9.1%); Information Technology (+3.7%); Materials (+0.1%); Real Estate (+5.7%); and Utilities (+4.7%). We believe that earnings growth projections may be understated due to the lack of a new trade agreement between the U.S. and China. The lack of a deal has caused some economists and organizations to trim their outlook on global growth. We believe that a new deal could boost global growth projections, provided the process does not drag on too much longer. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange") under the ticker symbol "FXD." The Consumer Discretionary Index is a modified equal-dollar weighted index designed by ICE Data Indices, LLC or its affiliates ("IDI") to objectively identify and select stocks from the Russell 1000(R) Index in the consumer discretionary sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs the Consumer Discretionary Index using the Russell Global Sectors (the "RGS") sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -3.41% -6.46% 6.97% 17.77% 7.08% 40.04% 413.37% 123.20% Market Price -3.39% -6.42% 6.97% 17.76% 7.08% 40.07% 412.89% 123.25% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index -3.14% -5.92% 7.65% 18.60% 7.85% 44.57% 450.59% 142.60% Russell 1000(R) Index -3.01% -2.17% 10.68% 15.17% 7.43% 66.11% 310.66% 131.86% S&P 500(R) Consumer Discretionary Index -2.07% 1.71% 13.23% 20.85% 10.81% 86.14% 564.64% 233.40% Russell 1000(R) Consumer Discretionary Index(1) -1.10% 0.70% 12.23% 20.03% N/A 78.02% 520.77% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 74.71% Communication Services 19.56 Industrials 3.35 Consumer Staples 2.38 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Caesars Entertainment Corp. 1.85% Lear Corp. 1.72 Thor Industries, Inc. 1.72 DISH Network Corp., Class A 1.69 Liberty Broadband Corp., Class C 1.62 Penske Automotive Group, Inc. 1.60 Charter Communications, Inc., Class A 1.60 Viacom, Inc., Class B 1.57 Dick's Sporting Goods, Inc. 1.56 Qurate Retail, Inc. 1.53 ------- Total 16.46% ======= ----------------------------- (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 IDI 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 IDI, and IDI 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, 2008 - JANUARY 31, 2019 First Trust Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Discretionary Index Index Discretionary Index 7/31/08 $10,000 $10,000 $10,000 $10,000 1/31/09 6,095 6,125 6,836 6,821 7/31/09 9,088 9,175 7,983 9,065 1/31/10 10,413 10,553 8,803 10,466 7/31/10 11,367 11,564 9,141 11,435 1/31/11 13,997 14,291 10,856 13,667 7/31/11 15,317 15,710 11,032 14,693 1/31/12 15,000 15,457 11,284 15,463 7/31/12 14,849 15,324 11,909 16,440 1/31/13 17,745 18,387 13,206 19,122 7/31/13 21,110 21,951 15,033 22,803 1/31/14 22,345 23,327 16,142 24,353 7/31/14 23,721 24,848 17,598 25,697 1/31/15 25,569 26,873 18,364 27,522 7/31/15 27,646 29,157 19,576 31,782 1/31/16 24,035 25,425 18,031 29,662 7/31/16 27,001 28,647 20,523 32,905 1/31/17 27,009 28,750 21,783 34,550 7/31/17 28,376 30,302 23,796 37,480 1/31/18 33,455 35,845 27,411 44,567 7/31/18 32,398 34,816 27,646 46,287 1/31/19 31,293 33,723 26,814 45,329
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 119 0 0 0 8/1/18 - 1/31/19 69 2 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% 8/1/13 - 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 8/1/17 - 7/31/18 132 0 1 0 8/1/18 - 1/31/19 53 2 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXG." The Consumer Staples Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000(R) Index in the consumer staples sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs the Consumer Staples Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -1.72% -8.87% 7.36% 14.01% 8.66% 42.66% 271.00% 164.95% Market Price -1.64% -8.86% 7.36% 13.97% 8.66% 42.66% 269.67% 164.93% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index -1.45% -8.27% 8.06% 14.86% 9.45% 47.31% 299.55% 188.67% Russell 1000(R) Index -3.01% -2.17% 10.68% 15.17% 7.43% 66.11% 310.66% 131.86% S&P 500(R) Consumer Staples Index 1.27% -5.13% 8.48% 12.39% 8.93% 50.20% 221.62% 172.97% Russell 1000(R) Consumer Staples Index(1) 0.67% -6.10% 7.95% 12.44% N/A 46.62% 223.00% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Staples 98.21% Health Care 1.79 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tyson Foods, Inc., Class A 6.05% Kraft Heinz (The) Co. 5.83 Post Holdings, Inc. 5.44 Herbalife Nutrition Ltd. 5.29 Church & Dwight Co., Inc. 5.13 Pilgrim's Pride Corp. 4.68 McCormick & Co., Inc. 4.63 Molson Coors Brewing Co., Class B 4.25 J.M. Smucker (The) Co. 4.02 Archer-Daniels-Midland Co. 3.92 ------- Total 49.24% ======= ----------------------------- (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 IDI 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 IDI, and IDI 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, 2008 - JANUARY 31, 2019 First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Staples Index Index Staples Index 7/31/08 $10,000 $10,000 $10,000 $10,000 1/31/09 7,856 7,870 6,530 8,171 7/31/09 9,286 9,344 7,983 9,230 1/31/10 10,047 10,143 8,803 10,039 7/31/10 10,769 10,913 9,141 10,461 1/31/11 12,055 12,270 10,856 11,400 7/31/11 14,129 14,435 11,032 12,314 1/31/12 13,652 14,002 11,284 13,002 7/31/12 13,701 14,150 11,909 14,735 1/31/13 15,960 16,543 13,206 15,475 7/31/13 19,714 20,526 15,033 17,524 1/31/14 20,430 21,348 16,142 17,496 7/31/14 22,699 23,811 17,598 18,771 1/31/15 25,677 26,999 18,364 21,153 7/31/15 27,942 29,475 19,576 22,393 1/31/16 26,760 28,302 18,031 22,948 7/31/16 30,512 32,378 20,523 25,007 1/31/17 28,562 30,406 21,783 24,424 7/31/17 29,502 31,510 23,796 26,107 1/31/18 31,989 34,279 27,411 27,702 7/31/18 29,660 31,907 27,646 25,954 1/31/19 29,150 31,444 26,814 26,284
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 58 0 0 1 8/1/18 - 1/31/19 59 1 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/13 - 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 8/1/17 - 7/31/18 193 0 0 0 8/1/18 - 1/31/19 65 1 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXN." The Energy Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000(R) Index in the energy sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs the Energy Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -22.17% -11.90% -9.90% 3.02% -2.58% -40.64% 34.66% -26.38% Market Price -22.27% -11.97% -9.93% 3.01% -2.58% -40.73% 34.56% -26.44% INDEX PERFORMANCE StrataQuant(R) Energy Index -22.11% -11.53% -9.48% 3.64% -1.99% -39.24% 43.05% -20.99% Russell 1000(R) Index -3.01% -2.17% 10.68% 15.17% 7.43% 66.11% 310.66% 131.86% S&P 500(R) Energy Index -15.99% -12.34% -2.29% 4.93% 1.91% -10.93% 61.88% 24.84% Russell 1000(R) Energy Index(1) -16.53% -12.10% -3.09% 4.69% N/A -14.53% 58.12% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Energy 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Newfield Exploration Co. 4.52% Noble Energy, Inc. 4.32 Helmerich & Payne, Inc. 4.24 PBF Energy, Inc., Class A 4.07 Phillips 66 4.02 HollyFrontier Corp. 4.00 RPC, Inc. 3.97 CNX Resources Corp. 3.86 SM Energy Co. 3.68 Cimarex Energy Co. 3.55 ------- Total 40.23% ======= ----------------------------- (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 IDI 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 IDI, and IDI 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, 2008 - JANUARY 31, 2019 First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Energy Index Index Energy Index 7/31/08 $10,000 $10,000 $10,000 $10,000 1/31/09 4,560 4,572 6,530 6,732 7/31/09 5,726 5,766 7,983 7,104 1/31/10 6,677 6,749 8,803 7,557 7/31/10 6,772 6,872 9,141 7,508 1/31/11 9,526 9,702 10,856 10,230 7/31/11 10,069 10,296 11,032 10,692 1/31/12 8,432 8,653 11,284 10,132 7/31/12 7,904 8,144 11,909 10,155 1/31/13 9,407 9,731 13,206 11,239 7/31/13 9,771 10,136 15,033 12,046 1/31/14 10,341 10,766 16,142 12,239 7/31/14 12,242 12,785 17,598 14,266 1/31/15 8,807 9,210 18,364 11,465 7/31/15 7,518 7,869 19,576 10,601 1/31/16 5,795 6,067 18,031 9,214 7/31/16 6,565 6,884 20,523 10,818 1/31/17 7,273 7,657 21,783 11,665 7/31/17 6,238 6,591 23,796 10,838 1/31/18 6,969 7,394 27,411 12,434 7/31/18 7,888 8,399 27,646 12,975 1/31/19 6,139 6,542 26,814 10,900
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 91 0 0 1 8/1/18 - 1/31/19 58 2 2 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% 8/1/13 - 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 8/1/17 - 7/31/18 160 0 0 0 8/1/18 - 1/31/19 61 2 1 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO." The Financials Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000(R) Index in the financial services sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs the Financials Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -5.41% -5.21% 9.41% 16.67% 5.26% 56.78% 367.27% 82.59% Market Price -5.41% -5.18% 9.40% 16.64% 5.27% 56.68% 366.17% 82.64% INDEX PERFORMANCE StrataQuant(R) Financials Index -5.13% -4.61% 10.15% 17.58% 6.12% 62.15% 405.01% 100.79% Russell 1000(R) Index -3.01% -2.17% 10.68% 15.17% 7.43% 66.11% 310.66% 131.86% S&P 500(R) Financials Index -6.25% -11.10% 10.82% 15.33% 0.69% 67.15% 316.40% 8.34% Russell 1000(R) Financial Services Index(1) -3.16% -4.48% 11.21% 15.64% N/A 70.08% 327.61% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 74.06% Real Estate 19.36 Information Technology 5.38 Industrials 1.20 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Bank OZK 1.08% Realogy Holdings Corp. 0.98 New Residential Investment Corp. 0.97 Senior Housing Properties Trust 0.96 Legg Mason, Inc. 0.95 Weingarten Realty Investors 0.94 LPL Financial Holdings, Inc. 0.94 Fidelity National Financial, Inc. 0.94 Ally Financial, Inc. 0.94 Two Harbors Investment Corp. 0.93 ------- Total 9.63% ======= ----------------------------- (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 IDI 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 IDI, and IDI 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, 2008 - JANUARY 31, 2019 First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Financials Index Index Financials Index 7/31/08 $10,000 $10,000 $10,000 $10,000 1/31/09 6,142 6,164 6,530 4,373 7/31/09 8,506 8,605 7,983 6,240 1/31/10 10,105 10,261 8,803 6,859 7/31/10 10,775 10,986 9,141 7,148 1/31/11 12,413 12,711 10,856 8,021 7/31/11 11,879 12,214 11,032 7,288 1/31/12 11,978 12,370 11,284 6,995 7/31/12 12,422 12,879 11,909 7,369 1/31/13 14,721 15,327 13,206 8,831 7/31/13 17,322 18,101 15,033 10,496 1/31/14 18,304 19,200 16,142 10,894 7/31/14 19,219 20,233 17,598 11,694 1/31/15 20,040 21,171 18,364 12,123 7/31/15 21,984 23,308 19,576 13,377 1/31/16 19,390 20,613 18,031 11,688 7/31/16 22,032 23,511 20,523 12,873 1/31/17 25,132 26,911 21,783 15,782 7/31/17 27,319 29,341 23,796 17,119 1/31/18 30,278 32,636 27,411 20,485 7/31/18 30,341 32,816 27,646 19,426 1/31/19 28,700 31,132 26,814 18,212
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 139 0 0 1 8/1/18 - 1/31/19 68 3 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% 8/1/13 - 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 8/1/17 - 7/31/18 112 0 0 1 8/1/18 - 1/31/19 53 1 1 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXH." The Health Care Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000(R) Index in the health care sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs the Health Care Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -2.73% 0.76% 8.36% 17.76% 11.95% 49.40% 412.96% 276.00% Market Price -2.75% 0.77% 8.35% 17.76% 11.95% 49.34% 412.95% 276.00% INDEX PERFORMANCE StrataQuant(R) Health Care Index -2.42% 1.43% 9.05% 18.58% 12.75% 54.25% 449.52% 309.02% Russell 1000(R) Index -3.01% -2.17% 10.68% 15.17% 7.43% 66.11% 310.66% 131.86% S&P 500(R) Health Care Index 2.81% 4.67% 11.97% 15.34% 10.10% 76.00% 316.54% 209.21% Russell 1000(R) Health Care Index(1) 2.74% 5.40% 12.10% 15.95% N/A 77.05% 339.11% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- DexCom, Inc. 2.45% Centene Corp. 2.35 HCA Healthcare, Inc. 2.33 Laboratory Corp. of America Holdings 2.29 Thermo Fisher Scientific, Inc. 2.28 Cooper (The) Cos., Inc. 2.28 MEDNAX, Inc. 2.27 UnitedHealth Group, Inc. 2.25 Bio-Rad Laboratories, Inc., Class A 2.24 Ionis Pharmaceuticals, Inc. 2.23 ------- Total 22.97% ======= ----------------------------- (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 IDI 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 IDI, and IDI 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, 2008 - JANUARY 31, 2019 First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Health Care Index Index Health Care Index 7/31/08 $10,000 $10,000 $10,000 $10,000 1/31/09 7,744 7,775 6,530 8,303 7/31/09 9,329 9,403 7,983 8,920 1/31/10 11,357 11,484 8,803 10,114 7/31/10 11,389 11,562 9,141 9,304 1/31/11 13,935 14,209 10,856 10,410 7/31/11 15,110 15,466 11,032 11,344 1/31/12 15,153 15,574 11,284 12,039 7/31/12 15,892 16,367 11,909 13,094 1/31/13 18,877 19,516 13,206 14,794 7/31/13 22,644 23,509 15,033 17,760 1/31/14 26,591 27,701 16,142 19,655 7/31/14 28,256 29,520 17,598 21,566 1/31/15 32,542 34,108 18,364 24,704 7/31/15 37,030 38,958 19,576 27,486 1/31/16 28,517 30,083 18,031 24,105 7/31/16 32,734 34,641 20,523 27,489 1/31/17 31,661 33,598 21,783 25,953 7/31/17 35,590 37,896 23,796 29,690 1/31/18 39,430 42,121 27,411 33,048 7/31/18 40,845 43,785 27,646 33,643 1/31/19 39,730 42,725 26,814 34,588
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 93 0 0 0 8/1/18 - 1/31/19 72 3 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% 8/1/13 - 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 8/1/17 - 7/31/18 158 0 0 1 8/1/18 - 1/31/19 48 3 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXR." The Industrials Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000(R) Index in the industrials and producer durables sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs the Industrials Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -6.77% -7.97% 7.50% 15.48% 6.51% 43.56% 321.91% 109.59% Market Price -6.89% -8.04% 7.48% 15.47% 6.50% 43.40% 321.58% 109.43% INDEX PERFORMANCE StrataQuant(R) Industrials Index -6.57% -7.48% 8.22% 16.32% 7.28% 48.46% 353.54% 128.13% Russell 1000(R) Index -3.01% -2.17% 10.68% 15.17% 7.43% 66.11% 310.66% 131.86% S&P 500(R) Industrials Index -5.55% -8.26% 9.27% 15.45% 7.34% 55.75% 320.80% 129.67% Russell 1000(R) Producer Durables Index(1) -5.18% -7.34% 9.79% 15.93% N/A 59.51% 338.55% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 90.35% Information Technology 8.20 Health Care 1.09 Materials 0.36 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Knight-Swift Transportation Holdings, Inc. 2.09% Air Lease Corp. 2.07 Southwest Airlines Co. 2.01 ManpowerGroup, Inc. 2.01 Copa Holdings S.A., Class A 1.99 Ryder System, Inc. 1.98 Macquarie Infrastructure Corp. 1.95 Schneider National, Inc., Class B 1.88 Trinity Industries, Inc. 1.87 Norfolk Southern Corp. 1.85 ------- Total 19.70% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) 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 IDI 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 IDI, and IDI 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, 2008 - JANUARY 31, 2019 First Trust Industrials/ Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Industrials Index Index Industrials Index 7/31/08 $10,000 $10,000 $10,000 $10,000 1/31/09 5,650 5,668 6,530 5,973 7/31/09 6,917 6,966 7,983 7,027 1/31/10 8,228 8,321 8,803 8,168 7/31/10 8,934 9,069 9,141 9,042 1/31/11 11,005 11,217 10,856 10,923 7/31/11 10,514 10,752 11,032 10,524 1/31/12 10,862 11,161 11,284 11,137 7/31/12 10,438 10,764 11,909 11,224 1/31/13 12,461 12,898 13,206 12,687 7/31/13 14,396 14,954 15,033 14,442 1/31/14 16,605 17,318 16,142 16,137 7/31/14 17,626 18,453 17,598 16,857 1/31/15 17,686 18,578 18,364 17,880 7/31/15 17,856 18,799 19,576 18,022 1/31/16 14,820 15,647 18,031 17,047 7/31/16 17,707 18,765 20,523 19,907 1/31/17 20,696 22,056 21,783 21,798 7/31/17 21,745 23,252 23,796 23,551 1/31/18 25,899 27,786 27,411 27,394 7/31/18 25,571 27,517 27,646 26,611 1/31/19 23,836 25,709 26,814 25,134
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 146 0 0 0 8/1/18 - 1/31/19 64 3 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% 8/1/13 - 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 8/1/17 - 7/31/18 105 0 1 0 8/1/18 - 1/31/19 57 2 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXZ." The Materials Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000(R) Index in the materials and processing sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs the Materials Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -13.38% -16.84% 4.96% 15.28% 6.86% 27.36% 314.40% 117.77% Market Price -13.44% -16.84% 4.94% 15.25% 6.85% 27.29% 313.49% 117.71% INDEX PERFORMANCE StrataQuant(R) Materials Index -13.13% -16.29% 5.66% 16.13% 7.65% 31.70% 345.95% 137.41% Russell 1000(R) Index -3.01% -2.17% 10.68% 15.17% 7.43% 66.11% 310.66% 131.86% S&P 500(R) Materials Index -9.83% -13.59% 5.94% 12.50% 4.89% 33.47% 224.66% 75.11% Russell 1000(R) Materials and Processing Index(1) -10.08% -13.38% 6.31% 13.65% N/A 35.81% 259.65% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Materials 79.72% Industrials 20.28 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- United States Steel Corp. 3.70% Steel Dynamics, Inc. 3.65 Nucor Corp. 3.54 Olin Corp. 3.52 Reliance Steel & Aluminum Co. 3.45 Huntsman Corp. 3.41 Freeport-McMoRan, Inc. 3.38 Westlake Chemical Corp. 3.35 WestRock Co. 3.23 LyondellBasell Industries N.V., Class A 3.13 ------- Total 34.36% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) 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 IDI 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 IDI, and IDI 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, 2008 - JANUARY 31, 2019 First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Materials Index Index Materials Index 7/31/08 $10,000 $10,000 $10,000 $10,000 1/31/09 4,761 4,784 6,530 5,193 7/31/09 7,080 7,144 7,983 7,220 1/31/10 8,395 8,509 8,803 7,596 7/31/10 9,396 9,541 9,141 8,135 1/31/11 11,540 11,764 10,856 10,151 7/31/11 11,570 11,845 11,032 10,178 1/31/12 11,431 11,764 11,284 10,191 7/31/12 11,017 11,382 11,909 9,648 1/31/13 13,383 13,888 13,206 10,946 7/31/13 13,815 14,388 15,033 11,456 1/31/14 15,493 16,200 16,142 12,631 7/31/14 16,265 17,063 17,598 14,104 1/31/15 15,099 15,882 18,364 13,882 7/31/15 15,555 16,422 19,576 13,506 1/31/16 13,316 14,100 18,031 11,594 7/31/16 17,651 18,760 20,523 14,640 1/31/17 19,526 20,820 21,783 15,828 7/31/17 20,125 21,534 23,796 16,774 1/31/18 23,727 25,484 27,411 19,508 7/31/18 22,781 24,554 27,646 18,693 1/31/19 19,733 21,330 26,814 16,855
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 114 0 0 0 8/1/18 - 1/31/19 47 4 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% 8/1/13 - 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 8/1/17 - 7/31/18 137 0 0 1 8/1/18 - 1/31/19 73 2 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL." The Technology Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000(R) Index in the technology sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs the Technology Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV 4.69% 6.66% 15.25% 19.38% 10.00% 103.37% 487.95% 206.03% Market Price 4.69% 6.68% 15.25% 19.37% 10.00% 103.37% 487.58% 206.13% INDEX PERFORMANCE StrataQuant(R) Technology Index 4.70% 7.03% 15.86% 20.18% 10.79% 108.73% 528.53% 232.84% Russell 1000(R) Index -3.01% -2.17% 10.68% 15.17% 7.43% 66.11% 310.66% 131.86% S&P 500(R) Information Technology Index -5.77% -0.90% 17.08% 19.53% 11.44% 120.02% 495.41% 256.34% Russell 1000(R) Technology Index(1) -4.51% 0.25% 16.77% 19.21% N/A 117.14% 479.52% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 94.31% Communication Services 5.00 Industrials 0.69 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Xilinx, Inc. 2.15% Okta, Inc. 2.12 Twilio, Inc., Class A 2.04 ServiceNow, Inc. 2.02 DXC Technology Co. 1.98 Micron Technology, Inc. 1.97 NXP Semiconductors N.V. 1.95 Hewlett Packard Enterprise Co. 1.93 IAC/InterActiveCorp 1.89 Workday, Inc., Class A 1.86 ------- Total 19.91% ======= ----------------------------- (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 IDI 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 IDI, and IDI 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, 2008 - JANUARY 31, 2019 First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information AlphaDEX(R) Fund Technology Index Index Technology Index 7/31/08 $10,000 $10,000 $10,000 $10,000 1/31/09 5,905 5,953 6,530 6,422 7/31/09 8,208 8,316 7,983 9,030 1/31/10 9,354 9,509 8,803 9,809 7/31/10 10,278 10,490 9,141 10,268 1/31/11 13,463 13,798 10,856 12,303 7/31/11 12,374 12,736 11,032 12,240 1/31/12 12,532 12,955 11,284 13,010 7/31/12 11,903 12,351 11,909 13,837 1/31/13 13,032 13,578 13,206 14,068 7/31/13 14,825 15,506 15,033 15,378 1/31/14 17,069 17,926 16,142 17,377 7/31/14 18,173 19,152 17,598 19,702 1/31/15 19,189 20,286 18,364 20,587 7/31/15 20,122 21,341 19,576 22,219 1/31/16 17,470 18,590 18,031 21,584 7/31/16 20,206 21,574 20,523 24,392 1/31/17 22,990 24,536 21,783 26,960 7/31/17 26,413 28,275 23,796 31,581 1/31/18 32,549 34,962 27,411 38,583 7/31/18 33,161 35,738 27,646 40,574 1/31/19 34,716 37,418 26,814 38,233
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 180 1 0 0 8/1/18 - 1/31/19 68 4 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% 8/1/13 - 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 8/1/17 - 7/31/18 71 0 0 0 8/1/18 - 1/31/19 51 3 0 0 Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXU." The Utilities Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000(R) Index in the utilities sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs the Utilities Index using the RGS sector scheme to determine a stock's sector membership.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV 6.31% 11.25% 9.21% 11.58% 6.05% 55.36% 199.01% 99.14% Market Price 6.31% 11.25% 9.20% 11.56% 6.04% 55.28% 198.51% 99.11% INDEX PERFORMANCE StrataQuant(R) Utilities Index 6.69% 12.09% 9.99% 12.49% 6.92% 60.98% 224.55% 119.39% Russell 1000(R) Index -3.01% -2.17% 10.68% 15.17% 7.43% 66.11% 310.66% 131.86% S&P 500(R) Utilities Index 5.37% 11.08% 10.84% 10.90% 6.28% 67.26% 181.41% 104.34% Russell 1000(R) Utilities Index(1) 4.62% 5.34% 8.59% 10.65% N/A 51.02% 175.14% N/A -----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Utilities 67.46% Communication Services 32.54 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Telephone & Data Systems, Inc. 6.09% Sprint Corp. 5.87 AT&T, Inc. 5.77 Verizon Communications, Inc. 5.36 T-Mobile US, Inc. 5.00 CenturyLink, Inc. 4.45 National Fuel Gas Co. 4.20 CenterPoint Energy, Inc. 4.11 Exelon Corp. 3.98 Public Service Enterprise Group, Inc. 3.93 ------- Total 48.76% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) 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 IDI 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 IDI, and IDI 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, 2008 - JANUARY 31, 2019 First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Utilities Index Index Utilities Index 7/31/08 $10,000 $10,000 $10,000 $10,000 1/31/09 7,830 7,859 6,530 7,731 7/31/09 8,747 8,828 7,983 7,945 1/31/10 9,443 9,568 8,803 8,279 7/31/10 10,129 10,305 9,141 8,698 1/31/11 11,283 11,524 10,856 9,290 7/31/11 11,853 12,156 11,032 9,923 1/31/12 11,766 12,115 11,284 10,613 7/31/12 12,641 13,074 11,909 11,838 1/31/13 13,163 13,661 13,206 11,699 7/31/13 14,653 15,342 15,033 12,786 1/31/14 15,069 15,845 16,142 13,009 7/31/14 16,569 17,493 17,598 13,970 1/31/15 18,699 19,802 18,364 16,676 7/31/15 17,524 18,620 19,576 15,430 1/31/16 17,707 18,884 18,031 16,263 7/31/16 21,494 23,018 20,523 18,995 1/31/17 21,653 23,269 21,783 18,248 7/31/17 22,262 23,999 23,796 20,079 1/31/18 21,042 22,756 27,411 19,585 7/31/18 22,018 23,908 27,646 20,646 1/31/19 23,407 25,507 26,814 21,755
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 73 0 0 0 8/1/18 - 1/31/19 66 4 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% 8/1/13 - 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 8/1/17 - 7/31/18 178 0 0 1 8/1/18 - 1/31/19 55 1 0 0 Page 21 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading) the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 22 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES JANUARY 31, 2019 (UNAUDITED) As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended January 31, 2019. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2018 JANUARY 31, 2019 PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) Actual $1,000.00 $ 965.90 0.63% $3.12 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) Actual $1,000.00 $ 982.80 0.64% $3.20 Hypothetical (5% return before expenses) $1,000.00 $1,021.98 0.64% $3.26 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) Actual $1,000.00 $ 778.30 0.65% $2.91 Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.65% $3.31 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) Actual $1,000.00 $ 945.90 0.63% $3.09 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) Actual $1,000.00 $ 972.70 0.62% $3.08 Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16
Page 23 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2019 (UNAUDITED)
------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2018 JANUARY 31, 2019 PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) Actual $1,000.00 $ 932.30 0.63% $3.07 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) Actual $1,000.00 $ 866.20 0.65% $3.06 Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.65% $3.31 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) Actual $1,000.00 $1,046.90 0.62% $3.20 Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) Actual $1,000.00 $1,063.10 0.64% $3.33 Hypothetical (5% return before expenses) $1,000.00 $1,021.98 0.64% $3.26
(a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2018 through January 31, 2019), multiplied by 184/365 (to reflect the six-month period). Page 24 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 5.4% 13,548 Aptiv PLC $ 1,072,053 72,042 BorgWarner, Inc. 2,946,518 123,834 Gentex Corp. 2,622,804 163,496 Goodyear Tire & Rubber (The) Co. 3,464,480 33,948 Lear Corp. 5,225,616 13,837 Visteon Corp. (a) 1,063,927 --------------- 16,395,398 --------------- AUTOMOBILES -- 5.8% 436,199 Ford Motor Co. 3,838,551 74,820 General Motors Co. 2,919,476 48,902 Harley-Davidson, Inc. 1,802,528 12,535 Tesla, Inc. (a) 3,848,496 80,218 Thor Industries, Inc. 5,223,796 --------------- 17,632,847 --------------- BUILDING PRODUCTS -- 0.6% 43,914 Fortune Brands Home & Security, Inc. 1,989,304 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 17,486 KAR Auction Services, Inc. 909,447 --------------- DISTRIBUTORS -- 1.7% 105,462 LKQ Corp. (a) 2,765,213 16,836 Pool Corp. 2,523,885 --------------- 5,289,098 --------------- DIVERSIFIED CONSUMER SERVICES -- 4.2% 29,940 Bright Horizons Family Solutions, Inc. (a) 3,466,752 6,507 Graham Holdings Co., Class B 4,327,155 98,647 H&R Block, Inc. 2,327,083 62,165 Service Corp. International 2,668,122 --------------- 12,789,112 --------------- ENTERTAINMENT -- 6.0% 46,601 Cinemark Holdings, Inc. 1,906,913 81,522 Liberty Media Corp.-Liberty Formula One, Class C (a) 2,557,345 51,812 Lions Gate Entertainment Corp., Class A 951,786 84,698 Live Nation Entertainment, Inc. (a) 4,532,190 3,115 Madison Square Garden (The) Co., Class A (a) 865,659 162,304 Viacom, Inc., Class B 4,774,984 22,827 Walt Disney (The) Co. 2,545,667 --------------- 18,134,544 --------------- FOOD & STAPLES RETAILING -- 1.2% 16,380 Costco Wholesale Corp. 3,515,639 --------------- HOTELS, RESTAURANTS & LEISURE -- 17.3% 57,590 Aramark 1,897,590 614,299 Caesars Entertainment Corp. (a) 5,614,693 67,689 Carnival Corp. 3,897,533 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 7,726 Chipotle Mexican Grill, Inc. (a) $ 4,091,767 11,657 Choice Hotels International, Inc. 922,768 25,065 Darden Restaurants, Inc. 2,630,070 6,730 Domino's Pizza, Inc. 1,909,503 161,457 Extended Stay America, Inc. 2,760,915 11,618 Hilton Worldwide Holdings, Inc. 865,309 49,366 Hyatt Hotels Corp., Class A 3,451,177 32,056 Las Vegas Sands Corp. 1,870,788 4,693 McDonald's Corp. 839,014 137,549 MGM Resorts International 4,049,443 59,042 Norwegian Cruise Line Holdings Ltd. (a) 3,036,530 25,589 Royal Caribbean Cruises Ltd. 3,071,959 64,764 Starbucks Corp. 4,413,019 160,324 Wendy's (The) Co. 2,776,812 74,639 Yum China Holdings, Inc. 2,720,592 18,149 Yum! Brands, Inc. 1,705,643 --------------- 52,525,125 --------------- HOUSEHOLD DURABLES -- 7.1% 96,277 D.R. Horton, Inc. 3,701,851 13,181 Garmin Ltd. 911,862 23,279 Leggett & Platt, Inc. 953,508 63,925 Lennar Corp., Class A 3,031,323 35,667 Mohawk Industries, Inc. (a) 4,593,553 346 NVR, Inc. (a) 920,360 128,387 PulteGroup, Inc. 3,570,442 101,334 Toll Brothers, Inc. 3,743,278 --------------- 21,426,177 --------------- INTERACTIVE MEDIA & SERVICES -- 0.6% 30,926 TripAdvisor, Inc. (a) 1,774,534 --------------- INTERNET & DIRECT MARKETING RETAIL -- 3.1% 1,117 Amazon.com, Inc. (a) 1,919,821 14,816 Expedia Group, Inc. 1,766,808 213,685 Qurate Retail, Inc. (a) 4,647,649 9,263 Wayfair, Inc., Class A (a) 1,013,928 --------------- 9,348,206 --------------- MACHINERY -- 0.9% 23,320 WABCO Holdings, Inc. (a) 2,663,844 --------------- MEDIA -- 13.0% 15,201 AMC Networks, Inc., Class A (a) 956,751 5,088 Cable One, Inc. 4,499,522 14,640 Charter Communications, Inc., Class A (a) 4,846,572 122,502 Comcast Corp., Class A 4,479,898 33,724 Discovery, Inc., Class A (a) 957,087 167,046 DISH Network Corp., Class A (a) 5,123,301 60,804 GCI Liberty, Inc., Class A (a) 3,094,924 80,872 Interpublic Group of Cos. (The), Inc. 1,839,838 35,527 John Wiley & Sons, Inc., Class A 1,839,588 See Notes to Financial Statements Page 25 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 57,903 Liberty Broadband Corp., Class C (a) $ 4,922,913 34,175 Omnicom Group, Inc. 2,661,549 91,913 Tribune Media Co., Class A 4,219,726 --------------- 39,441,669 --------------- MULTILINE RETAIL -- 6.2% 38,593 Dollar General Corp. 4,454,790 36,945 Dollar Tree, Inc. (a) 3,577,384 50,294 Kohl's Corp. 3,454,695 140,064 Macy's, Inc. 3,683,683 17,900 Nordstrom, Inc. 830,739 37,869 Target Corp. 2,764,437 --------------- 18,765,728 --------------- PERSONAL PRODUCTS -- 1.2% 254,335 Coty, Inc., Class A 1,973,640 12,825 Estee Lauder (The) Cos., Inc., Class A 1,749,586 --------------- 3,723,226 --------------- PROFESSIONAL SERVICES -- 0.3% 35,757 Nielsen Holdings PLC 918,240 --------------- ROAD & RAIL -- 1.2% 10,174 AMERCO 3,689,703 --------------- SPECIALTY RETAIL -- 17.9% 21,195 Advance Auto Parts, Inc. 3,374,244 93,474 AutoNation, Inc. (a) 3,622,117 4,981 AutoZone, Inc. (a) 4,220,601 31,510 Best Buy Co., Inc. 1,866,652 25,643 Burlington Stores, Inc. (a) 4,403,159 13,302 CarMax, Inc. (a) 781,892 133,693 Dick's Sporting Goods, Inc. 4,720,700 31,366 Foot Locker, Inc. 1,753,046 129,543 Gap (The), Inc. 3,295,574 32,499 L Brands, Inc. 904,772 9,027 Lowe's Cos., Inc. 868,036 123,223 Michaels Cos. (The), Inc. (a) 1,707,871 9,692 O'Reilly Automotive, Inc. (a) 3,340,445 103,454 Penske Automotive Group, Inc. 4,849,923 20,048 Ross Stores, Inc. 1,846,822 10,355 Tiffany & Co. 918,799 55,944 TJX (The) Cos., Inc. 2,782,095 39,997 Tractor Supply Co. 3,415,744 13,635 Ulta Beauty, Inc. (a) 3,980,329 33,071 Williams-Sonoma, Inc. 1,800,055 --------------- 54,452,876 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 6.0% 87,992 Capri Holdings Ltd. (a) 3,737,900 29,758 Columbia Sportswear Co. 2,654,116 13,721 Lululemon Athletica, Inc. (a) 2,028,101 22,504 NIKE, Inc., Class B 1,842,627 35,899 PVH Corp. 3,916,940 72,892 Skechers U.S.A., Inc., Class A (a) 1,980,476 24,716 Tapestry, Inc. 956,756 SHARES DESCRIPTION VALUE --------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOOD (CONTINUED) 11,698 VF Corp. $ 984,621 --------------- 18,101,537 --------------- TOTAL COMMON STOCKS -- 100.0% 303,486,254 (Cost $304,189,029) --------------- MONEY MARKET FUNDS -- 0.1% 258,820 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (b) 258,820 (Cost $258,820) --------------- TOTAL INVESTMENTS -- 100.1% 303,745,074 (Cost $304,447,849) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (175,603) --------------- NET ASSETS -- 100.0% $ 303,569,471 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2019. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $18,893,876 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $19,596,651. The net unrealized depreciation was $702,775. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 303,486,254 $ -- $ -- Money Market Funds 258,820 -- -- --------------------------------------------- Total Investments $ 303,745,074 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 26 See Notes to Financial Statements FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% BEVERAGES -- 7.0% 63,227 Coca-Cola (The) Co. $ 3,043,116 213,238 Molson Coors Brewing Co., Class B 14,203,783 54,199 PepsiCo, Inc. 6,106,601 --------------- 23,353,500 --------------- FOOD & STAPLES RETAILING -- 18.4% 70,090 Casey's General Stores, Inc. 9,019,181 435,475 Kroger (The) Co. 12,337,007 509,381 Sprouts Farmers Market, Inc. (a) 12,214,956 143,339 Sysco Corp. 9,152,195 283,868 US Foods Holding Corp. (a) 9,572,029 131,444 Walgreens Boots Alliance, Inc. 9,498,144 --------------- 61,793,512 --------------- FOOD PRODUCTS -- 53.4% 292,301 Archer-Daniels-Midland Co. 13,124,315 56,023 Bunge Ltd. 3,085,187 90,751 Campbell Soup Co. 3,215,308 560,652 Conagra Brands, Inc. 12,132,509 324,189 Flowers Foods, Inc. 6,373,556 153,768 General Mills, Inc. 6,833,450 188,769 Hain Celestial Group (The), Inc. (a) 3,460,136 55,867 Hershey (The) Co. 5,927,489 70,148 Hormel Foods Corp. 2,968,663 98,270 Ingredion, Inc. 9,728,730 128,096 J.M. Smucker (The) Co. 13,434,708 105,030 Kellogg Co. 6,197,820 405,767 Kraft Heinz (The) Co. 19,501,162 125,427 McCormick & Co., Inc. 15,507,794 74,791 Mondelez International, Inc., Class A 3,459,832 772,115 Pilgrim's Pride Corp. (a) 15,643,050 195,941 Post Holdings, Inc. (a) 18,187,244 327,047 Tyson Foods, Inc., Class A 20,250,750 --------------- 179,031,703 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.8% 91,386 CVS Health Corp. 5,990,352 --------------- HOUSEHOLD PRODUCTS -- 13.0% 265,573 Church & Dwight Co., Inc. 17,158,672 58,269 Clorox (The) Co. 8,645,954 52,554 Kimberly-Clark Corp. 5,853,464 212,584 Spectrum Brands Holdings, Inc. 11,879,194 --------------- 43,537,284 --------------- PERSONAL PRODUCTS -- 6.2% 296,254 Herbalife Nutrition Ltd. (a) 17,686,364 48,818 Nu Skin Enterprises, Inc., Class A 3,204,902 --------------- 20,891,266 --------------- TOTAL COMMON STOCKS -- 99.8% 334,597,617 (Cost $351,588,927) --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.2% 539,292 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (b) $ 539,292 (Cost $539,292) --------------- TOTAL INVESTMENTS -- 100.0% 335,136,909 (Cost $352,128,219) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 14,147 --------------- NET ASSETS -- 100.0% $ 335,151,056 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2019. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $9,071,401 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $26,062,711. The net unrealized depreciation was $16,991,310. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 334,597,617 $ -- $ -- Money Market Funds 539,292 -- -- --------------------------------------------- Total Investments $ 335,136,909 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 27 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% ENERGY EQUIPMENT & SERVICES -- 13.2% 50,130 Apergy Corp. (a) $ 1,685,370 63,131 Baker Hughes a GE Co. 1,487,998 159,278 Helmerich & Payne, Inc. 8,917,975 678,676 Nabors Industries Ltd. 2,008,881 442,613 Patterson-UTI Energy, Inc. 5,368,896 773,587 RPC, Inc. (b) 8,347,004 --------------- 27,816,124 --------------- OIL, GAS & CONSUMABLE FUELS -- 86.8% 30,965 Anadarko Petroleum Corp. 1,465,573 487,893 Antero Resources Corp. (a) 4,908,204 174,524 Apache Corp. 5,727,878 554,270 Centennial Resource Development, Inc., Class A (a) 7,299,736 77,383 Cheniere Energy, Inc. (a) 5,080,194 28,074 Chevron Corp. 3,218,684 99,064 Cimarex Energy Co. 7,463,482 668,586 CNX Resources Corp. (a) 8,116,634 29,717 Concho Resources, Inc. (a) 3,561,285 73,488 ConocoPhillips 4,974,403 152,001 Continental Resources, Inc. (a) 7,017,886 60,213 Devon Energy Corp. 1,604,676 32,957 Diamondback Energy, Inc. 3,398,526 70,024 EOG Resources, Inc. 6,946,381 161,673 EQT Corp. 3,147,773 711,905 Extraction Oil & Gas, Inc. (a) 2,804,906 44,804 Exxon Mobil Corp. 3,283,237 149,368 HollyFrontier Corp. 8,415,393 319,481 Marathon Oil Corp. 5,044,605 103,516 Marathon Petroleum Corp. 6,858,970 58,030 Murphy Oil Corp. 1,587,120 520,813 Newfield Exploration Co. (a) 9,520,462 406,993 Noble Energy, Inc. 9,092,224 74,635 Occidental Petroleum Corp. 4,984,125 382,252 Parsley Energy, Inc., Class A (a) 7,102,242 233,696 PBF Energy, Inc., Class A 8,557,947 88,621 Phillips 66 8,455,330 23,214 Pioneer Natural Resources Co. 3,303,816 542,459 QEP Resources, Inc. (a) 4,486,136 478,688 Range Resources Corp. 5,279,929 394,587 SM Energy Co. 7,741,797 37,689 Targa Resources Corp. 1,621,004 81,491 Valero Energy Corp. 7,156,540 59,811 Whiting Petroleum Corp. (a) 1,712,389 61,558 Williams (The) Cos., Inc. 1,657,757 --------------- 182,597,244 --------------- TOTAL COMMON STOCKS -- 100.0% 210,413,368 (Cost $267,095,360) --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.2% 209,110 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) $ 209,110 248,296 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (c) 248,296 --------------- TOTAL MONEY MARKET FUNDS -- 0.2% 457,406 (Cost $457,406) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.0% $ 953,498 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $953,566. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $977,309. (d) 953,498 1,182,550 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $1,182,633. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $1,206,202. (d) 1,182,550 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.0% 2,136,048 (Cost $2,136,048) --------------- TOTAL INVESTMENTS -- 101.2% 213,006,822 (Cost $269,688,814) (e) NET OTHER ASSETS AND LIABILITIES -- (1.2)% (2,546,249) --------------- NET ASSETS -- 100.0% $ 210,460,573 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $2,277,359 and the total value of the collateral held by the Fund is $2,345,158. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $694,719 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $57,376,711. The net unrealized depreciation was $56,681,992. Page 28 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 210,413,368 $ -- $ -- Money Market Funds 457,406 -- -- Repurchase Agreements -- 2,136,048 -- --------------------------------------------- Total Investments $ 210,870,774 $ 2,136,048 $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,277,359 Non-cash Collateral(2) (2,277,359) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 2,136,048 Non-cash Collateral(4) (2,136,048) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities (4) At January 31, 2019, 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 FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% BANKS -- 20.9% 232,209 Associated Banc-Corp. $ 5,027,325 186,503 Bank of America Corp. 5,309,740 24,018 Bank of Hawaii Corp. 1,857,312 344,549 Bank OZK 10,453,617 262,727 BankUnited, Inc. 8,882,800 106,081 BB&T Corp. 5,176,753 42,907 BOK Financial Corp. 3,566,001 164,432 CIT Group, Inc. 7,595,114 211,666 Citizens Financial Group, Inc. 7,179,711 45,806 Comerica, Inc. 3,606,764 18,387 Cullen/Frost Bankers, Inc. 1,788,687 105,569 East West Bancorp, Inc. 5,312,232 467,015 F.N.B. Corp. 5,440,725 267,439 Fifth Third Bancorp 7,172,714 8,345 First Citizens BancShares, Inc., Class A 3,400,838 71,831 First Hawaiian, Inc. 1,848,212 349,197 First Horizon National Corp. 5,126,212 527,923 Huntington Bancshares, Inc. 6,989,701 32,231 JPMorgan Chase & Co. 3,335,908 310,922 KeyCorp 5,120,885 21,983 M&T Bank Corp. 3,617,083 189,088 PacWest Bancorp 7,296,906 318,464 People's United Financial, Inc. 5,216,440 68,252 Pinnacle Financial Partners, Inc. 3,669,910 39,307 PNC Financial Services Group (The), Inc. 4,821,790 66,633 Popular, Inc. 3,638,828 50,504 Prosperity Bancshares, Inc. 3,592,855 343,455 Regions Financial Corp. 5,210,212 30,604 Signature Bank 3,896,195 190,577 Sterling Bancorp 3,666,701 124,759 SunTrust Banks, Inc. 7,413,180 8,514 SVB Financial Group (a) 1,986,997 98,356 Synovus Financial Corp. 3,483,770 322,875 TCF Financial Corp. 7,154,910 89,948 Texas Capital Bancshares, Inc. (a) 5,241,270 68,849 U.S. Bancorp 3,522,315 289,021 Umpqua Holdings Corp. 5,109,891 32,804 Webster Financial Corp. 1,767,480 99,727 Wells Fargo & Co. 4,877,648 79,676 Western Alliance Bancorp (a) 3,528,053 47,322 Wintrust Financial Corp. 3,366,487 112,799 Zions Bancorp N.A. 5,368,104 --------------- 201,638,276 --------------- CAPITAL MARKETS -- 16.0% 80,727 Affiliated Managers Group, Inc. 8,472,299 15,492 Ameriprise Financial, Inc. 1,961,287 97,630 Bank of New York Mellon (The) Corp. 5,108,002 888,864 BGC Partners, Inc., Class A 5,502,068 8,010 BlackRock, Inc. 3,324,791 64,324 Cboe Global Markets, Inc. 5,999,499 38,934 Charles Schwab (The) Corp. 1,820,943 41,814 CME Group, Inc. 7,621,856 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 36,848 E*TRADE Financial Corp. $ 1,719,328 22,962 FactSet Research Systems, Inc. 5,020,182 106,083 Franklin Resources, Inc. 3,141,118 27,509 Goldman Sachs Group (The), Inc. 5,447,057 143,935 Interactive Brokers Group, Inc., Class A 7,254,324 41,769 Intercontinental Exchange, Inc. 3,206,188 469,896 Invesco Ltd. 8,561,505 85,246 Lazard Ltd., Class A 3,391,938 308,352 Legg Mason, Inc. 9,188,890 128,783 LPL Financial Holdings, Inc. 9,062,460 29,780 MarketAxess Holdings, Inc. 6,395,851 11,546 Moody's Corp. 1,830,156 158,709 Morgan Stanley 6,713,391 28,645 Morningstar, Inc. 3,556,277 21,342 MSCI, Inc. 3,633,902 38,573 Nasdaq, Inc. 3,395,967 19,343 Northern Trust Corp. 1,711,082 42,285 Raymond James Financial, Inc. 3,403,942 9,514 S&P Global, Inc. 1,823,358 72,862 State Street Corp. 5,165,916 68,163 T. Rowe Price Group, Inc. 6,370,514 128,530 TD Ameritrade Holding Corp. 7,191,254 305,359 Virtu Financial, Inc., Class A 7,801,922 --------------- 154,797,267 --------------- CONSUMER FINANCE -- 6.9% 347,134 Ally Financial, Inc. 9,046,312 66,018 American Express Co. 6,780,049 60,794 Capital One Financial Corp. 4,899,388 16,484 Credit Acceptance Corp. (a) 6,560,962 77,915 Discover Financial Services 5,258,483 521,615 Navient Corp. 5,946,411 259,071 OneMain Holdings, Inc. (a) 7,743,632 447,189 Santander Consumer USA Holdings, Inc. 8,523,422 378,630 SLM Corp. (a) 4,055,127 268,237 Synchrony Financial 8,057,840 --------------- 66,871,626 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.0% 97,229 AXA Equitable Holdings, Inc. 1,802,626 38,525 Berkshire Hathaway, Inc., Class B (a) 7,918,428 --------------- 9,721,054 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 16.7% 39,877 Alexandria Real Estate Equities, Inc. 5,252,200 39,780 American Tower Corp. 6,875,575 179,263 Apartment Investment & Management Co., Class A 8,877,104 220,647 Apple Hospitality REIT, Inc. 3,620,817 125,634 Brandywine Realty Trust 1,890,792 312,827 Brixmor Property Group, Inc. 5,358,727 57,929 Crown Castle International Corp. 6,781,169 Page 30 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 62,429 Duke Realty Corp. $ 1,825,424 49,140 EPR Properties 3,590,168 153,130 Equity Commonwealth 4,955,287 64,788 Equity LifeStyle Properties, Inc. 6,859,753 34,775 Extra Space Storage, Inc. 3,429,163 50,044 Gaming and Leisure Properties, Inc. 1,876,650 63,884 Healthcare Trust of America, Inc., Class A 1,815,583 41,791 Highwoods Properties, Inc. 1,852,177 192,438 Hospitality Properties Trust 5,130,397 377,495 Host Hotels & Resorts, Inc. 6,817,560 313,681 Kimco Realty Corp. 5,335,714 23,373 Lamar Advertising Co., Class A 1,740,120 33,836 Life Storage, Inc. 3,325,064 489,182 Medical Properties Trust, Inc. 8,903,112 33,331 National Retail Properties, Inc. 1,756,877 179,028 Omega Healthcare Investors, Inc. (b) 7,195,135 89,233 Outfront Media, Inc. 1,851,585 242,219 Park Hotels & Resorts, Inc. 7,283,525 27,536 Prologis, Inc. 1,904,390 7,989 Public Storage 1,697,822 113,630 Rayonier, Inc. 3,458,897 423,542 Retail Properties of America, Inc., Class A 5,353,571 19,436 SBA Communications Corp. (a) 3,547,653 671,164 Senior Housing Properties Trust 9,241,928 9,625 Simon Property Group, Inc. 1,752,905 20,446 SL Green Realty Corp. 1,889,824 45,870 Spirit Realty Capital, Inc. 1,821,956 317,052 Weingarten Realty Investors 9,096,222 287,870 Weyerhaeuser Co. 7,553,709 --------------- 161,518,555 --------------- INSURANCE -- 23.4% 138,122 Aflac, Inc. 6,588,419 12,620 Alleghany Corp. 7,970,287 76,157 Allstate (The) Corp. 6,691,916 34,756 American Financial Group, Inc. 3,315,375 54,114 Aon PLC 8,454,230 171,984 Arch Capital Group Ltd. (a) 5,047,730 21,939 Arthur J. Gallagher & Co. 1,639,063 51,380 Assurant, Inc. 4,952,518 205,487 Assured Guaranty Ltd. 8,334,553 197,491 Athene Holding Ltd., Class A (a) 8,472,364 152,325 Axis Capital Holdings Ltd. 8,157,004 228,332 Brown & Brown, Inc. 6,201,497 35,574 Chubb Ltd. 4,733,121 81,282 Cincinnati Financial Corp. 6,593,596 104,086 CNA Financial Corp. 4,773,384 36,123 Everest Re Group Ltd. 7,912,743 250,192 Fidelity National Financial, Inc. 9,046,943 176,211 First American Financial Corp. 8,824,647 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE (CONTINUED) 14,443 Hanover Insurance Group (The), Inc. $ 1,647,080 122,643 Lincoln National Corp. 7,173,389 100,954 Loews Corp. 4,835,697 7,578 Markel Corp. (a) 7,983,499 78,907 Marsh & McLennan Cos., Inc. 6,958,808 31,269 Mercury General Corp. 1,616,607 153,260 MetLife, Inc. 6,999,384 305,923 Old Republic International Corp. 6,164,348 142,468 Principal Financial Group, Inc. 7,133,373 130,383 Progressive (The) Corp. 8,773,472 77,165 Prudential Financial, Inc. 7,109,983 56,094 Reinsurance Group of America, Inc. 8,102,778 58,833 RenaissanceRe Holdings Ltd. 8,120,719 105,542 Torchmark Corp. 8,840,198 52,550 Travelers (The) Cos., Inc. 6,597,127 156,414 Unum Group 5,436,951 42,571 W.R. Berkley Corp. 3,273,284 10,647 Willis Towers Watson PLC 1,733,225 --------------- 226,209,312 --------------- IT SERVICES -- 5.0% 94,148 CoreLogic, Inc. (a) 3,417,572 76,832 Euronet Worldwide, Inc. (a) 8,836,448 30,682 Fidelity National Information Services, Inc. 3,207,189 42,815 Fiserv, Inc. (a) 3,550,648 8,706 FleetCor Technologies, Inc. (a) 1,756,958 12,780 Jack Henry & Associates, Inc. 1,706,769 24,360 Mastercard, Inc., Class A 5,143,127 93,543 PayPal Holdings, Inc. (a) 8,302,877 56,096 Square, Inc., Class A (a) 4,002,450 19,890 Total System Services, Inc. 1,782,343 34,830 Visa, Inc., Class A 4,702,398 94,778 Western Union (The) Co. 1,729,699 --------------- 48,138,478 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 5.2% 358,771 AGNC Investment Corp. 6,425,589 801,023 Annaly Capital Management, Inc. 8,362,680 441,417 Chimera Investment Corp. 8,400,165 942,042 MFA Financial, Inc. 6,905,168 553,557 New Residential Investment Corp. 9,399,398 82,035 Starwood Property Trust, Inc. 1,811,333 612,621 Two Harbors Investment Corp. 8,938,140 --------------- 50,242,473 --------------- PROFESSIONAL SERVICES -- 1.2% 55,107 Dun & Bradstreet (The) Corp. 7,976,187 17,362 Equifax, Inc. 1,858,081 28,467 TransUnion 1,731,363 --------------- 11,565,631 --------------- See Notes to Financial Statements Page 31 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.6% 157,164 CBRE Group, Inc., Class A (a) $ 7,190,253 32,231 Howard Hughes (The) Corp. (a) 3,578,930 36,299 Jones Lang LaSalle, Inc. 5,205,640 535,834 Realogy Holdings Corp. (b) 9,511,053 --------------- 25,485,876 --------------- SOFTWARE -- 0.4% 16,826 Fair Isaac Corp. (a) 3,789,215 --------------- THRIFTS & MORTGAGE FINANCE -- 0.6% 488,356 New York Community Bancorp, Inc. 5,674,697 --------------- TOTAL COMMON STOCKS -- 99.9% 965,652,460 (Cost $952,040,043) --------------- MONEY MARKET FUNDS -- 0.5% 973,438 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) 973,438 4,259,311 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (c) 4,259,311 --------------- TOTAL MONEY MARKET FUNDS -- 0.5% 5,232,749 (Cost $5,232,749) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.0% $ 4,438,681 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $4,438,999. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $4,549,524. (d) 4,438,681 5,504,957 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $5,505,339. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $5,615,056. (d) 5,504,957 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.0% 9,943,638 (Cost $9,943,638) --------------- DESCRIPTION VALUE --------------------------------------------------------------- TOTAL INVESTMENTS -- 101.4% $ 980,828,847 (Cost $967,216,430) (e) NET OTHER ASSETS AND LIABILITIES -- (1.4)% (13,679,151) --------------- NET ASSETS -- 100.0% $ 967,149,696 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $10,831,641 and the total value of the collateral held by the Fund is $10,917,076. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $62,885,924 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $49,273,507. The net unrealized appreciation was $13,612,417. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 965,652,460 $ -- $ -- Money Market Funds 5,232,749 -- -- Repurchase Agreements -- 9,943,638 -- --------------------------------------------- Total Investments $ 970,885,209 $ 9,943,638 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 32 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 10,831,641 Non-cash Collateral(2) (10,831,641) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 9,943,638 Non-cash Collateral(4) (9,943,638) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 33 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% BIOTECHNOLOGY -- 14.8% 369,938 AbbVie, Inc. $ 29,702,322 87,595 Amgen, Inc. 16,389,901 56,667 Biogen, Inc. (a) 18,914,311 100,131 BioMarin Pharmaceutical, Inc. (a) 9,829,860 405,363 Exact Sciences Corp. (a) 36,515,099 866,916 Exelixis, Inc. (a) 20,433,210 134,080 Incyte Corp. (a) 10,805,507 788,581 Ionis Pharmaceuticals, Inc. (a) 45,737,698 68,484 Regeneron Pharmaceuticals, Inc. (a) 29,398,127 78,128 Sarepta Therapeutics, Inc. (a) 10,915,263 150,480 Seattle Genetics, Inc. (a) 11,501,186 391,467 United Therapeutics Corp. (a) 45,147,889 102,904 Vertex Pharmaceuticals, Inc. (a) 19,645,403 --------------- 304,935,776 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 25.2% 26,232 ABIOMED, Inc. (a) 9,209,268 129,539 Baxter International, Inc. 9,390,282 113,520 Becton, Dickinson and Co. 28,318,699 965,041 Boston Scientific Corp. (a) 36,816,314 167,508 Cooper (The) Cos., Inc. 46,694,530 82,681 Danaher Corp. 9,170,977 355,849 DexCom, Inc. (a) 50,185,384 166,994 Edwards Lifesciences Corp. (a) 28,459,118 288,858 Hill-Rom Holdings, Inc. 28,891,577 74,260 ICU Medical, Inc. (a) 18,475,888 45,834 IDEXX Laboratories, Inc. (a) 9,752,559 107,490 Insulet Corp. (a) 8,727,113 35,607 Intuitive Surgical, Inc. (a) 18,645,249 238,226 Masimo Corp. (a) 29,632,932 139,544 Penumbra, Inc. (a) 20,305,047 374,380 ResMed, Inc. 35,629,745 54,393 Stryker Corp. 9,658,565 131,943 Teleflex, Inc. 36,086,411 300,984 Varian Medical Systems, Inc. (a) 39,738,918 86,975 West Pharmaceutical Services, Inc. 9,416,783 328,814 Zimmer Biomet Holdings, Inc. 36,024,862 --------------- 519,230,221 --------------- HEALTH CARE PROVIDERS & SERVICES -- 32.2% 1,326,508 Acadia Healthcare Co., Inc. (a) 36,293,259 229,198 AmerisourceBergen Corp. 19,108,237 32,465 Anthem, Inc. 9,836,895 191,169 Cardinal Health, Inc. 9,552,715 369,736 Centene Corp. (a) 48,276,430 60,195 Chemed Corp. 17,934,498 224,466 Cigna Corp. 44,850,551 331,369 DaVita, Inc. (a) 18,599,742 276,372 Encompass Health Corp. 18,472,705 342,552 HCA Healthcare, Inc. 47,762,025 542,926 Henry Schein, Inc. (a) 42,185,350 89,285 Humana, Inc. 27,588,172 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 337,374 Laboratory Corp. of America Holdings (a) $ 47,013,067 1,291,838 MEDNAX, Inc. (a) 46,648,270 293,449 Molina Healthcare, Inc. (a) 39,022,848 913,106 Premier, Inc., Class A (a) 36,332,488 307,173 Quest Diagnostics, Inc. 26,831,562 171,125 UnitedHealth Group, Inc. 46,237,975 292,591 Universal Health Services, Inc., Class B 38,777,085 144,456 WellCare Health Plans, Inc. (a) 39,939,195 --------------- 661,263,069 --------------- HEALTH CARE TECHNOLOGY -- 4.2% 129,252 athenahealth, Inc. (a) 17,415,415 487,765 Cerner Corp. (a) 26,783,176 381,823 Veeva Systems, Inc., Class A (a) 41,641,616 --------------- 85,840,207 --------------- LIFE SCIENCES TOOLS & SERVICES -- 10.9% 183,579 Bio-Rad Laboratories, Inc., Class A (a) 45,870,885 58,915 Bio-Techne Corp. 10,278,311 572,799 Bruker Corp. 20,082,333 225,997 Charles River Laboratories International, Inc. (a) 27,840,570 85,281 Illumina, Inc. (a) 23,860,771 73,393 IQVIA Holdings, Inc. (a) 9,468,431 370,862 PRA Health Sciences, Inc. (a) 39,300,246 190,493 Thermo Fisher Scientific, Inc. 46,798,415 --------------- 223,499,962 --------------- PHARMACEUTICALS -- 12.5% 255,159 Allergan PLC 36,737,793 368,395 Eli Lilly and Co. 44,155,825 206,343 Jazz Pharmaceuticals PLC (a) 25,976,520 132,136 Johnson & Johnson 17,584,659 446,337 Merck & Co., Inc. 33,220,863 933,517 Mylan N.V. (a) 27,958,834 440,058 Perrigo Co. PLC 20,440,694 585,987 Pfizer, Inc. 24,875,148 299,023 Zoetis, Inc. 25,763,822 --------------- 256,714,158 --------------- TOTAL COMMON STOCKS -- 99.8% 2,051,483,393 (Cost $1,992,225,843) --------------- MONEY MARKET FUNDS -- 0.2% 3,743,128 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (b) 3,743,128 (Cost $3,743,128) --------------- TOTAL INVESTMENTS -- 100.0% 2,055,226,521 (Cost $1,995,968,971) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (898,941) --------------- NET ASSETS -- 100.0% $ 2,054,327,580 =============== Page 34 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2019. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $129,691,876 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $70,434,326. The net unrealized appreciation was $59,257,550. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 --------------------------------------------- Common Stocks* $2,051,483,393 $ -- $ -- Money Market Funds 3,743,128 -- -- --------------------------------------------- Total Investments $2,055,226,521 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 35 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 7.4% 9,719 Boeing (The) Co. $ 3,747,841 20,468 Curtiss-Wright Corp. 2,323,527 6,648 General Dynamics Corp. 1,137,938 53,955 HEICO Corp. 4,559,198 10,982 Huntington Ingalls Industries, Inc. 2,267,234 12,035 L3 Technologies, Inc. 2,369,451 68,171 Textron, Inc. 3,628,742 9,219 TransDigm Group, Inc. (a) 3,604,629 9,815 United Technologies Corp. 1,158,857 --------------- 24,797,417 --------------- AIR FREIGHT & LOGISTICS -- 3.7% 65,592 C.H. Robinson Worldwide, Inc. 5,691,418 81,006 Expeditors International of Washington, Inc. 5,613,716 10,716 United Parcel Service, Inc., Class B 1,129,466 --------------- 12,434,600 --------------- AIRLINES -- 9.4% 68,698 Alaska Air Group, Inc. 4,393,237 70,078 Copa Holdings S.A., Class A 6,646,898 83,773 Delta Air Lines, Inc. 4,140,899 343,443 JetBlue Airways Corp. (a) 6,178,540 118,669 Southwest Airlines Co. 6,735,653 37,445 United Continental Holdings, Inc. (a) 3,267,825 --------------- 31,363,052 --------------- BUILDING PRODUCTS -- 2.8% 52,443 Allegion PLC 4,502,756 140,988 Johnson Controls International PLC 4,761,165 --------------- 9,263,921 --------------- COMMERCIAL SERVICES & SUPPLIES -- 8.8% 695,561 ADT, Inc. (b) 5,021,950 18,662 Cintas Corp. 3,499,312 63,531 Clean Harbors, Inc. (a) 3,761,671 43,746 Copart, Inc. (a) 2,214,860 57,989 Republic Services, Inc. 4,448,336 57,899 Rollins, Inc. 2,156,159 85,453 Stericycle, Inc. (a) 3,766,768 46,976 Waste Management, Inc. 4,494,194 --------------- 29,363,250 --------------- CONSTRUCTION & ENGINEERING -- 2.9% 78,873 AECOM (a) 2,414,302 64,912 Fluor Corp. 2,373,832 138,880 Quanta Services, Inc. 4,908,019 --------------- 9,696,153 --------------- CONTAINERS & PACKAGING -- 0.4% 11,635 Avery Dennison Corp. 1,215,276 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 6.2% 30,875 AMETEK, Inc. $ 2,250,787 45,663 Eaton Corp. PLC 3,481,804 34,981 Emerson Electric Co. 2,290,206 10,521 Hubbell, Inc. 1,150,261 186,122 nVent Electric PLC 4,656,772 59,676 Regal Beloit Corp. 4,580,730 46,615 Sensata Technologies Holding PLC (a) 2,214,213 --------------- 20,624,773 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.0% 6,094 Littelfuse, Inc. 1,070,838 69,088 National Instruments Corp. 3,055,071 34,640 Zebra Technologies Corp., Class A (a) 6,013,504 --------------- 10,139,413 --------------- INDUSTRIAL CONGLOMERATES -- 2.0% 31,191 Carlisle Cos., Inc. 3,360,206 11,764 Roper Technologies, Inc. 3,332,271 --------------- 6,692,477 --------------- IT SERVICES -- 4.3% 7,413 Accenture PLC, Class A 1,138,266 15,941 Automatic Data Processing, Inc. 2,229,189 122,382 Booz Allen Hamilton Holding Corp. 6,012,628 294,944 Conduent, Inc. (a) 3,760,536 38,722 Genpact Ltd. 1,155,077 --------------- 14,295,696 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 3,696 Mettler-Toledo International, Inc. (a) 2,358,639 5,536 Waters Corp. (a) 1,280,034 --------------- 3,638,673 --------------- MACHINERY -- 19.3% 37,544 AGCO Corp. 2,410,325 125,613 Allison Transmission Holdings, Inc. 6,113,585 24,673 Caterpillar, Inc. 3,285,457 31,280 Cummins, Inc. 4,601,601 36,977 Deere & Co. 6,064,228 24,085 Donaldson Co., Inc. 1,138,739 29,461 Dover Corp. 2,587,560 153,313 Gardner Denver Holdings, Inc. (a) 3,782,232 24,971 Graco, Inc. 1,081,993 21,650 ITT, Inc. 1,137,924 26,510 Lincoln Electric Holdings, Inc. 2,291,524 10,173 Middleby (The) Corp. (a) 1,196,548 8,757 Nordson Corp. 1,135,258 68,182 Oshkosh Corp. 5,117,059 73,160 PACCAR, Inc. 4,793,443 7,008 Parker-Hannifin Corp. 1,154,988 27,663 Pentair PLC 1,139,439 Page 36 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 21,580 Snap-on, Inc. $ 3,582,064 8,728 Stanley Black & Decker, Inc. 1,103,568 37,905 Terex Corp. 1,164,063 18,702 Toro (The) Co. 1,112,769 267,882 Trinity Industries, Inc. 6,263,081 31,327 Xylem, Inc. 2,232,362 --------------- 64,489,810 --------------- MARINE -- 1.4% 62,058 Kirby Corp. (a) 4,648,765 --------------- PROFESSIONAL SERVICES -- 3.7% 85,120 ManpowerGroup, Inc. 6,727,033 36,541 Robert Half International, Inc. 2,354,337 28,754 Verisk Analytics, Inc. (a) 3,376,007 --------------- 12,457,377 --------------- ROAD & RAIL -- 14.7% 67,285 CSX Corp. 4,420,624 74,516 Genesee & Wyoming, Inc., Class A (a) 5,850,996 43,797 Kansas City Southern 4,631,533 220,013 Knight-Swift Transportation Holdings, Inc. 6,985,413 32,772 Landstar System, Inc. 3,328,980 36,884 Norfolk Southern Corp. 6,186,922 114,551 Ryder System, Inc. 6,633,648 295,432 Schneider National, Inc., Class B 6,274,976 30,241 Union Pacific Corp. 4,810,436 --------------- 49,123,528 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 105,779 Xerox Corp. 2,984,026 --------------- TRADING COMPANIES & DISTRIBUTORS -- 6.1% 182,580 Air Lease Corp. 6,927,085 83,563 HD Supply Holdings, Inc. (a) 3,504,632 40,760 MSC Industrial Direct Co., Inc., Class A 3,403,053 7,403 W.W. Grainger, Inc. 2,186,772 87,089 WESCO International, Inc. (a) 4,563,464 --------------- 20,585,006 --------------- TRANSPORTATION INFRASTRUCTURE -- 1.9% 150,868 Macquarie Infrastructure Corp. 6,512,971 --------------- TOTAL COMMON STOCKS -- 100.0% 334,326,184 (Cost $357,082,114) --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.3% 341,505 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) $ 341,505 482,475 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (c) 482,475 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 823,980 (Cost $823,980) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.0% $ 1,557,191 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $1,557,302. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $1,596,077. (d) 1,557,191 1,931,264 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $1,931,399. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $1,969,890. (d) 1,931,264 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.0% 3,488,455 (Cost $3,488,455) --------------- TOTAL INVESTMENTS -- 101.3% 338,638,619 (Cost $361,394,549) (e) NET OTHER ASSETS AND LIABILITIES -- (1.3)% (4,310,197) --------------- NET ASSETS -- 100.0% $ 334,328,422 =============== (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 $3,787,987 and the total value of the collateral held by the Fund is $3,829,960. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $4,426,229 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $27,182,159. The net unrealized depreciation was $22,755,930. See Notes to Financial Statements Page 37 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 334,326,184 $ -- $ -- Money Market Funds 823,980 -- -- Repurchase Agreements -- 3,488,455 -- --------------------------------------------- Total Investments $ 335,150,164 $ 3,488,455 $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 3,787,987 Non-cash Collateral(2) (3,787,987) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 3,488,455 Non-cash Collateral(4) (3,488,455) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 38 See Notes to Financial Statements FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.4% 29,541 Hexcel Corp. $ 2,000,221 --------------- BUILDING PRODUCTS -- 5.4% 11,609 Lennox International, Inc. 2,661,712 28,966 Masco Corp. 938,788 77,031 Owens Corning 4,035,654 --------------- 7,636,154 --------------- CHEMICALS -- 36.5% 5,292 Air Products & Chemicals, Inc. 869,952 10,989 Albemarle Corp. 887,142 11,936 Ashland Global Holdings, Inc. 905,942 28,241 Celanese Corp. 2,704,358 38,931 CF Industries Holdings, Inc. 1,699,338 15,837 DowDuPont, Inc. 852,189 46,338 Eastman Chemical Co. 3,735,770 17,244 Ecolab, Inc. 2,727,483 11,451 FMC Corp. 913,790 219,531 Huntsman Corp. 4,823,096 12,616 International Flavors & Fragrances, Inc. 1,788,696 10,856 Linde PLC 1,769,637 50,923 LyondellBasell Industries N.V., Class A 4,428,773 28,995 Mosaic (The) Co. 935,959 8,221 NewMarket Corp. 3,297,361 210,579 Olin Corp. 4,971,770 16,570 PPG Industries, Inc. 1,747,141 57,635 RPM International, Inc. 3,294,417 6,458 Sherwin-Williams (The) Co. 2,722,176 26,096 WR Grace & Co. 1,853,077 63,998 Westlake Chemical Corp. 4,729,452 --------------- 51,657,519 --------------- CONSTRUCTION MATERIALS -- 5.9% 55,510 Eagle Materials, Inc. 3,941,210 14,784 Martin Marietta Materials, Inc. 2,612,037 17,145 Vulcan Materials Co. 1,742,789 --------------- 8,296,036 --------------- CONTAINERS & PACKAGING -- 17.6% 71,277 Berry Global Group, Inc. (a) 3,510,392 61,122 Crown Holdings, Inc. (a) 3,117,222 318,402 Graphic Packaging Holding Co. 3,843,112 83,940 International Paper Co. 3,981,274 98,254 Owens-Illinois, Inc. 1,971,958 107,572 Silgan Holdings, Inc. 2,971,138 15,941 Sonoco Products Co. 917,883 112,149 WestRock Co. 4,565,586 --------------- 24,878,565 --------------- ELECTRICAL EQUIPMENT -- 4.0% 22,104 Acuity Brands, Inc. 2,672,595 222,102 GrafTech International Ltd. 2,933,967 --------------- 5,606,562 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MACHINERY -- 5.4% 37,135 Ingersoll-Rand PLC $ 3,714,985 90,777 Timken (The) Co. 3,866,193 --------------- 7,581,178 --------------- METALS & MINING -- 19.6% 63,728 Alcoa Corp. (a) 1,891,447 410,742 Freeport-McMoRan, Inc. 4,781,037 81,736 Nucor Corp. 5,005,513 59,502 Reliance Steel & Aluminum Co. 4,872,024 9,888 Royal Gold, Inc. 863,914 140,970 Steel Dynamics, Inc. 5,158,092 232,168 United States Steel Corp. 5,233,067 --------------- 27,805,094 --------------- TRADING COMPANIES & DISTRIBUTORS -- 4.1% 48,592 Fastenal Co. 2,937,872 95,485 Univar, Inc. (a) 1,988,953 6,087 Watsco, Inc. 897,711 --------------- 5,824,536 --------------- TOTAL COMMON STOCKS -- 99.9% 141,285,865 (Cost $159,921,045) --------------- MONEY MARKET FUNDS -- 0.2% 225,808 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (b) 225,808 (Cost $225,808) --------------- TOTAL INVESTMENTS -- 100.1% 141,511,673 (Cost $160,146,853) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (75,429) --------------- NET ASSETS -- 100.0% $ 141,436,244 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2019. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,810,862 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $21,446,042. The net unrealized depreciation was $18,635,180. See Notes to Financial Statements Page 39 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 141,285,865 $ -- $ -- Money Market Funds 225,808 -- -- --------------------------------------------- Total Investments $ 141,511,673 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 40 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.3% 43,146 Harris Corp. $ 6,609,104 --------------- COMMUNICATIONS EQUIPMENT -- 7.5% 27,573 Arista Networks, Inc. (a) 5,922,129 401,197 ARRIS International PLC (a) 12,593,574 1,122,447 CommScope Holding Co., Inc. (a) 23,470,367 835,008 EchoStar Corp., Class A (a) 34,218,628 35,855 F5 Networks, Inc. (a) 5,770,862 213,223 Motorola Solutions, Inc. 24,927,901 308,435 Ubiquiti Networks, Inc. (b) 33,375,751 --------------- 140,279,212 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.0% 151,378 Amphenol Corp., Class A 13,309,154 355,754 Arrow Electronics, Inc. (a) 27,019,516 378,303 CDW Corp. 31,501,291 232,043 Coherent, Inc. (a) 27,427,482 494,740 Jabil, Inc. 13,184,821 --------------- 112,442,264 --------------- INTERACTIVE MEDIA & SERVICES -- 5.0% 11,737 Alphabet, Inc., Class A (a) 13,214,571 167,513 IAC/InterActiveCorp (a) 35,392,147 573,514 Match Group, Inc. 30,677,264 426,743 Twitter, Inc. (a) 14,321,495 --------------- 93,605,477 --------------- IT SERVICES -- 14.7% 95,114 Akamai Technologies, Inc. (a) 6,191,921 209,365 Amdocs Ltd. 11,699,316 128,929 Black Knight, Inc. (a) 6,342,018 193,204 Cognizant Technology Solutions Corp., Class A 13,462,455 576,669 DXC Technology Co. 36,976,016 211,440 EPAM Systems, Inc. (a) 29,914,531 143,905 Gartner, Inc. (a) 19,555,250 280,355 GoDaddy, Inc., Class A (a) 19,240,764 51,109 International Business Machines Corp. 6,870,072 348,955 Leidos Holdings, Inc. 20,239,390 480,587 Okta, Inc. (a) 39,614,786 566,757 Sabre Corp. 13,024,076 343,353 Twilio, Inc., Class A (a) 38,222,056 82,707 VeriSign, Inc. (a) 13,999,814 --------------- 275,352,465 --------------- PROFESSIONAL SERVICES -- 0.3% 121,108 IHS Markit Ltd. (a) 6,287,927 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 20.0% 1,328,776 Advanced Micro Devices, Inc. (a) 32,435,422 214,342 Analog Devices, Inc. 21,189,850 177,445 Applied Materials, Inc. 6,934,551 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 96,465 Broadcom, Inc. $ 25,876,736 456,725 Cypress Semiconductor Corp. 6,334,776 522,676 Intel Corp. 24,628,493 137,050 KLA-Tencor Corp. 14,605,419 90,068 Lam Research Corp. 15,273,731 757,541 Marvell Technology Group Ltd. 14,037,235 241,191 Maxim Integrated Products, Inc. 13,089,436 170,531 Microchip Technology, Inc. 13,705,576 966,325 Micron Technology, Inc. (a) 36,932,942 158,253 Monolithic Power Systems, Inc. 20,028,500 418,415 NXP Semiconductors N.V. 36,414,657 351,881 ON Semiconductor Corp. (a) 7,051,695 95,662 Qorvo, Inc. (a) 6,252,468 365,999 Skyworks Solutions, Inc. 26,732,567 185,135 Teradyne, Inc. 6,663,009 61,477 Texas Instruments, Inc. 6,189,504 360,004 Xilinx, Inc. 40,298,848 --------------- 374,675,415 --------------- SOFTWARE -- 38.8% 81,316 Adobe, Inc. (a) 20,151,731 344,588 Atlassian Corp. PLC, Class A (a) 33,907,459 143,044 Autodesk, Inc. (a) 21,056,077 423,112 Cadence Design Systems, Inc. (a) 20,322,069 179,552 Citrix Systems, Inc. 18,411,262 1,513,214 FireEye, Inc. (a) 26,753,623 261,208 Fortinet, Inc. (a) 20,000,697 152,868 Guidewire Software, Inc. (a) 13,250,598 93,456 Intuit, Inc. 20,169,674 225,536 LogMeIn, Inc. 20,979,359 241,500 Microsoft Corp. 25,219,845 589,785 Nutanix, Inc., Class A (a) 30,214,685 128,671 Oracle Corp. 6,463,144 97,674 Palo Alto Networks, Inc. (a) 20,982,329 200,321 Paycom Software, Inc. (a) 29,695,585 69,318 Proofpoint, Inc. (a) 7,061,425 70,079 PTC, Inc. (a) 5,941,998 254,505 RealPage, Inc. (a) 14,193,744 174,570 Red Hat, Inc. (a) 31,045,529 371,925 RingCentral, Inc., Class A (a) 34,380,747 179,084 salesforce.com, Inc. (a) 27,215,395 172,207 ServiceNow, Inc. (a) 37,888,984 233,946 Splunk, Inc. (a) 29,205,819 407,824 SS&C Technologies Holdings, Inc. 20,998,858 1,298,185 Symantec Corp. 27,287,849 218,386 Synopsys, Inc. (a) 20,386,333 255,512 Tableau Software, Inc., Class A (a) 32,664,654 479,586 Teradata Corp. (a) 21,284,027 50,086 Ultimate Software Group (The), Inc. (a) 13,676,984 89,437 VMware, Inc., Class A 13,511,248 192,018 Workday, Inc., Class A (a) 34,857,027 420,237 Zendesk, Inc. (a) 28,378,605 --------------- 727,557,363 --------------- See Notes to Financial Statements Page 41 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 7.2% 36,830 Apple, Inc. $ 6,129,985 627,409 Dell Technologies, Inc., Class C (a) 30,485,803 2,321,082 Hewlett Packard Enterprise Co. 36,185,669 899,164 HP, Inc. 19,808,583 97,362 NetApp, Inc. 6,208,775 361,290 Pure Storage, Inc., Class A (a) 6,470,704 663,489 Western Digital Corp. 29,850,370 --------------- 135,139,889 --------------- TOTAL COMMON STOCKS -- 99.8% 1,871,949,116 (Cost $1,695,997,046) --------------- MONEY MARKET FUNDS -- 0.1% 2,256,365 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) 2,256,365 32,269 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (c) 32,269 --------------- TOTAL MONEY MARKET FUNDS -- 0.1% 2,288,634 (Cost $2,288,634) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.3% $ 10,288,566 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $10,289,304. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $10,545,493. (d) 10,288,566 12,760,122 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $12,761,008. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $13,015,324. (d) 12,760,122 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.3% 23,048,688 (Cost $23,048,688) --------------- TOTAL INVESTMENTS -- 101.2% 1,897,286,438 (Cost $1,721,334,368) (e) NET OTHER ASSETS AND LIABILITIES -- (1.2)% (22,021,883) --------------- NET ASSETS -- 100.0% $ 1,875,264,555 =============== (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 $24,870,337 and the total value of the collateral held by the Fund is $25,305,053. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $221,445,535 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $45,493,465. The net unrealized appreciation was $175,952,070. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $1,871,949,116 $ -- $ -- Money Market Funds 2,288,634 -- -- Repurchase Agreements -- 23,048,688 -- --------------------------------------------- Total Investments $1,874,237,750 $ 23,048,688 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 24,870,337 Non-cash Collateral(2) (24,870,337) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 23,048,688 Non-cash Collateral(4) (23,048,688) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 43 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 97.6% DIVERSIFIED TELECOMMUNICATION SERVICES -- 15.2% 749,047 AT&T, Inc. $ 22,516,353 1,133,185 CenturyLink, Inc. 17,360,394 380,251 Verizon Communications, Inc. 20,936,620 --------------- 60,813,367 --------------- ELECTRIC UTILITIES -- 36.5% 173,481 Alliant Energy Corp. 7,714,700 98,069 American Electric Power Co., Inc. 7,759,219 73,162 Avangrid, Inc. 3,648,589 127,395 Duke Energy Corp. 11,182,733 129,108 Edison International 7,355,283 42,578 Entergy Corp. 3,797,532 64,556 Evergy, Inc. 3,700,350 56,346 Eversource Energy 3,910,976 325,034 Exelon Corp. 15,523,624 100,077 Hawaiian Electric Industries, Inc. 3,721,864 84,334 NextEra Energy, Inc. 15,094,099 374,052 OGE Energy Corp. 15,317,429 617,222 PG&E Corp. (a) 8,023,886 129,040 Pinnacle West Capital Corp. 11,371,005 388,078 PPL Corp. 12,154,603 166,884 Southern (The) Co. 8,110,562 148,761 Xcel Energy, Inc. 7,789,126 --------------- 146,175,580 --------------- GAS UTILITIES -- 9.0% 79,050 Atmos Energy Corp. 7,717,652 286,421 National Fuel Gas Co. 16,411,923 206,079 UGI Corp. 11,752,685 --------------- 35,882,260 --------------- MULTI-UTILITIES -- 20.3% 56,184 Ameren Corp. 3,895,799 519,272 CenterPoint Energy, Inc. 16,055,890 143,790 Consolidated Edison, Inc. 11,165,293 51,286 Dominion Energy, Inc. 3,602,329 99,675 DTE Energy Co. 11,736,731 461,167 MDU Resources Group, Inc. 11,856,604 281,634 Public Service Enterprise Group, Inc. 15,363,135 105,828 WEC Energy Group, Inc. 7,728,619 --------------- 81,404,400 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 16.6% 3,673,157 Sprint Corp. (a) 22,920,500 656,970 Telephone & Data Systems, Inc. 23,795,453 280,479 T-Mobile US, Inc. (a) 19,526,948 --------------- 66,242,901 --------------- TOTAL COMMON STOCKS -- 97.6% 390,518,508 (Cost $386,024,432) --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 2.3% 9,422,428 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (b) $ 9,422,428 (Cost $9,422,428) --------------- TOTAL INVESTMENTS -- 99.9% 399,940,936 (Cost $395,446,860) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 362,916 --------------- NET ASSETS -- 100.0% $ 400,303,852 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2019. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $24,945,658 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $20,451,582. The net unrealized appreciation was $4,494,076. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 390,518,508 $ -- $ -- Money Market Funds 9,422,428 -- -- --------------------------------------------- Total Investments $ 399,940,936 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 44 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 JANUARY 31, 2019 (UNAUDITED)
FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) (FXN) -------------------- -------------------- -------------------- ASSETS: Investments, at value.............................................. $ 303,745,074 $ 335,136,909 $ 213,006,822 Cash ............................................................. -- -- -- Receivables: Investment securities sold................................... -- -- 10,649,434 Capital shares sold.......................................... -- -- -- Dividends.................................................... 145,285 327,653 84,288 Securities lending income.................................... 92 -- 631 Prepaid expenses................................................... 3,109 2,448 3,343 -------------- -------------- -------------- Total Assets................................................. 303,893,560 335,467,010 223,744,518 -------------- -------------- -------------- LIABILITIES: Payables: Capital shares redeemed...................................... -- -- 10,651,773 Investment securities purchased.............................. -- -- -- Collateral for securities on loan............................ -- -- 2,345,158 Investment advisory fees..................................... 129,302 135,654 95,446 Licensing fees............................................... 89,085 81,606 86,060 Shareholder reporting fees................................... 18,782 16,533 22,695 Audit and tax fees........................................... 14,481 14,481 14,481 Trustees' fees............................................... 621 621 606 Other liabilities.................................................. 71,818 67,059 67,726 -------------- -------------- -------------- Total Liabilities............................................ 324,089 315,954 13,283,945 -------------- -------------- -------------- NET ASSETS......................................................... $ 303,569,471 $ 335,151,056 $ 210,460,573 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital.................................................... $ 713,973,089 $ 589,424,329 $ 630,212,691 Par value.......................................................... 74,500 74,500 159,500 Accumulated distributable earnings (loss).......................... (410,478,118) (254,347,773) (419,911,618) -------------- -------------- -------------- NET ASSETS......................................................... $ 303,569,471 $ 335,151,056 $ 210,460,573 ============== ============== ============== NET ASSET VALUE, per share......................................... $ 40.75 $ 44.99 $ 13.20 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).......................... 7,450,002 7,450,002 15,950,002 ============== ============== ============== Investments, at cost............................................... $ 304,447,849 $ 352,128,219 $ 269,688,814 ============== ============== ============== Securities on loan, at value....................................... $ -- $ -- $ 2,277,359 ============== ============== ==============
Page 46 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXO) (FXH) (FXR) (FXZ) (FXL) (FXU) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 980,828,847 $2,055,226,521 $ 338,638,619 $ 141,511,673 $1,897,286,438 $ 399,940,936 -- -- 4,073 -- -- -- -- -- 3,815,886 -- -- 2,652,855 4,471,064 7,405,994 -- -- 11,733,663 -- 1,143,009 668,837 95,151 103,855 25,993 788,796 3,035 4,006 2,243 -- 4,921,006 -- 8,532 9,434 12,604 1,867 14,279 3,189 -------------- -------------- -------------- -------------- -------------- -------------- 986,454,487 2,063,314,792 342,568,576 141,617,395 1,913,981,379 403,385,776 -------------- -------------- -------------- -------------- -------------- -------------- -- -- 3,815,793 -- -- 2,719,766 7,460,872 7,396,421 -- -- 11,710,507 -- 10,917,076 -- 3,829,960 -- 25,305,053 -- 391,241 840,188 140,597 57,338 745,489 166,765 262,421 363,639 272,335 53,064 472,926 80,246 49,100 39,319 43,894 15,624 57,921 18,910 14,481 14,481 14,481 14,481 14,481 14,481 699 951 576 588 812 629 208,901 332,213 122,518 40,056 409,635 81,127 -------------- -------------- -------------- -------------- -------------- -------------- 19,304,791 8,987,212 8,240,154 181,151 38,716,824 3,081,924 -------------- -------------- -------------- -------------- -------------- -------------- $ 967,149,696 $2,054,327,580 $ 334,328,422 $ 141,436,244 $1,875,264,555 $ 400,303,852 ============== ============== ============== ============== ============== ============== $1,045,583,237 $2,549,628,060 $ 503,582,358 $ 291,631,924 $1,854,511,983 $ 508,845,034 324,000 275,000 87,500 38,000 317,550 144,500 (78,757,541) (495,575,480) (169,341,436) (150,233,680) 20,435,022 (108,685,682) -------------- -------------- -------------- -------------- -------------- -------------- $ 967,149,696 $2,054,327,580 $ 334,328,422 $ 141,436,244 $1,875,264,555 $ 400,303,852 ============== ============== ============== ============== ============== ============== $ 29.85 $ 74.70 $ 38.21 $ 37.22 $ 59.05 $ 27.70 ============== ============== ============== ============== ============== ============== 32,400,002 27,500,002 8,750,002 3,800,002 31,755,000 14,450,002 ============== ============== ============== ============== ============== ============== $ 967,216,430 $1,995,968,971 $ 361,394,549 $ 160,146,853 $1,721,334,368 $ 395,446,860 ============== ============== ============== ============== ============== ============== $ 10,831,641 $ -- $ 3,787,987 $ -- $ 24,870,337 $ -- ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 47 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2019 (UNAUDITED)
FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) (FXN) -------------------- -------------------- -------------------- INVESTMENT INCOME: Dividends.......................................................... $ 2,797,686 $ 3,492,431 $ 3,595,261 Securities lending income (net of fees)............................ 11,070 23 11,078 Foreign withholding tax............................................ (2,623) -- -- -------------- -------------- -------------- Total investment income...................................... 2,806,133 3,492,454 3,606,339 -------------- -------------- -------------- EXPENSES: Investment advisory fees........................................... 940,373 864,217 899,057 Accounting and administration fees................................. 94,846 87,070 90,551 Licensing fees..................................................... 75,231 69,138 71,925 Custodian fees..................................................... 28,581 29,068 30,980 Shareholder reporting fees......................................... 20,500 20,711 35,638 Transfer agent fees................................................ 9,405 8,643 8,992 Legal fees......................................................... 6,616 6,371 7,631 Listing fees....................................................... 4,033 4,033 4,033 Audit and tax fees................................................. 3,963 3,963 3,963 Trustees' fees and expenses........................................ 3,595 3,591 3,594 Registration and filing fees....................................... 25 25 25 Other expenses..................................................... 6,668 7,011 7,243 -------------- -------------- -------------- Total expenses............................................... 1,193,836 1,103,841 1,163,632 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)....................................... 1,612,297 2,388,613 2,442,707 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments.................................................. (10,179,343) (15,657,592) (14,150,289) In-kind redemptions.......................................... 11,145,661 6,861,506 (2,512,865) -------------- -------------- -------------- Net realized gain (loss)........................................... 966,318 (8,796,086) (16,663,154) -------------- -------------- -------------- Net change in unrealized appreciation (depreciation) on investments..................................................... (22,321,993) (22,325) (85,931,436) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................ (21,355,675) (8,818,411) (102,594,590) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $ (19,743,378) $ (6,429,798) $ (100,151,883) ============== ============== ==============
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) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- $ 14,474,171 $ 3,962,786 $ 7,926,479 $ 2,021,007 $ 8,939,441 $ 3,290,072 18,080 4,032 26,223 -- 5,528,370 312 (4,151) -- -- -- (9,669) -- -------------- -------------- -------------- -------------- -------------- -------------- 14,488,100 3,966,818 7,952,702 2,021,007 14,458,142 3,290,384 -------------- -------------- -------------- -------------- -------------- -------------- 2,755,457 4,103,176 2,751,390 533,372 5,041,973 878,432 270,710 379,426 259,428 54,033 454,500 88,473 220,439 328,258 220,114 42,670 403,362 70,275 88,667 104,572 91,138 20,533 125,037 31,592 55,466 46,060 44,101 15,457 72,489 24,985 26,100 33,128 23,391 5,334 37,811 8,785 20,859 33,181 20,023 3,571 39,858 6,501 5,294 4,033 5,294 4,033 5,294 4,033 3,963 3,963 3,963 3,963 3,963 3,963 3,957 4,591 3,716 3,491 4,453 3,610 25 50 50 25 25 51 13,551 13,877 17,906 3,850 17,940 9,385 -------------- -------------- -------------- -------------- -------------- -------------- 3,464,488 5,054,315 3,440,514 690,332 6,206,705 1,130,085 -------------- -------------- -------------- -------------- -------------- -------------- 11,023,612 (1,087,497) 4,512,188 1,330,675 8,251,437 2,160,299 -------------- -------------- -------------- -------------- -------------- -------------- (13,267,462) (71,780,048) (33,474,978) (2,146,554) (105,754,674) (5,863,539) 25,303,402 70,470,817 52,031,450 (3,000,733) 116,588,933 9,583,404 -------------- -------------- -------------- -------------- -------------- -------------- 12,035,940 (1,309,231) 18,556,472 (5,147,287) 10,834,259 3,719,865 -------------- -------------- -------------- -------------- -------------- -------------- (92,560,086) (112,661,906) (165,711,457) (36,763,795) 42,233,172 12,195,125 -------------- -------------- -------------- -------------- -------------- -------------- (80,524,146) (113,971,137) (147,154,985) (41,911,082) 53,067,431 15,914,990 -------------- -------------- -------------- -------------- -------------- -------------- $ (69,500,534) $ (115,058,634) $ (142,642,797) $ (40,580,407) $ 61,318,868 $ 18,075,289 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST CONSUMER DISCRETIONARY CONSUMER STAPLES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended 1/31/2019 Year Ended 1/31/2019 Year Ended (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)................................ $ 1,612,297 $ 4,665,380 $ 2,388,613 $ 7,775,129 Net realized gain (loss).................................... 966,318 38,976,580 (8,796,086) (2,346,535) Net change in unrealized appreciation (depreciation)........ (22,321,993) 12,181,662 (22,325) (4,372,240) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... (19,743,378) 55,823,622 (6,429,798) 1,056,354 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (1,937,531) (5,538,682) -------------- -------------- Net investment income....................................... (4,531,050) (4,589,886) -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 44,516,187 217,704,196 67,013,628 89,018,129 Cost of shares redeemed..................................... (128,608,441) (266,850,762) (89,537,380) (177,217,120) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ (84,092,254) (49,146,566) (22,523,752) (88,198,991) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... (105,773,163) 2,146,006 (34,492,232) (91,732,523) NET ASSETS: Beginning of period......................................... 409,342,634 407,196,628 369,643,288 461,375,811 -------------- -------------- -------------- -------------- End of period............................................... $ 303,569,471 $ 409,342,634 $ 335,151,056 $ 369,643,288 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period......................................... $ 407,977 $ 3,418,985 ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 9,650,002 10,850,002 7,950,002 9,850,002 Shares sold................................................. 1,050,000 5,500,000 1,450,000 1,900,000 Shares redeemed............................................. (3,250,000) (6,700,000) (1,950,000) (3,800,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 7,450,002 9,650,002 7,450,002 7,950,002 ============== ============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST ENERGY FINANCIALS HEALTH CARE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXN) (FXO) (FXH) ---------------------------------- ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended Six Months Ended 1/31/2019 Year Ended 1/31/2019 Year Ended 1/31/2019 Year Ended (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 2,442,707 $ 1,784,404 $ 11,023,612 $ 23,459,877 $ (1,087,497) $ (295,408) (16,663,154) (6,701,737) 12,035,940 122,632,791 (1,309,231) 91,131,071 (85,931,436) 59,182,168 (92,560,086) (23,300,665) (112,661,906) 48,168,654 -------------- -------------- -------------- -------------- -------------- -------------- (100,151,883) 54,264,835 (69,500,534) 122,792,003 (115,058,634) 139,004,317 -------------- -------------- -------------- -------------- -------------- -------------- (2,435,300) (15,207,151) -- -------------- -------------- -------------- (2,590,690) (21,806,216) -- -------------- -------------- -------------- 146,400,138 243,140,883 23,810,744 662,405,279 1,545,438,712 275,096,318 (271,125,217) (106,337,998) (224,863,001) (631,715,109) (439,797,276) (417,737,507) -------------- -------------- -------------- -------------- -------------- -------------- (124,725,079) 136,802,885 (201,052,257) 30,690,170 1,105,641,436 (142,641,189) -------------- -------------- -------------- -------------- -------------- -------------- (227,312,262) 188,477,030 (285,759,942) 131,675,957 990,582,802 (3,636,872) 437,772,835 249,295,805 1,252,909,638 1,121,233,681 1,063,744,778 1,067,381,650 -------------- -------------- -------------- -------------- -------------- -------------- $ 210,460,573 $ 437,772,835 $ 967,149,696 $1,252,909,638 $2,054,327,580 $1,063,744,778 ============== ============== ============== ============== ============== ============== $ -- $ 2,591,144 $ (37,822) ============== ============== ============== 25,600,002 18,250,002 39,100,002 38,150,002 13,850,002 15,950,002 9,600,000 14,950,000 800,000 21,450,000 19,850,000 3,950,000 (19,250,000) (7,600,000) (7,500,000) (20,500,000) (6,200,000) (6,050,000) -------------- -------------- -------------- -------------- -------------- -------------- 15,950,002 25,600,002 32,400,002 39,100,002 27,500,002 13,850,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 51 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST INDUSTRIALS/PRODUCER DURABLES MATERIALS ALPHADEX(R) FUND ALPHADEX(R) FUND (FXR) (FXZ) ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended 1/31/2019 Year Ended 1/31/2019 Year Ended (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)................................ $ 4,512,188 $ 11,127,343 $ 1,330,675 $ 3,111,370 Net realized gain (loss).................................... 18,556,472 169,020,704 (5,147,287) 24,250,432 Net change in unrealized appreciation (depreciation)........ (165,711,457) 67,890,805 (36,763,795) 5,229,986 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... (142,642,797) 248,038,852 (40,580,407) 32,591,788 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (4,745,501) (1,537,035) -------------- -------------- Net investment income....................................... (11,199,166) (3,162,041) -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 635,765,183 1,234,023,624 12,778,525 280,033,282 Cost of shares redeemed..................................... (1,733,141,714) (1,336,139,067) (143,251,070) (256,162,451) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ (1,097,376,531) (102,115,443) (130,472,545) 23,870,831 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... (1,244,764,829) 134,724,243 (172,589,987) 53,300,578 NET ASSETS: Beginning of period......................................... 1,579,093,251 1,444,369,008 314,026,231 260,725,653 -------------- -------------- -------------- -------------- End of period............................................... $ 334,328,422 $1,579,093,251 $ 141,436,244 $ 314,026,231 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period......................................... $ -- $ 232,589 ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 38,250,002 40,850,002 7,250,002 6,750,002 Shares sold................................................. 15,600,000 31,400,000 300,000 6,600,000 Shares redeemed............................................. (45,100,000) (34,000,000) (3,750,000) (6,100,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 8,750,002 38,250,002 3,800,002 7,250,002 ============== ============== ============== ==============
Page 52 See Notes to Financial Statements
FIRST TRUST FIRST TRUST TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXL) (FXU) ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended 1/31/2019 Year Ended 1/31/2019 Year Ended (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 ---------------- ---------------- ---------------- ---------------- $ 8,251,437 $ 2,484,348 $ 2,160,299 $ 15,009,787 10,834,259 184,838,724 3,719,865 53,774,587 42,233,172 57,513,718 12,195,125 (82,012,328) -------------- -------------- -------------- -------------- 61,318,868 244,836,790 18,075,289 (13,227,954) -------------- -------------- -------------- -------------- (4,278,950) (4,441,991) -------------- -------------- (2,688,800) (16,157,772) -------------- -------------- 463,377,119 2,013,289,240 183,988,627 461,544,643 (641,353,205) (866,337,102) (105,858,287) (1,473,950,260) -------------- -------------- -------------- -------------- (177,976,086) 1,146,952,138 78,130,340 (1,012,405,617) -------------- -------------- -------------- -------------- (120,936,168) 1,389,100,128 91,763,638 (1,041,791,343) 1,996,200,723 607,100,595 308,540,214 1,350,331,557 -------------- -------------- -------------- -------------- $1,875,264,555 $1,996,200,723 $ 400,303,852 $ 308,540,214 ============== ============== ============== ============== $ 30,524 $ -- ============== ============== 35,305,000 13,455,000 11,700,002 48,850,002 7,600,000 37,700,000 6,600,000 17,200,000 (11,150,000) (15,850,000) (3,850,000) (54,350,000) -------------- -------------- -------------- -------------- 31,755,000 35,305,000 14,450,002 11,700,002 ============== ============== ============== ==============
See Notes to Financial Statements Page 53 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 -------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 42.42 $ 37.53 $ 36.06 $ 37.29 $ 32.24 $ 28.81 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.18 0.43 0.34 0.53 0.30 0.13 Net realized and unrealized gain (loss) (1.64) 4.88 1.48 (1.43) 5.03 3.43 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.46) 5.31 1.82 (0.90) 5.33 3.56 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.21) (0.42) (0.35) (0.33) (0.28) (0.13) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 40.75 $ 42.42 $ 37.53 $ 36.06 $ 37.29 $ 32.24 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (3.41)% 14.17% 5.10% (2.34)% 16.54% 12.37% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 303,569 $ 409,343 $ 407,197 $1,766,902 $2,559,671 $ 943,060 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.64% 0.63% 0.61% 0.63% 0.70% Ratio of net expenses to average net assets 0.63% (b) 0.64% 0.63% 0.61% 0.63% 0.70% Ratio of net investment income (loss) to average net assets 0.86% (b) 1.03% 0.79% 1.39% 0.91% 0.42% Portfolio turnover rate (c) 41% 101% 93% 103% 131% 100%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 -------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 46.50 $ 46.84 $ 49.06 $ 45.69 $ 37.71 $ 33.22 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.33 1.00 0.56 0.76 0.72 0.51 Net realized and unrealized gain (loss) (1.12) (0.74) (2.20) 3.38 7.95 4.51 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.79) 0.26 (1.64) 4.14 8.67 5.02 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.72) (0.60) (0.58) (0.77) (0.69) (0.53) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 44.99 $ 46.50 $ 46.84 $ 49.06 $ 45.69 $ 37.71 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (1.72)% 0.53% (3.31)% 9.19% 23.09% 15.14% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 335,151 $ 369,643 $ 461,376 $2,558,300 $2,894,359 $1,059,728 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% (b) 0.64% 0.62% 0.61% 0.62% 0.69% Ratio of net expenses to average net assets 0.64% (b) 0.64% 0.62% 0.61% 0.62% 0.69% Ratio of net investment income (loss) to average net assets 1.38% (b) 2.09% 0.94% 1.60% 1.75% 1.59% Portfolio turnover rate (c) 35% 107% 100% 102% 87% 100%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 54 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 -------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 17.10 $ 13.66 $ 14.54 $ 16.93 $ 28.07 $ 22.62 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.11 0.12 0.14 0.22 0.40 0.27 Net realized and unrealized gain (loss) (3.90) 3.47 (0.85) (2.37) (11.14) 5.43 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (3.79) 3.59 (0.71) (2.15) (10.74) 5.70 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.11) (0.15) (0.17) (0.24) (0.40) (0.25) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 13.20 $ 17.10 $ 13.66 $ 14.54 $ 16.93 $ 28.07 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (22.17)% 26.45% (4.99)% (12.67)% (38.59)% 25.30% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 210,461 $ 437,773 $ 249,296 $1,458,077 $ 346,292 $ 813,925 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (b) 0.63% 0.63% 0.62% 0.64% 0.70% Ratio of net expenses to average net assets 0.65% (b) 0.63% 0.63% 0.62% 0.64% 0.70% Ratio of net investment income (loss) to average net assets 1.36% (b) 0.68% 1.03% 1.40% 1.68% 1.10% Portfolio turnover rate (c) 45% 108% 55% 112% 97% 72%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 -------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 32.04 $ 29.39 $ 24.09 $ 24.43 $ 21.64 $ 19.79 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.32 0.62 0.44 0.39 0.30 0.33 Net realized and unrealized gain (loss) (2.08) 2.61 5.30 (0.36) 2.79 1.83 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.76) 3.23 5.74 0.03 3.09 2.16 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.43) (0.58) (0.44) (0.37) (0.30) (0.31) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 29.85 $ 32.04 $ 29.39 $ 24.09 $ 24.43 $ 21.64 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (5.41)% 11.06% 24.00% 0.22% 14.39% 10.95% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 967,150 $1,252,910 $1,121,234 $ 710,692 $1,074,976 $ 904,448 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.63% 0.63% 0.64% 0.64% 0.69% Ratio of net expenses to average net assets 0.63% (b) 0.63% 0.63% 0.64% 0.64% 0.69% Ratio of net investment income (loss) to average net assets 2.00% (b) 1.99% 1.72% 1.72% 1.59% 1.61% Portfolio turnover rate (c) 33% 70% 80% 75% 80% 55%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 55 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 76.80 $ 66.92 $ 61.55 $ 69.63 $ 53.13 $ 42.58 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.04) (0.02) (0.03) 0.00 (a)(b) (0.05) (0.01) Net realized and unrealized gain (loss) (2.06) 9.90 5.40 (8.08) 16.55 10.56 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.10) 9.88 5.37 (8.08) 16.50 10.55 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 74.70 $ 76.80 $ 66.92 $ 61.55 $ 69.63 $ 53.13 ========== ========== ========== ========== ========== ========== TOTAL RETURN (c) (2.73)% 14.76% 8.72% (11.60)% 31.06% 24.78% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,054,328 $1,063,745 $1,067,382 $1,147,893 $4,233,585 $2,151,907 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% (d) 0.63% 0.62% 0.61% 0.62% 0.67% Ratio of net expenses to average net assets 0.62% (d) 0.63% 0.62% 0.61% 0.62% 0.67% Ratio of net investment income (loss) to average net assets (0.13)% (d) (0.03)% (0.05)% 0.01% (0.10)% (0.01)% Portfolio turnover rate (e) 50% 107% 112% 118% 125% 81%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 -------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 41.28 $ 35.36 $ 28.94 $ 29.46 $ 29.27 $ 24.11 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.23 0.28 0.17 0.24 0.13 0.24 Net realized and unrealized gain (loss) (3.04) 5.92 6.42 (0.51) 0.26 5.16 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.81) 6.20 6.59 (0.27) 0.39 5.40 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.26) (0.28) (0.17) (0.25) (0.20) (0.24) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 38.21 $ 41.28 $ 35.36 $ 28.94 $ 29.46 $ 29.27 ========== ========== ========== ========== ========== ========== TOTAL RETURN (c) (6.77)% 17.57% 22.81% (0.82)% 1.30% 22.44% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 334,328 $1,579,093 $1,444,369 $ 159,169 $ 380,087 $ 881,038 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (d) 0.62% 0.63% 0.66% 0.63% 0.69% Ratio of net expenses to average net assets 0.63% (d) 0.62% 0.63% 0.66% 0.63% 0.69% Ratio of net investment income (loss) to average net assets 0.82% (d) 0.70% 0.53% 0.93% 0.55% 0.99% Portfolio turnover rate (e) 34% 91% 101% 103% 105% 95%
(a) Based on average shares outstanding. (b) Amount is less than $0.01. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (d) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 56 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 -------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 43.31 $ 38.63 $ 34.32 $ 30.68 $ 32.55 $ 27.93 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.26 0.40 0.48 0.41 0.47 0.35 Net realized and unrealized gain (loss) (6.06) 4.69 4.30 3.65 (1.88) 4.60 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (5.80) 5.09 4.78 4.06 (1.41) 4.95 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.29) (0.41) (0.47) (0.42) (0.46) (0.33) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 37.22 $ 43.31 $ 38.63 $ 34.32 $ 30.68 $ 32.55 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (13.38)% 13.20% 14.01% 13.48% (4.36)% 17.73% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 141,436 $ 314,026 $ 260,726 $ 250,558 $ 156,470 $ 706,424 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (b) 0.64% 0.65% 0.66% 0.64% 0.70% Ratio of net expenses to average net assets 0.65% (b) 0.64% 0.65% 0.66% 0.64% 0.70% Ratio of net investment income (loss) to average net assets 1.25% (b) 0.92% 1.40% 1.26% 1.25% 1.16% Portfolio turnover rate (c) 31% 92% 84% 113% 104% 76%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 -------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 56.54 $ 45.12 $ 34.84 $ 34.98 $ 31.74 $ 25.97 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.25 0.09 0.32 0.27 0.14 0.08 Net realized and unrealized gain (loss) 2.39 11.43 10.32 (0.14) 3.26 5.78 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.64 11.52 10.64 0.13 3.40 5.86 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.13) (0.10) (0.36) (0.27) (0.16) (0.09) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 59.05 $ 56.54 $ 45.12 $ 34.84 $ 34.98 $ 31.74 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 4.69% 25.55% 30.72% 0.42% 10.72% 22.59% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,875,265 $1,996,201 $ 607,101 $ 491,478 $ 900,971 $ 834,967 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% (b) 0.63% 0.63% 0.63% 0.63% 0.70% Ratio of net expenses to average net assets 0.62% (b) 0.63% 0.63% 0.63% 0.63% 0.70% Ratio of net investment income (loss) to average net assets 0.82% (b) 0.17% 0.82% 0.82% 0.53% 0.28% Portfolio turnover rate (c) 37% 127% 115% 109% 91% 85%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 57 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 -------------------------------------------------------------- (UNAUDITED) 2018 2017 2016 2015 2014 ---------------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 26.37 $ 27.64 $ 27.46 $ 23.06 $ 22.59 $ 20.56 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.17 0.98 0.76 0.73 0.83 0.59 Net realized and unrealized gain (loss) 1.49 (1.30) 0.19 4.38 0.47 2.04 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.66 (0.32) 0.95 5.11 1.30 2.63 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.33) (0.95) (0.77) (0.71) (0.83) (0.60) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.70 $ 26.37 $ 27.64 $ 27.46 $ 23.06 $ 22.59 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 6.31% (1.09)% 3.57% 22.66% 5.77% 13.08% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 400,304 $ 308,540 $1,350,332 $1,831,298 $ 132,568 $ 634,851 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% (b) 0.63% 0.62% 0.62% 0.69% 0.70% Ratio of net expenses to average net assets 0.64% (b) 0.63% 0.62% 0.62% 0.69% 0.70% Ratio of net investment income (loss) to average net assets 1.23% (b) 2.67% 2.74% 2.79% 2.58% 2.31% Portfolio turnover rate (c) 22% 76% 57% 71% 94% 83%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 58 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one exchange-traded funds considered either a Sector Fund or a Style Fund. This report covers the nine Sector Funds listed below. The shares of each Sector Fund are listed and traded on NYSE Arca, Inc. First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD") First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG") First Trust Energy AlphaDEX(R) Fund - (ticker "FXN") First Trust Financials AlphaDEX(R) Fund - (ticker "FXO") First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH") First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker "FXR") First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ") First Trust Technology AlphaDEX(R) Fund - (ticker "FXL") First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU") Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Each Fund's Creation Units are generally issued and redeemed in-kind for securities in which a Fund invests, and in certain circumstances, for cash, and only to and from broker-dealers and large institutional investors that have entered into participation agreements. Except when aggregated in Creation Units, each Fund's shares are not redeemable securities. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index(1) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index(1) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index(1) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index(1) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index(1) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index(1) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index(1) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index(1) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index(1)
(1) This index is developed, maintained and sponsored by ICE Data Indices, LLC or its affiliates ("IDI"), and licensed to First Trust Portfolios L.P. ("FTP"), the distributor of the Trust, by IDI. IDI is a successor-in-interest to previous entities that maintained the index in NYSE Group, Inc. and American Stock Exchange LLC. 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board ("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 Page 59 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. Page 60 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of January 31, 2019, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities require entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At January 31, 2019, only FXN, FXO, FXR, and FXL had securities in the securities lending program. During the six months ended January 31, 2019, all Funds except FXZ participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the six months ended January 31, 2019, were received as collateral for lending securities. F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2018 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 $ 4,531,050 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 4,589,886 -- -- First Trust Energy AlphaDEX(R) Fund 2,590,690 -- -- First Trust Financials AlphaDEX(R) Fund 21,806,216 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 11,199,166 -- -- First Trust Materials AlphaDEX(R) Fund 3,162,041 -- -- First Trust Technology AlphaDEX(R) Fund 2,688,800 -- -- First Trust Utilities AlphaDEX(R) Fund 16,157,772 -- --
As of July 31, 2018, 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 $ 407,977 $ (406,970,260) $ 17,765,074 First Trust Consumer Staples AlphaDEX(R) Fund 3,418,985 (218,136,824) (27,661,454) First Trust Energy AlphaDEX(R) Fund -- (341,888,606) 24,564,171 First Trust Financials AlphaDEX(R) Fund 3,456,488 (90,430,393) 92,924,049 First Trust Health Care AlphaDEX(R) Fund (37,822) (550,063,246) 169,584,222 First Trust Industrials/Producer Durables AlphaDEX(R) Fund -- (149,322,515) 127,369,377 First Trust Materials AlphaDEX(R) Fund 232,589 (125,350,505) 17,001,678 First Trust Technology AlphaDEX(R) Fund 30,524 (161,280,539) 124,645,119 First Trust Utilities AlphaDEX(R) Fund -- (114,261,987) (8,056,993)
Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) G. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2015, 2016, 2017, and 2018 remain open to federal and state audit. As of January 31, 2019, 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, 2018, 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 Post Total Available Enactment - Capital through No Loss 7/31/2019 Expiration Available ------------- ------------- ------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 9,617,858 $ 397,352,402 $ 406,970,260 First Trust Consumer Staples AlphaDEX(R) Fund -- 218,136,824 218,136,824 First Trust Energy AlphaDEX(R) Fund 3,349,453 338,539,153 341,888,606 First Trust Financials AlphaDEX(R) Fund 3,464,108 86,966,285 90,430,393 First Trust Health Care AlphaDEX(R) Fund 1,764,162 548,299,084 550,063,246 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,133,736 148,188,779 149,322,515 First Trust Materials AlphaDEX(R) Fund 7,397,299 117,953,206 125,350,505 First Trust Technology AlphaDEX(R) Fund 2,516,610 158,763,929 161,280,539 First Trust Utilities AlphaDEX(R) Fund -- 114,261,987 114,261,987
During the taxable year ended July 31, 2018, the following Funds utilized post-enactment capital loss carryforwards in the following amounts:
Capital Loss Utilized --------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 14,000 First Trust Technology AlphaDEX(R) Fund 3,646,104
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, 2018, 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 $ 37,822 $ --
H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. FTP has entered into licensing agreements with IDI for each of the Funds. The license agreements allow for the use by FTP of certain trademarks and trade names of IDI. The Funds and First Trust are sub-licensees to the license agreement. The Funds are required to pay licensing fees, which are shown on the Statements of Operations. Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) I. NEW ACCOUNTING PRONOUNCEMENT On August 28, 2018, the FASB issued Accounting Standards Update ("ASU") 2018-13, "Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement," which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Funds have early adopted ASU 2018-13 for these financial statements, which did not result in a material impact. 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, 2019. 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 its Expense Cap. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. For the six months ended January 31, 2019, there were no fees waived or expenses reimbursed by First Trust for the Funds. As of January 31, 2019, none of the Funds had previously waived fees or expenses reimbursed that are subject to recovery. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, 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 64 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) 4. PURCHASES AND SALES OF SECURITIES For the six months ended January 31, 2019, 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 $ 153,436,355 $ 153,182,873 First Trust Consumer Staples AlphaDEX(R) Fund 121,138,680 124,687,283 First Trust Energy AlphaDEX(R) Fund 157,477,088 156,790,984 First Trust Financials AlphaDEX(R) Fund 366,502,117 367,449,268 First Trust Health Care AlphaDEX(R) Fund 805,607,770 805,395,284 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 369,024,767 371,091,762 First Trust Materials AlphaDEX(R) Fund 66,758,235 67,206,131 First Trust Technology AlphaDEX(R) Fund 746,018,447 741,140,094 First Trust Utilities AlphaDEX(R) Fund 76,400,838 84,677,279
For the six months ended January 31, 2019, 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 $ 44,386,918 $ 128,500,156 First Trust Consumer Staples AlphaDEX(R) Fund 66,909,802 89,455,488 First Trust Energy AlphaDEX(R) Fund 145,847,975 270,500,108 First Trust Financials AlphaDEX(R) Fund 23,710,845 224,167,404 First Trust Health Care AlphaDEX(R) Fund 1,542,353,222 439,401,765 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 634,689,569 1,729,059,727 First Trust Materials AlphaDEX(R) Fund 12,774,553 143,094,748 First Trust Technology AlphaDEX(R) Fund 462,535,798 640,462,516 First Trust Utilities AlphaDEX(R) Fund 183,027,367 104,854,090
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. Page 65 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) 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 November 30, 2019. 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 66 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS 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 each Fund's website at www.ftportfolios.com; and (3) on the SEC's website at www.sec.gov. Beginning in April 2019, the Trust will cease to disclose each Fund's holdings on Form N-Q and will file Form N-PORT with the SEC on a fiscal quarter basis. Part F of Form N-PORT, which contains the complete schedule of each Fund's portfolio holdings, will be made available in the same manner as Form N-Q discussed above. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a large percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is not concentrated. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest Page 67 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF Risk. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. Fixed Income Securities Risk. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could significantly increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. Market Risk. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. Page 68 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2019 (UNAUDITED) Non-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. Passive Investment Risk. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 69 This page is intentionally left blank. This page is intentionally left blank. This page is intentionally left blank. -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603 [BLANK BACK COVER] -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Semi-Annual Report January 31, 2019 -------------------------------------------------------------------------------- AlphaDEX(R) Style Funds ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Mega Cap AlphaDEX(R) Fund (FMK) AlphaDEX(R) Family of ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS SEMI-ANNUAL REPORT JANUARY 31, 2019 Shareholder Letter......................................................... 2 Market Overview............................................................ 3 Fund Performance Overview First Trust Large Cap Core AlphaDEX(R) Fund (FEX).................... 4 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)...................... 6 First Trust Small Cap Core AlphaDEX(R) Fund (FYX).................... 8 First Trust Large Cap Value AlphaDEX(R) Fund (FTA)................... 10 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC).................. 12 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)................... 14 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD).................. 16 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)..................... 18 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY).................... 20 First Trust Small Cap Value AlphaDEX(R) Fund (FYT)................... 22 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC).................. 24 First Trust Mega Cap AlphaDEX(R) Fund (FMK).......................... 26 Notes to Fund Performance Overview......................................... 28 Understanding Your Fund Expenses........................................... 29 Portfolio of Investments First Trust Large Cap Core AlphaDEX(R) Fund (FEX).................... 31 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)...................... 38 First Trust Small Cap Core AlphaDEX(R) Fund (FYX).................... 46 First Trust Large Cap Value AlphaDEX(R) Fund (FTA)................... 55 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC).................. 59 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)................... 64 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD).................. 74 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)..................... 84 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY).................... 89 First Trust Small Cap Value AlphaDEX(R) Fund (FYT)................... 94 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC).................. 100 First Trust Mega Cap AlphaDEX(R) Fund (FMK).......................... 106 Statements of Assets and Liabilities....................................... 108 Statements of Operations................................................... 111 Statements of Changes in Net Assets........................................ 114 Financial Highlights....................................................... 118 Notes to Financial Statements.............................................. 125 Additional Information..................................................... 134 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information Section of this report for a discussion of other risks in investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2019 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the Style Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds") which contains detailed information about the Funds for the six months ended January 31, 2019. We encourage you to read this report carefully and discuss it with your financial advisor. Market volatility was the norm over the last six months, continuing the pattern we had seen throughout 2018. August was a strong month for stocks, and the Dow Jones Industrial Average ("DJIA") finished the month just under its previous high in January 2018. At the close of the third quarter in September, the markets had moved higher into positive territory. In fact, all three major U.S. indices (the Nasdaq Composite Index, the DJIA and the S&P 500(R) Index) hit record levels during the third quarter. In October, markets were again very volatile, surprising analysts and investors alike. Both global markets and U.S. markets fell on fears of slowing growth, trade wars and higher interest rates. The DJIA was down 4.98% for October and the MSCI EAFE Index, an index of stocks in 21 developed markets (excluding the U.S. and Canada), was down 7.96%. However, as November ended, the DJIA climbed 617 points (2.49%) to its biggest one-day gain in eight months. The MSCI EAFE Index ended November down slightly. December held its own shocks as it became the worst December for stocks since the Great Depression. The DJIA and MSCI EAFE Index ended December with year-to-date returns of -3.48% and -13.79%, respectively. For the first time in nine years, the S&P 500(R) Index posted a negative return for the year, down 4.38%. During the fourth quarter, international equities outperformed the U.S. for the first time all year. Emerging markets, which suffered throughout most of 2018, dropped 7.5% in the fourth quarter, yet still managed to outperform the U.S. and developed markets by over 500 basis points. As 2019 began, investors wondered if the volatility of 2018 would continue. For the month of January, the DJIA rose steadily, ending the month up 7.29% from December's low. The MSCI EAFE Index also trended upward, ending January up 6.57%. The Federal Reserve (the "Fed") raised interest rates in September and again in December to a target range of 2.25-2.50%. The Fed also lowered its inflation and growth expectations for 2019 and subsequently reduced its interest rate hike projections as well, from three rate hikes to two. While trade tensions have had an impact on markets around the world and could continue to do so in the future, our First Trust economists believe that the long-term impact of U.S. tariffs will be to encourage countries to come back to the table and talk about more equal trade. Despite market volatility, we continue to believe that the combination of low interest rates, low inflation and strong corporate earnings still point to a positive economic environment and further growth, though we understand that past performance can never guarantee future performance. We continue to believe that you should invest for the long term and be prepared for market movements, which can happen at any time. You can do this by keeping current on your portfolio and speaking regularly with your investment professional. Markets go up and they also go down, but savvy investors are prepared for either through careful attention to investment goals. Thank you for giving First Trust the opportunity to be a part of your financial plan. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL REPORT JANUARY 31, 2019 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 In its latest forecast released in January 2019, the International Monetary Fund ("IMF") is calling for the world real gross domestic product ("GDP") growth rate to dip from an estimated 3.7% in 2018 to an estimated 3.5% in 2019, according to its own release. The IMF cited the ongoing trade dispute between the U.S. and China as being partly responsible for the small downward revision in growth. The U.S. real GDP growth rate is expected to decrease from an estimated 2.9% in 2018 to an estimated 2.5% in 2019. The growth rate for Emerging Market and Developing Economies is expected to dip from an estimated 4.6% in 2018 to an estimated 4.5% in 2019. As indicated by the growth forecasts, we believe there is no imminent threat of a global economic recession. We believe that concerns over the extent to which interest rates could trend higher in 2019 and the potential for trade tariffs escalating to an all-out trade war were largely behind the spikes in volatility in the stock market in 2018, particularly in the fourth quarter of 2018. For those investors who fear that higher interest rates could dampen the prospects for stocks in 2019, Federal Reserve (the "Fed") Chairman Jerome Powell announced on January 4, 2019 that the Fed will be adopting a "patient" approach to tightening monetary policy. With respect to trade, the Trump Administration sent trade representatives to China on January 7, 2019 to set up future trade policy talks. The two countries also agreed to a 90-day truce freezing tariffs until March 1, 2019. The tariffs were launched by the Trump Administration in early March 2018. STYLE/EQUITY INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end mutual funds and exchange-traded funds ("ETFs"). The flows are reported over time on a rolling 12-month basis. For the 12-month period ended January 31, 2019, U.S. Equity funds/ETFs reported estimated net inflows totaling $8.47 billion, according to data from Morningstar. As has been the case for some time, investors favored passive funds over actively managed funds. Passive U.S. Equity funds/ETFs reported estimated net inflows totaling $160.63 billion, compared to estimated net outflows totaling $152.16 billion for actively managed U.S. Equity funds/ETFs for the same period. For the 12-month period ended January 31, 2019, U.S. Large Blend, U.S. Large Growth and U.S. Large Value equity funds/ETFs reported estimated net flows totaling $113.18 billion, -$28.69 billion and -$20.20 billion, respectively, according to Morningstar. U.S. Mid-Cap Blend, U.S. Mid-Cap Growth and U.S. Mid-Cap Value equity funds/ETFs reported estimated net flows totaling $11.21 billion, -$5.12 billion and -$13.35 billion, respectively, for the same period. U.S. Small Blend, U.S. Small Growth and U.S. Small Value equity funds/ETFs reported estimated net flows totaling $13.17 billion, $4.87 billion and -$2.11 billion, respectively, for the same period. For the six-month period ended January 31, 2019, the S&P 500(R) Index posted a total return of -3.00%, according to Bloomberg. Value stocks outperformed growth stocks in the period. The S&P 500(R) Value Index posted a total return of -2.84%, compared to -3.13% for the S&P 500(R) Growth Index for the same period. The S&P MidCap 400(R) Index posted a total return of -6.74% in the period. Value stocks outperformed growth stocks in the period. The S&P MidCap 400(R) Value Index posted a total return of -5.71%, compared to -7.68% for the S&P MidCap 400(R) Growth Index for the same period. The S&P SmallCap 600(R) Index posted a total return of -10.27% in the period. Growth stocks outperformed value stocks in the period. The S&P SmallCap 600(R) Growth Index posted a total return of -9.61%, compared to -10.76% for the S&P SmallCap 600(R) Value Index for the same period. As of February 1, 2019, Bloomberg's consensus estimated earnings growth rates for 2019 for the S&P 500(R) Index and the 11 major sectors that comprise it were as follows: S&P 500(R) (+6.0%); Communication Services (+9.0%); Consumer Discretionary (+11.8%); Consumer Staples (+2.9%); Energy (-8.2%); Financials (+8.8%); Health Care (+7.1%); Industrials (+9.1%); Information Technology (+3.7%); Materials (+0.1%); Real Estate (+5.7%); and Utilities (+4.7%). We believe that earnings growth projections may be understated due to the lack of a new trade agreement between the U.S. and China. The lack of a deal has caused some economists and organizations to trim their outlook on global growth. We believe that a new deal could boost global growth projections, provided the process does not drag on too much longer. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FEX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -5.36% -5.99% 8.96% 15.20% 6.92% 53.55% 311.64% 119.21% Market Price -5.39% -6.05% 8.95% 15.18% 6.92% 53.51% 310.84% 119.25% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Core Index(1) -5.13% -5.47% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(1) -3.01% -2.47% N/A N/A N/A N/A N/A N/A S&P 500(R) Index -3.00% -2.31% 10.96% 15.00% 7.37% 68.19% 304.63% 130.25% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 15.70% Financials 15.55 Information Technology 13.90 Industrials 12.37 Health Care 10.97 Consumer Staples 7.03 Utilities 5.58 Communication Services 5.51 Materials 5.25 Energy 4.59 Real Estate 3.55 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Advanced Micro Devices, Inc. 0.54% Xilinx, Inc. 0.53 Lear Corp. 0.51 ServiceNow, Inc. 0.50 Chipotle Mexican Grill, Inc. 0.50 Southwest Airlines Co. 0.50 Western Digital Corp. 0.50 MGM Resorts International 0.49 Norwegian Cruise Line Holdings Ltd. 0.49 Ulta Beauty, Inc. 0.49 ------- Total 5.05% ======= Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2008 - JANUARY 31, 2019 First Trust Large Cap Core S&P 500(R) AlphaDEX(R) Fund Index 7/08 $10,000 $10,000 1/09 6,413 6,605 7/09 8,082 8,004 1/10 9,174 8,794 7/10 9,881 9,111 1/11 11,760 10,745 7/11 11,911 10,902 1/12 11,998 11,197 7/12 12,173 11,897 1/13 13,997 13,076 7/13 15,996 14,872 1/14 17,192 15,890 7/14 18,848 17,390 1/15 19,587 18,150 7/15 20,294 19,339 1/16 18,169 18,030 7/16 21,023 20,426 1/17 22,518 21,644 7/17 24,529 23,702 1/18 28,078 27,359 7/18 27,894 27,551 1/19 26,398 26,726
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 139 0 0 0 8/1/18 - 1/31/19 71 2 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% 8/1/13 - 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 8/1/17 - 7/31/18 113 0 0 0 8/1/18 - 1/31/19 50 3 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -5.98% -3.13% 6.91% 15.67% 7.68% 39.69% 328.57% 138.33% Market Price -5.88% -3.08% 6.91% 15.67% 7.68% 39.63% 328.58% 138.33% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Core Index(1) -5.71% -2.55% N/A N/A N/A N/A N/A N/A Nasdaq US 600 Mid Cap Index(1) -5.47% -2.17% N/A N/A N/A N/A N/A N/A S&P MidCap 400(R) Index -6.74% -4.53% 8.63% 15.69% 7.98% 51.23% 329.39% 146.06% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 18.65% Industrials 18.02 Consumer Discretionary 13.28 Information Technology 13.24 Real Estate 8.62 Health Care 8.30 Materials 5.70 Energy 3.97 Consumer Staples 3.77 Utilities 3.28 Communication Services 3.17 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- McDermott International, Inc. 0.44% Spectrum Brands Holdings, Inc. 0.44 Okta, Inc. 0.43 Southwestern Energy Co. 0.42 Chemours (The) Co. 0.42 Air Lease Corp. 0.41 Thor Industries, Inc. 0.41 Twilio, Inc., Class A 0.41 Chegg, Inc. 0.41 United States Steel Corp. 0.41 ------- Total 4.20% ======= Page 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2008 - JANUARY 31, 2019 First Trust Mid Cap S&P MidCap Core AlphaDEX(R) Fund 400(R) Index 7/08 $10,000 $10,000 1/09 6,311 6,271 7/09 8,458 7,975 1/10 9,645 8,990 7/10 10,482 9,795 1/11 12,869 11,998 7/11 13,270 12,318 1/12 13,482 12,322 7/12 13,358 12,466 1/13 15,597 14,609 7/13 17,728 16,580 1/14 19,360 17,803 7/14 20,119 18,716 1/15 20,465 19,740 7/15 21,235 20,830 1/16 18,275 18,418 7/16 21,396 21,982 1/17 23,403 23,973 7/17 24,522 25,210 1/18 27,916 28,195 7/18 28,768 28,872 1/19 27,047 26,927
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 150 0 0 0 8/1/18 - 1/31/19 63 3 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% 8/1/13 - 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 8/1/17 - 7/31/18 100 1 1 0 8/1/18 - 1/31/19 56 4 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -8.88% -1.77% 6.39% 15.70% 6.81% 36.30% 329.74% 116.72% Market Price -8.86% -1.71% 6.38% 15.67% 6.81% 36.26% 328.88% 116.72% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Core Index(1) -8.61% -1.19% N/A N/A N/A N/A N/A N/A Nasdaq US 700 Small Cap Index(1) -8.70% -1.45% N/A N/A N/A N/A N/A N/A S&P SmallCap 600(R) Index -10.27% -1.25% 9.37% 16.33% 8.19% 56.46% 353.79% 151.83% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 23.10% Consumer Discretionary 14.69 Financials 11.90 Health Care 11.35 Information Technology 10.89 Real Estate 6.99 Energy 5.61 Communication Services 5.16 Materials 4.88 Consumer Staples 3.93 Utilities 1.50 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Herc Holdings, Inc. 0.40% Select Energy Services, Inc., Class A 0.38 Bed Bath & Beyond, Inc. 0.38 American Axle & Manufacturing Holdings, Inc. 0.38 Multi-Color Corp. 0.38 U.S. Silica Holdings, Inc. 0.38 ACCO Brands Corp. 0.37 AdvanSix, Inc. 0.37 Kraton Corp. 0.37 Entercom Communications Corp., Class A 0.36 ------- Total 3.77% ======= Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2008 - JANUARY 31, 2019 First Trust Small Cap S&P SmallCap Core AlphaDEX(R) Fund 600(R) Index 7/08 $10,000 $10,000 1/09 6,085 6,346 7/09 8,423 8,073 1/10 9,417 8,818 7/10 10,161 9,621 1/11 12,194 11,546 7/11 12,621 11,999 1/12 13,129 12,412 7/12 12,800 12,479 1/13 14,893 14,331 7/13 17,483 16,819 1/14 19,185 18,407 7/14 19,170 18,675 1/15 19,620 19,540 7/15 20,217 20,912 1/16 17,296 18,624 7/16 20,661 22,157 1/17 22,918 25,020 7/17 23,974 26,071 1/18 26,623 29,163 7/18 28,698 32,091 1/19 26,149 28,798
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 152 0 0 0 8/1/18 - 1/31/19 54 4 1 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% 8/1/13 - 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 8/1/17 - 7/31/18 99 1 0 0 8/1/18 - 1/31/19 65 2 0 0 Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) The First Trust Large Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FTA." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Value Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -5.10% -8.04% 7.64% 15.31% 6.42% 44.50% 315.73% 107.58% Market Price -5.15% -8.16% 7.63% 15.32% 6.42% 44.46% 316.00% 107.57% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Value Index(1) -4.83% -7.50% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Value Index(1) -3.45% -6.55% N/A N/A N/A N/A N/A N/A S&P 500(R) Index -3.00% -2.31% 10.96% 15.00% 7.37% 68.19% 304.63% 130.25% S&P 500(R) Value Index -2.84% -5.08% 8.70% 13.59% 5.18% 51.78% 257.60% 80.95% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 23.48% Consumer Discretionary 16.31 Industrials 11.18 Consumer Staples 8.86 Utilities 7.89 Materials 7.06 Health Care 7.00 Communication Services 6.49 Energy 5.52 Information Technology 5.13 Real Estate 1.08 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Lear Corp. 1.02% Southwest Airlines Co. 1.00 Western Digital Corp. 1.00 MGM Resorts International 0.99 Molson Coors Brewing Co., Class B 0.97 Nucor Corp. 0.97 Liberty Broadband Corp., Class C 0.97 Hewlett Packard Enterprise Co. 0.97 International Paper Co. 0.96 PVH Corp. 0.96 ------- Total 9.81% ======= Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2008 - JANUARY 31, 2019 First Trust Large Cap S&P 500(R) S&P 500(R) Value AlphaDEX(R) Fund Index Value Index 7/08 $10,000 $10,000 $10,000 1/09 6,354 6,605 6,274 7/09 8,477 8,004 7,634 1/10 9,882 8,794 8,480 7/10 10,471 9,111 8,777 1/11 12,329 10,745 10,284 7/11 12,387 10,902 10,109 1/12 12,818 11,197 10,400 7/12 13,001 11,897 10,891 1/13 15,217 13,076 12,424 7/13 17,311 14,872 14,191 1/14 18,280 15,890 14,781 7/14 20,333 17,390 16,218 1/15 20,506 18,150 16,533 7/15 20,274 19,339 17,288 1/16 17,855 18,030 15,940 7/16 20,869 20,426 18,288 1/17 23,891 21,644 19,804 7/17 25,740 23,702 20,911 1/18 28,721 27,359 23,637 7/18 27,835 27,551 23,089 1/19 26,415 26,726 22,436
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 134 0 0 0 8/1/18 - 1/31/19 71 3 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% 8/1/13 - 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 8/1/17 - 7/31/18 118 0 0 0 8/1/18 - 1/31/19 50 2 0 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) The First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FTC." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Growth Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -6.19% -4.34% 10.18% 14.61% 7.13% 62.41% 291.13% 124.40% Market Price -6.34% -4.44% 10.16% 14.58% 7.12% 62.23% 290.12% 124.21% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Growth Index(1) -6.02% -3.84% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Growth Index(1) -2.61% 0.98% N/A N/A N/A N/A N/A N/A S&P 500(R) Index -3.00% -2.31% 10.96% 15.00% 7.37% 68.19% 304.63% 130.25% S&P 500(R) Growth Index -3.13% 0.25% 12.84% 16.23% 9.37% 82.94% 349.94% 185.99% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 24.50% Health Care 16.11 Consumer Discretionary 14.28 Industrials 13.66 Financials 5.97 Real Estate 5.94 Communication Services 4.69 Energy 4.22 Consumer Staples 4.19 Materials 3.98 Utilities 2.46 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Advanced Micro Devices, Inc. 1.10% Xilinx, Inc. 1.09 ServiceNow, Inc. 1.03 Chipotle Mexican Grill, Inc. 1.02 Ulta Beauty, Inc. 0.99 Splunk, Inc. 0.99 IAC/InterActiveCorp 0.96 Workday, Inc., Class A 0.95 HCA Healthcare, Inc. 0.93 Progressive (The) Corp. 0.93 ------- Total 9.99% ======= Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2008 - JANUARY 31, 2019 First Trust Large Cap S&P 500(R) S&P 500(R) Growth AlphaDEX(R) Fund Index Growth Index 7/08 $10,000 $10,000 $10,000 1/09 6,446 6,605 6,921 7/09 7,562 8,004 8,356 1/10 8,283 8,794 9,080 7/10 9,089 9,111 9,418 1/11 10,999 10,745 11,183 7/11 11,219 10,902 11,692 1/12 10,869 11,197 12,001 7/12 11,007 11,897 12,906 1/13 12,326 13,076 13,730 7/13 14,136 14,872 15,551 1/14 15,525 15,890 17,019 7/14 16,805 17,390 18,581 1/15 18,044 18,150 19,811 7/15 19,717 19,339 21,460 1/16 18,064 18,030 20,189 7/16 20,499 20,426 22,594 1/17 20,268 21,644 23,407 7/17 22,363 23,702 26,429 1/18 26,355 27,359 31,057 7/18 26,877 27,551 32,141 1/19 25,213 26,726 31,141
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 158 0 0 0 8/1/18 - 1/31/19 73 3 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% 8/1/13 - 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 8/1/17 - 7/31/18 94 0 0 0 8/1/18 - 1/31/19 47 3 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FAB." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select value stocks from the Nasdaq US 500 Large Cap Index, Nasdaq US 600 Mid Cap Index, and Nasdaq US 700 Small Cap Index (together, the "Nasdaq US Multi Cap Value Index") that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -6.06% -6.32% 6.18% 15.53% 6.55% 34.94% 323.56% 110.62% Market Price -6.06% -6.34% 6.16% 15.52% 6.55% 34.81% 323.25% 110.60% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Value Index(1) -5.76% -5.68% N/A N/A N/A N/A N/A N/A Nasdaq US Multi Cap Value Index(1) -3.97% -6.34% N/A N/A N/A N/A N/A N/A S&P Composite 1500(R) Index -3.48% -2.42% 10.73% 15.12% 7.46% 66.49% 308.75% 132.52% S&P Composite 1500(R) Value Index -3.34% -4.90% 8.64% 13.77% 5.41% 51.33% 263.41% 85.62% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 21.18% Industrials 16.60 Consumer Discretionary 15.67 Materials 7.51 Energy 6.61 Consumer Staples 6.60 Information Technology 5.69 Communication Services 5.62 Utilities 5.39 Real Estate 4.60 Health Care 4.53 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Lear Corp. 0.50% Southwest Airlines Co. 0.49 Western Digital Corp. 0.49 MGM Resorts International 0.49 Molson Coors Brewing Co., Class B 0.48 Nucor Corp. 0.48 Liberty Broadband Corp., Class C 0.47 Hewlett Packard Enterprise Co. 0.47 International Paper Co. 0.47 PVH Corp. 0.47 ------- Total 4.81% ======= Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2008 - JANUARY 31, 2019 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Value AlphaDEX(R) Fund 1500(R) Index Value Index 7/08 $10,000 $10,000 $10,000 1/09 6,319 6,288 6,569 7/09 8,849 8,003 7,679 1/10 10,275 8,809 8,545 7/10 10,941 9,182 8,885 1/11 13,061 10,870 10,438 7/11 13,144 11,051 10,285 1/12 13,721 11,328 10,577 7/12 13,621 11,965 11,023 1/13 16,059 13,240 12,623 7/13 18,515 15,072 14,439 1/14 19,835 16,126 15,099 7/14 21,362 17,545 16,493 1/15 21,360 18,329 16,834 7/15 21,204 19,519 17,568 1/16 18,308 18,098 16,136 7/16 21,623 20,612 18,626 1/17 24,726 21,933 20,251 7/17 25,831 23,911 21,318 1/18 28,572 27,515 24,027 7/18 28,490 27,813 23,639 1/19 26,764 26,845 22,849
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 81 0 0 0 8/1/18 - 1/31/19 49 3 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% 8/1/13 - 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 8/1/17 - 7/31/18 170 0 1 0 8/1/18 - 1/31/19 73 1 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 growth stocks from the Nasdaq US 500 Large Cap Index, Nasdaq US 600 Mid Cap Index, and Nasdaq US 700 Small Cap Index (together, the "Nasdaq US Multi Cap Growth Index") that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/19 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -6.98% -2.30% 9.59% 15.05% 7.55% 58.05% 306.20% 134.84% Market Price -7.06% -2.34% 9.53% 15.04% 7.55% 57.63% 306.13% 134.80% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Growth Index(1) -6.73% -1.69% N/A N/A N/A N/A N/A N/A Nasdaq US Multi Cap Growth Index(1) -3.01% 0.97% N/A N/A N/A N/A N/A N/A S&P Composite 1500(R) Index -3.48% -2.42% 10.73% 15.12% 7.46% 66.49% 308.75% 132.52% S&P Composite 1500(R) Growth Index -3.59% -0.12% 12.48% 16.30% 9.35% 80.04% 352.50% 185.36% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 22.66% Health Care 17.83 Industrials 14.89 Consumer Discretionary 13.86 Financials 8.58 Real Estate 6.40 Communication Services 4.02 Consumer Staples 3.48 Energy 3.45 Materials 2.92 Utilities 1.91 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Advanced Micro Devices, Inc. 0.54% Xilinx, Inc. 0.54 ServiceNow, Inc. 0.51 Chipotle Mexican Grill, Inc. 0.50 Ulta Beauty, Inc. 0.49 Splunk, Inc. 0.49 IAC/InterActiveCorp 0.47 Workday, Inc., Class A 0.47 HCA Healthcare, Inc. 0.46 Progressive (The) Corp. 0.46 ------- Total 4.93% ======= Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2008 - JANUARY 31, 2019 First Trust Multi Cap S&P Composite S&P Composite Growth AlphaDEX(R) Fund 1500(R) Index 1500(R) Growth Index 7/08 $10,000 $10,000 $10,000 1/09 6,268 6,569 6,838 7/09 7,547 8,003 8,315 1/10 8,284 8,809 9,053 7/10 9,105 9,182 9,460 1/11 11,081 10,870 11,289 7/11 11,540 11,051 11,826 1/12 11,316 11,328 12,095 7/12 11,413 11,965 12,920 1/13 12,850 13,240 13,872 7/13 14,610 15,072 15,717 1/14 16,108 16,126 17,184 7/14 16,748 17,545 18,627 1/15 17,823 18,329 19,875 7/15 19,408 19,519 21,547 1/16 17,383 18,098 20,136 7/16 19,923 20,612 22,638 1/17 20,302 21,933 23,551 7/17 22,283 23,911 26,443 1/18 26,056 27,515 30,975 7/18 27,366 27,813 32,094 1/19 25,456 26,847 30,938
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 171 0 0 0 8/1/18 - 1/31/19 70 4 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% 8/1/13 - 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 8/1/17 - 7/31/18 81 0 0 0 8/1/18 - 1/31/19 49 3 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) The First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNK." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Value Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -5.68% -4.83% 5.10% 8.44% 28.23% 87.96% Market Price -5.65% -4.83% 5.07% 8.44% 28.05% 87.95% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Value Index(1) -5.41% -4.20% N/A N/A N/A N/A Nasdaq US 600 Mid Cap Value Index(1) -6.16% -5.21% N/A N/A N/A N/A S&P MidCap 400(R) Value Index -5.71% -2.85% 8.28% 10.19% 48.85% 112.95% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 24.89% Industrials 19.60 Consumer Discretionary 12.70 Real Estate 8.62 Materials 8.33 Energy 6.12 Information Technology 5.83 Consumer Staples 4.60 Utilities 4.15 Communication Services 3.19 Health Care 1.97 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- McDermott International, Inc. 0.88% Spectrum Brands Holdings, Inc. 0.87 Southwestern Energy Co. 0.84 Air Lease Corp. 0.82 Thor Industries, Inc. 0.82 United States Steel Corp. 0.81 DISH Network Corp., Class A 0.80 ManpowerGroup, Inc. 0.80 Ryder System, Inc. 0.79 New Residential Investment Corp. 0.78 ------- Total 8.21% ======= Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2019 First Trust Mid Cap S&P MidCap 400(R) Value AlphaDEX(R) Fund Value Index 4/11 $10,000 $10,000 7/11 9,625 9,581 1/12 9,982 9,720 7/12 9,935 9,869 1/13 11,765 11,640 7/13 13,549 13,358 1/14 14,657 14,305 7/14 15,487 15,311 1/15 15,205 15,816 7/15 15,351 16,204 1/16 13,091 14,376 7/16 15,539 17,468 1/17 17,704 19,524 7/17 17,984 20,073 1/18 19,750 21,915 7/18 19,925 22,582 1/19 18,796 21,295
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 125 0 0 0 8/1/18 - 1/31/19 58 4 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% 8/1/13 - 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 8/1/17 - 7/31/18 127 0 0 0 8/1/18 - 1/31/19 61 2 1 0 Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) The First Trust Mid Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNY." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Growth Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -6.52% -1.17% 8.85% 9.86% 52.79% 107.96% Market Price -6.54% -1.20% 8.86% 9.86% 52.86% 107.91% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Growth Index(1) -6.20% -0.47% N/A N/A N/A N/A Nasdaq US 600 Mid Cap Growth Index(1) -4.85% 0.65% N/A N/A N/A N/A S&P MidCap 400(R) Growth Index -7.68% -6.08% 8.72% 10.06% 51.92% 110.92% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 23.40% Health Care 16.31 Consumer Discretionary 15.21 Industrials 14.96 Financials 9.99 Real Estate 7.41 Communication Services 3.57 Energy 3.00 Materials 2.41 Consumer Staples 2.35 Utilities 1.39 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Okta, Inc. 0.85% Eldorado Resorts, Inc. 0.85 Twilio, Inc., Class A 0.83 Chegg, Inc. 0.82 Trade Desk (The), Inc., Class A 0.81 Five Below, Inc. 0.80 Cree, Inc. 0.78 DexCom, Inc. 0.78 Novocure Ltd. 0.77 Zendesk, Inc. 0.77 ------- Total 8.06% ======= Page 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2019 First Trust Mid Cap S&P MidCap 400(R) Growth AlphaDEX(R) Fund Growth Index 4/11 $10,000 $10,000 7/11 9,881 9,910 1/12 9,804 9,779 7/12 9,673 9,861 1/13 11,050 11,485 7/13 12,290 12,894 1/14 13,612 13,883 7/14 13,824 14,345 1/15 14,646 15,414 7/15 15,748 16,711 1/16 13,744 14,724 7/16 15,753 17,266 1/17 16,331 18,295 7/17 17,791 19,634 1/18 21,047 22,457 7/18 22,251 22,846 1/19 20,796 21,092
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 208 0 0 0 8/1/18 - 1/31/19 72 4 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% 8/1/13 - 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 8/1/17 - 7/31/18 44 0 0 0 8/1/18 - 1/31/19 48 2 0 0 Page 21 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) The First Trust Small Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYT." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Value Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -8.96% -4.38% 4.06% 8.60% 22.05% 90.09% Market Price -8.94% -4.33% 4.06% 8.60% 22.05% 90.10% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Value Index(1) -8.68% -3.75% N/A N/A N/A N/A Nasdaq US 700 Small Cap Value Index(1) -9.42% -4.37% N/A N/A N/A N/A S&P Small Cap 600(R) Value Index -10.76% -3.29% 8.39% 11.20% 49.59% 128.55% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 25.19% Consumer Discretionary 18.56 Financials 10.15 Energy 9.97 Materials 7.35 Communication Services 7.14 Real Estate 7.09 Information Technology 6.83 Consumer Staples 4.10 Health Care 2.42 Utilities 1.20 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Herc Holdings, Inc. 0.80% Select Energy Services, Inc., Class A 0.75 Bed Bath & Beyond, Inc. 0.75 American Axle & Manufacturing Holdings, Inc. 0.75 U.S. Silica Holdings, Inc. 0.74 ACCO Brands Corp. 0.73 Kraton Corp. 0.72 Entercom Communications Corp., Class A 0.72 Gulfport Energy Corp. 0.72 Cars.com, Inc. 0.71 ------- Total 7.39% ======= Page 22 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2019 First Trust Small Cap S&P SmallCap 600(R) Value AlphaDEX(R) Fund Value Index 4/11 $10,000 $10,000 7/11 9,930 9,813 1/12 10,692 10,331 7/12 10,005 10,231 1/13 11,945 11,945 7/13 14,241 14,054 1/14 15,577 15,278 7/14 15,931 15,723 1/15 15,996 16,154 7/15 15,630 16,701 1/16 13,090 14,973 7/16 15,754 18,195 1/17 18,060 20,662 7/17 18,181 21,216 1/18 19,883 23,634 7/18 20,883 25,612 1/19 19,012 22,856
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 131 0 0 0 8/1/18 - 1/31/19 54 3 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% 8/1/13 - 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 8/1/17 - 7/31/18 119 1 0 1 8/1/18 - 1/31/19 68 1 0 0 Page 23 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) The First Trust Small Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment 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 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -9.65% 0.96% 9.04% 10.80% 54.18% 122.23% Market Price -9.64% 1.03% 9.05% 10.80% 54.21% 122.28% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Growth Index(1) -9.31% 1.68% N/A N/A N/A N/A Nasdaq US 700 Small Cap Growth Index(1) -8.07% 1.50% N/A N/A N/A N/A S&P Small Cap 600(R) Growth Index -9.61% 1.04% 10.32% 12.31% 63.40% 146.85% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 24.45% Industrials 17.84 Information Technology 16.93 Financials 12.91 Consumer Discretionary 10.74 Real Estate 6.00 Consumer Staples 3.44 Communication Services 3.03 Energy 2.24 Utilities 1.34 Materials 1.08 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- TPI Composites, Inc. 0.72% Sunrun, Inc. 0.72 Medpace Holdings, Inc. 0.72 Alarm.com Holdings, Inc. 0.71 BioTelemetry, Inc. 0.71 Alteryx, Inc., Class A 0.70 Genomic Health, Inc. 0.69 Five9, Inc. 0.69 Atkore International Group, Inc. 0.69 Chart Industries, Inc. 0.68 ------- Total 7.03% ======= Page 24 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2019 First Trust Small Cap S&P SmallCap 600(R) Growth AlphaDEX(R) Fund Growth Index 4/11 $10,000 $10,000 7/11 9,920 9,982 1/12 9,826 10,155 7/12 10,157 10,362 1/13 11,338 11,710 7/13 13,014 13,710 1/14 14,413 15,107 7/14 13,992 15,093 1/15 14,637 16,071 7/15 16,115 17,778 1/16 14,186 15,737 7/16 16,685 18,361 1/17 17,809 20,597 7/17 19,540 21,757 1/18 22,008 24,431 7/18 24,592 27,311 1/19 22,219 24,686
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 158 0 0 1 8/1/18 - 1/31/19 57 5 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% 8/1/13 - 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 8/1/17 - 7/31/18 92 1 0 0 8/1/18 - 1/31/19 61 3 0 0 Page 25 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) The First Trust Mega Cap AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mega Cap Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FMK." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select mega cap stocks from the Nasdaq US 500 Large Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (5/11/11) Ended (5/11/11) 1/31/19 1/31/19 1/31/19 to 1/31/19 1/31/19 to 1/31/19 FUND PERFORMANCE NAV -3.06% -4.46% 8.83% 8.78% 52.69% 91.56% Market Price -2.97% -4.41% 8.87% 8.79% 52.94% 91.78% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mega Cap Index(1) -2.74% -3.80% N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(1) -3.01% -2.47% N/A N/A N/A N/A S&P 100(R) Index -2.99% -2.73% 11.03% 11.88% 68.70% 138.03% -----------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 28.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 24.86% Communication Services 17.77 Financials 11.91 Consumer Staples 11.40 Energy 10.36 Information Technology 7.97 Consumer Discretionary 6.25 Industrials 5.60 Utilities 3.88 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- EOG Resources, Inc. 3.59% Kraft Heinz (The) Co. 3.52 Comcast Corp., Class A 3.39 Starbucks Corp. 3.34 Walgreens Boots Alliance, Inc. 3.34 AT&T, Inc. 3.32 Eli Lilly and Co. 3.27 Abbott Laboratories 3.18 Berkshire Hathaway, Inc., Class B 3.18 Charter Communications, Inc., Class A 2.93 ------- Total 33.06% ======= Page 26 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 11, 2011 - JANUARY 31, 2019 First Trust Mega S&P 100(R) Cap AlphaDEX(R) Fund Index 5/11 $10,000 $10,000 7/11 9,612 9,761 1/12 9,571 10,120 7/12 9,248 10,960 1/13 10,467 11,784 7/13 11,969 13,341 1/14 12,545 14,108 7/14 13,829 15,520 1/15 13,679 15,998 7/15 14,699 17,202 1/16 13,304 16,228 7/16 14,726 18,190 1/17 15,712 19,216 7/17 17,097 21,066 1/18 20,050 24,464 7/18 19,759 24,536 1/19 19,156 23,803
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JANUARY 31, 2019 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, 2013 through January 31, 2019. 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% 8/1/13 - 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 8/1/17 - 7/31/18 135 0 0 0 8/1/18 - 1/31/19 89 5 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% 8/1/13 - 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 8/1/17 - 7/31/18 116 0 1 0 8/1/18 - 1/31/19 29 2 1 0 Page 27 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. For certain Funds the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 28 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES JANUARY 31, 2019 (UNAUDITED) As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund or First Trust Mega Cap AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended January 31, 2019. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2018 JANUARY 31, 2019 PERIOD (a) PERIOD (b) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $ 946.40 0.60% $2.94 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $ 940.20 0.62% $3.03 Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $ 911.20 0.63% $3.03 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $ 949.00 0.61% $3.00 Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $ 938.10 0.61% $2.98 Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11
Page 29 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2019 (UNAUDITED)
------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2018 JANUARY 31, 2019 PERIOD (a) PERIOD (b) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $ 939.40 0.70% $3.42 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $ 930.20 0.63% $3.07 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $ 943.20 0.70% $3.43 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $ 934.80 0.70% $3.41 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $ 910.40 0.70% $3.37 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $ 903.50 0.70% $3.36 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) Actual $1,000.00 $ 969.40 0.70% $3.47 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2018 through January 31, 2019), multiplied by 184/365 (to reflect the six-month period). Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.9% 13,463 Boeing (The) Co. $ 5,191,602 13,810 General Dynamics Corp. 2,363,858 17,112 Huntington Ingalls Industries, Inc. 3,532,772 8,864 Northrop Grumman Corp. 2,442,475 14,154 Raytheon Co. 2,332,013 30,110 Spirit AeroSystems Holdings, Inc., Class A 2,511,174 70,798 Textron, Inc. 3,768,578 9,572 TransDigm Group, Inc. (a) 3,742,652 --------------- 25,885,124 --------------- AIR FREIGHT & LOGISTICS -- 1.0% 12,910 C.H. Robinson Worldwide, Inc. 1,120,201 79,698 Expeditors International of Washington, Inc. 5,523,071 33,639 FedEx Corp. 5,973,277 11,130 United Parcel Service, Inc., Class B 1,173,102 --------------- 13,789,651 --------------- AIRLINES -- 1.3% 33,800 American Airlines Group, Inc. 1,209,026 87,003 Delta Air Lines, Inc. 4,300,558 116,752 Southwest Airlines Co. 6,626,844 51,852 United Continental Holdings, Inc. (a) 4,525,124 --------------- 16,661,552 --------------- AUTO COMPONENTS -- 0.9% 124,969 BorgWarner, Inc. 5,111,232 44,168 Lear Corp. 6,798,780 --------------- 11,910,012 --------------- AUTOMOBILES -- 1.1% 567,507 Ford Motor Co. 4,994,061 129,786 General Motors Co. 5,064,250 16,308 Tesla, Inc. (a) 5,006,882 --------------- 15,065,193 --------------- BANKS -- 3.9% 132,143 Bank of America Corp. 3,762,111 75,165 BB&T Corp. 3,668,052 146,028 Citizens Financial Group, Inc. 4,953,270 184,503 Fifth Third Bancorp 4,948,370 37,469 First Republic Bank 3,620,629 22,239 JPMorgan Chase & Co. 2,301,737 220,303 KeyCorp 3,628,390 15,164 M&T Bank Corp. 2,495,085 27,854 PNC Financial Services Group (The), Inc. 3,416,850 324,468 Regions Financial Corp. 4,922,180 86,071 SunTrust Banks, Inc. 5,114,339 47,496 U.S. Bancorp 2,429,895 70,661 Wells Fargo & Co. 3,456,030 79,924 Zions Bancorp N.A. 3,803,583 --------------- 52,520,521 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- BEVERAGES -- 0.7% 22,813 Brown-Forman Corp., Class B $ 1,077,914 42,328 Keurig Dr Pepper, Inc. 1,152,168 96,627 Molson Coors Brewing Co., Class B 6,436,325 --------------- 8,666,407 --------------- BIOTECHNOLOGY -- 1.4% 47,095 AbbVie, Inc. 3,781,257 7,211 Biogen, Inc. (a) 2,406,888 25,490 BioMarin Pharmaceutical, Inc. (a) 2,502,353 17,065 Incyte Corp. (a) 1,375,268 11,625 Regeneron Pharmaceuticals, Inc. (a) 4,990,264 19,649 Vertex Pharmaceuticals, Inc. (a) 3,751,191 --------------- 18,807,221 --------------- BUILDING PRODUCTS -- 0.4% 146,423 Johnson Controls International PLC 4,944,705 --------------- CAPITAL MARKETS -- 3.9% 20,795 Ameriprise Financial, Inc. 2,632,647 69,176 Bank of New York Mellon (The) Corp. 3,619,288 44,378 Cboe Global Markets, Inc. 4,139,136 23,075 CME Group, Inc. 4,206,111 24,735 E*TRADE Financial Corp. 1,154,135 73,184 Franklin Resources, Inc. 2,166,978 19,493 Goldman Sachs Group (The), Inc. 3,859,809 28,819 Intercontinental Exchange, Inc. 2,212,146 324,180 Invesco Ltd. 5,906,560 7,752 Moody's Corp. 1,228,770 82,117 Morgan Stanley 3,473,549 14,720 MSCI, Inc. 2,506,374 26,613 Nasdaq, Inc. 2,343,009 25,966 Northern Trust Corp. 2,296,952 14,585 Raymond James Financial, Inc. 1,174,093 6,389 S&P Global, Inc. 1,224,452 51,624 State Street Corp. 3,660,142 11,755 T. Rowe Price Group, Inc. 1,098,622 66,503 TD Ameritrade Holding Corp. 3,720,843 --------------- 52,623,616 --------------- CHEMICALS -- 2.7% 13,563 Air Products & Chemicals, Inc. 2,229,622 28,164 Albemarle Corp. 2,273,680 12,065 Celanese Corp. 1,155,344 74,836 CF Industries Holdings, Inc. 3,266,591 20,292 DowDuPont, Inc. 1,091,913 74,229 Eastman Chemical Co. 5,984,342 29,463 Ecolab, Inc. 4,660,163 29,351 FMC Corp. 2,342,210 65,254 LyondellBasell Industries N.V., Class A 5,675,140 37,154 Mosaic (The) Co. 1,199,331 10,619 PPG Industries, Inc. 1,119,667 11,037 Sherwin-Williams (The) Co. 4,652,316 --------------- 35,650,319 --------------- See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES -- 1.3% 12,924 Cintas Corp. $ 2,423,379 68,149 Copart, Inc. (a) 3,450,384 45,170 Republic Services, Inc. 3,464,991 90,197 Rollins, Inc. 3,358,936 48,784 Waste Management, Inc. 4,667,165 --------------- 17,364,855 --------------- COMMUNICATIONS EQUIPMENT -- 0.9% 100,194 Cisco Systems, Inc. 4,738,174 13,399 F5 Networks, Inc. (a) 2,156,569 37,740 Motorola Solutions, Inc. 4,412,184 --------------- 11,306,927 --------------- CONSTRUCTION & ENGINEERING -- 0.1% 18,568 Jacobs Engineering Group, Inc. 1,203,206 --------------- CONSUMER FINANCE -- 1.4% 191,587 Ally Financial, Inc. 4,992,757 57,435 Capital One Financial Corp. 4,628,687 55,206 Discover Financial Services 3,725,853 185,053 Synchrony Financial 5,558,992 --------------- 18,906,289 --------------- CONTAINERS & PACKAGING -- 1.4% 134,457 International Paper Co. 6,377,296 65,022 Packaging Corp. of America 6,132,875 143,716 WestRock Co. 5,850,678 --------------- 18,360,849 --------------- DISTRIBUTORS -- 0.4% 11,302 Genuine Parts Co. 1,128,166 182,951 LKQ Corp. (a) 4,796,975 --------------- 5,925,141 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 65,262 AXA Equitable Holdings, Inc. 1,209,957 26,579 Berkshire Hathaway, Inc., Class B (a) 5,463,048 --------------- 6,673,005 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 190,144 AT&T, Inc. 5,715,729 358,200 CenturyLink, Inc. 5,487,624 77,222 Verizon Communications, Inc. 4,251,843 --------------- 15,455,196 --------------- ELECTRIC UTILITIES -- 2.7% 51,379 Alliant Energy Corp. 2,284,824 29,043 American Electric Power Co., Inc. 2,297,882 37,732 Duke Energy Corp. 3,312,115 38,238 Edison International 2,178,419 25,221 Entergy Corp. 2,249,461 38,238 Evergy, Inc. 2,191,802 33,373 Eversource Energy 2,316,420 96,263 Exelon Corp. 4,597,521 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) 18,733 NextEra Energy, Inc. $ 3,352,832 182,799 PG&E Corp. (a) 2,376,387 114,936 PPL Corp. 3,599,796 74,133 Southern (The) Co. 3,602,864 44,056 Xcel Energy, Inc. 2,306,772 --------------- 36,667,095 --------------- ELECTRICAL EQUIPMENT -- 0.7% 32,067 AMETEK, Inc. 2,337,684 63,230 Eaton Corp. PLC 4,821,288 36,332 Emerson Electric Co. 2,378,656 --------------- 9,537,628 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.0% 26,790 Amphenol Corp., Class A 2,355,377 66,955 CDW Corp. 5,575,343 71,753 TE Connectivity Ltd. 5,808,405 --------------- 13,739,125 --------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 50,483 Baker Hughes a GE Co. 1,189,884 42,230 National Oilwell Varco, Inc. 1,244,941 --------------- 2,434,825 --------------- ENTERTAINMENT -- 1.3% 110,186 Live Nation Entertainment, Inc. (a) 5,896,053 4,057 Netflix, Inc. (a) 1,377,352 211,157 Viacom, Inc., Class B 6,212,239 39,595 Walt Disney (The) Co. 4,415,634 --------------- 17,901,278 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.4% 9,417 Alexandria Real Estate Equities, Inc. 1,240,313 27,446 American Tower Corp. 4,743,767 12,474 AvalonBay Communities, Inc. 2,406,484 39,963 Crown Castle International Corp. 4,678,069 30,557 Digital Realty Trust, Inc. 3,310,545 8,853 Essex Property Trust, Inc. 2,400,934 23,989 Extra Space Storage, Inc. 2,365,555 325,542 Host Hotels & Resorts, Inc. 5,879,289 33,490 Iron Mountain, Inc. 1,245,828 11,339 Mid-America Apartment Communities, Inc. 1,148,414 5,360 Public Storage 1,139,107 68,867 Realty Income Corp. 4,730,474 36,992 Regency Centers Corp. 2,404,480 13,410 SBA Communications Corp. (a) 2,447,727 6,462 Simon Property Group, Inc. 1,176,860 54,788 UDR, Inc. 2,396,975 18,527 Ventas, Inc. 1,194,806 --------------- 44,909,627 --------------- Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING -- 0.9% 197,338 Kroger (The) Co. $ 5,590,586 51,964 Sysco Corp. 3,317,901 47,653 Walgreens Boots Alliance, Inc. 3,443,406 --------------- 12,351,893 --------------- FOOD PRODUCTS -- 3.8% 132,456 Archer-Daniels-Midland Co. 5,947,274 60,928 Bunge Ltd. 3,355,305 203,248 Conagra Brands, Inc. 4,398,287 83,619 General Mills, Inc. 3,716,028 10,128 Hershey (The) Co. 1,074,581 50,862 Hormel Foods Corp. 2,152,480 58,046 J.M. Smucker (The) Co. 6,087,864 126,084 Kraft Heinz (The) Co. 6,059,597 73,775 Lamb Weston Holdings, Inc. 5,333,933 38,972 McCormick & Co., Inc. 4,818,498 27,114 Mondelez International, Inc., Class A 1,254,294 101,623 Tyson Foods, Inc., Class A 6,292,496 --------------- 50,490,637 --------------- GAS UTILITIES -- 0.2% 23,412 Atmos Energy Corp. 2,285,714 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.3% 3,339 ABIOMED, Inc. (a) 1,172,223 16,488 Baxter International, Inc. 1,195,215 122,844 Boston Scientific Corp. (a) 4,686,499 10,522 Danaher Corp. 1,167,100 29,166 DENTSPLY SIRONA, Inc. 1,223,514 21,255 Edwards Lifesciences Corp. (a) 3,622,277 79,221 Hologic, Inc. (a) 3,517,412 5,831 IDEXX Laboratories, Inc. (a) 1,240,720 6,801 Intuitive Surgical, Inc. (a) 3,561,276 28,594 ResMed, Inc. 2,721,291 13,850 Stryker Corp. 2,459,344 16,797 Teleflex, Inc. 4,593,980 --------------- 31,160,851 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.5% 14,587 AmerisourceBergen Corp. 1,216,118 8,267 Anthem, Inc. 2,504,901 97,341 Cardinal Health, Inc. 4,864,130 28,238 Centene Corp. (a) 3,687,036 16,563 CVS Health Corp. 1,085,705 63,272 DaVita, Inc. (a) 3,551,457 43,605 HCA Healthcare, Inc. 6,079,845 42,948 Laboratory Corp. of America Holdings (a) 5,984,804 52,134 Quest Diagnostics, Inc. 4,553,905 21,787 UnitedHealth Group, Inc. 5,886,847 37,248 Universal Health Services, Inc., Class B 4,936,477 9,196 WellCare Health Plans, Inc. (a) 2,542,510 --------------- 46,893,735 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE TECHNOLOGY -- 0.3% 62,093 Cerner Corp. (a) $ 3,409,527 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.5% 112,393 Aramark 3,703,349 110,075 Carnival Corp. 6,338,118 12,569 Chipotle Mexican Grill, Inc. (a) 6,656,668 43,475 Darden Restaurants, Inc. 4,561,832 17,503 Domino's Pizza, Inc. 4,966,126 15,114 Hilton Worldwide Holdings, Inc. 1,125,691 12,224 McDonald's Corp. 2,185,407 223,692 MGM Resorts International 6,585,492 128,023 Norwegian Cruise Line Holdings Ltd. (a) 6,584,223 44,396 Royal Caribbean Cruises Ltd. 5,329,740 84,266 Starbucks Corp. 5,741,885 97,106 Yum China Holdings, Inc. 3,539,514 35,425 Yum! Brands, Inc. 3,329,242 --------------- 60,647,287 --------------- HOUSEHOLD DURABLES -- 1.8% 156,574 D.R. Horton, Inc. 6,020,270 51,423 Garmin Ltd. 3,557,443 110,892 Lennar Corp., Class A 5,258,499 46,398 Mohawk Industries, Inc. (a) 5,975,598 1,337 NVR, Inc. (a) 3,556,420 --------------- 24,368,230 --------------- HOUSEHOLD PRODUCTS -- 0.9% 82,522 Church & Dwight Co., Inc. 5,331,746 28,164 Clorox (The) Co. 4,178,974 23,612 Procter & Gamble (The) Co. 2,277,850 --------------- 11,788,570 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.9% 137,040 NRG Energy, Inc. 5,606,306 237,082 Vistra Energy Corp. (a) 5,953,129 --------------- 11,559,435 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 5,695 3M Co. 1,140,709 12,217 Roper Technologies, Inc. 3,460,587 --------------- 4,601,296 --------------- INSURANCE -- 5.3% 95,292 Aflac, Inc. 4,545,429 52,539 Allstate (The) Corp. 4,616,602 23,976 American Financial Group, Inc. 2,287,071 121,855 Arch Capital Group Ltd. (a) 3,576,444 14,724 Arthur J. Gallagher & Co. 1,100,030 25,206 Chubb Ltd. 3,353,658 56,078 Cincinnati Financial Corp. 4,549,047 138,085 Fidelity National Financial, Inc. 4,993,154 48,833 Hartford Financial Services Group (The), Inc. 2,291,244 84,613 Lincoln National Corp. 4,949,014 71,531 Loews Corp. 3,426,335 2,089 Markel Corp. (a) 2,200,782 79,298 MetLife, Inc. 3,621,540 See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 98,288 Principal Financial Group, Inc. $ 4,921,280 89,950 Progressive (The) Corp. 6,052,736 53,238 Prudential Financial, Inc. 4,905,349 72,816 Torchmark Corp. 6,099,068 27,190 Travelers (The) Cos., Inc. 3,413,433 --------------- 70,902,216 --------------- INTERACTIVE MEDIA & SERVICES -- 0.8% 2,074 Alphabet, Inc., Class A (a) 2,335,096 29,645 IAC/InterActiveCorp (a) 6,263,396 75,526 Twitter, Inc. (a) 2,534,652 --------------- 11,133,144 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.6% 2,170 Amazon.com, Inc. (a) 3,729,644 1,262 Booking Holdings, Inc. (a) 2,313,007 38,668 eBay, Inc. (a) 1,301,178 --------------- 7,343,829 --------------- IT SERVICES -- 3.2% 7,695 Accenture PLC, Class A 1,181,567 17,770 Akamai Technologies, Inc. (a) 1,156,827 8,279 Automatic Data Processing, Inc. 1,157,735 17,101 Cognizant Technology Solutions Corp., Class A 1,191,598 20,415 DXC Technology Co. 1,309,010 21,166 Fidelity National Information Services, Inc. 2,212,482 29,537 Fiserv, Inc. (a) 2,449,503 5,841 FleetCor Technologies, Inc. (a) 1,178,772 33,963 Gartner, Inc. (a) 4,615,232 16,538 GoDaddy, Inc., Class A (a) 1,135,003 9,546 International Business Machines Corp. 1,283,173 61,762 Leidos Holdings, Inc. 3,582,196 17,261 Mastercard, Inc., Class A 3,644,315 16,662 Paychex, Inc. 1,179,670 64,535 PayPal Holdings, Inc. (a) 5,728,127 38,702 Square, Inc., Class A (a) 2,761,388 13,355 Total System Services, Inc. 1,196,741 14,637 VeriSign, Inc. (a) 2,477,605 24,680 Visa, Inc., Class A 3,332,047 --------------- 42,772,991 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.4% 14,476 Illumina, Inc. (a) 4,050,240 46,715 IQVIA Holdings, Inc. (a) 6,026,702 3,836 Mettler-Toledo International, Inc. (a) 2,447,982 24,251 Thermo Fisher Scientific, Inc. 5,957,743 --------------- 18,482,667 --------------- MACHINERY -- 2.8% 25,626 Caterpillar, Inc. 3,412,358 16,245 Cummins, Inc. 2,389,802 36,381 Deere & Co. 5,966,484 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MACHINERY (CONTINUED) 30,593 Dover Corp. $ 2,686,983 16,040 Fortive Corp. 1,202,840 8,594 IDEX Corp. 1,184,769 8,565 Illinois Tool Works, Inc. 1,176,060 35,689 Ingersoll-Rand PLC 3,570,328 94,974 PACCAR, Inc. 6,222,696 21,834 Parker-Hannifin Corp. 3,598,462 18,130 Stanley Black & Decker, Inc. 2,292,357 48,800 Xylem, Inc. 3,477,488 --------------- 37,180,627 --------------- MEDIA -- 1.7% 24,824 CBS Corp., Class B 1,227,795 11,424 Charter Communications, Inc., Class A (a) 3,781,915 159,379 Comcast Corp., Class A 5,828,490 87,737 Discovery, Inc., Class A (a) 2,489,976 75,341 Liberty Broadband Corp., Class C (a) 6,405,492 14,822 Omnicom Group, Inc. 1,154,338 380,157 Sirius XM Holdings, Inc. (b) 2,216,315 --------------- 23,104,321 --------------- METALS & MINING -- 1.2% 526,360 Freeport-McMoRan, Inc. 6,126,831 62,648 Newmont Mining Corp. 2,136,923 104,745 Nucor Corp. 6,414,584 36,129 Steel Dynamics, Inc. 1,321,960 --------------- 16,000,298 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.4% 552,624 Annaly Capital Management, Inc. 5,769,395 --------------- MULTILINE RETAIL -- 1.8% 30,124 Dollar General Corp. 3,477,213 48,068 Dollar Tree, Inc. (a) 4,654,425 81,803 Kohl's Corp. 5,619,048 182,226 Macy's, Inc. 4,792,544 65,687 Target Corp. 4,795,151 --------------- 23,338,381 --------------- MULTI-UTILITIES -- 1.8% 33,277 Ameren Corp. 2,307,427 153,790 CenterPoint Energy, Inc. 4,755,187 21,862 CMS Energy Corp. 1,139,885 42,586 Consolidated Edison, Inc. 3,306,803 30,377 Dominion Energy, Inc. 2,133,680 29,519 DTE Energy Co. 3,475,862 83,407 Public Service Enterprise Group, Inc. 4,549,852 31,341 WEC Energy Group, Inc. 2,288,833 --------------- 23,957,529 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.4% 97,126 Cabot Oil & Gas Corp. 2,423,294 91,684 Cheniere Energy, Inc. (a) 6,019,055 49,885 Chevron Corp. 5,719,315 69,631 ConocoPhillips 4,713,322 Page 34 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 63,666 Exxon Mobil Corp. $ 4,665,444 63,694 HollyFrontier Corp. 3,588,520 141,140 Kinder Morgan, Inc. 2,554,634 73,569 Marathon Petroleum Corp. 4,874,682 20,118 ONEOK, Inc. 1,291,777 62,995 Phillips 66 6,010,353 120,531 Targa Resources Corp. 5,184,038 72,388 Valero Energy Corp. 6,357,114 196,891 Williams (The) Cos., Inc. 5,302,275 --------------- 58,703,823 --------------- PERSONAL PRODUCTS -- 0.5% 496,352 Coty, Inc., Class A 3,851,691 16,687 Estee Lauder (The) Cos., Inc., Class A 2,276,441 --------------- 6,128,132 --------------- PHARMACEUTICALS -- 2.1% 32,478 Allergan PLC 4,676,182 46,894 Eli Lilly and Co. 5,620,715 158,448 Mylan N.V. (a) 4,745,518 84,030 Perrigo Co. PLC 3,903,193 99,462 Pfizer, Inc. 4,222,162 50,750 Zoetis, Inc. 4,372,620 --------------- 27,540,390 --------------- PROFESSIONAL SERVICES -- 0.5% 3,218 CoStar Group, Inc. (a) 1,257,401 11,655 Equifax, Inc. 1,247,318 19,109 TransUnion 1,162,209 29,862 Verisk Analytics, Inc. (a) 3,506,098 --------------- 7,173,026 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 54,214 CBRE Group, Inc., Class A (a) 2,480,290 --------------- ROAD & RAIL -- 1.4% 34,940 CSX Corp. 2,295,558 11,666 J.B. Hunt Transport Services, Inc. 1,248,729 56,851 Kansas City Southern 6,011,993 21,776 Norfolk Southern Corp. 3,652,706 8,790 Old Dominion Freight Line, Inc. 1,194,825 23,554 Union Pacific Corp. 3,746,735 --------------- 18,150,546 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.1% 293,973 Advanced Micro Devices, Inc. (a) 7,175,881 25,291 Analog Devices, Inc. 2,500,268 33,152 Applied Materials, Inc. 1,295,580 21,345 Broadcom, Inc. 5,725,796 92,510 Intel Corp. 4,359,071 12,129 KLA-Tencor Corp. 1,292,588 15,089 Microchip Technology, Inc. 1,212,703 34,205 Micron Technology, Inc. (a) 1,307,315 17,871 Qorvo, Inc. (a) 1,168,049 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 38,139 QUALCOMM, Inc. $ 1,888,643 64,775 Skyworks Solutions, Inc. 4,731,166 11,488 Texas Instruments, Inc. 1,156,612 63,716 Xilinx, Inc. 7,132,369 --------------- 40,946,041 --------------- SOFTWARE -- 4.2% 14,394 Adobe, Inc. (a) 3,567,121 25,317 Autodesk, Inc. (a) 3,726,662 74,886 Cadence Design Systems, Inc. (a) 3,596,775 61,644 Fortinet, Inc. (a) 4,720,081 16,539 Intuit, Inc. 3,569,447 21,374 Microsoft Corp. 2,232,087 17,288 Palo Alto Networks, Inc. (a) 3,713,808 31,698 salesforce.com, Inc. (a) 4,817,145 30,478 ServiceNow, Inc. (a) 6,705,770 41,403 Splunk, Inc. (a) 5,168,751 48,121 SS&C Technologies Holdings, Inc. 2,477,750 229,764 Symantec Corp. 4,829,639 12,887 Synopsys, Inc. (a) 1,203,001 33,987 Workday, Inc., Class A (a) 6,169,660 --------------- 56,497,697 --------------- SPECIALTY RETAIL -- 3.6% 13,783 Advance Auto Parts, Inc. 2,194,254 6,474 AutoZone, Inc. (a) 5,485,679 61,479 Best Buy Co., Inc. 3,642,016 33,359 Burlington Stores, Inc. (a) 5,728,074 17,302 CarMax, Inc. (a) 1,017,011 210,665 Gap (The), Inc. 5,359,318 6,313 Home Depot (The), Inc. 1,158,625 23,501 Lowe's Cos., Inc. 2,259,856 15,763 O'Reilly Automotive, Inc. (a) 5,432,876 52,177 Ross Stores, Inc. 4,806,545 97,035 TJX (The) Cos., Inc. 4,825,550 22,162 Ulta Beauty, Inc. (a) 6,469,531 --------------- 48,379,335 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.5% 6,882 Apple, Inc. 1,145,440 410,807 Hewlett Packard Enterprise Co. 6,404,481 159,143 HP, Inc. 3,505,920 18,190 NetApp, Inc. 1,159,977 28,124 Seagate Technology PLC 1,245,331 146,791 Western Digital Corp. 6,604,127 --------------- 20,065,276 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.9% 43,919 NIKE, Inc., Class B 3,596,088 58,385 PVH Corp. 6,370,387 64,315 Tapestry, Inc. 2,489,634 --------------- 12,456,109 --------------- TOBACCO -- 0.3% 87,901 Altria Group, Inc. 4,337,914 --------------- See Notes to Financial Statements Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS -- 0.6% 83,023 Fastenal Co. $ 5,019,570 11,533 W.W. Grainger, Inc. 3,406,733 --------------- 8,426,303 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 85,311 T-Mobile US, Inc. (a) 5,939,352 --------------- TOTAL COMMON STOCKS -- 99.8% 1,333,676,174 (Cost $1,274,981,784) --------------- MONEY MARKET FUNDS -- 0.0% 152,466 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) 152,466 370,684 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (c) 370,684 --------------- TOTAL MONEY MARKET FUNDS -- 0.0% 523,150 (Cost $523,150) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 695,213 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $695,263. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $712,574. (d) 695,213 862,220 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $862,280. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $879,464. (d) 862,220 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.1% 1,557,433 (Cost $1,557,433) --------------- TOTAL INVESTMENTS -- 99.9% 1,335,756,757 (Cost $1,277,062,367) (e) NET OTHER ASSETS AND LIABILITIES -- 0.1% 1,027,979 --------------- NET ASSETS -- 100.0% $ 1,336,784,736 =============== (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 $1,647,721 and the total value of the collateral held by the Fund is $1,709,899. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $110,767,487 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $52,073,097. The net unrealized appreciation was $58,694,390. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $1,333,676,174 $ -- $ -- Money Market Funds 523,150 -- -- Repurchase Agreements -- 1,557,433 -- --------------------------------------------- Total Investments $1,334,199,324 $ 1,557,433 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 36 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 1,647,721 Non-cash Collateral(2) (1,647,721) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 1,557,433 Non-cash Collateral(4) (1,557,433) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 37 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.9% 10,781 Curtiss-Wright Corp. $ 1,223,859 28,421 HEICO Corp. 2,401,575 19,202 Hexcel Corp. 1,300,167 13,293 Teledyne Technologies, Inc. (a) 2,980,556 --------------- 7,906,157 --------------- AIRLINES -- 1.3% 36,188 Alaska Air Group, Inc. 2,314,223 171,387 JetBlue Airways Corp. (a) 3,083,252 61,895 SkyWest, Inc. 3,153,550 38,018 Spirit Airlines, Inc. (a) 2,236,219 --------------- 10,787,244 --------------- AUTO COMPONENTS -- 1.2% 161,554 Dana, Inc. 2,846,582 108,955 Gentex Corp. 2,307,667 134,859 Goodyear Tire & Rubber (The) Co. 2,857,662 27,398 Visteon Corp. (a) 2,106,632 --------------- 10,118,543 --------------- AUTOMOBILES -- 0.6% 48,401 Harley-Davidson, Inc. 1,784,061 52,932 Thor Industries, Inc. 3,446,932 --------------- 5,230,993 --------------- BANKS -- 6.9% 83,451 Associated Banc-Corp. 1,806,714 42,119 BancorpSouth Bank 1,229,032 8,178 Bank of Hawaii Corp. 632,405 96,450 Bank OZK 2,926,293 73,545 BankUnited, Inc. 2,486,556 32,837 Cathay General Bancorp 1,218,909 57,538 CIT Group, Inc. 2,657,680 15,169 Columbia Banking System, Inc. 557,461 29,297 Commerce Bancshares, Inc. 1,751,961 37,770 Community Bank System, Inc. 2,264,312 6,259 Cullen/Frost Bankers, Inc. 608,876 37,940 East West Bancorp, Inc. 1,909,141 223,778 F.N.B. Corp. 2,607,014 2,919 First Citizens BancShares, Inc., Class A 1,189,580 47,712 First Financial Bankshares, Inc. 2,915,203 48,910 First Hawaiian, Inc. 1,258,454 125,491 First Horizon National Corp. 1,842,208 35,560 Fulton Financial Corp. 570,738 41,682 Glacier Bancorp, Inc. 1,758,147 47,660 Hancock Whitney Corp. 1,957,873 101,069 Home BancShares, Inc. 1,850,573 17,129 IBERIABANK Corp. 1,265,662 48,008 International Bancshares Corp. 1,702,844 52,932 Investors Bancorp, Inc. 642,595 35,746 Old National Bancorp 576,940 66,163 PacWest Bancorp 2,553,230 76,299 People's United Financial, Inc. 1,249,778 11,940 Pinnacle Financial Partners, Inc. 642,014 34,974 Popular, Inc. 1,909,930 17,673 Prosperity Bancshares, Inc. 1,257,257 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 5,355 Signature Bank $ 681,745 18,364 South State Corp. 1,218,451 56,490 TCF Financial Corp. 1,251,818 18,057 UMB Financial Corp. 1,162,149 103,866 Umpqua Holdings Corp. 1,836,351 17,695 United Bankshares, Inc. 625,872 123,984 Valley National Bancorp 1,253,478 11,167 Webster Financial Corp. 601,678 16,557 Wintrust Financial Corp. 1,177,865 --------------- 57,608,787 --------------- BIOTECHNOLOGY -- 1.9% 115,893 Array BioPharma, Inc. (a) 2,163,722 34,897 Exact Sciences Corp. (a) 3,143,522 83,960 Exelixis, Inc. (a) 1,978,937 11,894 FibroGen, Inc. (a) 674,985 42,443 Heron Therapeutics, Inc. (a) 1,141,717 40,731 Ionis Pharmaceuticals, Inc. (a) 2,362,398 18,938 Myriad Genetics, Inc. (a) 533,862 10,088 Sarepta Therapeutics, Inc. (a) 1,409,395 25,274 United Therapeutics Corp. (a) 2,914,850 --------------- 16,323,388 --------------- BUILDING PRODUCTS -- 1.9% 12,892 A.O. Smith Corp. 617,011 27,623 Allegion PLC 2,371,711 9,457 Armstrong World Industries, Inc. 643,454 57,963 Fortune Brands Home & Security, Inc. 2,625,724 38,740 JELD-WEN Holding, Inc. (a) 691,122 12,577 Lennox International, Inc. 2,883,655 50,068 Owens Corning 2,623,062 20,339 Simpson Manufacturing Co., Inc. 1,248,408 27,820 Trex Co., Inc. (a) 1,940,723 --------------- 15,644,870 --------------- CAPITAL MARKETS -- 2.2% 28,248 Affiliated Managers Group, Inc. 2,964,627 212,957 BGC Partners, Inc., Class A 1,318,204 8,252 FactSet Research Systems, Inc. 1,804,135 14,914 Lazard Ltd., Class A 593,428 107,898 Legg Mason, Inc. 3,215,360 45,062 LPL Financial Holdings, Inc. 3,171,013 10,422 MarketAxess Holdings, Inc. 2,238,333 10,024 Morningstar, Inc. 1,244,480 39,871 Stifel Financial Corp. 1,908,625 --------------- 18,458,205 --------------- CHEMICALS -- 2.6% 15,515 Ashland Global Holdings, Inc. 1,177,588 97,537 Chemours (The) Co. 3,486,948 142,688 Huntsman Corp. 3,134,855 26,310 Ingevity Corp. (a) 2,474,982 136,872 Olin Corp. 3,231,548 57,745 PolyOne Corp. 1,869,206 19,714 Sensient Technologies Corp. 1,237,645 60,124 Trinseo S.A. 2,949,082 Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 85,348 Valvoline, Inc. $ 1,887,044 --------------- 21,448,898 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 17,029 Brink's (The) Co. 1,260,997 5,323 Cimpress N.V. (a) 442,714 22,310 Clean Harbors, Inc. (a) 1,320,975 23,072 KAR Auction Services, Inc. 1,199,975 29,199 MSA Safety, Inc. 2,925,156 60,017 Stericycle, Inc. (a) 2,645,549 31,900 Tetra Tech, Inc. 1,760,561 --------------- 11,555,927 --------------- COMMUNICATIONS EQUIPMENT -- 0.8% 81,170 Ciena Corp. (a) 3,091,765 134,349 CommScope Holding Co., Inc. (a) 2,809,238 13,104 Lumentum Holdings, Inc. (a) 640,917 --------------- 6,541,920 --------------- CONSTRUCTION & ENGINEERING -- 1.5% 41,548 AECOM (a) 1,271,784 36,891 EMCOR Group, Inc. 2,406,400 51,289 Fluor Corp. 1,875,639 67,861 MasTec, Inc. (a) 3,011,671 91,445 Quanta Services, Inc. 3,231,666 4,960 Valmont Industries, Inc. 639,840 --------------- 12,437,000 --------------- CONSUMER FINANCE -- 1.8% 5,766 Credit Acceptance Corp. (a) 2,294,983 22,827 FirstCash, Inc. 1,881,630 34,615 Green Dot Corp., Class A (a) 2,562,202 187,454 Navient Corp. 2,136,976 90,654 OneMain Holdings, Inc. (a) 2,709,648 156,479 Santander Consumer USA Holdings, Inc. 2,982,490 66,245 SLM Corp. (a) 709,484 --------------- 15,277,413 --------------- CONTAINERS & PACKAGING -- 1.3% 5,852 AptarGroup, Inc. 580,050 34,745 Berry Global Group, Inc. (a) 1,711,191 13,244 Crown Holdings, Inc. (a) 675,444 206,951 Graphic Packaging Holding Co. 2,497,899 63,861 Owens-Illinois, Inc. 1,281,690 93,226 Silgan Holdings, Inc. 2,574,902 20,724 Sonoco Products Co. 1,193,288 --------------- 10,514,464 --------------- DISTRIBUTORS -- 0.3% 14,814 Pool Corp. 2,220,767 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.6% 24,697 Bright Horizons Family Solutions, Inc. (a) 2,859,666 SHARES DESCRIPTION VALUE --------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES (CONTINUED) 96,850 Chegg, Inc. (a) $ 3,411,057 5,725 Grand Canyon Education, Inc. (a) 532,081 65,095 H&R Block, Inc. 1,535,591 54,695 Service Corp. International 2,347,509 59,933 ServiceMaster Global Holdings, Inc. (a) 2,336,788 --------------- 13,022,692 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.1% 31,709 Jefferies Financial Group, Inc. 659,864 --------------- ELECTRIC UTILITIES -- 1.4% 14,444 ALLETE, Inc. 1,111,321 30,066 Hawaiian Electric Industries, Inc. 1,118,155 11,831 IDACORP, Inc. 1,153,522 56,188 OGE Energy Corp. 2,300,899 19,382 Pinnacle West Capital Corp. 1,707,942 53,590 PNM Resources, Inc. 2,282,398 36,019 Portland General Electric Co. 1,740,438 --------------- 11,414,675 --------------- ELECTRICAL EQUIPMENT -- 1.1% 19,157 Acuity Brands, Inc. 2,316,273 7,094 EnerSys 604,835 55,380 Generac Holdings, Inc. (a) 2,931,263 11,082 Hubbell, Inc. 1,211,595 31,433 Regal Beloit Corp. 2,412,797 --------------- 9,476,763 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.3% 31,935 Arrow Electronics, Inc. (a) 2,425,463 76,247 Avnet, Inc. 3,141,376 72,196 AVX Corp. 1,281,479 66,618 Jabil, Inc. 1,775,370 6,420 Littelfuse, Inc. 1,128,122 20,427 SYNNEX Corp. 1,976,517 26,917 Tech Data Corp. (a) 2,574,073 91,698 Vishay Intertechnology, Inc. 1,788,111 17,285 Zebra Technologies Corp., Class A (a) 3,000,676 --------------- 19,091,187 --------------- ENERGY EQUIPMENT & SERVICES -- 1.3% 11,484 Helmerich & Payne, Inc. 642,989 420,867 McDermott International, Inc. (a) 3,712,047 265,939 Patterson-UTI Energy, Inc. 3,225,840 278,872 RPC, Inc. (b) 3,009,029 --------------- 10,589,905 --------------- ENTERTAINMENT -- 0.7% 46,129 Cinemark Holdings, Inc. 1,887,599 4,113 Madison Square Garden (The) Co., Class A (a) 1,143,003 See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENTERTAINMENT (CONTINUED) 14,734 World Wrestling Entertainment, Inc., Class A $ 1,213,197 420,223 Zynga, Inc., Class A (a) 1,882,599 --------------- 6,126,398 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 8.2% 13,301 American Campus Communities, Inc. 612,112 27,733 American Homes 4 Rent, Class A 613,177 154,416 Apple Hospitality REIT, Inc. 2,533,967 128,319 Brandywine Realty Trust 1,931,201 149,895 Brixmor Property Group, Inc. 2,567,701 6,251 Camden Property Trust 606,034 123,500 CoreCivic, Inc. 2,453,945 52,354 Corporate Office Properties Trust 1,292,620 139,364 Cousins Properties, Inc. 1,233,371 38,375 CubeSmart 1,187,706 10,412 CyrusOne, Inc. 564,330 16,130 Douglas Emmett, Inc. 610,198 12,003 EastGroup Properties, Inc. 1,241,830 25,791 EPR Properties 1,884,290 73,376 Equity Commonwealth 2,374,447 17,002 Equity LifeStyle Properties, Inc. 1,800,172 4,663 Federal Realty Investment Trust 618,174 19,074 First Industrial Realty Trust, Inc. 624,101 17,037 Gaming and Leisure Properties, Inc. 638,887 83,831 GEO Group (The), Inc. 1,890,389 65,250 Healthcare Trust of America, Inc., Class A 1,854,405 92,210 Hospitality Properties Trust 2,458,319 47,444 JBG SMITH Properties 1,833,711 8,754 Kilroy Realty Corp. 616,807 112,730 Kimco Realty Corp. 1,917,537 15,915 Lamar Advertising Co., Class A 1,184,872 39,433 Liberty Property Trust 1,858,872 11,840 Life Storage, Inc. 1,163,517 171,173 Medical Properties Trust, Inc. 3,115,349 14,576 National Health Investors, Inc. 1,213,598 34,043 National Retail Properties, Inc. 1,794,407 15,662 Omega Healthcare Investors, Inc. (b) 629,456 60,759 Outfront Media, Inc. 1,260,749 12,607 PS Business Parks, Inc. 1,830,410 134,265 RLJ Lodging Trust 2,490,616 8,254 Ryman Hospitality Properties, Inc. 663,209 33,404 Sabra Health Care REIT, Inc. 686,118 187,882 Senior Housing Properties Trust 2,587,135 20,883 SL Green Realty Corp. 1,930,216 31,234 Spirit Realty Capital, Inc. 1,240,614 16,237 Sun Communities, Inc. 1,784,609 169,253 Sunstone Hotel Investors, Inc. 2,420,318 35,357 Uniti Group, Inc. 703,958 SHARES DESCRIPTION VALUE --------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 76,993 VEREIT, Inc. $ 622,103 87,937 VICI Properties, Inc. 1,893,284 44,378 Weingarten Realty Investors 1,273,205 --------------- 68,306,046 --------------- FOOD & STAPLES RETAILING -- 0.7% 17,185 Casey's General Stores, Inc. 2,211,366 34,119 Performance Food Group Co. (a) 1,165,505 69,595 US Foods Holding Corp. (a) 2,346,743 --------------- 5,723,614 --------------- FOOD PRODUCTS -- 1.6% 114,446 Darling Ingredients, Inc. (a) 2,434,266 89,414 Flowers Foods, Inc. 1,757,879 24,093 Ingredion, Inc. 2,385,207 15,564 Lancaster Colony Corp. 2,475,766 141,970 Pilgrim's Pride Corp. (a) 2,876,312 18,528 Post Holdings, Inc. (a) 1,719,769 --------------- 13,649,199 --------------- GAS UTILITIES -- 1.1% 43,023 National Fuel Gas Co. 2,465,218 24,108 New Jersey Resources Corp. 1,169,238 6,916 ONE Gas, Inc. 568,149 14,392 Southwest Gas Holdings, Inc. 1,127,181 22,294 Spire, Inc. 1,769,475 30,954 UGI Corp. 1,765,307 --------------- 8,864,568 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.7% 22,974 DexCom, Inc. (a) 3,240,023 12,718 Globus Medical, Inc., Class A (a) 572,946 22,010 Haemonetics Corp. (a) 2,177,009 24,868 Hill-Rom Holdings, Inc. 2,487,297 7,192 ICU Medical, Inc. (a) 1,789,370 13,880 Insulet Corp. (a) 1,126,917 12,204 Integra LifeSciences Holdings Corp. (a) 577,981 20,509 Masimo Corp. (a) 2,551,115 49,319 Merit Medical Systems, Inc. (a) 2,788,003 49,328 Novocure Ltd. (a) 2,417,072 13,516 Penumbra, Inc. (a) 1,966,713 11,232 West Pharmaceutical Services, Inc. 1,216,089 --------------- 22,910,535 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.9% 107,059 Acadia Healthcare Co., Inc. (a) 2,929,134 23,502 Amedisys, Inc. (a) 3,082,522 5,831 Chemed Corp. 1,737,288 26,766 Encompass Health Corp. 1,789,040 9,229 HealthEquity, Inc. (a) 575,336 83,409 MEDNAX, Inc. (a) 3,011,899 18,947 Molina Healthcare, Inc. (a) 2,519,572 --------------- 15,644,791 --------------- Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY -- 0.6% 16,332 Medidata Solutions, Inc. (a) $ 1,158,919 22,210 Teladoc Health, Inc. (a) 1,425,882 24,653 Veeva Systems, Inc., Class A (a) 2,688,656 --------------- 5,273,457 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.6% 15,382 Choice Hotels International, Inc. 1,217,639 6,772 Churchill Downs, Inc. 622,889 6,888 Cracker Barrel Old Country Store, Inc. 1,152,225 34,343 Dunkin' Brands Group, Inc. 2,348,718 60,812 Eldorado Resorts, Inc. (a) 2,835,056 83,441 Hilton Grand Vacations, Inc. (a) 2,531,600 24,430 Hyatt Hotels Corp., Class A 1,707,901 7,806 Marriott Vacations Worldwide Corp. 691,143 51,333 Planet Fitness, Inc., Class A (a) 2,973,207 36,885 Texas Roadhouse, Inc. 2,244,083 141,062 Wendy's (The) Co. 2,443,194 30,721 Wyndham Destinations, Inc. 1,294,583 --------------- 22,062,238 --------------- HOUSEHOLD DURABLES -- 0.9% 4,196 Helen of Troy Ltd. (a) 486,904 30,721 Leggett & Platt, Inc. 1,258,332 105,905 PulteGroup, Inc. 2,945,218 83,585 Toll Brothers, Inc. 3,087,630 --------------- 7,778,084 --------------- HOUSEHOLD PRODUCTS -- 0.4% 65,146 Spectrum Brands Holdings, Inc. 3,640,358 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 38,070 AES Corp. 623,967 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 16,429 Carlisle Cos., Inc. 1,769,896 --------------- INSURANCE -- 4.5% 3,534 Alleghany Corp. 2,231,933 78,811 American Equity Investment Life Holding Co. 2,468,361 21,632 American National Insurance Co. 3,010,958 18,465 Assurant, Inc. 1,779,841 57,523 Assured Guaranty Ltd. 2,333,133 55,284 Athene Holding Ltd., Class A (a) 2,371,684 21,321 Axis Capital Holdings Ltd. 1,141,740 18,060 Brighthouse Financial, Inc. (a) 674,360 59,922 Brown & Brown, Inc. 1,627,482 4,130 Erie Indemnity Co., Class A 604,549 10,111 Everest Re Group Ltd. 2,214,815 61,659 First American Financial Corp. 3,087,883 4,921 Hanover Insurance Group (The), Inc. 561,191 16,587 Kemper Corp. 1,247,011 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE (CONTINUED) 45,477 National General Holdings Corp. $ 1,098,270 107,049 Old Republic International Corp. 2,157,037 16,903 Primerica, Inc. 1,899,390 19,627 Reinsurance Group of America, Inc. 2,835,120 4,117 RenaissanceRe Holdings Ltd. 568,269 9,033 Selective Insurance Group, Inc. 550,290 56,212 Unum Group 1,953,929 14,896 W.R. Berkley Corp. 1,145,353 --------------- 37,562,599 --------------- INTERACTIVE MEDIA & SERVICES -- 0.3% 40,823 TripAdvisor, Inc. (a) 2,342,424 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.9% 57,861 Etsy, Inc. (a) 3,162,104 141,008 Qurate Retail, Inc. (a) 3,066,924 12,223 Wayfair, Inc., Class A (a) 1,337,929 --------------- 7,566,957 --------------- IT SERVICES -- 3.3% 12,218 Black Knight, Inc. (a) 601,003 61,072 Booz Allen Hamilton Holding Corp. 3,000,467 15,287 CACI International, Inc., Class A (a) 2,555,681 207,147 Conduent, Inc. (a) 2,641,124 49,415 CoreLogic, Inc. (a) 1,793,765 18,982 EPAM Systems, Inc. (a) 2,685,573 20,395 Genpact Ltd. 608,383 28,501 LiveRamp Holdings, Inc. (a) 1,238,083 16,916 MAXIMUS, Inc. 1,186,319 43,143 Okta, Inc. (a) 3,556,278 76,316 Sabre Corp. 1,753,742 17,283 Science Applications International Corp. 1,160,381 30,823 Twilio, Inc., Class A (a) 3,431,216 64,535 Western Union (The) Co. 1,177,764 3,930 WEX, Inc. (a) 634,027 --------------- 28,023,806 --------------- LEISURE PRODUCTS -- 0.1% 14,358 Polaris Industries, Inc. 1,204,349 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.7% 2,370 Bio-Rad Laboratories, Inc., Class A (a) 592,192 19,456 Charles River Laboratories International, Inc. (a) 2,396,785 29,930 PRA Health Sciences, Inc. (a) 3,171,682 --------------- 6,160,659 --------------- MACHINERY -- 4.4% 39,554 AGCO Corp. 2,539,367 62,685 Allison Transmission Holdings, Inc. 3,050,879 See Notes to Financial Statements Page 41 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 10,267 Barnes Group, Inc. $ 606,574 7,627 Crane Co. 631,210 26,307 Graco, Inc. 1,139,882 22,810 ITT, Inc. 1,198,894 7,666 John Bean Technologies Corp. 608,987 66,163 Kennametal, Inc. 2,486,406 27,927 Lincoln Electric Holdings, Inc. 2,414,010 5,359 Middleby (The) Corp. (a) 630,326 21,215 Navistar International Corp. (a) 696,701 9,225 Nordson Corp. 1,195,929 44,895 Oshkosh Corp. 3,369,370 9,762 Proto Labs, Inc. (a) 1,211,952 12,597 RBC Bearings, Inc. (a) 1,756,274 15,155 Snap-on, Inc. 2,515,578 19,968 Terex Corp. 613,217 73,753 Timken (The) Co. 3,141,140 9,850 Toro (The) Co. 586,075 133,679 Trinity Industries, Inc. 3,125,415 15,386 WABCO Holdings, Inc. (a) 1,757,543 49,550 Welbilt, Inc. (a) 694,691 7,411 Woodward, Inc. 673,289 --------------- 36,643,709 --------------- MARINE -- 0.4% 40,862 Kirby Corp. (a) 3,060,972 --------------- MEDIA -- 2.1% 133,292 Altice USA, Inc., Class A 2,617,855 3,356 Cable One, Inc. 2,967,845 110,231 DISH Network Corp., Class A (a) 3,380,785 26,685 Interpublic Group of Cos. (The), Inc. 607,084 46,879 John Wiley & Sons, Inc., Class A 2,427,394 242,509 News Corp., Class A 3,111,390 35,000 Nexstar Media Group, Inc., Class A 2,921,450 --------------- 18,033,803 --------------- METALS & MINING -- 1.6% 62,133 Alcoa Corp. (a) 1,844,107 101,148 Allegheny Technologies, Inc. (a) 2,770,444 71,587 Cleveland-Cliffs, Inc. 766,697 38,673 Reliance Steel & Aluminum Co. 3,166,545 12,854 Royal Gold, Inc. 1,123,054 150,902 United States Steel Corp. 3,401,331 --------------- 13,072,178 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.5% 62,769 AGNC Investment Corp. 1,124,193 34,556 Blackstone Mortgage Trust, Inc., Class A 1,191,836 154,459 Chimera Investment Corp. 2,939,355 329,637 MFA Financial, Inc. 2,416,239 193,700 New Residential Investment Corp. 3,289,026 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 55,858 Starwood Property Trust, Inc. $ 1,233,345 --------------- 12,193,994 --------------- MULTILINE RETAIL -- 0.3% 23,622 Nordstrom, Inc. 1,096,297 16,553 Ollie's Bargain Outlet Holdings, Inc. (a) 1,293,948 --------------- 2,390,245 --------------- MULTI-UTILITIES -- 0.7% 35,073 Black Hills Corp. 2,381,106 69,275 MDU Resources Group, Inc. 1,781,060 27,784 NorthWestern Corp. 1,775,676 --------------- 5,937,842 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.7% 293,129 Antero Resources Corp. (a) 2,948,878 241,022 CNX Resources Corp. (a) 2,926,007 47,896 CVR Energy, Inc. 1,923,024 50,800 Delek US Holdings, Inc. 1,651,508 23,537 Murphy Oil Corp. 643,737 50,551 PBF Energy, Inc., Class A 1,851,178 90,303 Peabody Energy Corp. 3,223,817 287,613 Range Resources Corp. 3,172,371 807,175 Southwestern Energy Co. (a) 3,527,355 24,260 Whiting Petroleum Corp. (a) 694,564 --------------- 22,562,439 --------------- PAPER & FOREST PRODUCTS -- 0.3% 15,670 Domtar Corp. 734,923 74,323 Louisiana-Pacific Corp. 1,811,995 --------------- 2,546,918 --------------- PERSONAL PRODUCTS -- 1.0% 44,216 Edgewell Personal Care Co. (a) 1,744,321 46,693 Herbalife Nutrition Ltd. (a) 2,787,572 17,952 Nu Skin Enterprises, Inc., Class A 1,178,549 23,379 USANA Health Sciences, Inc. (a) 2,737,681 --------------- 8,448,123 --------------- PHARMACEUTICALS -- 0.4% 140,863 Horizon Pharma PLC (a) 3,027,146 --------------- PROFESSIONAL SERVICES -- 1.6% 10,100 ASGN, Inc. (a) 636,199 41,304 FTI Consulting, Inc. (a) 2,821,889 29,483 Insperity, Inc. 3,145,247 27,844 Korn Ferry 1,269,686 42,476 ManpowerGroup, Inc. 3,356,878 28,871 Robert Half International, Inc. 1,860,159 13,123 TriNet Group, Inc. (a) 599,196 --------------- 13,689,254 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 11,279 Howard Hughes (The) Corp. (a) 1,252,420 13,046 Jones Lang LaSalle, Inc. 1,870,927 30,297 Kennedy-Wilson Holdings, Inc. 605,637 --------------- 3,728,984 --------------- Page 42 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL -- 1.5% 8,390 AMERCO $ 3,042,717 37,187 Genesee & Wyoming, Inc., Class A (a) 2,919,923 21,957 Knight-Swift Transportation Holdings, Inc. 697,135 23,018 Landstar System, Inc. 2,338,169 57,163 Ryder System, Inc. 3,310,309 --------------- 12,308,253 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6% 17,319 Cabot Microelectronics Corp. 1,764,633 64,347 Cree, Inc. (a) 3,245,019 43,276 Cypress Semiconductor Corp. 600,238 59,202 Entegris, Inc. 1,956,626 8,520 MKS Instruments, Inc. 695,488 14,206 Monolithic Power Systems, Inc. 1,797,911 33,344 ON Semiconductor Corp. (a) 668,214 24,001 Semtech Corp. (a) 1,165,488 6,984 Silicon Laboratories, Inc. (a) 534,276 17,542 Teradyne, Inc. 631,337 19,858 Versum Materials, Inc. 730,179 --------------- 13,789,409 --------------- SOFTWARE -- 4.8% 18,631 CommVault Systems, Inc. (a) 1,230,950 35,029 Coupa Software, Inc. (a) 3,046,122 8,831 Fair Isaac Corp. (a) 1,988,741 135,842 FireEye, Inc. (a) 2,401,687 13,721 Guidewire Software, Inc. (a) 1,189,336 17,513 HubSpot, Inc. (a) 2,772,483 7,935 j2 Global, Inc. 596,395 13,499 LogMeIn, Inc. 1,255,677 20,395 New Relic, Inc. (a) 2,073,152 52,945 Nutanix, Inc., Class A (a) 2,712,372 17,982 Paycom Software, Inc. (a) 2,665,652 27,430 Paylocity Holding Corp. (a) 1,948,353 11,510 Pegasystems, Inc. 647,898 14,730 Qualys, Inc. (a) 1,274,587 22,847 RealPage, Inc. (a) 1,274,177 33,388 RingCentral, Inc., Class A (a) 3,086,387 22,936 Tableau Software, Inc., Class A (a) 2,932,138 18,974 Trade Desk (The), Inc., Class A (a) 2,707,210 2,964 Tyler Technologies, Inc. (a) 560,759 4,495 Ultimate Software Group (The), Inc. (a) 1,227,450 37,725 Zendesk, Inc. (a) 2,547,569 --------------- 40,139,095 --------------- SPECIALTY RETAIL -- 3.3% 65,458 Aaron's, Inc. 3,276,827 85,434 American Eagle Outfitters, Inc. 1,804,366 77,100 AutoNation, Inc. (a) 2,987,625 21,521 Five Below, Inc. (a) 2,662,793 21,255 Floor & Decor Holdings, Inc., Class A (a) 728,834 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 31,043 Foot Locker, Inc. $ 1,734,993 42,891 L Brands, Inc. 1,194,085 121,972 Michaels Cos. (The), Inc. (a) 1,690,532 68,267 Penske Automotive Group, Inc. 3,200,357 18,378 RH (a) (b) 2,497,019 32,987 Tractor Supply Co. 2,817,090 33,162 Urban Outfitters, Inc. (a) 1,071,133 32,734 Williams-Sonoma, Inc. 1,781,712 --------------- 27,447,366 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 34,234 Pure Storage, Inc., Class A (a) 613,131 83,576 Xerox Corp. 2,357,679 --------------- 2,970,810 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.4% 20,234 Carter's, Inc. 1,677,399 26,186 Columbia Sportswear Co. 2,335,530 21,513 Deckers Outdoor Corp. (a) 2,763,345 5,322 Ralph Lauren Corp. 618,097 72,149 Skechers U.S.A., Inc., Class A (a) 1,960,288 36,385 Steven Madden Ltd. 1,187,970 62,307 Under Armour, Inc., Class A (a) 1,292,247 --------------- 11,834,876 --------------- THRIFTS & MORTGAGE FINANCE -- 1.7% 80,528 Essent Group Ltd. (a) 3,200,988 7,521 LendingTree, Inc. (a) 2,228,773 263,142 MGIC Investment Corp. (a) 3,284,012 175,503 New York Community Bancorp, Inc. 2,039,345 168,245 Radian Group, Inc. 3,237,034 --------------- 13,990,152 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.4% 91,113 Air Lease Corp. 3,456,827 38,871 GATX Corp. 2,941,757 14,672 HD Supply Holdings, Inc. (a) 615,344 28,626 MSC Industrial Direct Co., Inc., Class A 2,389,985 93,093 Univar, Inc. (a) 1,939,127 3,955 Watsco, Inc. 583,283 --------------- 11,926,323 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.4% 75,287 Macquarie Infrastructure Corp. 3,250,140 --------------- WATER UTILITIES -- 0.1% 16,102 Aqua America, Inc. 564,375 --------------- TOTAL COMMON STOCKS -- 99.8% 835,120,013 (Cost $799,896,986) --------------- See Notes to Financial Statements Page 43 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.2% 381,893 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) $ 381,893 1,478,737 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (c) 1,478,737 --------------- TOTAL MONEY MARKET FUNDS -- 0.2% 1,860,630 (Cost $1,860,630) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 1,741,354 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $1,741,478. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $1,784,839. (d) 1,741,354 2,159,667 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $2,159,817. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $2,202,861. (d) 2,159,667 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.5% 3,901,021 (Cost $3,901,021) --------------- TOTAL INVESTMENTS -- 100.5% 840,881,664 (Cost $805,658,637) (e) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (4,568,980) --------------- NET ASSETS -- 100.0% $ 836,312,684 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $4,193,198 and the total value of the collateral held by the Fund is $4,282,914. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $69,172,337 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $33,949,310. The net unrealized appreciation was $35,223,027. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 835,120,013 $ -- $ -- Money Market Funds 1,860,630 -- -- Repurchase Agreements -- 3,901,021 -- --------------------------------------------- Total Investments $ 836,980,643 $ 3,901,021 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 44 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 4,193,198 Non-cash Collateral(2) (4,193,198) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 3,901,021 Non-cash Collateral(4) (3,901,021) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 45 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.0% 17,669 AAR Corp. $ 665,768 46,818 Aerojet Rocketdyne Holdings, Inc. (a) 1,847,906 9,710 Aerovironment, Inc. (a) 754,079 27,903 Mercury Systems, Inc. (a) 1,635,953 4,258 Moog, Inc., Class A 380,963 83,514 Wesco Aircraft Holdings, Inc. (a) 729,912 --------------- 6,014,581 --------------- AIR FREIGHT & LOGISTICS -- 1.2% 57,849 Air Transport Services Group, Inc. (a) 1,373,914 39,094 Atlas Air Worldwide Holdings, Inc. (a) 2,080,583 24,057 Forward Air Corp. 1,408,056 44,494 Hub Group, Inc., Class A (a) 1,980,428 --------------- 6,842,981 --------------- AIRLINES -- 0.6% 13,166 Allegiant Travel Co. 1,711,580 62,454 Hawaiian Holdings, Inc. 1,999,777 --------------- 3,711,357 --------------- AUTO COMPONENTS -- 1.9% 148,595 American Axle & Manufacturing Holdings, Inc. (a) 2,196,234 30,611 Cooper Tire & Rubber Co. 1,077,507 26,552 Cooper-Standard Holdings, Inc. (a) 2,030,166 3,664 Dorman Products, Inc. (a) 314,921 28,018 Fox Factory Holding Corp. (a) 1,662,308 8,251 Gentherm, Inc. (a) 351,163 19,753 LCI Industries 1,628,437 6,811 Standard Motor Products, Inc. 334,829 36,131 Tenneco, Inc., Class A 1,253,023 --------------- 10,848,588 --------------- AUTOMOBILES -- 0.3% 68,129 Winnebago Industries, Inc. 1,948,489 --------------- BANKS -- 4.8% 16,355 1st Source Corp. 742,517 19,833 BancFirst Corp. 1,064,635 6,168 Banner Corp. 336,403 36,694 Berkshire Hills Bancorp, Inc. 999,911 31,209 Boston Private Financial Holdings, Inc. 362,024 23,870 Brookline Bancorp, Inc. 354,947 14,642 City Holding Co. 1,049,539 16,306 CVB Financial Corp. 357,264 13,544 Eagle Bancorp, Inc. (a) 743,295 8,767 Enterprise Financial Services Corp. 386,888 28,259 FB Financial Corp. 934,808 20,201 First Bancorp 742,791 76,716 First BanCorp 817,025 26,885 First Busey Corp. 665,673 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 27,308 First Commonwealth Financial Corp. $ 371,389 18,046 First Interstate BancSystem, Inc., Class A 702,350 9,626 First Merchants Corp. 352,600 33,304 First Midwest Bancorp, Inc. 733,354 31,668 Great Western Bancorp, Inc. 1,117,564 15,012 Heartland Financial USA, Inc. 680,944 11,099 Heritage Financial Corp. 343,847 37,003 Hilltop Holdings, Inc. 681,225 83,444 Hope Bancorp, Inc. 1,194,084 14,075 Independent Bank Corp. 1,122,904 16,429 Lakeland Financial Corp. 739,798 10,280 LegacyTexas Financial Group, Inc. 409,555 21,372 National Bank Holdings Corp., Class A 683,049 9,537 NBT Bancorp, Inc. 339,708 33,679 Opus Bank 703,891 7,766 Park National Corp. 730,159 21,861 Renasant Corp. 776,503 17,435 S&T Bancorp, Inc. 669,853 21,052 Sandy Spring Bancorp, Inc. 686,506 38,034 Seacoast Banking Corp. of Florida (a) 1,046,696 10,351 ServisFirst Bancshares, Inc. 349,346 27,342 Simmons First National Corp., Class A 676,441 10,390 Southside Bancshares, Inc. 342,766 13,193 Tompkins Financial Corp. 970,213 9,763 TriCo Bancshares 368,260 23,207 Trustmark Corp. 731,717 30,744 United Community Banks, Inc. 790,736 --------------- 27,873,178 --------------- BEVERAGES -- 0.2% 4,109 Boston Beer (The) Co., Inc., Class A (a) 1,023,798 1,860 Coca-Cola Consolidated, Inc. 401,388 --------------- 1,425,186 --------------- BIOTECHNOLOGY -- 2.7% 40,802 ACADIA Pharmaceuticals, Inc. (a) 929,470 7,575 Acceleron Pharma, Inc. (a) 321,180 8,469 Arena Pharmaceuticals, Inc. (a) 389,320 25,995 Athenex, Inc. (a) 305,441 6,119 Blueprint Medicines Corp. (a) 441,119 11,546 CRISPR Therapeutics AG (a) (b) 374,437 27,824 Emergent BioSolutions, Inc. (a) 1,735,939 9,315 Enanta Pharmaceuticals, Inc. (a) 739,890 20,486 Genomic Health, Inc. (a) 1,553,044 45,096 Halozyme Therapeutics, Inc. (a) 729,653 13,092 Intercept Pharmaceuticals, Inc. (a) 1,579,943 38,448 PTC Therapeutics, Inc. (a) 1,196,886 20,005 Radius Health, Inc. (a) 365,491 7,864 REGENXBIO, Inc. (a) 345,701 Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 31,274 Repligen Corp. (a) $ 1,782,931 14,577 Retrophin, Inc. (a) 314,280 50,498 Vanda Pharmaceuticals, Inc. (a) 1,370,011 27,368 Xencor, Inc. (a) 987,985 --------------- 15,462,721 --------------- BUILDING PRODUCTS -- 2.1% 37,636 AAON, Inc. 1,390,274 27,207 Advanced Drainage Systems, Inc. 693,779 23,698 American Woodmark Corp. (a) 1,657,675 44,205 Apogee Enterprises, Inc. 1,506,064 90,710 Builders FirstSource, Inc. (a) 1,199,186 25,924 Continental Building Products, Inc. (a) 682,838 27,807 Gibraltar Industries, Inc. (a) 991,320 136,502 NCI Building Systems, Inc. (a) 1,113,856 11,141 Patrick Industries, Inc. (a) 444,526 41,625 PGT Innovations, Inc. (a) 692,640 50,829 Universal Forest Products, Inc. 1,566,550 --------------- 11,938,708 --------------- CAPITAL MARKETS -- 1.4% 12,383 Blucora, Inc. (a) 365,422 9,612 Cohen & Steers, Inc. 361,700 37,274 Federated Investors, Inc., Class B 973,970 8,916 Hamilton Lane, Inc., Class A 323,383 8,964 Houlihan Lokey, Inc. 396,568 8,511 PJT Partners, Inc., Class A 370,058 106,413 TCG BDC, Inc. (b) 1,589,810 64,030 Virtu Financial, Inc., Class A 1,635,967 91,228 Waddell & Reed Financial, Inc., Class A 1,561,823 49,606 WisdomTree Investments, Inc. 332,360 --------------- 7,911,061 --------------- CHEMICALS -- 2.2% 67,765 AdvanSix, Inc. (a) 2,144,085 6,594 Chase Corp. 664,807 21,038 Ferro Corp. (a) 350,704 15,462 H.B. Fuller Co. 763,668 10,683 Innospec, Inc. 750,694 75,522 Kraton Corp. (a) 2,129,720 143,177 Kronos Worldwide, Inc. 1,885,641 25,702 Minerals Technologies, Inc. 1,505,366 89,097 PQ Group Holdings, Inc. (a) 1,340,910 13,374 Stepan Co. 1,175,976 --------------- 12,711,571 --------------- COMMERCIAL SERVICES & SUPPLIES -- 4.2% 30,820 ABM Industries, Inc. 1,053,736 243,275 ACCO Brands Corp. 2,148,118 27,559 Advanced Disposal Services, Inc. (a) 694,487 37,952 Brady Corp., Class A 1,696,834 57,894 Casella Waste Systems, Inc., Class A (a) 1,743,767 SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 49,162 Covanta Holding Corp. $ 791,508 34,327 Deluxe Corp. 1,612,339 32,715 Herman Miller, Inc. 1,119,834 27,932 HNI Corp. 1,085,717 46,299 Interface, Inc. 759,767 80,068 Knoll, Inc. 1,614,171 32,485 Matthews International Corp., Class A 1,445,258 19,224 McGrath RentCorp 968,890 10,390 Mobile Mini, Inc. 392,638 47,005 Multi-Color Corp. 2,188,083 111,635 Pitney Bowes, Inc. 804,888 66,733 Steelcase, Inc., Class A 1,101,094 9,223 UniFirst Corp. 1,276,740 20,951 US Ecology, Inc. 1,333,950 13,171 Viad Corp. 694,112 --------------- 24,525,931 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 25,124 Casa Systems, Inc. (a) 292,443 44,918 EchoStar Corp., Class A (a) 1,840,740 9,931 InterDigital, Inc. 723,076 41,881 NetScout Systems, Inc. (a) 1,085,974 164,120 Viavi Solutions, Inc. (a) 1,825,015 --------------- 5,767,248 --------------- CONSTRUCTION & ENGINEERING -- 1.2% 30,209 Comfort Systems USA, Inc. 1,449,126 24,417 Dycom Industries, Inc. (a) 1,417,407 24,569 Granite Construction, Inc. 1,061,872 108,656 KBR, Inc. 1,868,883 68,977 Primoris Services Corp. 1,376,091 --------------- 7,173,379 --------------- CONSTRUCTION MATERIALS -- 0.3% 106,413 Summit Materials, Inc., Class A (a) 1,623,862 --------------- CONSUMER FINANCE -- 0.6% 50,855 Enova International, Inc. (a) 1,172,207 18,908 Nelnet, Inc., Class A 994,561 54,145 PRA Group, Inc. (a) 1,597,819 --------------- 3,764,587 --------------- CONTAINERS & PACKAGING -- 0.2% 35,557 Greif, Inc., Class A 1,386,723 --------------- DISTRIBUTORS -- 0.1% 28,377 Core-Mark Holding Co., Inc. 791,151 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 28,886 Career Education Corp. (a) 372,918 2,575 Graham Holdings Co., Class B 1,712,375 86,583 Laureate Education, Inc., Class A (a) 1,385,328 8,301 Sotheby's (a) 335,278 --------------- 3,805,899 --------------- See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES -- 0.1% 99,063 FGL Holdings (a) $ 783,588 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% 18,447 ATN International, Inc. 1,375,777 14,593 Cogent Communications Holdings, Inc. 707,031 53,639 Iridium Communications, Inc. (a) 1,039,524 --------------- 3,122,332 --------------- ELECTRIC UTILITIES -- 0.4% 19,741 El Paso Electric Co. 1,036,797 11,003 MGE Energy, Inc. 707,603 6,646 Otter Tail Corp. 321,999 --------------- 2,066,399 --------------- ELECTRICAL EQUIPMENT -- 1.6% 83,135 Atkore International Group, Inc. (a) 1,927,901 24,520 AZZ, Inc. 1,097,270 26,296 Encore Wire Corp. 1,417,354 151,460 Sunrun, Inc. (a) 2,014,418 53,683 TPI Composites, Inc. (a) 1,624,984 34,917 Vicor Corp. (a) 1,375,381 --------------- 9,457,308 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.0% 18,222 Anixter International, Inc. (a) 1,106,258 31,590 Belden, Inc. 1,693,540 15,575 Benchmark Electronics, Inc. 395,917 25,483 CTS Corp. 722,953 9,270 ePlus, Inc. (a) 734,369 12,858 Fabrinet (a) 730,849 8,117 FARO Technologies, Inc. (a) 345,135 10,163 II-VI, Inc. (a) 385,787 24,286 Insight Enterprises, Inc. (a) 1,115,213 94,037 KEMET Corp. 1,666,336 24,785 Knowles Corp. (a) 386,646 42,492 Methode Electronics, Inc. 1,094,169 13,711 Sanmina Corp. (a) 428,057 28,785 ScanSource, Inc. (a) 1,102,753 --------------- 11,907,982 --------------- ENERGY EQUIPMENT & SERVICES -- 4.2% 176,171 Archrock, Inc. 1,663,054 122,178 C&J Energy Services, Inc. (a) 1,963,400 104,835 Diamond Offshore Drilling, Inc. (a) 1,145,847 399,371 Forum Energy Technologies, Inc. (a) 1,960,912 185,587 FTS International, Inc. (a) 1,512,534 304,880 Helix Energy Solutions Group, Inc. (a) 2,082,330 40,328 Keane Group, Inc. (a) 406,506 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 36,694 Mammoth Energy Services, Inc. $ 812,038 659,761 Nabors Industries Ltd. 1,952,893 109,051 Oceaneering International, Inc. (a) 1,711,010 46,202 Oil States International, Inc. (a) 795,598 53,552 ProPetro Holding Corp. (a) 875,040 260,982 Select Energy Services, Inc., Class A (a) 2,218,347 393,887 Superior Energy Services, Inc. (a) 1,540,098 162,024 U.S. Silica Holdings, Inc. (b) 2,184,084 115,504 Unit Corp. (a) 1,843,444 --------------- 24,667,135 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.2% 27,767 Acadia Realty Trust 797,746 22,319 Agree Realty Corp. 1,473,724 89,739 Alexander & Baldwin, Inc. (a) 2,067,587 71,480 CareTrust REIT, Inc. 1,571,130 54,190 Chesapeake Lodging Trust 1,543,331 34,096 Columbia Property Trust, Inc. 752,499 108,992 DiamondRock Hospitality Co. 1,107,359 23,182 Empire State Realty Trust, Inc., Class A 358,394 37,773 Four Corners Property Trust, Inc. 1,066,710 11,217 Getty Realty Corp. 359,617 56,166 Global Net Lease, Inc. 1,089,059 51,950 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 1,173,550 50,312 Industrial Logistics Properties Trust 1,081,205 70,237 Kite Realty Group Trust 1,168,041 200,902 Lexington Realty Trust 1,930,668 15,829 LTC Properties, Inc. 750,928 50,518 Mack-Cali Realty Corp. 1,040,671 24,934 National Storage Affiliates Trust 725,579 48,017 Office Properties Income Trust 1,537,984 11,652 Pebblebrook Hotel Trust 373,447 82,316 Physicians Realty Trust 1,490,743 38,718 Piedmont Office Realty Trust, Inc., Class A 749,580 20,773 Retail Opportunity Investments Corp. 364,982 60,807 Retail Properties of America, Inc., Class A 768,600 33,581 Rexford Industrial Realty, Inc. 1,128,322 82,815 RPT Realty 1,084,048 6,986 Saul Centers, Inc. 369,979 10,204 Seritage Growth Properties, Class A 410,303 26,518 STAG Industrial, Inc. 731,101 169,517 Summit Hotel Properties, Inc. 1,893,505 16,315 Tanger Factory Outlet Centers, Inc. 371,166 Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 18,759 Terreno Realty Corp. $ 756,738 15,991 Tier REIT, Inc. 375,788 19,848 Urban Edge Properties 405,296 271,506 Washington Prime Group, Inc. 1,542,154 14,343 Washington Real Estate Investment Trust 363,595 76,716 Xenia Hotels & Resorts, Inc. 1,439,959 --------------- 36,215,088 --------------- FOOD & STAPLES RETAILING -- 0.9% 11,163 PriceSmart, Inc. 683,734 28,063 Sprouts Farmers Market, Inc. (a) 672,951 155,751 United Natural Foods, Inc. (a) 2,040,338 34,521 Weis Markets, Inc. 1,674,959 --------------- 5,071,982 --------------- FOOD PRODUCTS -- 1.7% 34,232 B&G Foods, Inc. (b) 912,625 4,521 Calavo Growers, Inc. 367,829 31,194 Cal-Maine Foods, Inc. 1,315,763 23,338 Fresh Del Monte Produce, Inc. 746,349 51,288 Freshpet, Inc. (a) 1,844,829 150,768 Hostess Brands, Inc. (a) 1,732,324 6,845 J&J Snack Foods Corp. 1,056,526 6,645 Sanderson Farms, Inc. 818,000 34,908 Simply Good Foods (The) Co. (a) 690,829 9,877 Tootsie Roll Industries, Inc. (b) 342,238 --------------- 9,827,312 --------------- GAS UTILITIES -- 0.1% 8,115 Chesapeake Utilities Corp. 734,976 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.7% 1,781 Atrion Corp. 1,328,341 7,365 Avanos Medical, Inc. (a) 335,476 23,157 Cardiovascular Systems, Inc. (a) 720,877 15,415 CONMED Corp. 1,084,445 46,495 CryoLife, Inc. (a) 1,297,676 23,491 Glaukos Corp. (a) 1,498,491 17,303 Integer Holdings Corp. (a) 1,401,370 14,244 iRhythm Technologies, Inc. (a) 1,210,740 38,775 Natus Medical, Inc. (a) 1,308,269 18,854 Orthofix Medical, Inc. (a) 1,020,190 13,514 Quidel Corp. (a) 784,217 31,014 STAAR Surgical Co. (a) 1,108,130 26,064 Tandem Diabetes Care, Inc. (a) 1,133,263 13,931 Varex Imaging Corp. (a) 396,894 36,357 Wright Medical Group N.V. (a) 1,084,893 --------------- 15,713,272 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 29,111 AMN Healthcare Services, Inc. (a) 1,886,102 27,619 BioTelemetry, Inc. (a) 1,983,597 5,345 CorVel Corp. (a) 333,902 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 49,017 Diplomat Pharmacy, Inc. (a) $ 710,746 42,521 Ensign Group (The), Inc. 1,852,640 14,055 LHC Group, Inc. (a) 1,486,035 23,194 Magellan Health, Inc. (a) 1,511,321 12,615 National HealthCare Corp. 1,013,363 67,117 Patterson Cos., Inc. 1,496,038 35,329 Premier, Inc., Class A (a) 1,405,741 64,472 Select Medical Holdings Corp. (a) 1,007,053 39,889 Tivity Health, Inc. (a) 887,929 16,115 US Physical Therapy, Inc. 1,706,417 --------------- 17,280,884 --------------- HEALTH CARE TECHNOLOGY -- 1.2% 68,440 Allscripts Healthcare Solutions, Inc. (a) 806,907 66,141 Evolent Health, Inc., Class A (a) 1,169,373 58,635 HMS Holdings Corp. (a) 1,758,464 21,774 NextGen Healthcare, Inc. (a) 384,964 21,547 Omnicell, Inc. (a) 1,403,356 20,695 Tabula Rasa HealthCare, Inc. (a) 1,247,495 --------------- 6,770,559 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.3% 13,047 BJ's Restaurants, Inc. 650,132 18,439 Bloomin' Brands, Inc. 339,831 30,003 Brinker International, Inc. 1,215,721 22,745 Cheesecake Factory (The), Inc. 1,020,796 22,209 Dave & Buster's Entertainment, Inc. 1,142,653 24,494 Dine Brands Global, Inc. 1,868,157 37,606 International Speedway Corp., Class A 1,633,981 8,499 Jack in the Box, Inc. 687,994 8,286 Papa John's International, Inc. (b) 350,415 137,641 Playa Hotels & Resorts N.V. (a) 1,084,611 44,800 SeaWorld Entertainment, Inc. (a) 1,167,040 7,263 Shake Shack, Inc., Class A (a) 346,881 25,695 Wingstop, Inc. 1,686,877 --------------- 13,195,089 --------------- HOUSEHOLD DURABLES -- 3.1% 2,530 Cavco Industries, Inc. (a) 420,714 19,583 Installed Building Products, Inc. (a) 824,640 19,697 iRobot Corp. (a) 1,768,594 69,085 KB Home 1,479,110 35,714 La-Z-Boy, Inc. 1,057,849 29,180 LGI Homes, Inc. (a) (b) 1,730,374 58,677 M.D.C. Holdings, Inc. 1,932,233 44,918 Meritage Homes Corp. (a) 2,024,903 103,736 Taylor Morrison Home Corp., Class A (a) 1,960,610 7,968 Tempur Sealy International, Inc. (a) 422,463 See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 36,654 TopBuild Corp. (a) $ 1,935,698 150,906 TRI Pointe Group, Inc. (a) 2,029,686 10,449 Tupperware Brands Corp. 284,944 --------------- 17,871,818 --------------- HOUSEHOLD PRODUCTS -- 0.5% 31,668 Central Garden & Pet Co., Class A (a) 1,128,014 9,000 WD-40 Co. 1,635,750 --------------- 2,763,764 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5% 38,247 Clearway Energy, Inc., Class C 577,147 18,922 Ormat Technologies, Inc. 1,091,989 53,150 Pattern Energy Group, Inc., Class A 1,131,032 --------------- 2,800,168 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 27,346 Raven Industries, Inc. 1,011,529 --------------- INSURANCE -- 1.9% 5,819 AMERISAFE, Inc. 345,707 9,810 Argo Group International Holdings Ltd. 654,719 23,580 Employers Holdings, Inc. 999,085 15,075 FBL Financial Group, Inc., Class A 1,058,567 26,425 Horace Mann Educators Corp. 1,100,601 9,028 James River Group Holdings Ltd. 348,210 23,750 Kinsale Capital Group, Inc. 1,377,500 6,379 Mercury General Corp. 329,794 4,388 National Western Life Group, Inc., Class A 1,330,880 8,133 ProAssurance Corp. 346,954 8,065 Safety Insurance Group, Inc. 663,830 34,220 Third Point Reinsurance Ltd. (a) 359,652 12,957 Trupanion, Inc. (a) (b) 344,008 5,949 United Fire Group, Inc. 309,348 34,798 Universal Insurance Holdings, Inc. 1,312,581 --------------- 10,881,436 --------------- INTERACTIVE MEDIA & SERVICES -- 0.9% 76,716 Cars.com, Inc. (a) 2,095,114 103,801 Liberty TripAdvisor Holdings, Inc., Class A (a) 1,729,325 30,852 Match Group, Inc. 1,650,273 --------------- 5,474,712 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.5% 42,173 Liberty Expedia Holdings, Inc., Class A (a) 1,728,671 61,775 Quotient Technology, Inc. (a) 617,750 8,194 Shutterfly, Inc. (a) 376,596 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INTERNET & DIRECT MARKETING RETAIL (CONTINUED) 9,161 Shutterstock, Inc. $ 366,532 --------------- 3,089,549 --------------- IT SERVICES -- 1.7% 20,767 CSG Systems International, Inc. 751,558 57,470 EVERTEC, Inc. 1,590,195 6,269 ExlService Holdings, Inc. (a) 360,467 18,924 ManTech International Corp., Class A 1,066,746 19,697 MongoDB, Inc. (a) (b) 1,819,215 52,865 NIC, Inc. 866,986 75,835 Presidio, Inc. 1,208,052 26,678 Sykes Enterprises, Inc. (a) 735,512 30,982 Virtusa Corp. (a) 1,503,247 --------------- 9,901,978 --------------- LEISURE PRODUCTS -- 0.4% 46,969 Acushnet Holdings Corp. 1,079,817 64,682 Callaway Golf Co. 1,053,670 --------------- 2,133,487 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 14,274 Luminex Corp. 398,102 31,162 Medpace Holdings, Inc. (a) 2,006,833 52,320 NeoGenomics, Inc. (a) 869,558 --------------- 3,274,493 --------------- MACHINERY -- 4.6% 15,716 Actuant Corp., Class A 359,739 12,799 Alamo Group, Inc. 1,102,378 21,136 Albany International Corp., Class A 1,451,198 13,116 Altra Industrial Motion Corp. 401,481 10,927 Astec Industries, Inc. 404,518 25,364 Chart Industries, Inc. (a) 1,894,691 18,383 Douglas Dynamics, Inc. 650,758 16,466 EnPro Industries, Inc. 1,087,579 25,010 ESCO Technologies, Inc. 1,628,401 66,308 Federal Signal Corp. 1,457,450 15,386 Franklin Electric Co., Inc. 735,143 41,715 Greenbrier (The) Cos., Inc. 1,769,133 49,831 Harsco Corp. (a) 1,061,400 12,149 Kadant, Inc. 1,036,310 39,016 Meritor, Inc. (a) 806,851 83,233 Milacron Holdings Corp. (a) 1,153,609 28,243 Mueller Industries, Inc. 731,776 108,752 Mueller Water Products, Inc., Class A 1,074,470 131,776 REV Group, Inc. 1,095,059 23,554 SPX Corp. (a) 700,731 32,532 SPX FLOW, Inc. (a) 1,066,074 14,731 Standex International Corp. 1,098,638 6,330 Tennant Co. 371,761 36,264 TriMas Corp. (a) 1,051,293 126,101 Wabash National Corp. 1,757,848 10,224 Watts Water Technologies, Inc., Class A 765,471 --------------- 26,713,760 --------------- Page 50 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MARINE -- 0.3% 51,511 Matson, Inc. $ 1,726,134 --------------- MEDIA -- 2.8% 18,033 AMC Networks, Inc., Class A (a) 1,134,997 133,663 Emerald Expositions Events, Inc. 1,898,015 288,862 Entercom Communications Corp., Class A 2,117,358 154,692 Gannett Co., Inc. 1,715,534 111,900 Gray Television, Inc. (a) 1,869,849 12,702 Meredith Corp. 689,338 56,007 MSG Networks, Inc., Class A (a) 1,254,557 114,047 New Media Investment Group, Inc. 1,559,022 8,194 Scholastic Corp. 341,608 62,620 Sinclair Broadcast Group, Inc., Class A 1,929,322 151,739 TEGNA, Inc. 1,781,416 --------------- 16,291,016 --------------- METALS & MINING -- 1.4% 146,614 AK Steel Holding Corp. (a) (b) 432,511 147,598 Coeur Mining, Inc. (a) 760,130 82,367 Commercial Metals Co. 1,437,304 7,913 Compass Minerals International, Inc. 413,454 419,340 Hecla Mining Co. 1,132,218 3,695 Kaiser Aluminum Corp. 370,867 14,665 Materion Corp. 688,229 54,729 Warrior Met Coal, Inc. 1,572,364 37,874 Worthington Industries, Inc. 1,428,986 --------------- 8,236,063 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.9% 79,203 Apollo Commercial Real Estate Finance, Inc. 1,441,495 91,127 Invesco Mortgage Capital, Inc. 1,467,145 86,131 KKR Real Estate Finance Trust, Inc. 1,776,021 64,662 Ladder Capital Corp. 1,119,299 70,866 PennyMac Mortgage Investment Trust 1,434,328 87,560 Redwood Trust, Inc. 1,412,343 54,138 TPG RE Finance Trust, Inc. 1,073,556 102,767 Two Harbors Investment Corp. 1,499,370 --------------- 11,223,557 --------------- MULTILINE RETAIL -- 0.6% 45,627 Big Lots, Inc. 1,439,075 27,349 Dillard's, Inc., Class A (b) 1,826,640 --------------- 3,265,715 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.4% 19,875 Arch Coal, Inc., Class A 1,751,584 19,359 California Resources Corp. (a) 390,084 SHARES DESCRIPTION VALUE --------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 251,817 Gulfport Energy Corp. (a) $ 2,112,744 455,636 Laredo Petroleum, Inc. (a) 1,731,417 95,756 SemGroup Corp., Class A 1,534,011 15,408 World Fuel Services Corp. 383,505 --------------- 7,903,345 --------------- PAPER & FOREST PRODUCTS -- 0.7% 69,157 Boise Cascade Co. 1,899,743 11,198 Neenah, Inc. 780,165 52,676 Schweitzer-Mauduit International, Inc. 1,688,792 --------------- 4,368,700 --------------- PERSONAL PRODUCTS -- 0.4% 25,155 Inter Parfums, Inc. 1,671,801 5,277 Medifast, Inc. 671,446 --------------- 2,343,247 --------------- PHARMACEUTICALS -- 1.3% 74,075 Corcept Therapeutics, Inc. (a) 828,158 94,522 Innoviva, Inc. (a) 1,616,326 6,752 MyoKardia, Inc. (a) 279,398 30,672 Pacira Pharmaceuticals, Inc. (a) 1,247,737 53,414 Prestige Consumer Healthcare, Inc. (a) 1,491,319 11,760 Reata Pharmaceuticals, Inc., Class A (a) 938,095 38,673 Theravance Biopharma, Inc. (a) (b) 1,007,432 --------------- 7,408,465 --------------- PROFESSIONAL SERVICES -- 0.9% 66,981 CBIZ, Inc. (a) 1,312,828 26,021 Exponent, Inc. 1,300,009 20,369 ICF International, Inc. 1,342,724 59,304 TrueBlue, Inc. (a) 1,446,425 --------------- 5,401,986 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 19,896 HFF, Inc., Class A 824,092 19,218 Marcus & Millichap, Inc. (a) 761,033 112,357 Realogy Holdings Corp. (b) 1,994,337 6,215 RMR Group (The), Inc., Class A 410,252 25,048 St Joe (The) Co. (a) 389,747 --------------- 4,379,461 --------------- ROAD & RAIL -- 1.9% 48,144 ArcBest Corp. 1,811,177 29,349 Avis Budget Group, Inc. (a) 781,857 72,105 Heartland Express, Inc. 1,442,821 120,836 Hertz Global Holdings, Inc. (a) 2,004,669 20,376 Marten Transport Ltd. 394,276 11,820 Saia, Inc. (a) 708,846 88,345 Schneider National, Inc., Class B 1,876,448 55,836 Werner Enterprises, Inc. 1,838,121 --------------- 10,858,215 --------------- See Notes to Financial Statements Page 51 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.2% 15,368 Advanced Energy Industries, Inc. (a) $ 788,225 251,433 Amkor Technology, Inc. (a) 2,011,464 25,201 Brooks Automation, Inc. 784,507 29,826 Cirrus Logic, Inc. (a) 1,108,036 51,129 Diodes, Inc. (a) 1,719,468 10,261 Inphi Corp. (a) 404,694 --------------- 6,816,394 --------------- SOFTWARE -- 4.9% 54,858 8x8, Inc. (a) 966,049 31,799 Alarm.com Holdings, Inc. (a) 2,001,111 27,735 Alteryx, Inc., Class A (a) 1,973,345 16,711 Appfolio, Inc., Class A (a) 1,057,973 113,283 Avaya Holdings Corp. (a) 1,915,616 24,167 Blackline, Inc. (a) 1,149,866 13,745 Bottomline Technologies DE, Inc. (a) 709,929 56,390 Cision Ltd. (a) 699,236 26,166 Cornerstone OnDemand, Inc. (a) 1,500,358 20,119 Envestnet, Inc. (a) 1,091,456 29,059 Everbridge, Inc. (a) 1,797,590 37,726 Five9, Inc. (a) 1,928,930 12,692 ForeScout Technologies, Inc. (a) 387,106 35,178 Instructure, Inc. (a) 1,390,586 17,491 LivePerson, Inc. (a) 410,514 27,885 Progress Software Corp. 1,010,274 21,012 PROS Holdings, Inc. (a) 727,015 19,972 Q2 Holdings, Inc. (a) 1,186,936 42,347 Rapid7, Inc. (a) 1,701,503 16,018 SPS Commerce, Inc. (a) 1,420,156 105,169 TiVo Corp. 1,170,531 6,236 Varonis Systems, Inc. (a) 368,423 23,390 Verint Systems, Inc. (a) 1,131,374 44,428 Yext, Inc. (a) 692,633 --------------- 28,388,510 --------------- SPECIALTY RETAIL -- 4.0% 65,811 Abercrombie & Fitch Co., Class A 1,426,124 14,846 Asbury Automotive Group, Inc. (a) 1,048,870 145,707 Bed Bath & Beyond, Inc. 2,198,719 68,228 Buckle (The), Inc. (b) 1,185,120 47,414 Caleres, Inc. 1,414,834 30,255 Carvana Co. (a) (b) 1,123,973 293,488 Chico's FAS, Inc. 1,702,230 7,323 Children's Place (The), Inc. 708,573 42,292 Dick's Sporting Goods, Inc. 1,493,331 13,355 DSW, Inc., Class A 363,924 31,286 Group 1 Automotive, Inc. 1,909,385 17,287 Lithia Motors, Inc., Class A 1,537,679 23,991 Monro, Inc. 1,719,195 12,913 Murphy USA, Inc. (a) 949,751 511,443 Office Depot, Inc. 1,508,757 165,271 Party City Holdco, Inc. (a) 1,824,592 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 58,043 Sally Beauty Holdings, Inc. (a) $ 999,500 --------------- 23,114,557 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.1% 32,437 3D Systems Corp. (a) 413,896 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.9% 63,487 Crocs, Inc. (a) 1,823,347 41,943 Fossil Group, Inc. (a) 711,353 47,312 G-III Apparel Group Ltd. (a) 1,649,769 13,931 Oxford Industries, Inc. 1,066,836 --------------- 5,251,305 --------------- THRIFTS & MORTGAGE FINANCE -- 1.1% 13,101 Axos Financial, Inc. (a) 397,746 25,833 Capitol Federal Financial, Inc. 332,471 24,991 Flagstar Bancorp, Inc. (a) 770,972 25,732 Kearny Financial Corp. 330,399 73,923 NMI Holdings, Inc., Class A (a) 1,626,306 19,474 Northwest Bancshares, Inc. 343,521 27,342 Provident Financial Services, Inc. 675,621 15,254 Walker & Dunlop, Inc. 733,260 37,052 Washington Federal, Inc. 1,077,843 8,702 WSFS Financial Corp. 366,963 --------------- 6,655,102 --------------- TOBACCO -- 0.2% 24,368 Universal Corp. 1,406,034 --------------- TRADING COMPANIES & DISTRIBUTORS -- 3.2% 95,673 Aircastle Ltd. 1,993,825 6,116 Applied Industrial Technologies, Inc. 360,905 31,199 Beacon Roofing Supply, Inc. (a) 1,133,460 106,551 BMC Stock Holdings, Inc. (a) 1,828,415 110,996 GMS, Inc. (a) 2,101,154 63,463 Herc Holdings, Inc. (a) 2,351,304 5,881 Kaman Corp. 347,685 107,892 MRC Global, Inc. (a) 1,685,273 56,681 NOW, Inc. (a) 766,894 47,837 Rush Enterprises, Inc., Class A 1,829,765 41,425 Systemax, Inc. 966,860 53,087 Triton International Ltd. 1,908,478 27,490 WESCO International, Inc. (a) 1,440,476 --------------- 18,714,494 --------------- WATER UTILITIES -- 0.5% 14,762 American States Water Co. 999,682 27,686 California Water Service Group 1,371,011 11,862 SJW Group 711,127 --------------- 3,081,820 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.9% 29,820 Shenandoah Telecommunications Co. 1,420,327 Page 52 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES (CONTINUED) 50,688 Telephone & Data Systems, Inc. $ 1,835,919 31,737 United States Cellular Corp. (a) 1,827,416 --------------- 5,083,662 --------------- TOTAL COMMON STOCKS -- 99.9% 580,589,479 (Cost $586,513,147) --------------- MONEY MARKET FUNDS -- 0.3% 942,047 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) 942,047 606,128 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (c) 606,128 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 1,548,175 (Cost $1,548,175) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.7% $ 4,295,541 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $4,295,849. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $4,402,809. (d) 4,295,541 5,327,431 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $5,327,801. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $5,433,979. (d) 5,327,431 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.7% 9,622,972 (Cost $9,622,972) --------------- TOTAL INVESTMENTS -- 101.9% 591,760,626 (Cost $597,684,294) (e) NET OTHER ASSETS AND LIABILITIES -- (1.9)% (10,813,754) --------------- NET ASSETS -- 100.0% $ 580,946,872 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $10,417,192 and the total value of the collateral held by the Fund is $10,565,019. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $36,723,334 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $42,647,002. The net unrealized depreciation was $5,923,668. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 580,589,479 $ -- $ -- Money Market Funds 1,548,175 -- -- Repurchase Agreements -- 9,622,972 -- --------------------------------------------- Total Investments $ 582,137,654 $ 9,622,972 $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 53 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 10,417,192 Non-cash Collateral(2) (10,417,192) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 9,622,972 Non-cash Collateral(4) (9,622,972) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 54 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.8% 11,274 General Dynamics Corp. $ 1,929,771 19,128 Huntington Ingalls Industries, Inc. 3,948,976 7,237 Northrop Grumman Corp. 1,994,155 11,557 Raytheon Co. 1,904,131 50,498 Spirit AeroSystems Holdings, Inc., Class A 4,211,533 115,608 Textron, Inc. 6,153,814 --------------- 20,142,380 --------------- AIR FREIGHT & LOGISTICS -- 1.2% 21,076 C.H. Robinson Worldwide, Inc. 1,828,765 56,411 FedEx Corp. 10,016,901 18,171 United Parcel Service, Inc., Class B 1,915,223 --------------- 13,760,889 --------------- AIRLINES -- 2.3% 55,194 American Airlines Group, Inc. 1,974,289 145,905 Delta Air Lines, Inc. 7,212,084 195,801 Southwest Airlines Co. 11,113,665 63,500 United Continental Holdings, Inc. (a) 5,541,645 --------------- 25,841,683 --------------- AUTO COMPONENTS -- 1.6% 153,045 BorgWarner, Inc. 6,259,540 74,074 Lear Corp. 11,402,211 --------------- 17,661,751 --------------- AUTOMOBILES -- 1.5% 1,189,653 Ford Motor Co. 10,468,946 158,948 General Motors Co. 6,202,151 --------------- 16,671,097 --------------- BANKS -- 6.4% 147,741 Bank of America Corp. 4,206,186 84,034 BB&T Corp. 4,100,859 244,893 Citizens Financial Group, Inc. 8,306,771 309,421 Fifth Third Bancorp 8,298,671 37,291 JPMorgan Chase & Co. 3,859,619 359,730 KeyCorp 5,924,753 12,382 M&T Bank Corp. 2,037,334 45,478 PNC Financial Services Group (The), Inc. 5,578,786 397,370 Regions Financial Corp. 6,028,103 144,344 SunTrust Banks, Inc. 8,576,920 38,780 U.S. Bancorp 1,983,985 115,382 Wells Fargo & Co. 5,643,334 130,506 Zions Bancorp N.A. 6,210,781 --------------- 70,756,102 --------------- BEVERAGES -- 1.1% 69,122 Keurig Dr Pepper, Inc. 1,881,501 162,052 Molson Coors Brewing Co., Class B 10,794,284 --------------- 12,675,785 --------------- BIOTECHNOLOGY -- 0.4% 12,097 Biogen, Inc. (a) 4,037,737 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- BUILDING PRODUCTS -- 0.7% 245,554 Johnson Controls International PLC $ 8,292,359 --------------- CAPITAL MARKETS -- 3.5% 16,980 Ameriprise Financial, Inc. 2,149,668 112,956 Bank of New York Mellon (The) Corp. 5,909,858 59,753 Franklin Resources, Inc. 1,769,286 31,827 Goldman Sachs Group (The), Inc. 6,302,064 543,659 Invesco Ltd. 9,905,467 134,093 Morgan Stanley 5,672,134 21,202 Northern Trust Corp. 1,875,529 84,300 State Street Corp. 5,976,870 --------------- 39,560,876 --------------- CHEMICALS -- 2.6% 11,073 Air Products & Chemicals, Inc. 1,820,291 22,996 Albemarle Corp. 1,856,467 33,139 DowDuPont, Inc. 1,783,210 124,481 Eastman Chemical Co. 10,035,658 109,437 LyondellBasell Industries N.V., Class A 9,517,736 60,673 Mosaic (The) Co. 1,958,524 17,336 PPG Industries, Inc. 1,827,908 --------------- 28,799,794 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 50,498 Republic Services, Inc. 3,873,702 --------------- CONSUMER FINANCE -- 2.8% 321,301 Ally Financial, Inc. 8,373,104 96,318 Capital One Financial Corp. 7,762,268 90,146 Discover Financial Services 6,083,953 310,345 Synchrony Financial 9,322,764 --------------- 31,542,089 --------------- CONTAINERS & PACKAGING -- 2.6% 225,491 International Paper Co. 10,695,038 87,235 Packaging Corp. of America 8,228,005 241,018 WestRock Co. 9,811,843 --------------- 28,734,886 --------------- DISTRIBUTORS -- 0.5% 224,054 LKQ Corp. (a) 5,874,696 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.0% 106,570 AXA Equitable Holdings, Inc. 1,975,808 44,573 Berkshire Hathaway, Inc., Class B (a) 9,161,534 --------------- 11,137,342 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.3% 318,881 AT&T, Inc. 9,585,563 600,716 CenturyLink, Inc. 9,202,969 129,503 Verizon Communications, Inc. 7,130,435 --------------- 25,918,967 --------------- See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 4.7% 86,161 Alliant Energy Corp. $ 3,831,579 48,707 American Electric Power Co., Inc. 3,853,698 42,183 Duke Energy Corp. 3,702,824 64,124 Edison International 3,653,144 42,295 Entergy Corp. 3,772,291 64,124 Evergy, Inc. 3,675,588 55,971 Eversource Energy 3,884,947 161,434 Exelon Corp. 7,710,088 306,554 PG&E Corp. (a) 3,985,202 187,674 PPL Corp. 5,877,950 82,885 Southern (The) Co. 4,028,211 73,886 Xcel Energy, Inc. 3,868,671 --------------- 51,844,193 --------------- ELECTRICAL EQUIPMENT -- 0.9% 77,436 Eaton Corp. PLC 5,904,495 60,926 Emerson Electric Co. 3,988,825 --------------- 9,893,320 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7% 96,267 TE Connectivity Ltd. 7,792,814 --------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 68,960 National Oilwell Varco, Inc. 2,032,941 --------------- ENTERTAINMENT -- 1.4% 354,118 Viacom, Inc., Class B 10,418,152 48,489 Walt Disney (The) Co. 5,407,493 --------------- 15,825,645 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 0.7% 436,753 Host Hotels & Resorts, Inc. 7,887,759 --------------- FOOD & STAPLES RETAILING -- 1.3% 330,940 Kroger (The) Co. 9,375,530 77,811 Walgreens Boots Alliance, Inc. 5,622,623 --------------- 14,998,153 --------------- FOOD PRODUCTS -- 5.2% 177,707 Archer-Daniels-Midland Co. 7,979,044 99,491 Bunge Ltd. 5,478,969 248,915 Conagra Brands, Inc. 5,386,521 93,485 General Mills, Inc. 4,154,473 16,536 Hershey (The) Co. 1,754,470 41,525 Hormel Foods Corp. 1,757,338 97,345 J.M. Smucker (The) Co. 10,209,544 211,451 Kraft Heinz (The) Co. 10,162,335 170,428 Tyson Foods, Inc., Class A 10,552,902 --------------- 57,435,596 --------------- GAS UTILITIES -- 0.3% 39,261 Atmos Energy Corp. 3,833,051 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.2% 17,186 Danaher Corp. 1,906,271 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 23,820 AmerisourceBergen Corp. $ 1,985,873 13,861 Anthem, Inc. 4,199,883 163,244 Cardinal Health, Inc. 8,157,303 70,741 DaVita, Inc. (a) 3,970,692 72,023 Laboratory Corp. of America Holdings (a) 10,036,405 63,850 Quest Diagnostics, Inc. 5,577,298 62,463 Universal Health Services, Inc., Class B 8,278,221 --------------- 42,205,675 --------------- HEALTH CARE TECHNOLOGY -- 0.5% 101,388 Cerner Corp. (a) 5,567,215 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.6% 183,528 Aramark 6,047,248 184,602 Carnival Corp. 10,629,383 24,683 Hilton Worldwide Holdings, Inc. 1,838,390 375,138 MGM Resorts International 11,044,063 171,754 Norwegian Cruise Line Holdings Ltd. (a) 8,833,308 74,452 Royal Caribbean Cruises Ltd. 8,937,963 108,570 Yum China Holdings, Inc. 3,957,376 --------------- 51,287,731 --------------- HOUSEHOLD DURABLES -- 3.3% 262,575 D.R. Horton, Inc. 10,096,009 57,491 Garmin Ltd. 3,977,227 185,969 Lennar Corp., Class A 8,818,650 77,811 Mohawk Industries, Inc. (a) 10,021,279 1,494 NVR, Inc. (a) 3,974,040 --------------- 36,887,205 --------------- HOUSEHOLD PRODUCTS -- 0.2% 19,281 Procter & Gamble (The) Co. 1,860,038 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 9,301 3M Co. 1,862,990 --------------- INSURANCE -- 8.9% 159,805 Aflac, Inc. 7,622,698 88,112 Allstate (The) Corp. 7,742,401 19,577 American Financial Group, Inc. 1,867,450 136,240 Arch Capital Group Ltd. (a) 3,998,644 41,158 Chubb Ltd. 5,476,072 94,041 Cincinnati Financial Corp. 7,628,606 231,574 Fidelity National Financial, Inc. 8,373,716 39,871 Hartford Financial Services Group (The), Inc. 1,870,747 141,896 Lincoln National Corp. 8,299,497 116,802 Loews Corp. 5,594,816 3,507 Markel Corp. (a) 3,694,660 129,489 MetLife, Inc. 5,913,763 164,833 Principal Financial Group, Inc. 8,253,188 89,279 Prudential Financial, Inc. 8,226,167 122,110 Torchmark Corp. 10,227,934 30,400 Travelers (The) Cos., Inc. 3,816,416 --------------- 98,606,775 --------------- Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES -- 0.5% 27,919 Cognizant Technology Solutions Corp., Class A $ 1,945,396 69,051 Leidos Holdings, Inc. 4,004,958 --------------- 5,950,354 --------------- MACHINERY -- 2.8% 27,240 Cummins, Inc. 4,007,276 51,309 Dover Corp. 4,506,470 39,903 Ingersoll-Rand PLC 3,991,896 159,273 PACCAR, Inc. 10,435,567 35,650 Parker-Hannifin Corp. 5,875,477 14,801 Stanley Black & Decker, Inc. 1,871,438 --------------- 30,688,124 --------------- MEDIA -- 2.0% 40,537 CBS Corp., Class B 2,004,960 267,279 Comcast Corp., Class A 9,774,393 126,348 Liberty Broadband Corp., Class C (a) 10,742,107 --------------- 22,521,460 --------------- METALS & MINING -- 1.9% 882,721 Freeport-McMoRan, Inc. 10,274,873 175,659 Nucor Corp. 10,757,357 --------------- 21,032,230 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.9% 926,766 Annaly Capital Management, Inc. 9,675,437 --------------- MULTILINE RETAIL -- 2.3% 33,682 Dollar General Corp. 3,887,913 58,866 Dollar Tree, Inc. (a) 5,699,995 305,603 Macy's, Inc. 8,037,359 110,163 Target Corp. 8,041,899 --------------- 25,667,166 --------------- MULTI-UTILITIES -- 2.9% 55,808 Ameren Corp. 3,869,727 257,906 CenterPoint Energy, Inc. 7,974,453 69,537 Consolidated Edison, Inc. 5,399,548 50,942 Dominion Energy, Inc. 3,578,166 33,004 DTE Energy Co. 3,886,221 102,148 Public Service Enterprise Group, Inc. 5,572,173 25,588 WEC Energy Group, Inc. 1,868,692 --------------- 32,148,980 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.3% 66,924 Chevron Corp. 7,672,837 106,770 Exxon Mobil Corp. 7,824,106 115,232 Kinder Morgan, Inc. 2,085,699 123,380 Marathon Petroleum Corp. 8,175,159 105,640 Phillips 66 10,079,112 147,608 Targa Resources Corp. 6,348,620 121,393 Valero Energy Corp. 10,660,733 241,125 Williams (The) Cos., Inc. 6,493,496 --------------- 59,339,762 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- PERSONAL PRODUCTS -- 0.6% 810,490 Coty, Inc., Class A $ 6,289,402 --------------- PHARMACEUTICALS -- 2.2% 68,089 Allergan PLC 9,803,454 265,718 Mylan N.V. (a) 7,958,254 137,208 Perrigo Co. PLC 6,373,312 --------------- 24,135,020 --------------- PROFESSIONAL SERVICES -- 0.2% 19,030 Equifax, Inc. 2,036,591 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 90,917 CBRE Group, Inc., Class A (a) 4,159,453 --------------- ROAD & RAIL -- 0.7% 76,278 Kansas City Southern 8,066,398 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.5% 79,332 Skyworks Solutions, Inc. 5,794,409 --------------- SOFTWARE -- 0.9% 385,323 Symantec Corp. 8,099,490 21,038 Synopsys, Inc. (a) 1,963,897 --------------- 10,063,387 --------------- SPECIALTY RETAIL -- 1.3% 11,256 Advance Auto Parts, Inc. 1,791,955 68,738 Best Buy Co., Inc. 4,072,039 28,252 CarMax, Inc. (a) 1,660,653 282,635 Gap (The), Inc. 7,190,234 --------------- 14,714,881 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.5% 688,936 Hewlett Packard Enterprise Co. 10,740,512 259,863 HP, Inc. 5,724,782 246,168 Western Digital Corp. 11,075,098 --------------- 27,540,392 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.1% 97,911 PVH Corp. 10,683,069 52,512 Tapestry, Inc. 2,032,740 --------------- 12,715,809 --------------- TOBACCO -- 0.5% 107,649 Altria Group, Inc. 5,312,478 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 114,458 T-Mobile US, Inc. (a) 7,968,566 --------------- TOTAL COMMON STOCKS -- 99.9% 1,112,829,806 (Cost $1,126,133,246) --------------- MONEY MARKET FUNDS -- 0.3% 2,963,302 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (b) 2,963,302 (Cost $2,963,302) --------------- See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) DESCRIPTION VALUE --------------------------------------------------------------- TOTAL INVESTMENTS -- 100.2% $ 1,115,793,108 (Cost $1,129,096,548) (c) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (2,032,662) --------------- NET ASSETS -- 100.0% $1,113,760,446 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2019. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $58,747,023 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $72,050,463. The net unrealized depreciation was $13,303,440. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $1,112,829,806 $ -- $ -- Money Market Funds 2,963,302 -- -- --------------------------------------------- Total Investments $1,115,793,108 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 58 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.7% 18,067 Boeing (The) Co. $ 6,966,997 10,533 Harris Corp. 1,613,445 17,134 TransDigm Group, Inc. (a) 6,699,394 --------------- 15,279,836 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 106,964 Expeditors International of Washington, Inc. 7,412,605 --------------- AUTOMOBILES -- 0.8% 21,884 Tesla, Inc. (a) 6,718,826 --------------- BANKS -- 0.5% 48,964 First Republic Bank 4,731,391 --------------- BEVERAGES -- 0.2% 29,809 Brown-Forman Corp., Class B 1,408,475 --------------- BIOTECHNOLOGY -- 2.7% 63,202 AbbVie, Inc. 5,074,489 16,656 BioMarin Pharmaceutical, Inc. (a) 1,635,118 22,130 Celgene Corp. (a) 1,957,620 45,813 Incyte Corp. (a) 3,692,070 15,600 Regeneron Pharmaceuticals, Inc. (a) 6,696,612 25,677 Vertex Pharmaceuticals, Inc. (a) 4,901,996 --------------- 23,957,905 --------------- CAPITAL MARKETS -- 4.5% 59,558 Cboe Global Markets, Inc. 5,554,975 30,973 CME Group, Inc. 5,645,758 66,392 E*TRADE Financial Corp. 3,097,851 56,484 Intercontinental Exchange, Inc. 4,335,712 10,128 Moody's Corp. 1,605,389 19,761 MSCI, Inc. 3,364,705 52,163 Nasdaq, Inc. 4,592,431 39,152 Raymond James Financial, Inc. 3,151,736 15,363 T. Rowe Price Group, Inc. 1,435,826 119,007 TD Ameritrade Holding Corp. 6,658,442 --------------- 39,442,825 --------------- CHEMICALS -- 3.0% 32,380 Celanese Corp. 3,100,709 97,792 CF Industries Holdings, Inc. 4,268,621 49,428 Ecolab, Inc. 7,818,027 57,530 FMC Corp. 4,590,894 14,809 Sherwin-Williams (The) Co. 6,242,289 --------------- 26,020,540 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.3% 25,328 Cintas Corp. 4,749,253 89,053 Copart, Inc. (a) 4,508,754 117,865 Rollins, Inc. 4,389,293 65,475 Waste Management, Inc. 6,263,993 --------------- 19,911,293 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 2.1% 168,087 Cisco Systems, Inc. $ 7,948,834 17,980 F5 Networks, Inc. (a) 2,893,881 63,310 Motorola Solutions, Inc. 7,401,572 --------------- 18,244,287 --------------- CONSTRUCTION MATERIALS -- 0.3% 8,253 Martin Marietta Materials, Inc. 1,458,140 14,355 Vulcan Materials Co. 1,459,186 --------------- 2,917,326 --------------- ELECTRIC UTILITIES -- 0.7% 33,521 NextEra Energy, Inc. 5,999,589 --------------- ELECTRICAL EQUIPMENT -- 0.4% 43,032 AMETEK, Inc. 3,137,033 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 52,517 Amphenol Corp., Class A 4,617,295 89,861 CDW Corp. 7,482,725 --------------- 12,100,020 --------------- ENTERTAINMENT -- 1.3% 147,883 Live Nation Entertainment, Inc. (a) 7,913,219 10,884 Netflix, Inc. (a) 3,695,118 --------------- 11,608,337 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.9% 36,832 American Tower Corp. 6,366,043 16,738 AvalonBay Communities, Inc. 3,229,095 53,637 Crown Castle International Corp. 6,278,747 54,684 Digital Realty Trust, Inc. 5,924,464 11,881 Essex Property Trust, Inc. 3,222,127 32,198 Extra Space Storage, Inc. 3,175,045 89,889 Iron Mountain, Inc. 3,343,871 30,442 Mid-America Apartment Communities, Inc. 3,083,166 7,007 Public Storage 1,489,128 67,496 Realty Income Corp. 4,636,300 49,647 Regency Centers Corp. 3,227,055 17,996 SBA Communications Corp. (a) 3,284,810 8,443 Simon Property Group, Inc. 1,537,639 73,531 UDR, Inc. 3,216,981 --------------- 52,014,471 --------------- FOOD & STAPLES RETAILING -- 0.5% 67,905 Sysco Corp. 4,335,734 --------------- FOOD PRODUCTS -- 1.6% 99,011 Lamb Weston Holdings, Inc. 7,158,495 52,307 McCormick & Co., Inc. 6,467,238 --------------- 13,625,733 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.2% 8,963 ABIOMED, Inc. (a) 3,146,640 206,090 Boston Scientific Corp. (a) 7,862,334 38,116 DENTSPLY SIRONA, Inc. 1,598,966 See Notes to Financial Statements Page 59 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 38,040 Edwards Lifesciences Corp. (a) $ 6,482,777 141,766 Hologic, Inc. (a) 6,294,410 7,624 IDEXX Laboratories, Inc. (a) 1,622,235 8,885 Intuitive Surgical, Inc. (a) 4,652,541 51,168 ResMed, Inc. 4,869,659 18,585 Stryker Corp. 3,300,138 22,542 Teleflex, Inc. 6,165,237 --------------- 45,994,937 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 36,904 Centene Corp. (a) 4,818,555 58,524 HCA Healthcare, Inc. 8,160,001 29,236 UnitedHealth Group, Inc. 7,899,567 18,022 WellCare Health Plans, Inc. (a) 4,982,723 --------------- 25,860,846 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.5% 16,867 Chipotle Mexican Grill, Inc. (a) 8,932,932 58,347 Darden Restaurants, Inc. 6,122,351 23,495 Domino's Pizza, Inc. 6,666,236 23,962 McDonald's Corp. 4,283,927 113,093 Starbucks Corp. 7,706,157 63,387 Yum! Brands, Inc. 5,957,110 --------------- 39,668,713 --------------- HOUSEHOLD PRODUCTS -- 1.6% 110,754 Church & Dwight Co., Inc. 7,155,816 37,801 Clorox (The) Co. 5,608,912 23,830 Colgate-Palmolive Co. 1,541,325 --------------- 14,306,053 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 1.8% 183,920 NRG Energy, Inc. 7,524,167 318,183 Vistra Energy Corp. (a) 7,989,575 --------------- 15,513,742 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 15,965 Roper Technologies, Inc. 4,522,246 --------------- INSURANCE -- 0.9% 120,723 Progressive (The) Corp. 8,123,451 --------------- INTERACTIVE MEDIA & SERVICES -- 1.9% 4,072 Alphabet, Inc., Class A (a) 4,584,624 39,790 IAC/InterActiveCorp (a) 8,406,831 101,367 Twitter, Inc. (a) 3,401,877 --------------- 16,393,332 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.5% 3,880 Amazon.com, Inc. (a) 6,668,672 1,691 Booking Holdings, Inc. (a) 3,099,282 103,786 eBay, Inc. (a) 3,492,399 --------------- 13,260,353 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- IT SERVICES -- 6.1% 10,059 Accenture PLC, Class A $ 1,544,559 23,221 Akamai Technologies, Inc. (a) 1,511,687 22,218 Automatic Data Processing, Inc. 3,106,965 26,675 DXC Technology Co. 1,710,401 41,491 Fidelity National Information Services, Inc. 4,337,054 57,898 Fiserv, Inc. (a) 4,801,481 45,577 Gartner, Inc. (a) 6,193,459 21,614 GoDaddy, Inc., Class A (a) 1,483,369 11,210 Jack Henry & Associates, Inc. 1,497,096 22,555 Mastercard, Inc., Class A 4,762,037 21,770 Paychex, Inc. 1,541,316 86,612 PayPal Holdings, Inc. (a) 7,687,681 51,940 Square, Inc., Class A (a) 3,705,919 17,448 Total System Services, Inc. 1,563,515 19,646 VeriSign, Inc. (a) 3,325,478 32,249 Visa, Inc., Class A 4,353,938 --------------- 53,125,955 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.8% 19,427 Illumina, Inc. (a) 5,435,481 62,694 IQVIA Holdings, Inc. (a) 8,088,153 5,151 Mettler-Toledo International, Inc. (a) 3,287,162 32,545 Thermo Fisher Scientific, Inc. 7,995,330 --------------- 24,806,126 --------------- MACHINERY -- 3.2% 45,853 Caterpillar, Inc. 6,105,786 48,825 Deere & Co. 8,007,300 20,962 Fortive Corp. 1,571,940 11,233 IDEX Corp. 1,548,581 22,995 Illinois Tool Works, Inc. 3,157,444 20,189 Wabtec Corp. (b) 1,396,271 87,329 Xylem, Inc. 6,223,065 --------------- 28,010,387 --------------- MEDIA -- 1.5% 20,446 Charter Communications, Inc., Class A (a) 6,768,648 117,756 Discovery, Inc., Class A (a) 3,341,915 510,208 Sirius XM Holdings, Inc. (b) 2,974,513 --------------- 13,085,076 --------------- METALS & MINING -- 0.7% 122,798 Newmont Mining Corp. 4,188,640 47,214 Steel Dynamics, Inc. 1,727,560 --------------- 5,916,200 --------------- MULTILINE RETAIL -- 0.9% 109,787 Kohl's Corp. 7,541,269 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.2% 32,352 Anadarko Petroleum Corp. 1,531,220 190,377 Cabot Oil & Gas Corp. 4,749,906 123,048 Cheniere Energy, Inc. (a) 8,078,101 93,450 ConocoPhillips 6,325,630 16,263 EOG Resources, Inc. 1,613,290 35,020 Hess Corp. 1,891,080 Page 60 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 83,234 HollyFrontier Corp. $ 4,689,404 98,906 Marathon Oil Corp. 1,561,726 23,107 Occidental Petroleum Corp. 1,543,085 54,000 ONEOK, Inc. 3,467,340 10,784 Pioneer Natural Resources Co. 1,534,779 --------------- 36,985,561 --------------- PERSONAL PRODUCTS -- 0.3% 22,393 Estee Lauder (The) Cos., Inc., Class A 3,054,853 --------------- PHARMACEUTICALS -- 2.3% 62,938 Eli Lilly and Co. 7,543,749 166,855 Pfizer, Inc. 7,082,995 68,115 Zoetis, Inc. 5,868,788 --------------- 20,495,532 --------------- PROFESSIONAL SERVICES -- 1.1% 4,205 CoStar Group, Inc. (a) 1,643,062 24,970 TransUnion 1,518,675 53,435 Verisk Analytics, Inc. (a) 6,273,803 --------------- 9,435,540 --------------- ROAD & RAIL -- 2.2% 68,484 CSX Corp. 4,499,399 15,244 J.B. Hunt Transport Services, Inc. 1,631,718 28,454 Norfolk Southern Corp. 4,772,874 23,591 Old Dominion Freight Line, Inc. 3,206,724 30,781 Union Pacific Corp. 4,896,334 --------------- 19,007,049 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.0% 394,541 Advanced Micro Devices, Inc. (a) 9,630,746 49,574 Analog Devices, Inc. 4,900,886 88,982 Applied Materials, Inc. 3,477,416 28,642 Broadcom, Inc. 7,683,216 124,155 Intel Corp. 5,850,184 15,849 KLA-Tencor Corp. 1,689,028 40,508 Microchip Technology, Inc. 3,255,628 44,699 Micron Technology, Inc. (a) 1,708,396 74,766 QUALCOMM, Inc. 3,702,412 15,009 Texas Instruments, Inc. 1,511,106 85,514 Xilinx, Inc. 9,572,437 --------------- 52,981,455 --------------- SOFTWARE -- 8.0% 18,807 Adobe, Inc. (a) 4,660,751 33,084 Autodesk, Inc. (a) 4,869,965 97,860 Cadence Design Systems, Inc. (a) 4,700,216 82,728 Fortinet, Inc. (a) 6,334,483 21,615 Intuit, Inc. 4,664,949 28,683 Microsoft Corp. 2,995,365 22,590 Palo Alto Networks, Inc. (a) 4,852,784 42,539 salesforce.com, Inc. (a) 6,464,652 40,905 ServiceNow, Inc. (a) 8,999,918 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 69,463 Splunk, Inc. (a) $ 8,671,761 94,324 SS&C Technologies Holdings, Inc. 4,856,743 45,611 Workday, Inc., Class A (a) 8,279,765 --------------- 70,351,352 --------------- SPECIALTY RETAIL -- 5.9% 8,687 AutoZone, Inc. (a) 7,360,843 44,773 Burlington Stores, Inc. (a) 7,687,972 16,955 Home Depot (The), Inc. 3,111,751 46,069 Lowe's Cos., Inc. 4,429,995 21,152 O'Reilly Automotive, Inc. (a) 7,290,248 70,031 Ross Stores, Inc. 6,451,256 130,232 TJX (The) Cos., Inc. 6,476,437 29,746 Ulta Beauty, Inc. (a) 8,683,452 --------------- 51,491,954 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 18,469 Apple, Inc. 3,073,980 48,823 NetApp, Inc. 3,113,443 36,753 Seagate Technology PLC 1,627,423 --------------- 7,814,846 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 78,589 NIKE, Inc., Class B 6,434,867 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.5% 111,428 Fastenal Co. 6,736,937 13,833 United Rentals, Inc. (a) 1,732,721 15,069 W.W. Grainger, Inc. 4,451,232 --------------- 12,920,890 --------------- TOTAL COMMON STOCKS -- 99.9% 875,968,811 (Cost $811,317,027) --------------- MONEY MARKET FUNDS -- 0.0% 238,259 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) 238,259 173,145 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (c) 173,145 --------------- TOTAL MONEY MARKET FUNDS -- 0.0% 411,404 (Cost $411,404) --------------- See Notes to Financial Statements Page 61 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 1,086,414 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $1,086,492. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $1,113,544. (d) $ 1,086,414 1,347,396 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $1,347,489. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $1,374,344. (d) 1,347,396 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.3% 2,433,810 (Cost $2,433,810) --------------- TOTAL INVESTMENTS -- 100.2% 878,814,025 (Cost $814,162,241) (e) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (1,705,520) --------------- NET ASSETS -- 100.0% $ 877,108,505 =============== (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 $2,583,600 and the total value of the collateral held by the Fund is $2,672,069. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $85,237,466 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $20,585,682. The net unrealized appreciation was $64,651,784. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 875,968,811 $ -- $ -- Money Market Funds 411,404 -- -- Repurchase Agreements -- 2,433,810 -- --------------------------------------------- Total Investments $ 876,380,215 $ 2,433,810 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 62 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,583,600 Non-cash Collateral(2) (2,583,600) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 2,433,810 Non-cash Collateral(4) (2,433,810) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 63 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.0% 528 AAR Corp. $ 19,895 683 Curtiss-Wright Corp. 77,534 438 General Dynamics Corp. 74,972 742 Huntington Ingalls Industries, Inc. 153,186 281 Northrop Grumman Corp. 77,430 449 Raytheon Co. 73,977 1,960 Spirit AeroSystems Holdings, Inc., Class A 163,464 4,487 Textron, Inc. 238,843 --------------- 879,301 --------------- AIR FREIGHT & LOGISTICS -- 0.9% 2,383 Atlas Air Worldwide Holdings, Inc. (a) 126,823 818 C.H. Robinson Worldwide, Inc. 70,978 2,190 FedEx Corp. 388,878 2,170 Hub Group, Inc., Class A (a) 96,587 705 United Parcel Service, Inc., Class B 74,307 --------------- 757,573 --------------- AIRLINES -- 2.1% 2,291 Alaska Air Group, Inc. 146,509 803 Allegiant Travel Co. 104,390 2,142 American Airlines Group, Inc. 76,619 5,663 Delta Air Lines, Inc. 279,922 3,807 Hawaiian Holdings, Inc. 121,900 10,851 JetBlue Airways Corp. (a) 195,210 3,919 SkyWest, Inc. 199,673 7,600 Southwest Airlines Co. 431,376 1,805 Spirit Airlines, Inc. (a) 106,170 2,465 United Continental Holdings, Inc. (a) 215,121 --------------- 1,876,890 --------------- AUTO COMPONENTS -- 1.9% 9,057 American Axle & Manufacturing Holdings, Inc. (a) 133,863 5,940 BorgWarner, Inc. 242,946 1,244 Cooper Tire & Rubber Co. 43,789 1,618 Cooper-Standard Holdings, Inc. (a) 123,712 10,228 Dana, Inc. 180,217 219 Dorman Products, Inc. (a) 18,823 5,174 Gentex Corp. 109,585 8,538 Goodyear Tire & Rubber (The) Co. 180,920 886 LCI Industries 73,042 2,875 Lear Corp. 442,549 1,468 Tenneco, Inc., Class A 50,910 1,156 Visteon Corp. (a) 88,885 --------------- 1,689,241 --------------- AUTOMOBILES -- 1.2% 46,175 Ford Motor Co. 406,340 6,169 General Motors Co. 240,714 3,064 Harley-Davidson, Inc. 112,939 3,351 Thor Industries, Inc. 218,217 SHARES DESCRIPTION VALUE --------------------------------------------------------------- AUTOMOBILES (CONTINUED) 4,153 Winnebago Industries, Inc. $ 118,776 --------------- 1,096,986 --------------- BANKS -- 6.4% 997 1st Source Corp. 45,264 3,522 Associated Banc-Corp. 76,251 1,333 BancorpSouth Bank 38,897 5,734 Bank of America Corp. 163,247 6,106 Bank OZK 185,256 4,656 BankUnited, Inc. 157,419 3,262 BB&T Corp. 159,186 1,491 Berkshire Hills Bancorp, Inc. 40,630 1,039 Cathay General Bancorp 38,568 3,643 CIT Group, Inc. 168,270 9,505 Citizens Financial Group, Inc. 322,410 405 Eagle Bancorp, Inc. (a) 22,226 1,601 East West Bancorp, Inc. 80,562 10,626 F.N.B. Corp. 123,793 12,010 Fifth Third Bancorp 322,108 4,676 First BanCorp 49,799 185 First Citizens BancShares, Inc., Class A 75,393 1,548 First Hawaiian, Inc. 39,830 7,945 First Horizon National Corp. 116,633 540 First Interstate BancSystem, Inc., Class A 21,017 996 First Midwest Bancorp, Inc. 21,932 2,251 Fulton Financial Corp. 36,129 1,287 Great Western Bancorp, Inc. 45,418 3,018 Hancock Whitney Corp. 123,979 449 Heartland Financial USA, Inc. 20,367 1,106 Hilltop Holdings, Inc. 20,361 4,266 Home BancShares, Inc. 78,110 4,990 Hope Bancorp, Inc. 71,407 542 IBERIABANK Corp. 40,048 2,026 International Bancshares Corp. 71,862 1,447 JPMorgan Chase & Co. 149,764 13,962 KeyCorp 229,954 481 M&T Bank Corp. 79,144 2,053 Opus Bank 42,908 4,189 PacWest Bancorp 161,654 232 Park National Corp. 21,813 4,831 People's United Financial, Inc. 79,132 1,765 PNC Financial Services Group (The), Inc. 216,513 1,476 Popular, Inc. 80,604 559 Prosperity Bancshares, Inc. 39,767 15,423 Regions Financial Corp. 233,967 1,332 Renasant Corp. 47,313 1,283 Sandy Spring Bancorp, Inc. 41,839 339 Signature Bank 43,158 1,163 South State Corp. 77,165 5,602 SunTrust Banks, Inc. 332,871 694 Trustmark Corp. 21,882 1,505 U.S. Bancorp 76,996 1,143 UMB Financial Corp. 73,563 6,576 Umpqua Holdings Corp. 116,264 1,120 United Bankshares, Inc. 39,614 Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 919 United Community Banks, Inc. $ 23,637 7,850 Valley National Bancorp 79,363 4,478 Wells Fargo & Co. 219,019 1,048 Wintrust Financial Corp. 74,555 5,065 Zions Bancorp N.A. 241,043 --------------- 5,619,874 --------------- BEVERAGES -- 0.6% 111 Coca-Cola Consolidated, Inc. 23,954 2,683 Keurig Dr Pepper, Inc. 73,031 6,290 Molson Coors Brewing Co., Class B 418,977 --------------- 515,962 --------------- BIOTECHNOLOGY -- 0.3% 470 Biogen, Inc. (a) 156,877 1,280 United Therapeutics Corp. (a) 147,622 --------------- 304,499 --------------- BUILDING PRODUCTS -- 1.1% 1,063 American Woodmark Corp. (a) 74,357 2,694 Apogee Enterprises, Inc. 91,785 3,686 Builders FirstSource, Inc. (a) 48,729 2,752 Fortune Brands Home & Security, Inc. 124,666 1,130 Gibraltar Industries, Inc. (a) 40,284 9,531 Johnson Controls International PLC 321,862 5,547 NCI Building Systems, Inc. (a) 45,264 3,170 Owens Corning 166,076 3,098 Universal Forest Products, Inc. 95,480 --------------- 1,008,503 --------------- CAPITAL MARKETS -- 2.7% 1,788 Affiliated Managers Group, Inc. 187,651 659 Ameriprise Financial, Inc. 83,429 4,384 Bank of New York Mellon (The) Corp. 229,371 6,741 BGC Partners, Inc., Class A 41,727 2,229 Federated Investors, Inc., Class B 58,244 2,319 Franklin Resources, Inc. 68,665 1,235 Goldman Sachs Group (The), Inc. 244,542 21,101 Invesco Ltd. 384,460 944 Lazard Ltd., Class A 37,562 6,831 Legg Mason, Inc. 203,564 5,205 Morgan Stanley 220,171 823 Northern Trust Corp. 72,802 3,272 State Street Corp. 231,985 2,524 Stifel Financial Corp. 120,824 4,773 TCG BDC, Inc. (b) 71,309 4,449 Waddell & Reed Financial, Inc., Class A 76,167 2,967 WisdomTree Investments, Inc. 19,879 --------------- 2,352,352 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CHEMICALS -- 3.0% 3,304 AdvanSix, Inc. (a) $ 104,538 430 Air Products & Chemicals, Inc. 70,688 893 Albemarle Corp. 72,092 491 Ashland Global Holdings, Inc. 37,267 4,940 Chemours (The) Co. 176,605 1,286 DowDuPont, Inc. 69,200 4,832 Eastman Chemical Co. 389,556 942 H.B. Fuller Co. 46,525 9,034 Huntsman Corp. 198,477 319 Innospec, Inc. 22,416 4,603 Kraton Corp. (a) 129,805 8,727 Kronos Worldwide, Inc. 114,935 4,248 LyondellBasell Industries N.V., Class A 369,449 1,567 Minerals Technologies, Inc. 91,779 2,355 Mosaic (The) Co. 76,019 8,666 Olin Corp. 204,604 2,437 PolyOne Corp. 78,886 673 PPG Industries, Inc. 70,961 1,248 Sensient Technologies Corp. 78,349 543 Stepan Co. 47,746 3,807 Trinseo S.A. 186,733 --------------- 2,636,630 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.2% 1,252 ABM Industries, Inc. 42,806 14,828 ACCO Brands Corp. 130,931 824 Advanced Disposal Services, Inc. (a) 20,765 2,092 Deluxe Corp. 98,261 1,329 Herman Miller, Inc. 45,492 1,135 HNI Corp. 44,117 1,384 Interface, Inc. 22,711 3,591 Knoll, Inc. 72,395 1,457 Matthews International Corp., Class A 64,822 2,292 Multi-Color Corp. 106,693 6,805 Pitney Bowes, Inc. 49,064 1,960 Republic Services, Inc. 150,352 2,712 Steelcase, Inc., Class A 44,748 2,850 Stericycle, Inc. (a) 125,628 414 UniFirst Corp. 57,310 --------------- 1,076,095 --------------- COMMUNICATIONS EQUIPMENT -- 0.4% 6,379 CommScope Holding Co., Inc. (a) 133,385 2,738 EchoStar Corp., Class A (a) 112,203 297 InterDigital, Inc. 21,625 1,702 NetScout Systems, Inc. (a) 44,133 --------------- 311,346 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 2,630 AECOM (a) 80,504 1,095 Dycom Industries, Inc. (a) 63,565 1,752 EMCOR Group, Inc. 114,283 See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING (CONTINUED) 2,165 Fluor Corp. $ 79,174 998 Granite Construction, Inc. 43,133 6,623 KBR, Inc. 113,916 3,437 MasTec, Inc. (a) 152,534 3,094 Primoris Services Corp. 61,725 4,632 Quanta Services, Inc. 163,695 --------------- 872,529 --------------- CONSTRUCTION MATERIALS -- 0.1% 6,486 Summit Materials, Inc., Class A (a) 98,976 --------------- CONSUMER FINANCE -- 2.1% 12,471 Ally Financial, Inc. 324,994 3,738 Capital One Financial Corp. 301,245 3,499 Discover Financial Services 236,148 11,868 Navient Corp. 135,295 1,131 Nelnet, Inc., Class A 59,491 5,739 OneMain Holdings, Inc. (a) 171,539 3,300 PRA Group, Inc. (a) 97,383 9,907 Santander Consumer USA Holdings, Inc. 188,827 12,046 Synchrony Financial 361,862 --------------- 1,876,784 --------------- CONTAINERS & PACKAGING -- 2.0% 2,200 Berry Global Group, Inc. (a) 108,350 13,103 Graphic Packaging Holding Co. 158,153 2,167 Greif, Inc., Class A 84,513 8,752 International Paper Co. 415,107 4,043 Owens-Illinois, Inc. 81,143 3,386 Packaging Corp. of America 319,368 5,902 Silgan Holdings, Inc. 163,013 656 Sonoco Products Co. 37,773 9,355 WestRock Co. 380,842 --------------- 1,748,262 --------------- DISTRIBUTORS -- 0.3% 848 Core-Mark Holding Co., Inc. 23,642 8,696 LKQ Corp. (a) 228,009 --------------- 251,651 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.3% 157 Graham Holdings Co., Class B 104,405 4,121 H&R Block, Inc. 97,214 5,278 Laureate Education, Inc., Class A (a) 84,448 --------------- 286,067 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 4,136 AXA Equitable Holdings, Inc. 76,682 1,730 Berkshire Hathaway, Inc., Class B (a) 355,584 2,962 FGL Holdings (a) 23,429 2,008 Jefferies Financial Group, Inc. 41,787 --------------- 497,482 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 12,377 AT&T, Inc. $ 372,053 827 ATN International, Inc. 61,678 23,316 CenturyLink, Inc. 357,201 5,026 Verizon Communications, Inc. 276,731 --------------- 1,067,663 --------------- ELECTRIC UTILITIES -- 2.9% 457 ALLETE, Inc. 35,162 3,344 Alliant Energy Corp. 148,708 1,891 American Electric Power Co., Inc. 149,616 1,637 Duke Energy Corp. 143,696 2,489 Edison International 141,798 802 El Paso Electric Co. 42,121 1,642 Entergy Corp. 146,450 2,489 Evergy, Inc. 142,669 2,172 Eversource Energy 150,759 6,266 Exelon Corp. 299,264 952 Hawaiian Electric Industries, Inc. 35,405 375 IDACORP, Inc. 36,562 329 MGE Energy, Inc. 21,158 3,557 OGE Energy Corp. 145,659 11,899 PG&E Corp. (a) 154,687 818 Pinnacle West Capital Corp. 72,082 2,280 Portland General Electric Co. 110,170 7,284 PPL Corp. 228,135 3,217 Southern (The) Co. 156,346 2,868 Xcel Energy, Inc. 150,168 --------------- 2,510,615 --------------- ELECTRICAL EQUIPMENT -- 0.9% 910 Acuity Brands, Inc. 110,028 996 AZZ, Inc. 44,571 3,006 Eaton Corp. PLC 229,207 2,365 Emerson Electric Co. 154,837 1,179 Encore Wire Corp. 63,548 351 Hubbell, Inc. 38,375 1,990 Regal Beloit Corp. 152,752 --------------- 793,318 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6% 1,090 Anixter International, Inc. (a) 66,174 2,022 Arrow Electronics, Inc. (a) 153,571 4,827 Avnet, Inc. 198,872 2,285 AVX Corp. 40,559 1,925 Belden, Inc. 103,199 277 ePlus, Inc. (a) 21,944 384 Fabrinet (a) 21,826 1,452 Insight Enterprises, Inc. (a) 66,676 2,812 Jabil, Inc. 74,940 1,482 Knowles Corp. (a) 23,119 2,541 Methode Electronics, Inc. 65,431 1,170 ScanSource, Inc. (a) 44,823 1,293 SYNNEX Corp. 125,111 3,736 TE Connectivity Ltd. 302,429 1,278 Tech Data Corp. (a) 122,215 --------------- 1,430,889 --------------- Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES -- 2.4% 10,738 Archrock, Inc. $ 101,367 7,447 C&J Energy Services, Inc. (a) 119,673 6,270 Diamond Offshore Drilling, Inc. (a) 68,531 24,343 Forum Energy Technologies, Inc. (a) 119,524 11,312 FTS International, Inc. (a) 92,193 18,584 Helix Energy Solutions Group, Inc. (a) 126,929 26,646 McDermott International, Inc. (a) 235,018 40,215 Nabors Industries Ltd. 119,036 2,677 National Oilwell Varco, Inc. 78,918 6,647 Oceaneering International, Inc. (a) 104,291 2,816 Oil States International, Inc. (a) 48,492 16,837 Patterson-UTI Energy, Inc. 204,233 17,656 RPC, Inc. (b) 190,508 15,908 Select Energy Services, Inc., Class A (a) 135,218 24,009 Superior Energy Services, Inc. (a) 93,875 9,876 U.S. Silica Holdings, Inc. (b) 133,129 7,040 Unit Corp. (a) 112,358 --------------- 2,083,293 --------------- ENTERTAINMENT -- 0.8% 2,921 Cinemark Holdings, Inc. 119,527 13,745 Viacom, Inc., Class B 404,378 1,882 Walt Disney (The) Co. 209,881 --------------- 733,786 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.1% 5,470 Alexander & Baldwin, Inc. (a) 126,029 9,776 Apple Hospitality REIT, Inc. 160,424 5,416 Brandywine Realty Trust 81,511 9,490 Brixmor Property Group, Inc. 162,564 2,431 Chesapeake Lodging Trust 69,235 1,020 Columbia Property Trust, Inc. 22,511 7,819 CoreCivic, Inc. 155,364 1,657 Corporate Office Properties Trust 40,911 4,412 Cousins Properties, Inc. 39,046 6,518 DiamondRock Hospitality Co. 66,223 1,089 EPR Properties 79,562 3,484 Equity Commonwealth 112,742 3,538 GEO Group (The), Inc. 79,782 2,282 Global Net Lease, Inc. 44,248 5,838 Hospitality Properties Trust 155,641 16,952 Host Hotels & Resorts, Inc. 306,153 3,009 Industrial Logistics Properties Trust 64,663 4,758 Kimco Realty Corp. 80,934 4,200 Kite Realty Group Trust 69,846 9,797 Lexington Realty Trust 94,149 2,497 Liberty Property Trust 117,709 SHARES DESCRIPTION VALUE --------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 2,053 Mack-Cali Realty Corp. $ 42,292 461 National Health Investors, Inc. 38,383 2,927 Office Properties Income Trust 93,752 992 Omega Healthcare Investors, Inc. 39,868 1,923 Outfront Media, Inc. 39,902 1,818 Retail Properties of America, Inc., Class A 22,979 8,501 RLJ Lodging Trust 157,694 4,953 RPT Realty 64,835 11,895 Senior Housing Properties Trust 163,794 1,322 SL Green Realty Corp. 122,192 1,977 Spirit Realty Capital, Inc. 78,526 10,333 Summit Hotel Properties, Inc. 115,420 10,716 Sunstone Hotel Investors, Inc. 153,239 4,875 VEREIT, Inc. 39,390 16,549 Washington Prime Group, Inc. 93,998 2,810 Weingarten Realty Investors 80,619 4,676 Xenia Hotels & Resorts, Inc. 87,769 --------------- 3,563,899 --------------- FOOD & STAPLES RETAILING -- 1.3% 816 Casey's General Stores, Inc. 105,003 12,845 Kroger (The) Co. 363,899 1,080 Performance Food Group Co. (a) 36,893 334 PriceSmart, Inc. 20,457 1,711 Sprouts Farmers Market, Inc. (a) 41,030 9,494 United Natural Foods, Inc. (a) 124,371 3,305 US Foods Holding Corp. (a) 111,445 3,020 Walgreens Boots Alliance, Inc. 218,225 1,683 Weis Markets, Inc. 81,659 --------------- 1,102,982 --------------- FOOD PRODUCTS -- 3.6% 6,897 Archer-Daniels-Midland Co. 309,675 1,391 B&G Foods, Inc. (b) 37,084 3,862 Bunge Ltd. 212,680 1,399 Cal-Maine Foods, Inc. 59,010 9,661 Conagra Brands, Inc. 209,064 7,246 Darling Ingredients, Inc. (a) 154,122 3,774 Flowers Foods, Inc. 74,197 1,423 Fresh Del Monte Produce, Inc. 45,508 3,629 General Mills, Inc. 161,273 642 Hershey (The) Co. 68,116 1,612 Hormel Foods Corp. 68,220 9,190 Hostess Brands, Inc. (a) 105,593 1,144 Ingredion, Inc. 113,256 3,778 J.M. Smucker (The) Co. 396,237 8,207 Kraft Heinz (The) Co. 394,428 8,988 Pilgrim's Pride Corp. (a) 182,097 1,173 Post Holdings, Inc. (a) 108,878 199 Sanderson Farms, Inc. 24,497 1,044 Simply Good Foods (The) Co. (a) 20,661 591 Tootsie Roll Industries, Inc. (b) 20,478 6,615 Tyson Foods, Inc., Class A 409,601 --------------- 3,174,675 --------------- See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) GAS UTILITIES -- 0.7% 1,524 Atmos Energy Corp. $ 148,788 243 Chesapeake Utilities Corp. 22,008 2,043 National Fuel Gas Co. 117,064 763 New Jersey Resources Corp. 37,005 438 ONE Gas, Inc. 35,982 911 Southwest Gas Holdings, Inc. 71,350 941 Spire, Inc. 74,687 1,960 UGI Corp. 111,779 --------------- 618,663 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1% 667 Danaher Corp. 73,984 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.7% 6,778 Acadia Healthcare Co., Inc. (a) 185,446 925 AmerisourceBergen Corp. 77,117 538 Anthem, Inc. 163,014 6,336 Cardinal Health, Inc. 316,610 320 CorVel Corp. (a) 19,991 2,746 DaVita, Inc. (a) 154,133 1,466 Diplomat Pharmacy, Inc. (a) 21,257 2,795 Laboratory Corp. of America Holdings (a) 389,483 1,414 Magellan Health, Inc. (a) 92,136 5,281 MEDNAX, Inc. (a) 190,697 513 National HealthCare Corp. 41,209 3,010 Patterson Cos., Inc. 67,093 2,478 Quest Diagnostics, Inc. 216,453 2,620 Select Medical Holdings Corp. (a) 40,924 1,621 Tivity Health, Inc. (a) 36,084 2,424 Universal Health Services, Inc., Class B 321,253 --------------- 2,332,900 --------------- HEALTH CARE TECHNOLOGY -- 0.3% 2,046 Allscripts Healthcare Solutions, Inc. (a) 24,122 3,935 Cerner Corp. (a) 216,071 --------------- 240,193 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.1% 7,123 Aramark 234,703 2,248 Bloomin' Brands, Inc. 41,431 7,165 Carnival Corp. 412,561 1,360 Cheesecake Factory (The), Inc. 61,037 436 Cracker Barrel Old Country Store, Inc. 72,934 1,328 Dave & Buster's Entertainment, Inc. 68,326 5,283 Hilton Grand Vacations, Inc. (a) 160,286 958 Hilton Worldwide Holdings, Inc. 71,352 2,292 International Speedway Corp., Class A 99,587 494 Marriott Vacations Worldwide Corp. 43,739 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 14,560 MGM Resorts International $ 428,646 6,666 Norwegian Cruise Line Holdings Ltd. (a) 342,832 496 Papa John's International, Inc. (b) 20,976 5,593 Playa Hotels & Resorts N.V. (a) 44,073 2,890 Royal Caribbean Cruises Ltd. 346,945 2,917 Wyndham Destinations, Inc. 122,922 4,214 Yum China Holdings, Inc. 153,600 --------------- 2,725,950 --------------- HOUSEHOLD DURABLES -- 2.9% 10,192 D.R. Horton, Inc. 391,882 2,231 Garmin Ltd. 154,341 3,099 KB Home 66,350 2,136 La-Z-Boy, Inc. 63,268 1,945 Leggett & Platt, Inc. 79,667 7,218 Lennar Corp., Class A 342,278 2,861 M.D.C. Holdings, Inc. 94,213 2,738 Meritage Homes Corp. (a) 123,429 3,020 Mohawk Industries, Inc. (a) 388,946 58 NVR, Inc. (a) 154,280 5,364 PulteGroup, Inc. 149,173 5,058 Taylor Morrison Home Corp., Class A (a) 95,596 477 Tempur Sealy International, Inc. (a) 25,291 5,292 Toll Brothers, Inc. 195,486 1,787 TopBuild Corp. (a) 94,371 9,198 TRI Pointe Group, Inc. (a) 123,713 --------------- 2,542,284 --------------- HOUSEHOLD PRODUCTS -- 0.4% 1,287 Central Garden & Pet Co., Class A (a) 45,843 748 Procter & Gamble (The) Co. 72,160 4,125 Spectrum Brands Holdings, Inc. 230,505 --------------- 348,508 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 1,144 Clearway Energy, Inc., Class C 17,263 769 Ormat Technologies, Inc. 44,379 3,179 Pattern Energy Group, Inc., Class A 67,649 --------------- 129,291 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 361 3M Co. 72,308 693 Carlisle Cos., Inc. 74,657 --------------- 146,965 --------------- INSURANCE -- 6.7% 6,203 Aflac, Inc. 295,883 224 Alleghany Corp. 141,469 3,420 Allstate (The) Corp. 300,515 3,742 American Equity Investment Life Holding Co. 117,199 Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 760 American Financial Group, Inc. $ 72,496 1,370 American National Insurance Co. 190,690 5,288 Arch Capital Group Ltd. (a) 155,203 293 Argo Group International Holdings Ltd. 19,555 779 Assurant, Inc. 75,088 3,642 Assured Guaranty Ltd. 147,720 3,500 Athene Holding Ltd., Class A (a) 150,150 1,350 Axis Capital Holdings Ltd. 72,293 1,144 Brighthouse Financial, Inc. (a) 42,717 1,597 Chubb Ltd. 212,481 3,650 Cincinnati Financial Corp. 296,088 1,410 Employers Holdings, Inc. 59,742 640 Everest Re Group Ltd. 140,192 613 FBL Financial Group, Inc., Class A 43,045 8,988 Fidelity National Financial, Inc. 325,006 3,123 First American Financial Corp. 156,400 1,548 Hartford Financial Services Group (The), Inc. 72,632 1,074 Horace Mann Educators Corp. 44,732 5,508 Lincoln National Corp. 322,163 4,533 Loews Corp. 217,131 136 Markel Corp. (a) 143,277 5,026 MetLife, Inc. 229,537 1,440 National General Holdings Corp. 34,776 267 National Western Life Group, Inc., Class A 80,981 6,777 Old Republic International Corp. 136,557 6,398 Principal Financial Group, Inc. 320,348 3,465 Prudential Financial, Inc. 319,265 1,243 Reinsurance Group of America, Inc. 179,551 261 RenaissanceRe Holdings Ltd. 36,026 241 Safety Insurance Group, Inc. 19,837 2,046 Third Point Reinsurance Ltd. (a) 21,504 4,740 Torchmark Corp. 397,022 1,180 Travelers (The) Cos., Inc. 148,137 3,559 Unum Group 123,711 472 W.R. Berkley Corp. 36,292 --------------- 5,897,411 --------------- INTERACTIVE MEDIA & SERVICES -- 0.1% 4,676 Cars.com, Inc. (a) 127,702 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.2% 8,927 Qurate Retail, Inc. (a) 194,162 --------------- IT SERVICES -- 1.1% 968 CACI International, Inc., Class A (a) 161,830 1,084 Cognizant Technology Solutions Corp., Class A 75,533 13,115 Conduent, Inc. (a) 167,216 SHARES DESCRIPTION VALUE --------------------------------------------------------------- IT SERVICES (CONTINUED) 2,086 CoreLogic, Inc. (a) $ 75,722 621 CSG Systems International, Inc. 22,474 1,291 Genpact Ltd. 38,511 2,680 Leidos Holdings, Inc. 155,440 1,132 ManTech International Corp., Class A 63,811 1,071 MAXIMUS, Inc. 75,109 3,222 NIC, Inc. 52,841 3,082 Presidio, Inc. 49,096 547 Science Applications International Corp. 36,726 798 Sykes Enterprises, Inc. (a) 22,001 --------------- 996,310 --------------- LEISURE PRODUCTS -- 0.1% 909 Polaris Industries, Inc. 76,247 --------------- MACHINERY -- 3.7% 2,504 AGCO Corp. 160,757 765 Alamo Group, Inc. 65,889 483 Crane Co. 39,973 1,057 Cummins, Inc. 155,495 1,991 Dover Corp. 174,870 985 EnPro Industries, Inc. 65,059 460 Franklin Electric Co., Inc. 21,979 2,543 Greenbrier (The) Cos., Inc. 107,849 1,549 Ingersoll-Rand PLC 154,962 722 ITT, Inc. 37,948 4,189 Kennametal, Inc. 157,423 1,167 Meritor, Inc. (a) 24,134 339 Middleby (The) Corp. (a) 39,873 3,382 Milacron Holdings Corp. (a) 46,874 1,722 Mueller Industries, Inc. 44,617 4,419 Mueller Water Products, Inc., Class A 43,660 2,274 Oshkosh Corp. 170,664 6,182 PACCAR, Inc. 405,045 1,384 Parker-Hannifin Corp. 228,097 7,881 REV Group, Inc. 65,491 720 Snap-on, Inc. 119,513 704 SPX Corp. (a) 20,944 1,946 SPX FLOW, Inc. (a) 63,770 881 Standex International Corp. 65,705 574 Stanley Black & Decker, Inc. 72,577 1,264 Terex Corp. 38,817 3,736 Timken (The) Co. 159,116 624 Toro (The) Co. 37,128 1,474 TriMas Corp. (a) 42,731 8,464 Trinity Industries, Inc. 197,888 6,149 Wabash National Corp. 85,717 649 WABCO Holdings, Inc. (a) 74,135 3,137 Welbilt, Inc. (a) 43,981 --------------- 3,232,681 --------------- MARINE -- 0.3% 2,070 Kirby Corp. (a) 155,064 2,512 Matson, Inc. 84,177 --------------- 239,241 --------------- See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 2.8% 8,439 Altice USA, Inc., Class A $ 165,742 1,466 AMC Networks, Inc., Class A (a) 92,270 1,573 CBS Corp., Class B 77,801 10,374 Comcast Corp., Class A 379,377 6,979 DISH Network Corp., Class A (a) 214,046 8,147 Emerald Expositions Events, Inc. 115,687 17,607 Entercom Communications Corp., Class A 129,059 6,938 Gannett Co., Inc. 76,942 6,821 Gray Television, Inc. (a) 113,979 1,689 Interpublic Group of Cos. (The), Inc. 38,425 2,226 John Wiley & Sons, Inc., Class A 115,262 4,904 Liberty Broadband Corp., Class C (a) 416,938 380 Meredith Corp. 20,623 6,952 New Media Investment Group, Inc. 95,034 15,354 News Corp., Class A 196,992 490 Scholastic Corp. 20,428 3,817 Sinclair Broadcast Group, Inc., Class A 117,602 7,399 TEGNA, Inc. 86,864 --------------- 2,473,071 --------------- METALS & MINING -- 2.1% 8,768 AK Steel Holding Corp. (a) (b) 25,866 3,934 Alcoa Corp. (a) 116,761 4,803 Allegheny Technologies, Inc. (a) 131,554 4,413 Coeur Mining, Inc. (a) 22,727 5,021 Commercial Metals Co. 87,617 34,262 Freeport-McMoRan, Inc. 398,810 17,040 Hecla Mining Co. 46,008 439 Materion Corp. 20,602 6,818 Nucor Corp. 417,534 2,449 Reliance Steel & Aluminum Co. 200,524 9,554 United States Steel Corp. 215,347 3,336 Warrior Met Coal, Inc. 95,843 1,699 Worthington Industries, Inc. 64,103 --------------- 1,843,296 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.7% 35,971 Annaly Capital Management, Inc. 375,537 4,828 Apollo Commercial Real Estate Finance, Inc. 87,870 2,188 Blackstone Mortgage Trust, Inc., Class A 75,464 9,779 Chimera Investment Corp. 186,094 4,087 Invesco Mortgage Capital, Inc. 65,801 20,870 MFA Financial, Inc. 152,977 12,263 New Residential Investment Corp. 208,226 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 4,320 PennyMac Mortgage Investment Trust $ 87,437 3,927 Redwood Trust, Inc. 63,342 1,768 Starwood Property Trust, Inc. 39,037 3,238 TPG RE Finance Trust, Inc. 64,210 6,264 Two Harbors Investment Corp. 91,392 --------------- 1,497,387 --------------- MULTILINE RETAIL -- 1.4% 2,781 Big Lots, Inc. 87,713 1,667 Dillard's, Inc., Class A (b) 111,339 1,307 Dollar General Corp. 150,867 2,285 Dollar Tree, Inc. (a) 221,256 11,862 Macy's, Inc. 311,971 1,496 Nordstrom, Inc. 69,429 4,276 Target Corp. 312,148 --------------- 1,264,723 --------------- MULTI-UTILITIES -- 1.7% 2,166 Ameren Corp. 150,190 10,010 CenterPoint Energy, Inc. 309,509 2,699 Consolidated Edison, Inc. 209,577 1,977 Dominion Energy, Inc. 138,865 1,281 DTE Energy Co. 150,838 4,386 MDU Resources Group, Inc. 112,764 1,759 NorthWestern Corp. 112,418 3,965 Public Service Enterprise Group, Inc. 216,291 993 WEC Energy Group, Inc. 72,519 --------------- 1,472,971 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.2% 18,558 Antero Resources Corp. (a) 186,694 969 Arch Coal, Inc., Class A 85,398 2,598 Chevron Corp. 297,861 15,260 CNX Resources Corp. (a) 185,256 4,144 Exxon Mobil Corp. 303,672 15,349 Gulfport Energy Corp. (a) 128,778 4,473 Kinder Morgan, Inc. 80,961 27,773 Laredo Petroleum, Inc. (a) 105,537 4,789 Marathon Petroleum Corp. 317,319 5,717 Peabody Energy Corp. 204,097 4,100 Phillips 66 391,181 18,209 Range Resources Corp. 200,845 5,837 SemGroup Corp., Class A 93,509 51,104 Southwestern Energy Co. (a) 223,325 5,729 Targa Resources Corp. 246,404 4,712 Valero Energy Corp. 413,808 9,359 Williams (The) Cos., Inc. 252,038 --------------- 3,716,683 --------------- PAPER & FOREST PRODUCTS -- 0.3% 4,215 Boise Cascade Co. 115,786 992 Domtar Corp. 46,525 335 Neenah, Inc. 23,339 2,363 Schweitzer-Mauduit International, Inc. 75,758 --------------- 261,408 --------------- Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PERSONAL PRODUCTS -- 0.4% 31,458 Coty, Inc., Class A $ 244,114 2,799 Edgewell Personal Care Co. (a) 110,421 --------------- 354,535 --------------- PHARMACEUTICALS -- 1.2% 2,643 Allergan PLC 380,539 10,313 Mylan N.V. (a) 308,874 5,326 Perrigo Co. PLC 247,393 3,256 Prestige Consumer Healthcare, Inc. (a) 90,908 --------------- 1,027,714 --------------- PROFESSIONAL SERVICES -- 0.4% 739 Equifax, Inc. 79,088 2,689 ManpowerGroup, Inc. 212,512 2,660 TrueBlue, Inc. (a) 64,877 --------------- 356,477 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 3,529 CBRE Group, Inc., Class A (a) 161,452 1,213 HFF, Inc., Class A 50,242 357 Howard Hughes (The) Corp. (a) 39,641 551 Jones Lang LaSalle, Inc. 79,019 575 Marcus & Millichap, Inc. (a) 22,770 6,849 Realogy Holdings Corp. (b) 121,570 --------------- 474,694 --------------- ROAD & RAIL -- 1.7% 531 AMERCO 192,573 2,935 ArcBest Corp. 110,415 1,789 Avis Budget Group, Inc. (a) 47,659 2,354 Genesee & Wyoming, Inc., Class A (a) 184,836 3,234 Heartland Express, Inc. 64,712 7,365 Hertz Global Holdings, Inc. (a) 122,185 2,961 Kansas City Southern 313,126 3,619 Ryder System, Inc. 209,576 5,385 Schneider National, Inc., Class B 114,377 3,403 Werner Enterprises, Inc. 112,027 --------------- 1,471,486 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.5% 937 Advanced Energy Industries, Inc. (a) 48,059 15,326 Amkor Technology, Inc. (a) 122,608 1,784 Cirrus Logic, Inc. (a) 66,276 3,079 Skyworks Solutions, Inc. 224,890 --------------- 461,833 --------------- SOFTWARE -- 0.7% 6,905 Avaya Holdings Corp. (a) 116,763 14,956 Symantec Corp. 314,375 817 Synopsys, Inc. (a) 76,267 6,290 TiVo Corp. 70,008 --------------- 577,413 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL -- 3.1% 4,144 Aaron's, Inc. $ 207,449 4,011 Abercrombie & Fitch Co., Class A 86,918 437 Advance Auto Parts, Inc. 69,571 888 Asbury Automotive Group, Inc. (a) 62,737 3,905 AutoNation, Inc. (a) 151,319 8,881 Bed Bath & Beyond, Inc. 134,014 2,668 Best Buy Co., Inc. 158,052 4,159 Buckle (The), Inc. (b) 72,242 2,127 Caleres, Inc. 63,470 1,097 CarMax, Inc. (a) 64,482 17,889 Chico's FAS, Inc. 103,756 446 Children's Place (The), Inc. 43,155 2,578 Dick's Sporting Goods, Inc. 91,029 1,310 Foot Locker, Inc. 73,216 10,970 Gap (The), Inc. 279,077 1,907 Group 1 Automotive, Inc. 116,384 4,073 L Brands, Inc. 113,392 1,054 Lithia Motors, Inc., Class A 93,753 10,296 Michaels Cos. (The), Inc. (a) 142,703 772 Murphy USA, Inc. (a) 56,781 31,174 Office Depot, Inc. 91,963 10,074 Party City Holdco, Inc. (a) 111,217 4,322 Penske Automotive Group, Inc. 202,615 3,471 Sally Beauty Holdings, Inc. (a) 59,771 2,073 Williams-Sonoma, Inc. 112,833 --------------- 2,761,899 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.4% 26,740 Hewlett Packard Enterprise Co. 416,877 10,086 HP, Inc. 222,195 9,555 Western Digital Corp. 429,879 5,291 Xerox Corp. 149,259 --------------- 1,218,210 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 854 Carter's, Inc. 70,796 2,884 G-III Apparel Group Ltd. (a) 100,565 566 Oxford Industries, Inc. 43,344 3,800 PVH Corp. 414,618 3,045 Skechers U.S.A., Inc., Class A (a) 82,733 2,304 Steven Madden Ltd. 75,226 2,038 Tapestry, Inc. 78,891 --------------- 866,173 --------------- THRIFTS & MORTGAGE FINANCE -- 1.0% 5,098 Essent Group Ltd. (a) 202,646 747 Flagstar Bancorp, Inc. (a) 23,045 16,660 MGIC Investment Corp. (a) 207,917 11,111 New York Community Bancorp, Inc. 129,110 818 Provident Financial Services, Inc. 20,213 10,652 Radian Group, Inc. 204,944 See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE (CONTINUED) 2,216 Washington Federal, Inc. $ 64,463 --------------- 852,338 --------------- TOBACCO -- 0.3% 4,178 Altria Group, Inc. 206,184 1,485 Universal Corp. 85,685 --------------- 291,869 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.9% 5,768 Air Lease Corp. 218,838 5,832 Aircastle Ltd. 121,539 1,866 Beacon Roofing Supply, Inc. (a) 67,792 5,196 BMC Stock Holdings, Inc. (a) 89,163 2,461 GATX Corp. 186,249 5,412 GMS, Inc. (a) 102,449 3,868 Herc Holdings, Inc. (a) 143,310 4,839 MRC Global, Inc. (a) 75,585 1,359 MSC Industrial Direct Co., Inc., Class A 113,463 1,695 NOW, Inc. (a) 22,933 2,916 Rush Enterprises, Inc., Class A 111,537 1,683 Systemax, Inc. 39,281 3,236 Triton International Ltd. 116,334 5,894 Univar, Inc. (a) 122,772 250 Watsco, Inc. 36,870 1,676 WESCO International, Inc. (a) 87,822 --------------- 1,655,937 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.2% 4,767 Macquarie Infrastructure Corp. 205,791 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 3,090 Telephone & Data Systems, Inc. 111,920 4,443 T-Mobile US, Inc. (a) 309,322 1,935 United States Cellular Corp. (a) 111,417 532,659 --------------- TOTAL COMMON STOCKS -- 99.8% 87,779,182 (Cost $89,089,788) --------------- MONEY MARKET FUNDS -- 0.3% 48,443 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) 48,443 209,204 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (c) 209,204 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 257,647 (Cost $257,647) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 220,888 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $220,904. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $226,404. (d) $ 220,888 273,951 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $273,970. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $279,430. (d) 273,951 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.5% 494,839 (Cost $494,839) --------------- TOTAL INVESTMENTS -- 100.6% 88,531,668 (Cost $89,842,274) (e) NET OTHER ASSETS AND LIABILITIES -- (0.6)% (554,886) --------------- NET ASSETS -- 100.0% $ 87,976,782 =============== (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 $531,202 and the total value of the collateral held by the Fund is $543,282. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $5,215,886 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,526,492. The net unrealized depreciation was $1,310,606. Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 87,779,182 $ -- $ -- Money Market Funds 257,647 -- -- Repurchase Agreements -- 494,839 -- --------------------------------------------- Total Investments $ 88,036,829 $ 494,839 $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 531,202 Non-cash Collateral(2) (531,202) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 494,839 Non-cash Collateral(4) (494,839) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.6% AEROSPACE & DEFENSE -- 1.8% 5,589 Aerojet Rocketdyne Holdings, Inc. (a) $ 220,598 1,706 Aerovironment, Inc. (a) 132,488 1,560 Axon Enterprise, Inc. (a) 79,576 1,716 Boeing (The) Co. 661,724 1,001 Harris Corp. 153,333 3,523 HEICO Corp. 297,693 3,571 Hexcel Corp. 241,792 3,331 Mercury Systems, Inc. (a) 195,296 1,648 Teledyne Technologies, Inc. (a) 369,515 1,628 TransDigm Group, Inc. (a) 636,548 14,671 Wesco Aircraft Holdings, Inc. (a) 128,225 --------------- 3,116,788 --------------- AIR FREIGHT & LOGISTICS -- 0.6% 6,905 Air Transport Services Group, Inc. (a) 163,994 10,160 Expeditors International of Washington, Inc. 704,088 2,871 Forward Air Corp. 168,039 --------------- 1,036,121 --------------- AUTO COMPONENTS -- 0.1% 3,345 Fox Factory Holding Corp. (a) 198,459 --------------- AUTOMOBILES -- 0.4% 2,079 Tesla, Inc. (a) 638,295 --------------- BANKS -- 2.7% 2,322 BancFirst Corp. 124,645 931 BOK Financial Corp. 77,375 5,699 Brookline Bancorp, Inc. 84,744 1,715 City Holding Co. 122,931 3,633 Commerce Bancshares, Inc. 217,253 4,683 Community Bank System, Inc. 280,746 1,552 Cullen/Frost Bankers, Inc. 150,979 3,893 CVB Financial Corp. 85,296 1,027 Enterprise Financial Services Corp. 45,322 4,498 FB Financial Corp. 148,794 3,549 First Bancorp 130,497 4,723 First Busey Corp. 116,942 6,519 First Commonwealth Financial Corp. 88,658 5,915 First Financial Bankshares, Inc. 361,407 2,298 First Merchants Corp. 84,176 4,651 First Republic Bank 449,426 5,168 Glacier Bancorp, Inc. 217,986 2,650 Heritage Financial Corp. 82,097 1,648 Independent Bank Corp. 131,477 844 Independent Bank Group, Inc. 44,529 2,886 Lakeland Financial Corp. 129,957 1,204 LegacyTexas Financial Group, Inc. 47,967 2,609 Live Oak Bancshares, Inc. 36,265 3,754 National Bank Holdings Corp., Class A 119,978 2,961 Pinnacle Financial Partners, Inc. 159,213 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 3,063 S&T Bancorp, Inc. $ 117,681 4,454 Seacoast Banking Corp. of Florida (a) 122,574 2,471 ServisFirst Bancshares, Inc. 83,396 4,803 Simmons First National Corp., Class A 118,826 4,135 Sterling Bancorp 79,557 10,506 TCF Financial Corp. 232,813 1,545 Tompkins Financial Corp. 113,619 1,613 TowneBank 41,874 1,385 Webster Financial Corp. 74,624 1,053 WesBanco, Inc. 42,762 --------------- 4,566,386 --------------- BEVERAGES -- 0.2% 654 Boston Beer (The) Co., Inc., Class A (a) 162,951 2,832 Brown-Forman Corp., Class B 133,812 --------------- 296,763 --------------- BIOTECHNOLOGY -- 3.9% 6,003 AbbVie, Inc. 481,981 7,168 ACADIA Pharmaceuticals, Inc. (a) 163,287 887 Acceleron Pharma, Inc. (a) 37,609 2,480 Acorda Therapeutics, Inc. (a) 41,242 4,033 Amicus Therapeutics, Inc. (a) 48,557 992 Arena Pharmaceuticals, Inc. (a) 45,602 19,159 Array BioPharma, Inc. (a) 357,699 3,110 Arrowhead Pharmaceuticals, Inc. (a) 43,913 6,206 Athenex, Inc. (a) 72,920 1,582 BioMarin Pharmaceutical, Inc. (a) 155,305 716 Blueprint Medicines Corp. (a) 51,616 2,102 Celgene Corp. (a) 185,943 1,352 CRISPR Therapeutics AG (a) (b) 43,845 2,558 CytomX Therapeutics, Inc. (a) 43,435 1,698 Editas Medicine, Inc. (a) 36,898 3,321 Emergent BioSolutions, Inc. (a) 207,197 1,637 Enanta Pharmaceuticals, Inc. (a) 130,027 4,327 Exact Sciences Corp. (a) 389,776 13,880 Exelixis, Inc. (a) 327,152 1,474 FibroGen, Inc. (a) 83,649 3,057 Genomic Health, Inc. (a) 231,751 5,384 Halozyme Therapeutics, Inc. (a) 87,113 5,262 Heron Therapeutics, Inc. (a) 141,548 4,352 Incyte Corp. (a) 350,728 1,563 Intercept Pharmaceuticals, Inc. (a) 188,623 5,050 Ionis Pharmaceuticals, Inc. (a) 292,900 4,123 Karyopharm Therapeutics, Inc. (a) 34,922 2,767 Natera, Inc. (a) 37,604 4,590 PTC Therapeutics, Inc. (a) 142,887 4,776 Radius Health, Inc. (a) 87,258 1,482 Regeneron Pharmaceuticals, Inc. (a) 636,178 Page 74 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 1,878 REGENXBIO, Inc. (a) $ 82,557 3,734 Repligen Corp. (a) 212,875 3,481 Retrophin, Inc. (a) 75,050 3,365 Sangamo Therapeutics, Inc. (a) 39,337 1,251 Sarepta Therapeutics, Inc. (a) 174,777 7,535 Vanda Pharmaceuticals, Inc. (a) 204,425 2,439 Vertex Pharmaceuticals, Inc. (a) 465,629 4,356 Xencor, Inc. (a) 157,252 --------------- 6,591,067 --------------- BUILDING PRODUCTS -- 1.1% 3,197 A.O. Smith Corp. 153,008 4,493 AAON, Inc. 165,971 4,780 Advanced Drainage Systems, Inc. 121,890 3,426 Allegion PLC 294,156 2,345 Armstrong World Industries, Inc. 159,554 3,095 Continental Building Products, Inc. (a) 81,522 1,559 Lennox International, Inc. 357,448 1,305 Patrick Industries, Inc. (a) 52,070 7,312 PGT Innovations, Inc. (a) 121,672 2,521 Simpson Manufacturing Co., Inc. 154,739 3,450 Trex Co., Inc. (a) 240,672 --------------- 1,902,702 --------------- CAPITAL MARKETS -- 3.2% 2,956 Blucora, Inc. (a) 87,231 5,657 Cboe Global Markets, Inc. 527,628 2,942 CME Group, Inc. 536,268 1,126 Cohen & Steers, Inc. 42,371 6,306 E*TRADE Financial Corp. 294,238 1,364 FactSet Research Systems, Inc. 298,211 2,129 Hamilton Lane, Inc., Class A 77,219 2,140 Houlihan Lokey, Inc. 94,674 5,365 Intercontinental Exchange, Inc. 411,817 5,588 LPL Financial Holdings, Inc. 393,228 969 MarketAxess Holdings, Inc. 208,112 962 Moody's Corp. 152,487 1,864 Morningstar, Inc. 231,416 1,877 MSCI, Inc. 319,597 4,955 Nasdaq, Inc. 436,238 2,032 PJT Partners, Inc., Class A 88,351 3,718 Raymond James Financial, Inc. 299,299 1,459 T. Rowe Price Group, Inc. 136,358 11,303 TD Ameritrade Holding Corp. 632,403 7,643 Virtu Financial, Inc., Class A 195,279 --------------- 5,462,425 --------------- CHEMICALS -- 2.1% 871 Balchem Corp. 72,310 3,076 Celanese Corp. 294,558 9,289 CF Industries Holdings, Inc. 405,465 1,158 Chase Corp. 116,750 4,695 Ecolab, Inc. 742,608 5,022 Ferro Corp. (a) 83,717 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CHEMICALS (CONTINUED) 5,464 FMC Corp. $ 436,027 3,262 Ingevity Corp. (a) 306,856 10,636 PQ Group Holdings, Inc. (a) 160,072 1,406 Sherwin-Williams (The) Co. 592,657 14,109 Valvoline, Inc. 311,950 --------------- 3,522,970 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.5% 4,531 Brady Corp., Class A 202,581 3,167 Brink's (The) Co. 234,516 6,911 Casella Waste Systems, Inc., Class A (a) 208,159 1,320 Cimpress N.V. (a) 109,784 2,406 Cintas Corp. 451,149 2,766 Clean Harbors, Inc. (a) 163,775 8,458 Copart, Inc. (a) 428,229 8,637 Covanta Holding Corp. 139,056 4,291 KAR Auction Services, Inc. 223,175 3,059 McGrath RentCorp 154,174 2,481 Mobile Mini, Inc. 93,757 3,620 MSA Safety, Inc. 362,652 11,195 Rollins, Inc. 416,902 3,955 Tetra Tech, Inc. 218,276 3,127 US Ecology, Inc. 199,096 6,218 Waste Management, Inc. 594,876 --------------- 4,200,157 --------------- COMMUNICATIONS EQUIPMENT -- 1.5% 5,998 Casa Systems, Inc. (a) 69,817 10,064 Ciena Corp. (a) 383,338 15,965 Cisco Systems, Inc. 754,985 1,708 F5 Networks, Inc. (a) 274,902 3,249 Lumentum Holdings, Inc. (a) 158,908 6,013 Motorola Solutions, Inc. 702,980 19,591 Viavi Solutions, Inc. (a) 217,852 --------------- 2,562,782 --------------- CONSTRUCTION & ENGINEERING -- 0.1% 3,606 Comfort Systems USA, Inc. 172,980 --------------- CONSTRUCTION MATERIALS -- 0.2% 784 Martin Marietta Materials, Inc. 138,517 1,363 Vulcan Materials Co. 138,549 --------------- 277,066 --------------- CONSUMER FINANCE -- 0.6% 715 Credit Acceptance Corp. (a) 284,584 5,956 Enova International, Inc. (a) 137,286 2,831 FirstCash, Inc. 233,359 4,292 Green Dot Corp., Class A (a) 317,694 8,213 SLM Corp. (a) 87,961 --------------- 1,060,884 --------------- DISTRIBUTORS -- 0.2% 2,296 Pool Corp. 344,193 --------------- See Notes to Financial Statements Page 75 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES -- 1.0% 3,062 Bright Horizons Family Solutions, Inc. (a) $ 354,549 6,896 Career Education Corp. (a) 89,027 12,008 Chegg, Inc. (a) 422,922 710 Grand Canyon Education, Inc. (a) 65,987 8,477 Service Corp. International 363,833 7,432 ServiceMaster Global Holdings, Inc. (a) 289,774 1,982 Sotheby's (a) 80,053 --------------- 1,666,145 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1% 1,742 Cogent Communications Holdings, Inc. 84,400 8,537 Iridium Communications, Inc. (a) 165,447 --------------- 249,847 --------------- ELECTRIC UTILITIES -- 0.5% 3,184 NextEra Energy, Inc. 569,872 6,645 PNM Resources, Inc. 283,011 --------------- 852,883 --------------- ELECTRICAL EQUIPMENT -- 0.9% 4,088 AMETEK, Inc. 298,015 9,924 Atkore International Group, Inc. (a) 230,138 6,866 Generac Holdings, Inc. (a) 363,417 18,080 Sunrun, Inc. (a) 240,464 8,010 TPI Composites, Inc. (a) 242,463 4,168 Vicor Corp. (a) 164,177 --------------- 1,538,674 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6% 4,988 Amphenol Corp., Class A 438,545 8,536 CDW Corp. 710,793 4,477 CTS Corp. 127,012 1,938 FARO Technologies, Inc. (a) 82,404 2,427 II-VI, Inc. (a) 92,129 11,226 KEMET Corp. 198,925 1,194 Littelfuse, Inc. 209,810 390 Rogers Corp. (a) 49,495 3,970 TTM Technologies, Inc. (a) 45,575 15,159 Vishay Intertechnology, Inc. 295,600 2,143 Zebra Technologies Corp., Class A (a) 372,025 --------------- 2,622,313 --------------- ENERGY EQUIPMENT & SERVICES -- 0.3% 2,848 Helmerich & Payne, Inc. 159,459 9,628 Keane Group, Inc. (a) 97,050 6,446 Mammoth Energy Services, Inc. 142,650 9,408 ProPetro Holding Corp. (a) 153,727 --------------- 552,886 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ENTERTAINMENT -- 1.1% 14,046 Live Nation Entertainment, Inc. (a) $ 751,601 765 Madison Square Garden (The) Co., Class A (a) 212,594 1,034 Netflix, Inc. (a) 351,043 2,741 World Wrestling Entertainment, Inc., Class A 225,694 69,471 Zynga, Inc., Class A (a) 311,230 --------------- 1,852,162 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.2% 3,314 Acadia Realty Trust 95,211 2,664 Agree Realty Corp. 175,904 127 Alexander's, Inc. 42,299 3,439 American Homes 4 Rent, Class A 76,036 3,498 American Tower Corp. 604,594 1,590 AvalonBay Communities, Inc. 306,743 8,533 CareTrust REIT, Inc. 187,555 5,095 Crown Castle International Corp. 596,421 4,758 CubeSmart 147,260 1,291 CyrusOne, Inc. 69,972 5,194 Digital Realty Trust, Inc. 562,718 2,000 Douglas Emmett, Inc. 75,660 1,488 EastGroup Properties, Inc. 153,948 2,108 Equity LifeStyle Properties, Inc. 223,195 1,129 Essex Property Trust, Inc. 306,185 3,058 Extra Space Storage, Inc. 301,549 1,156 Federal Realty Investment Trust 153,251 2,365 First Industrial Realty Trust, Inc. 77,383 4,423 Four Corners Property Trust, Inc. 124,905 2,112 Gaming and Leisure Properties, Inc. 79,200 6,085 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 137,460 8,091 Healthcare Trust of America, Inc., Class A 229,946 8,538 Iron Mountain, Inc. 317,614 7,843 JBG SMITH Properties 303,132 1,973 Lamar Advertising Co., Class A 146,890 1,468 Life Storage, Inc. 144,260 2,781 LTC Properties, Inc. 131,931 21,223 Medical Properties Trust, Inc. 386,259 2,892 Mid-America Apartment Communities, Inc. 292,902 4,221 National Retail Properties, Inc. 222,489 4,381 National Storage Affiliates Trust 127,487 9,827 Physicians Realty Trust 177,967 4,621 Piedmont Office Realty Trust, Inc., Class A 89,462 1,563 PS Business Parks, Inc. 226,932 665 Public Storage 141,326 2,465 Rayonier, Inc. 75,035 6,411 Realty Income Corp. 440,372 4,715 Regency Centers Corp. 306,475 2,433 Retail Opportunity Investments Corp. 42,748 Page 76 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 3,933 Rexford Industrial Realty, Inc. $ 132,149 1,023 Ryman Hospitality Properties, Inc. 82,198 8,284 Sabra Health Care REIT, Inc. 170,153 818 Saul Centers, Inc. 43,321 1,709 SBA Communications Corp. (a) 311,944 802 Simon Property Group, Inc. 146,060 3,165 STAG Industrial, Inc. 87,259 2,013 Sun Communities, Inc. 221,249 3,296 Terreno Realty Corp. 132,961 3,817 Tier REIT, Inc. 89,699 6,984 UDR, Inc. 305,550 8,767 Uniti Group, Inc. 174,551 10,903 VICI Properties, Inc. 234,742 --------------- 10,432,512 --------------- FOOD & STAPLES RETAILING -- 0.2% 6,450 Sysco Corp. 411,832 --------------- FOOD PRODUCTS -- 1.2% 1,080 Calavo Growers, Inc. 87,869 6,122 Freshpet, Inc. (a) 220,208 1,090 J&J Snack Foods Corp. 168,241 9,404 Lamb Weston Holdings, Inc. 679,909 1,930 Lancaster Colony Corp. 307,005 4,968 McCormick & Co., Inc. 614,244 --------------- 2,077,476 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.8% 851 ABIOMED, Inc. (a) 298,761 212 Atrion Corp. 158,118 19,574 Boston Scientific Corp. (a) 746,748 917 Cantel Medical Corp. 74,662 4,068 Cardiovascular Systems, Inc. (a) 126,637 2,453 CONMED Corp. 172,569 6,938 CryoLife, Inc. (a) 193,640 3,620 DENTSPLY SIRONA, Inc. 151,859 2,849 DexCom, Inc. (a) 401,794 3,613 Edwards Lifesciences Corp. (a) 615,727 2,804 Glaukos Corp. (a) 178,867 1,578 Globus Medical, Inc., Class A (a) 71,089 2,729 Haemonetics Corp. (a) 269,925 3,084 Hill-Rom Holdings, Inc. 308,462 13,465 Hologic, Inc. (a) 597,846 1,189 ICU Medical, Inc. (a) 295,823 724 IDEXX Laboratories, Inc. (a) 154,053 550 Inogen, Inc. (a) 83,166 1,721 Insulet Corp. (a) 139,728 2,582 Integer Holdings Corp. (a) 209,116 1,513 Integra LifeSciences Holdings Corp. (a) 71,656 844 Intuitive Surgical, Inc. (a) 441,952 1,668 iRhythm Technologies, Inc. (a) 141,780 2,543 Masimo Corp. (a) 316,324 6,115 Merit Medical Systems, Inc. (a) 345,681 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 4,629 Natus Medical, Inc. (a) $ 156,182 8,155 Novocure Ltd. (a) 399,595 3,308 OraSure Technologies, Inc. (a) 42,508 3,001 Orthofix Medical, Inc. (a) 162,384 2,235 Penumbra, Inc. (a) 325,215 2,374 Quidel Corp. (a) 137,763 4,860 ResMed, Inc. 462,526 3,633 STAAR Surgical Co. (a) 129,807 1,765 Stryker Corp. 313,411 4,148 Tandem Diabetes Care, Inc. (a) 180,355 2,141 Teleflex, Inc. 585,564 17,095 TransEnterix, Inc. (a) (b) 46,498 1,393 West Pharmaceutical Services, Inc. 150,820 5,787 Wright Medical Group N.V. (a) 172,684 --------------- 9,831,295 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.1% 2,914 Amedisys, Inc. (a) 382,200 3,474 AMN Healthcare Services, Inc. (a) 225,081 3,297 BioTelemetry, Inc. (a) 236,791 3,505 Centene Corp. (a) 457,648 964 Chemed Corp. 287,214 4,424 Encompass Health Corp. 295,700 5,076 Ensign Group (The), Inc. 221,161 5,558 HCA Healthcare, Inc. 774,952 1,144 HealthEquity, Inc. (a) 71,317 2,097 LHC Group, Inc. (a) 221,716 2,937 Molina Healthcare, Inc. (a) 390,562 4,217 Premier, Inc., Class A (a) 167,794 3,983 Tenet Healthcare Corp. (a) 87,586 2,777 UnitedHealth Group, Inc. 750,345 1,923 US Physical Therapy, Inc. 203,627 1,712 WellCare Health Plans, Inc. (a) 473,334 --------------- 5,247,028 --------------- HEALTH CARE TECHNOLOGY -- 0.9% 7,896 Evolent Health, Inc., Class A (a) 139,601 6,999 HMS Holdings Corp. (a) 209,900 2,024 Medidata Solutions, Inc. (a) 143,623 5,199 NextGen Healthcare, Inc. (a) 91,918 2,572 Omnicell, Inc. (a) 167,515 3,088 Tabula Rasa HealthCare, Inc. (a) 186,145 2,754 Teladoc Health, Inc. (a) 176,807 3,056 Veeva Systems, Inc., Class A (a) 333,287 --------------- 1,448,796 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.3% 2,292 BJ's Restaurants, Inc. 114,210 4,477 Brinker International, Inc. 181,408 1,602 Chipotle Mexican Grill, Inc. (a) 848,435 1,907 Choice Hotels International, Inc. 150,958 1,677 Churchill Downs, Inc. 154,250 5,542 Darden Restaurants, Inc. 581,522 See Notes to Financial Statements Page 77 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 2,923 Dine Brands Global, Inc. $ 222,937 2,232 Domino's Pizza, Inc. 633,285 4,258 Dunkin' Brands Group, Inc. 291,205 9,424 Eldorado Resorts, Inc. (a) 439,347 3,030 Hyatt Hotels Corp., Class A 211,827 1,493 Jack in the Box, Inc. 120,858 2,276 McDonald's Corp. 406,903 6,364 Planet Fitness, Inc., Class A (a) 368,603 1,902 Red Rock Resorts, Inc., Class A 48,273 7,131 SeaWorld Entertainment, Inc. (a) 185,763 1,734 Shake Shack, Inc., Class A (a) 82,816 1,227 Six Flags Entertainment Corp. 75,571 10,742 Starbucks Corp. 731,960 4,573 Texas Roadhouse, Inc. 278,221 21,862 Wendy's (The) Co. 378,650 3,067 Wingstop, Inc. 201,349 6,020 Yum! Brands, Inc. 565,760 --------------- 7,274,111 --------------- HOUSEHOLD DURABLES -- 0.4% 296 Cavco Industries, Inc. (a) 49,222 3,441 Installed Building Products, Inc. (a) 144,900 2,351 iRobot Corp. (a) 211,096 3,484 LGI Homes, Inc. (a) (b) 206,601 2,495 Tupperware Brands Corp. 68,039 --------------- 679,858 --------------- HOUSEHOLD PRODUCTS -- 1.0% 10,519 Church & Dwight Co., Inc. 679,633 3,591 Clorox (The) Co. 532,832 2,263 Colgate-Palmolive Co. 146,371 1,512 Energizer Holdings, Inc. 71,669 1,074 WD-40 Co. 195,199 --------------- 1,625,704 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.9% 17,469 NRG Energy, Inc. 714,657 30,221 Vistra Energy Corp. (a) 758,849 --------------- 1,473,506 --------------- INDUSTRIAL CONGLOMERATES -- 0.4% 4,352 Raven Industries, Inc. 160,981 1,516 Roper Technologies, Inc. 429,422 --------------- 590,403 --------------- INSURANCE -- 1.1% 9,906 Brown & Brown, Inc. 269,047 2,056 Kemper Corp. 154,570 2,835 Kinsale Capital Group, Inc. 164,430 2,794 Primerica, Inc. 313,962 11,466 Progressive (The) Corp. 771,547 1,517 Trupanion, Inc. (a) (b) 40,277 5,192 Universal Insurance Holdings, Inc. 195,842 --------------- 1,909,675 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- INTERACTIVE MEDIA & SERVICES -- 1.4% 387 Alphabet, Inc., Class A (a) $ 435,720 3,780 IAC/InterActiveCorp (a) 798,638 12,391 Liberty TripAdvisor Holdings, Inc., Class A (a) 206,434 3,683 Match Group, Inc. 197,004 5,061 TripAdvisor, Inc. (a) 290,400 9,628 Twitter, Inc. (a) 323,116 1,951 Yelp, Inc. (a) 71,055 --------------- 2,322,367 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.4% 368 Amazon.com, Inc. (a) 632,493 160 Booking Holdings, Inc. (a) 293,249 9,858 eBay, Inc. (a) 331,722 7,174 Etsy, Inc. (a) 392,059 5,035 Liberty Expedia Holdings, Inc., Class A (a) 206,385 7,374 Quotient Technology, Inc. (a) 73,740 1,956 Shutterfly, Inc. (a) 89,898 2,187 Shutterstock, Inc. 87,502 2,273 Wayfair, Inc., Class A (a) 248,802 --------------- 2,355,850 --------------- IT SERVICES -- 4.9% 955 Accenture PLC, Class A 146,640 2,205 Akamai Technologies, Inc. (a) 143,545 2,110 Automatic Data Processing, Inc. 295,062 3,030 Black Knight, Inc. (a) 149,046 7,572 Booz Allen Hamilton Holding Corp. 372,012 1,530 Carbonite, Inc. (a) 43,819 2,534 DXC Technology Co. 162,480 5,810 Endurance International Group Holdings, Inc. (a) 47,061 2,353 EPAM Systems, Inc. (a) 332,902 6,860 EVERTEC, Inc. 189,816 3,941 Fidelity National Information Services, Inc. 411,953 5,499 Fiserv, Inc. (a) 456,032 4,329 Gartner, Inc. (a) 588,268 2,053 GoDaddy, Inc., Class A (a) 140,897 1,633 GTT Communications, Inc. (a) (b) 41,805 1,064 Jack Henry & Associates, Inc. 142,097 5,301 LiveRamp Holdings, Inc. (a) 230,275 2,143 Mastercard, Inc., Class A 452,452 2,351 MongoDB, Inc. (a) 217,138 5,349 Okta, Inc. (a) 440,918 2,067 Paychex, Inc. 146,344 8,227 PayPal Holdings, Inc. (a) 730,229 9,462 Sabre Corp. 217,437 4,934 Square, Inc., Class A (a) 352,041 1,657 Total System Services, Inc. 148,484 3,821 Twilio, Inc., Class A (a) 425,354 1,866 VeriSign, Inc. (a) 315,858 3,698 Virtusa Corp. (a) 179,427 3,063 Visa, Inc., Class A 413,536 Page 78 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 12,003 Western Union (The) Co. $ 219,055 488 WEX, Inc. (a) 78,729 --------------- 8,230,712 --------------- LEISURE PRODUCTS -- 0.1% 5,501 Acushnet Holdings Corp. 126,468 7,576 Callaway Golf Co. 123,413 --------------- 249,881 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.2% 294 Bio-Rad Laboratories, Inc., Class A (a) 73,462 471 Bio-Techne Corp. 82,171 1,023 Cambrex Corp. (a) 44,654 2,412 Charles River Laboratories International, Inc. (a) 297,134 1,845 Illumina, Inc. (a) 516,212 5,955 IQVIA Holdings, Inc. (a) 768,255 3,408 Luminex Corp. 95,049 3,719 Medpace Holdings, Inc. (a) 239,504 490 Mettler-Toledo International, Inc. (a) 312,698 9,192 NeoGenomics, Inc. (a) 152,771 3,711 PRA Health Sciences, Inc. (a) 393,255 3,091 Thermo Fisher Scientific, Inc. 759,366 --------------- 3,734,531 --------------- MACHINERY -- 3.4% 3,752 Actuant Corp., Class A 85,883 2,523 Albany International Corp., Class A 173,229 7,772 Allison Transmission Holdings, Inc. 378,263 4,355 Caterpillar, Inc. 579,912 3,028 Chart Industries, Inc. (a) 226,192 4,638 Deere & Co. 760,632 3,230 Douglas Dynamics, Inc. 114,342 2,986 ESCO Technologies, Inc. 194,418 7,915 Federal Signal Corp. 173,972 1,991 Fortive Corp. 149,305 3,338 Gardner Denver Holdings, Inc. (a) 82,348 4,893 Graco, Inc. 212,014 7,932 Harsco Corp. (a) 168,952 1,067 IDEX Corp. 147,097 2,184 Illinois Tool Works, Inc. 299,885 950 John Bean Technologies Corp. 75,468 1,422 Kadant, Inc. 121,297 3,462 Lincoln Electric Holdings, Inc. 299,255 2,631 Navistar International Corp. (a) 86,402 1,144 Nordson Corp. 148,308 1,815 Proto Labs, Inc. (a) 225,332 1,562 RBC Bearings, Inc. (a) 217,774 1,164 Sun Hydraulics Corp. 41,229 1,917 Wabtec Corp. 132,580 1,796 Watts Water Technologies, Inc., Class A 134,466 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MACHINERY (CONTINUED) 8,295 Xylem, Inc. $ 591,102 --------------- 5,819,657 --------------- MEDIA -- 1.3% 416 Cable One, Inc. 367,886 1,942 Charter Communications, Inc., Class A (a) 642,899 11,185 Discovery, Inc., Class A (a) 317,430 6,686 MSG Networks, Inc., Class A (a) 149,766 4,340 Nexstar Media Group, Inc., Class A 362,260 48,461 Sirius XM Holdings, Inc. (b) 282,528 --------------- 2,122,769 --------------- METALS & MINING -- 0.5% 17,752 Cleveland-Cliffs, Inc. 190,124 11,663 Newmont Mining Corp. 397,825 1,594 Royal Gold, Inc. 139,268 4,485 Steel Dynamics, Inc. 164,106 --------------- 891,323 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.3% 7,783 AGNC Investment Corp. 139,394 10,282 KKR Real Estate Finance Trust, Inc. 212,015 10,266 Ladder Capital Corp. 177,704 --------------- 529,113 --------------- MULTILINE RETAIL -- 0.6% 10,428 Kohl's Corp. 716,299 3,079 Ollie's Bargain Outlet Holdings, Inc. (a) 240,686 --------------- 956,985 --------------- MULTI-UTILITIES -- 0.2% 4,349 Black Hills Corp. 295,254 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.1% 3,072 Anadarko Petroleum Corp. 145,398 18,083 Cabot Oil & Gas Corp. 451,171 2,267 California Resources Corp. (a) 45,680 5,953 Callon Petroleum Co. (a) 48,457 3,422 Carrizo Oil & Gas, Inc. (a) 42,022 11,688 Cheniere Energy, Inc. (a) 767,317 8,876 ConocoPhillips 600,816 7,918 CVR Energy, Inc. 317,908 6,299 Delek US Holdings, Inc. 204,780 22,594 Denbury Resources, Inc. (a) 45,866 1,545 EOG Resources, Inc. 153,264 9,006 Extraction Oil & Gas, Inc. (a) 35,484 3,327 Hess Corp. 179,658 7,906 HollyFrontier Corp. 445,424 7,484 Jagged Peak Energy, Inc. (a) 78,807 9,394 Marathon Oil Corp. 148,331 5,837 Murphy Oil Corp. 159,642 17,095 Northern Oil and Gas, Inc. (a) 43,250 12,343 Oasis Petroleum, Inc. (a) 74,305 2,195 Occidental Petroleum Corp. 146,582 See Notes to Financial Statements Page 79 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 5,130 ONEOK, Inc. $ 329,397 6,267 PBF Energy, Inc., Class A 229,498 2,294 PDC Energy, Inc. (a) 74,716 1,024 Pioneer Natural Resources Co. 145,736 6,862 QEP Resources, Inc. (a) 56,749 4,409 SM Energy Co. 86,505 8,220 SRC Energy, Inc. (a) 40,442 3,008 Whiting Petroleum Corp. (a) 86,119 6,013 WPX Energy, Inc. (a) 73,719 --------------- 5,257,043 --------------- PAPER & FOREST PRODUCTS -- 0.1% 9,215 Louisiana-Pacific Corp. 224,662 --------------- PERSONAL PRODUCTS -- 0.9% 2,127 Estee Lauder (The) Cos., Inc., Class A 290,165 5,790 Herbalife Nutrition Ltd. (a) 345,663 3,003 Inter Parfums, Inc. 199,579 928 Medifast, Inc. 118,079 2,226 Nu Skin Enterprises, Inc., Class A 146,137 2,899 USANA Health Sciences, Inc. (a) 339,473 --------------- 1,439,096 --------------- PHARMACEUTICALS -- 1.9% 8,676 Corcept Therapeutics, Inc. (a) 96,998 5,978 Eli Lilly and Co. 716,523 5,293 Endo International PLC (a) 51,607 17,465 Horizon Pharma PLC (a) 375,323 11,283 Innoviva, Inc. (a) 192,939 791 MyoKardia, Inc. (a) 32,732 3,661 Pacira Pharmaceuticals, Inc. (a) 148,929 15,848 Pfizer, Inc. 672,748 1,404 Reata Pharmaceuticals, Inc., Class A (a) 111,997 1,919 Revance Therapeutics, Inc. (a) 33,141 1,163 Supernus Pharmaceuticals, Inc. (a) 44,345 4,530 Theravance Biopharma, Inc. (a) (b) 118,006 6,469 Zoetis, Inc. 557,369 --------------- 3,152,657 --------------- PROFESSIONAL SERVICES -- 1.7% 2,505 ASGN, Inc. (a) 157,790 7,996 CBIZ, Inc. (a) 156,722 399 CoStar Group, Inc. (a) 155,905 3,106 Exponent, Inc. 155,176 5,121 FTI Consulting, Inc. (a) 349,867 3,040 ICF International, Inc. 200,397 3,655 Insperity, Inc. 389,915 3,452 Korn Ferry 157,411 4,773 Robert Half International, Inc. 307,524 2,371 TransUnion 144,204 1,628 TriNet Group, Inc. (a) 74,335 5,076 Verisk Analytics, Inc. (a) 595,973 --------------- 2,845,219 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 7,513 Kennedy-Wilson Holdings, Inc. $ 150,185 2,683 Redfin Corp. (a) (b) 47,999 1,484 RMR Group (The), Inc., Class A 97,959 2,934 St Joe (The) Co. (a) 45,653 --------------- 341,796 --------------- ROAD & RAIL -- 1.5% 6,505 CSX Corp. 427,379 1,448 J.B. Hunt Transport Services, Inc. 154,994 5,445 Knight-Swift Transportation Holdings, Inc. 172,879 2,854 Landstar System, Inc. 289,909 4,864 Marten Transport Ltd. 94,118 2,703 Norfolk Southern Corp. 453,401 2,241 Old Dominion Freight Line, Inc. 304,619 1,411 Saia, Inc. (a) 84,618 2,923 Union Pacific Corp. 464,962 --------------- 2,446,879 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.6% 37,474 Advanced Micro Devices, Inc. (a) 914,740 4,708 Analog Devices, Inc. 465,433 8,452 Applied Materials, Inc. 330,304 2,720 Broadcom, Inc. 729,640 4,428 Brooks Automation, Inc. 137,844 2,148 Cabot Microelectronics Corp. 218,860 7,979 Cree, Inc. (a) 402,381 10,732 Cypress Semiconductor Corp. 148,853 6,103 Diodes, Inc. (a) 205,244 9,788 Entegris, Inc. 323,493 2,450 Inphi Corp. (a) 96,628 11,793 Intel Corp. 555,686 1,505 KLA-Tencor Corp. 160,388 3,848 Microchip Technology, Inc. 309,264 4,246 Micron Technology, Inc. (a) 162,282 2,113 MKS Instruments, Inc. 172,484 1,761 Monolithic Power Systems, Inc. 222,872 8,268 ON Semiconductor Corp. (a) 165,691 7,101 QUALCOMM, Inc. 351,642 4,464 Semtech Corp. (a) 216,772 1,733 Silicon Laboratories, Inc. (a) 132,574 2,176 Teradyne, Inc. 78,314 1,426 Texas Instruments, Inc. 143,570 4,924 Versum Materials, Inc. 181,055 8,122 Xilinx, Inc. 909,177 --------------- 7,735,191 --------------- SOFTWARE -- 9.5% 8,732 8x8, Inc. (a) 153,771 1,787 Adobe, Inc. (a) 442,854 3,796 Alarm.com Holdings, Inc. (a) 238,882 3,311 Alteryx, Inc., Class A (a) 235,578 2,660 Appfolio, Inc., Class A (a) 168,405 831 Aspen Technology, Inc. (a) 80,300 3,143 Autodesk, Inc. (a) 462,650 2,831 Blackline, Inc. (a) 134,699 Page 80 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 2,414 Bottomline Technologies DE, Inc. (a) $ 124,683 9,295 Cadence Design Systems, Inc. (a) 446,439 9,906 Cision Ltd. (a) 122,834 3,493 Cloudera, Inc. (a) 47,155 3,465 CommVault Systems, Inc. (a) 228,933 3,904 Cornerstone OnDemand, Inc. (a) 223,855 4,344 Coupa Software, Inc. (a) 377,754 3,202 Envestnet, Inc. (a) 173,708 3,468 Everbridge, Inc. (a) 214,530 1,460 Fair Isaac Corp. (a) 328,792 16,843 FireEye, Inc. (a) 297,784 4,503 Five9, Inc. (a) 230,238 3,031 ForeScout Technologies, Inc. (a) 92,446 7,858 Fortinet, Inc. (a) 601,687 2,552 Guidewire Software, Inc. (a) 221,207 2,171 HubSpot, Inc. (a) 343,691 4,199 Instructure, Inc. (a) 165,986 2,053 Intuit, Inc. 443,078 1,967 j2 Global, Inc. 147,840 4,176 LivePerson, Inc. (a) 98,011 2,510 LogMeIn, Inc. 233,480 2,724 Microsoft Corp. 284,467 2,529 New Relic, Inc. (a) 257,073 6,564 Nutanix, Inc., Class A (a) 336,274 2,146 Palo Alto Networks, Inc. (a) 461,004 2,230 Paycom Software, Inc. (a) 330,575 3,401 Paylocity Holding Corp. (a) 241,573 1,427 Pegasystems, Inc. 80,326 3,266 Progress Software Corp. 118,327 814 Proofpoint, Inc. (a) 82,922 3,691 PROS Holdings, Inc. (a) 127,709 2,339 Q2 Holdings, Inc. (a) 139,007 2,740 Qualys, Inc. (a) 237,092 5,055 Rapid7, Inc. (a) 203,110 2,833 RealPage, Inc. (a) 157,996 4,140 RingCentral, Inc., Class A (a) 382,702 4,041 salesforce.com, Inc. (a) 614,111 3,886 ServiceNow, Inc. (a) 854,998 6,598 Splunk, Inc. (a) 823,694 1,912 SPS Commerce, Inc. (a) 169,518 8,959 SS&C Technologies Holdings, Inc. 461,299 2,844 Tableau Software, Inc., Class A (a) 363,577 2,941 Trade Desk (The), Inc., Class A (a) 419,622 367 Tyler Technologies, Inc. (a) 69,433 836 Ultimate Software Group (The), Inc. (a) 228,287 1,489 Varonis Systems, Inc. (a) 87,970 3,722 Verint Systems, Inc. (a) 180,033 4,333 Workday, Inc., Class A (a) 786,569 5,303 Yext, Inc. (a) 82,674 5,847 Zendesk, Inc. (a) 394,848 --------------- 16,058,060 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL -- 4.2% 10,593 American Eagle Outfitters, Inc. $ 223,724 826 AutoZone, Inc. (a) 699,903 4,253 Burlington Stores, Inc. (a) 730,283 4,815 Carvana Co. (a) (b) 178,877 3,336 Five Below, Inc. (a) 412,763 5,270 Floor & Decor Holdings, Inc., Class A (a) 180,708 1,610 Home Depot (The), Inc. 295,483 4,376 Lowe's Cos., Inc. 420,796 2,864 Monro, Inc. 205,234 2,422 National Vision Holdings, Inc. (a) 76,923 2,009 O'Reilly Automotive, Inc. (a) 692,422 2,848 RH (a) (b) 386,958 6,652 Ross Stores, Inc. 612,782 12,369 TJX (The) Cos., Inc. 615,111 4,090 Tractor Supply Co. 349,286 2,826 Ulta Beauty, Inc. (a) 824,966 6,167 Urban Outfitters, Inc. (a) 199,194 --------------- 7,105,413 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 7,744 3D Systems Corp. (a) (b) 98,813 1,754 Apple, Inc. 291,936 4,638 NetApp, Inc. 295,765 4,245 Pure Storage, Inc., Class A (a) 76,028 3,491 Seagate Technology PLC 154,582 --------------- 917,124 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.1% 4,058 Columbia Sportswear Co. 361,933 7,579 Crocs, Inc. (a) 217,669 2,667 Deckers Outdoor Corp. (a) 342,576 5,007 Fossil Group, Inc. (a) 84,919 7,464 NIKE, Inc., Class B 611,152 11,589 Under Armour, Inc., Class A (a) 240,356 --------------- 1,858,605 --------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 3,128 Axos Financial, Inc. (a) 94,966 1,244 LendingTree, Inc. (a) 368,647 8,824 NMI Holdings, Inc., Class A (a) 194,128 1,716 OceanFirst Financial Corp. 41,201 2,680 Walker & Dunlop, Inc. 128,828 2,078 WSFS Financial Corp. 87,629 --------------- 915,399 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.8% 716 Applied Industrial Technologies, Inc. 42,251 10,584 Fastenal Co. 639,909 1,892 H&E Equipment Services, Inc. 50,649 1,235 SiteOne Landscape Supply, Inc. (a) 65,825 1,314 United Rentals, Inc. (a) 164,592 1,432 W.W. Grainger, Inc. 422,998 --------------- 1,386,224 --------------- See Notes to Financial Statements Page 81 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) WATER UTILITIES -- 0.4% 2,350 American States Water Co. $ 159,142 3,993 Aqua America, Inc. 139,955 4,132 California Water Service Group 204,616 1,416 SJW Group 84,889 --------------- 588,602 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.1% 4,450 Shenandoah Telecommunications Co. 211,953 --------------- TOTAL COMMON STOCKS -- 99.6% 168,279,509 (Cost $153,870,307) --------------- MONEY MARKET FUNDS -- 0.4% 77,689 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) 77,689 561,692 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.28% (c) 561,692 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 639,381 (Cost $639,381) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 354,247 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $354,272. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $363,093. (d) 354,247 439,345 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $439,376. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $448,132. (d) 439,345 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.5% 793,592 (Cost $793,592) --------------- TOTAL INVESTMENTS -- 100.5% 169,712,482 (Cost $155,303,280) (e) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (833,531) --------------- NET ASSETS -- 100.0% $ 168,878,951 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $849,849 and the total value of the collateral held by the Fund is $871,281. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purpose approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $19,556,801 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,147,599. The net unrealized appreciation was $14,409,202. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 168,279,509 $ -- $ -- Money Market Funds 639,381 -- -- Repurchase Agreements -- 793,592 -- --------------------------------------------- Total Investments $ 168,918,890 $ 793,592 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 82 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 849,849 Non-cash Collateral(2) (849,849) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 793,592 Non-cash Collateral(4) (793,592) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 83 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 0.3% 1,402 Curtiss-Wright Corp. $ 159,155 --------------- AIRLINES -- 2.4% 4,703 Alaska Air Group, Inc. 300,757 22,273 JetBlue Airways Corp. (a) 400,691 8,042 SkyWest, Inc. 409,740 3,706 Spirit Airlines, Inc. (a) 217,987 --------------- 1,329,175 --------------- AUTO COMPONENTS -- 2.1% 20,994 Dana, Inc. 369,914 10,620 Gentex Corp. 224,932 17,527 Goodyear Tire & Rubber (The) Co. 371,397 2,373 Visteon Corp. (a) 182,460 --------------- 1,148,703 --------------- AUTOMOBILES -- 1.2% 6,291 Harley-Davidson, Inc. 231,886 6,879 Thor Industries, Inc. 447,961 --------------- 679,847 --------------- BANKS -- 8.7% 7,230 Associated Banc-Corp. 156,529 2,738 BancorpSouth Bank 79,895 12,535 Bank OZK 380,312 9,559 BankUnited, Inc. 323,190 2,135 Cathay General Bancorp 79,251 7,478 CIT Group, Inc. 345,409 3,288 East West Bancorp, Inc. 165,452 21,812 F.N.B. Corp. 254,110 380 First Citizens BancShares, Inc., Class A 154,861 3,177 First Hawaiian, Inc. 81,744 16,310 First Horizon National Corp. 239,431 4,620 Fulton Financial Corp. 74,151 6,195 Hancock Whitney Corp. 254,491 8,757 Home BancShares, Inc. 160,341 1,114 IBERIABANK Corp. 82,313 4,159 International Bancshares Corp. 147,520 8,599 PacWest Bancorp 331,835 9,916 People's United Financial, Inc. 162,424 3,031 Popular, Inc. 165,523 1,149 Prosperity Bancshares, Inc. 81,740 697 Signature Bank 88,735 2,388 South State Corp. 158,444 2,346 UMB Financial Corp. 150,989 13,499 Umpqua Holdings Corp. 238,662 2,300 United Bankshares, Inc. 81,351 16,114 Valley National Bancorp 162,913 2,151 Wintrust Financial Corp. 153,022 --------------- 4,754,638 --------------- BIOTECHNOLOGY -- 0.5% 2,627 United Therapeutics Corp. (a) 302,972 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- BUILDING PRODUCTS -- 1.1% 5,651 Fortune Brands Home & Security, Inc. $ 255,990 6,506 Owens Corning 340,850 --------------- 596,840 --------------- CAPITAL MARKETS -- 2.2% 3,672 Affiliated Managers Group, Inc. 385,376 13,836 BGC Partners, Inc., Class A 85,645 1,940 Lazard Ltd., Class A 77,193 14,021 Legg Mason, Inc. 417,826 5,182 Stifel Financial Corp. 248,062 --------------- 1,214,102 --------------- CHEMICALS -- 3.6% 1,010 Ashland Global Holdings, Inc. 76,659 10,141 Chemours (The) Co. 362,541 18,542 Huntsman Corp. 407,368 17,788 Olin Corp. 419,975 5,002 PolyOne Corp. 161,915 2,562 Sensient Technologies Corp. 160,842 7,813 Trinseo S.A. 383,227 --------------- 1,972,527 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.5% 5,850 Stericycle, Inc. (a) 257,868 --------------- COMMUNICATIONS EQUIPMENT -- 0.5% 13,094 CommScope Holding Co., Inc. (a) 273,795 --------------- CONSTRUCTION & ENGINEERING -- 2.2% 5,400 AECOM (a) 165,294 3,594 EMCOR Group, Inc. 234,437 4,444 Fluor Corp. 162,517 7,054 MasTec, Inc. (a) 313,057 9,507 Quanta Services, Inc. 335,977 --------------- 1,211,282 --------------- CONSUMER FINANCE -- 1.8% 24,360 Navient Corp. 277,704 11,780 OneMain Holdings, Inc. (a) 352,104 20,334 Santander Consumer USA Holdings, Inc. 387,566 --------------- 1,017,374 --------------- CONTAINERS & PACKAGING -- 2.0% 4,515 Berry Global Group, Inc. (a) 222,364 26,893 Graphic Packaging Holding Co. 324,598 8,298 Owens-Illinois, Inc. 166,541 12,116 Silgan Holdings, Inc. 334,644 1,346 Sonoco Products Co. 77,503 --------------- 1,125,650 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 8,458 H&R Block, Inc. 199,524 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 4,122 Jefferies Financial Group, Inc. 85,779 --------------- Page 84 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 1.6% 938 ALLETE, Inc. $ 72,170 1,953 Hawaiian Electric Industries, Inc. 72,632 769 IDACORP, Inc. 74,977 7,301 OGE Energy Corp. 298,976 1,678 Pinnacle West Capital Corp. 147,865 4,680 Portland General Electric Co. 226,138 --------------- 892,758 --------------- ELECTRICAL EQUIPMENT -- 1.1% 1,866 Acuity Brands, Inc. 225,618 722 Hubbell, Inc. 78,936 4,086 Regal Beloit Corp. 313,642 --------------- 618,196 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.7% 4,151 Arrow Electronics, Inc. (a) 315,268 9,910 Avnet, Inc. 408,292 4,692 AVX Corp. 83,283 5,771 Jabil, Inc. 153,797 2,655 SYNNEX Corp. 256,898 2,623 Tech Data Corp. (a) 250,838 --------------- 1,468,376 --------------- ENERGY EQUIPMENT & SERVICES -- 2.4% 54,693 McDermott International, Inc. (a) 482,392 34,560 Patterson-UTI Energy, Inc. 419,213 36,242 RPC, Inc. (b) 391,051 --------------- 1,292,656 --------------- ENTERTAINMENT -- 0.4% 5,994 Cinemark Holdings, Inc. 245,274 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 8.2% 20,067 Apple Hospitality REIT, Inc. 329,299 11,116 Brandywine Realty Trust 167,296 19,481 Brixmor Property Group, Inc. 333,710 16,051 CoreCivic, Inc. 318,933 3,401 Corporate Office Properties Trust 83,971 9,056 Cousins Properties, Inc. 80,146 2,235 EPR Properties 163,289 7,150 Equity Commonwealth 231,374 7,263 GEO Group (The), Inc. 163,781 11,982 Hospitality Properties Trust 319,440 9,766 Kimco Realty Corp. 166,120 5,124 Liberty Property Trust 241,545 948 National Health Investors, Inc. 78,931 2,036 Omega Healthcare Investors, Inc. (b) 81,827 3,947 Outfront Media, Inc. 81,900 17,448 RLJ Lodging Trust 323,660 24,416 Senior Housing Properties Trust 336,208 2,715 SL Green Realty Corp. 250,947 SHARES DESCRIPTION VALUE --------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 4,059 Spirit Realty Capital, Inc. $ 161,223 21,994 Sunstone Hotel Investors, Inc. 314,514 10,007 VEREIT, Inc. 80,857 5,766 Weingarten Realty Investors 165,427 --------------- 4,474,398 --------------- FOOD & STAPLES RETAILING -- 0.9% 1,674 Casey's General Stores, Inc. 215,410 2,216 Performance Food Group Co. (a) 75,699 6,783 US Foods Holding Corp. (a) 228,723 --------------- 519,832 --------------- FOOD PRODUCTS -- 2.4% 14,874 Darling Ingredients, Inc. (a) 316,370 7,746 Flowers Foods, Inc. 152,286 2,347 Ingredion, Inc. 232,353 18,451 Pilgrim's Pride Corp. (a) 373,817 2,407 Post Holdings, Inc. (a) 223,418 --------------- 1,298,244 --------------- GAS UTILITIES -- 1.7% 4,193 National Fuel Gas Co. 240,259 1,567 New Jersey Resources Corp. 75,999 899 ONE Gas, Inc. 73,853 1,869 Southwest Gas Holdings, Inc. 146,380 1,930 Spire, Inc. 153,184 4,024 UGI Corp. 229,489 --------------- 919,164 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.4% 13,913 Acadia Healthcare Co., Inc. (a) 380,660 10,840 MEDNAX, Inc. (a) 391,432 --------------- 772,092 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.5% 895 Cracker Barrel Old Country Store, Inc. 149,716 10,844 Hilton Grand Vacations, Inc. (a) 329,007 1,015 Marriott Vacations Worldwide Corp. 89,868 5,988 Wyndham Destinations, Inc. 252,334 --------------- 820,925 --------------- HOUSEHOLD DURABLES -- 1.6% 3,993 Leggett & Platt, Inc. 163,553 11,010 PulteGroup, Inc. 306,188 10,861 Toll Brothers, Inc. 401,206 --------------- 870,947 --------------- HOUSEHOLD PRODUCTS -- 0.9% 8,468 Spectrum Brands Holdings, Inc. 473,192 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 1,422 Carlisle Cos., Inc. 153,192 --------------- INSURANCE -- 6.7% 458 Alleghany Corp. 289,254 7,681 American Equity Investment Life Holding Co. 240,569 See Notes to Financial Statements Page 85 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 2,812 American National Insurance Co. $ 391,402 1,600 Assurant, Inc. 154,224 7,477 Assured Guaranty Ltd. 303,267 7,186 Athene Holding Ltd., Class A (a) 308,279 2,772 Axis Capital Holdings Ltd. 148,441 2,346 Brighthouse Financial, Inc. (a) 87,600 1,314 Everest Re Group Ltd. 287,832 6,409 First American Financial Corp. 320,963 2,954 National General Holdings Corp. 71,339 13,912 Old Republic International Corp. 280,327 2,552 Reinsurance Group of America, Inc. 368,636 536 RenaissanceRe Holdings Ltd. 73,984 7,304 Unum Group 253,887 967 W.R. Berkley Corp. 74,353 --------------- 3,654,357 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.7% 18,326 Qurate Retail, Inc. (a) 398,590 --------------- IT SERVICES -- 2.1% 1,987 CACI International, Inc., Class A (a) 332,187 26,919 Conduent, Inc. (a) 343,217 4,282 CoreLogic, Inc. (a) 155,437 2,651 Genpact Ltd. 79,079 2,199 MAXIMUS, Inc. 154,216 1,123 Science Applications International Corp. 75,398 --------------- 1,139,534 --------------- LEISURE PRODUCTS -- 0.3% 1,865 Polaris Industries, Inc. 156,436 --------------- MACHINERY -- 4.8% 5,141 AGCO Corp. 330,052 991 Crane Co. 82,015 1,481 ITT, Inc. 77,841 8,599 Kennametal, Inc. 323,150 697 Middleby (The) Corp. (a) 81,981 4,668 Oshkosh Corp. 350,333 1,477 Snap-on, Inc. 245,167 2,595 Terex Corp. 79,693 7,669 Timken (The) Co. 326,623 1,280 Toro (The) Co. 76,160 17,373 Trinity Industries, Inc. 406,181 1,334 WABCO Holdings, Inc. (a) 152,383 6,439 Welbilt, Inc. (a) 90,275 --------------- 2,621,854 --------------- MARINE -- 0.6% 4,249 Kirby Corp. (a) 318,293 --------------- MEDIA -- 2.7% 17,321 Altice USA, Inc., Class A 340,185 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MEDIA (CONTINUED) 14,326 DISH Network Corp., Class A (a) $ 439,378 3,467 Interpublic Group of Cos. (The), Inc. 78,874 4,570 John Wiley & Sons, Inc., Class A 236,635 31,516 News Corp., Class A 404,350 --------------- 1,499,422 --------------- METALS & MINING -- 2.5% 8,073 Alcoa Corp. (a) 239,607 9,858 Allegheny Technologies, Inc. (a) 270,010 5,026 Reliance Steel & Aluminum Co. 411,529 19,611 United States Steel Corp. 442,032 --------------- 1,363,178 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.5% 4,490 Blackstone Mortgage Trust, Inc., Class A 154,860 20,072 Chimera Investment Corp. 381,970 42,839 MFA Financial, Inc. 314,010 25,173 New Residential Investment Corp. 427,438 3,628 Starwood Property Trust, Inc. 80,106 --------------- 1,358,384 --------------- MULTILINE RETAIL -- 0.3% 3,070 Nordstrom, Inc. 142,479 --------------- MULTI-UTILITIES -- 0.8% 9,001 MDU Resources Group, Inc. 231,416 3,611 NorthWestern Corp. 230,779 --------------- 462,195 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.7% 38,092 Antero Resources Corp. (a) 383,206 31,323 CNX Resources Corp. (a) 380,261 11,736 Peabody Energy Corp. 418,975 37,377 Range Resources Corp. 412,268 104,897 Southwestern Energy Co. (a) 458,400 --------------- 2,053,110 --------------- PAPER & FOREST PRODUCTS -- 0.2% 2,037 Domtar Corp. 95,535 --------------- PERSONAL PRODUCTS -- 0.4% 5,747 Edgewell Personal Care Co. (a) 226,719 --------------- PROFESSIONAL SERVICES -- 0.8% 5,522 ManpowerGroup, Inc. 436,404 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 733 Howard Hughes (The) Corp. (a) 81,392 1,129 Jones Lang LaSalle, Inc. 161,910 --------------- 243,302 --------------- ROAD & RAIL -- 2.2% 1,090 AMERCO 395,299 4,832 Genesee & Wyoming, Inc., Class A (a) 379,409 Page 86 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 7,428 Ryder System, Inc. $ 430,155 --------------- 1,204,863 --------------- SPECIALTY RETAIL -- 3.7% 8,507 Aaron's, Inc. 425,861 8,014 AutoNation, Inc. (a) 310,543 2,689 Foot Locker, Inc. 150,288 8,360 L Brands, Inc. 232,742 21,133 Michaels (The) Cos., Inc. (a) 292,903 8,871 Penske Automotive Group, Inc. 415,873 4,254 Williams-Sonoma, Inc. 231,545 --------------- 2,059,755 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.6% 10,860 Xerox Corp. 306,361 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 1,754 Carter's, Inc. 145,407 6,250 Skechers U.S.A., Inc., Class A (a) 169,812 4,729 Steven Madden Ltd. 154,402 --------------- 469,621 --------------- THRIFTS & MORTGAGE FINANCE -- 2.8% 10,465 Essent Group Ltd. (a) 415,984 34,198 MGIC Investment Corp. (a) 426,791 22,808 New York Community Bancorp, Inc. 265,029 21,863 Radian Group, Inc. 420,644 --------------- 1,528,448 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.5% 11,840 Air Lease Corp. 449,210 5,052 GATX Corp. 382,335 2,790 MSC Industrial Direct Co., Inc., Class A 232,937 12,098 Univar, Inc. (a) 252,001 514 Watsco, Inc. 75,805 --------------- 1,392,288 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.8% 9,785 Macquarie Infrastructure Corp. 422,418 --------------- TOTAL COMMON STOCKS -- 99.7% 54,702,023 (Cost $56,228,435) --------------- MONEY MARKET FUNDS -- 0.1% 32,319 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) 32,319 (Cost $32,319) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.6% $ 147,369 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $147,380. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $151,049. (d) $ 147,369 182,771 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $182,783. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $186,426. (d) 182,771 --------------- TOTAL REPURCHASE AGREEMENTS --0.6% 330,140 (Cost $330,140) --------------- TOTAL INVESTMENTS -- 100.4% 55,064,482 (Cost $56,590,894) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (205,366) --------------- NET ASSETS -- 100.0% $ 54,859,116 =============== (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 $353,568 and the total value of the collateral held by the Fund is $362,459. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,939,861 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,466,273. The net unrealized depreciation was $1,526,412. See Notes to Financial Statements Page 87 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs LEVEL 1 LEVEL 2 LEVEL 3 --------------------------------------------- Common Stocks* $ 54,702,023 $ -- $ -- Money Market Funds 32,319 -- -- Repurchase Agreements -- 330,140 -- --------------------------------------------- Total Investments $ 54,734,342 $ 330,140 $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 353,568 Non-cash Collateral(2) (353,568) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 330,140 Non-cash Collateral(4) (330,140) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 88 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.9% 6,559 Axon Enterprise, Inc. (a) $ 334,574 14,814 HEICO Corp. 1,251,783 15,014 Hexcel Corp. 1,016,598 6,927 Teledyne Technologies, Inc. (a) 1,553,172 --------------- 4,156,127 --------------- BANKS -- 3.6% 3,913 BOK Financial Corp. 325,209 15,270 Commerce Bancshares, Inc. 913,146 19,688 Community Bank System, Inc. 1,180,296 6,527 Cullen/Frost Bankers, Inc. 634,947 24,870 First Financial Bankshares, Inc. 1,519,557 21,726 Glacier Bancorp, Inc. 916,403 12,447 Pinnacle Financial Partners, Inc. 669,275 17,379 Sterling Bancorp 334,372 44,167 TCF Financial Corp. 978,741 5,822 Webster Financial Corp. 313,689 --------------- 7,785,635 --------------- BIOTECHNOLOGY -- 3.4% 80,543 Array BioPharma, Inc. (a) 1,503,738 18,191 Exact Sciences Corp. (a) 1,638,645 58,347 Exelixis, Inc. (a) 1,375,239 6,198 FibroGen, Inc. (a) 351,736 22,124 Heron Therapeutics, Inc. (a) 595,136 21,230 Ionis Pharmaceuticals, Inc. (a) 1,231,340 5,260 Sarepta Therapeutics, Inc. (a) 734,875 --------------- 7,430,709 --------------- BUILDING PRODUCTS -- 2.6% 13,440 A.O. Smith Corp. 643,238 14,400 Allegion PLC 1,236,384 9,858 Armstrong World Industries, Inc. 670,738 6,556 Lennox International, Inc. 1,503,160 10,602 Simpson Manufacturing Co., Inc. 650,751 14,502 Trex Co., Inc. (a) 1,011,660 --------------- 5,715,931 --------------- CAPITAL MARKETS -- 2.2% 5,734 FactSet Research Systems, Inc. 1,253,624 23,490 LPL Financial Holdings, Inc. 1,652,991 4,072 MarketAxess Holdings, Inc. 874,544 7,837 Morningstar, Inc. 972,964 --------------- 4,754,123 --------------- CHEMICALS -- 1.3% 3,664 Balchem Corp. 304,185 13,713 Ingevity Corp. (a) 1,289,982 59,316 Valvoline, Inc. 1,311,477 --------------- 2,905,644 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.5% 13,316 Brink's (The) Co. 986,050 5,548 Cimpress N.V. (a) 461,427 11,630 Clean Harbors, Inc. (a) 688,612 18,038 KAR Auction Services, Inc. 938,157 SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 15,220 MSA Safety, Inc. $ 1,524,740 16,628 Tetra Tech, Inc. 917,699 --------------- 5,516,685 --------------- COMMUNICATIONS EQUIPMENT -- 1.1% 42,307 Ciena Corp. (a) 1,611,474 13,661 Lumentum Holdings, Inc. (a) 668,159 --------------- 2,279,633 --------------- CONSUMER FINANCE -- 1.8% 3,005 Credit Acceptance Corp. (a) 1,196,050 11,897 FirstCash, Inc. 980,670 18,041 Green Dot Corp., Class A (a) 1,335,395 34,530 SLM Corp. (a) 369,816 --------------- 3,881,931 --------------- DISTRIBUTORS -- 0.7% 9,651 Pool Corp. 1,446,781 --------------- DIVERSIFIED CONSUMER SERVICES -- 2.9% 12,871 Bright Horizons Family Solutions, Inc. (a) 1,490,333 50,480 Chegg, Inc. (a) 1,777,906 2,984 Grand Canyon Education, Inc. (a) 277,333 35,634 Service Corp. International 1,529,411 31,240 ServiceMaster Global Holdings, Inc. (a) 1,218,048 --------------- 6,293,031 --------------- ELECTRIC UTILITIES -- 0.6% 27,934 PNM Resources, Inc. 1,189,709 --------------- ELECTRICAL EQUIPMENT -- 0.7% 28,865 Generac Holdings, Inc. (a) 1,527,824 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.7% 5,018 Littelfuse, Inc. 881,763 63,726 Vishay Intertechnology, Inc. 1,242,657 9,010 Zebra Technologies Corp., Class A (a) 1,564,136 --------------- 3,688,556 --------------- ENERGY EQUIPMENT & SERVICES -- 0.3% 11,971 Helmerich & Payne, Inc. 670,256 --------------- ENTERTAINMENT -- 1.5% 3,214 Madison Square Garden (The) Co., Class A (a) 893,171 11,522 World Wrestling Entertainment, Inc., Class A 948,721 292,042 Zynga, Inc., Class A (a) 1,308,348 --------------- 3,150,240 --------------- See Notes to Financial Statements Page 89 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS -- 7.1% 14,454 American Homes 4 Rent, Class A $ 319,578 20,003 CubeSmart 619,093 5,425 CyrusOne, Inc. 294,035 8,406 Douglas Emmett, Inc. 317,999 6,256 EastGroup Properties, Inc. 647,246 8,864 Equity LifeStyle Properties, Inc. 938,520 4,862 Federal Realty Investment Trust 644,555 9,943 First Industrial Realty Trust, Inc. 325,335 8,881 Gaming and Leisure Properties, Inc. 333,038 34,011 Healthcare Trust of America, Inc., Class A 966,593 32,971 JBG SMITH Properties 1,274,329 8,294 Lamar Advertising Co., Class A 617,488 6,170 Life Storage, Inc. 606,326 89,221 Medical Properties Trust, Inc. 1,623,822 17,743 National Retail Properties, Inc. 935,234 6,571 PS Business Parks, Inc. 954,043 10,363 Rayonier, Inc. 315,450 4,304 Ryman Hospitality Properties, Inc. 345,826 34,824 Sabra Health Care REIT, Inc. 715,285 8,464 Sun Communities, Inc. 930,278 36,858 Uniti Group, Inc. 733,843 45,834 VICI Properties, Inc. 986,806 --------------- 15,444,722 --------------- FOOD PRODUCTS -- 0.6% 8,114 Lancaster Colony Corp. 1,290,694 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.3% 3,853 Cantel Medical Corp. 313,711 11,975 DexCom, Inc. (a) 1,688,834 6,631 Globus Medical, Inc., Class A (a) 298,727 11,471 Haemonetics Corp. (a) 1,134,597 12,960 Hill-Rom Holdings, Inc. 1,296,259 4,997 ICU Medical, Inc. (a) 1,243,254 2,312 Inogen, Inc. (a) 349,598 7,234 Insulet Corp. (a) 587,328 6,362 Integra LifeSciences Holdings Corp. (a) 301,304 10,690 Masimo Corp. (a) 1,329,729 25,708 Merit Medical Systems, Inc. (a) 1,453,273 34,279 Novocure Ltd. (a) 1,679,671 9,394 Penumbra, Inc. (a) 1,366,921 5,853 West Pharmaceutical Services, Inc. 633,704 --------------- 13,676,910 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.9% 12,252 Amedisys, Inc. (a) 1,606,972 4,051 Chemed Corp. 1,206,955 18,600 Encompass Health Corp. 1,243,224 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 4,809 HealthEquity, Inc. (a) $ 299,793 12,343 Molina Healthcare, Inc. (a) 1,641,372 16,741 Tenet Healthcare Corp. (a) 368,135 --------------- 6,366,451 --------------- HEALTH CARE TECHNOLOGY -- 1.3% 8,511 Medidata Solutions, Inc. (a) 603,941 11,576 Teladoc Health, Inc. (a) 743,179 12,849 Veeva Systems, Inc., Class A (a) 1,401,312 --------------- 2,748,432 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.6% 8,019 Choice Hotels International, Inc. 634,784 7,058 Churchill Downs, Inc. 649,195 17,900 Dunkin' Brands Group, Inc. 1,224,181 39,621 Eldorado Resorts, Inc. (a) 1,847,131 12,733 Hyatt Hotels Corp., Class A 890,164 26,754 Planet Fitness, Inc., Class A (a) 1,549,592 5,159 Six Flags Entertainment Corp. 317,743 19,224 Texas Roadhouse, Inc. 1,169,588 91,906 Wendy's (The) Co. 1,591,812 --------------- 9,874,190 --------------- HOUSEHOLD PRODUCTS -- 0.1% 6,355 Energizer Holdings, Inc. 301,227 --------------- INSURANCE -- 1.4% 41,645 Brown & Brown, Inc. 1,131,078 8,647 Kemper Corp. 650,082 11,747 Primerica, Inc. 1,320,010 --------------- 3,101,170 --------------- INTERACTIVE MEDIA & SERVICES -- 0.7% 21,279 TripAdvisor, Inc. (a) 1,220,989 8,199 Yelp, Inc. (a) 298,608 --------------- 1,519,597 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.2% 30,161 Etsy, Inc. (a) 1,648,299 9,555 Wayfair, Inc., Class A (a) 1,045,890 --------------- 2,694,189 --------------- IT SERVICES -- 4.8% 12,735 Black Knight, Inc. (a) 626,435 31,831 Booz Allen Hamilton Holding Corp. 1,563,857 9,892 EPAM Systems, Inc. (a) 1,399,520 22,282 LiveRamp Holdings, Inc. (a) 967,930 22,486 Okta, Inc. (a) 1,853,521 39,777 Sabre Corp. 914,076 16,067 Twilio, Inc., Class A (a) 1,788,578 50,457 Western Union (The) Co. 920,840 2,047 WEX, Inc. (a) 330,243 --------------- 10,365,000 --------------- Page 90 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES -- 1.6% 1,237 Bio-Rad Laboratories, Inc., Class A (a) $ 309,089 1,984 Bio-Techne Corp. 346,129 10,142 Charles River Laboratories International, Inc. (a) 1,249,393 15,600 PRA Health Sciences, Inc. (a) 1,653,132 --------------- 3,557,743 --------------- MACHINERY -- 3.4% 32,672 Allison Transmission Holdings, Inc. 1,590,146 14,029 Gardner Denver Holdings, Inc. (a) 346,095 20,568 Graco, Inc. 891,211 3,997 John Bean Technologies Corp. 317,522 14,554 Lincoln Electric Holdings, Inc. 1,258,048 11,056 Navistar International Corp. (a) 363,079 4,807 Nordson Corp. 623,180 7,632 Proto Labs, Inc. (a) 947,513 6,566 RBC Bearings, Inc. (a) 915,432 --------------- 7,252,226 --------------- MEDIA -- 1.4% 1,747 Cable One, Inc. 1,544,942 18,243 Nexstar Media Group, Inc., Class A 1,522,743 --------------- 3,067,685 --------------- METALS & MINING -- 0.6% 74,625 Cleveland-Cliffs, Inc. 799,234 6,699 Royal Gold, Inc. 585,291 --------------- 1,384,525 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.3% 32,719 AGNC Investment Corp. 585,997 --------------- MULTILINE RETAIL -- 0.5% 12,942 Ollie's Bargain Outlet Holdings, Inc. (a) 1,011,676 --------------- MULTI-UTILITIES -- 0.6% 18,280 Black Hills Corp. 1,241,029 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.7% 33,287 CVR Energy, Inc. 1,336,473 26,479 Delek US Holdings, Inc. 860,832 31,463 Jagged Peak Energy, Inc. (a) 331,306 24,533 Murphy Oil Corp. 670,978 51,884 Oasis Petroleum, Inc. (a) 312,342 26,350 PBF Energy, Inc., Class A 964,937 9,642 PDC Energy, Inc. (a) 314,040 18,536 SM Energy Co. 363,676 12,645 Whiting Petroleum Corp. (a) 362,026 25,278 WPX Energy, Inc. (a) 309,908 --------------- 5,826,518 --------------- PAPER & FOREST PRODUCTS -- 0.4% 38,738 Louisiana-Pacific Corp. 944,432 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- PERSONAL PRODUCTS -- 1.6% 24,339 Herbalife Nutrition Ltd. (a) $ 1,453,038 9,356 Nu Skin Enterprises, Inc., Class A 614,221 12,186 USANA Health Sciences, Inc. (a) 1,426,981 --------------- 3,494,240 --------------- PHARMACEUTICALS -- 0.7% 73,423 Horizon Pharma PLC (a) 1,577,860 --------------- PROFESSIONAL SERVICES -- 2.8% 10,528 ASGN, Inc. (a) 663,159 21,528 FTI Consulting, Inc. (a) 1,470,793 15,367 Insperity, Inc. 1,639,352 14,514 Korn Ferry 661,838 20,064 Robert Half International, Inc. 1,292,723 6,842 TriNet Group, Inc. (a) 312,406 --------------- 6,040,271 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 31,583 Kennedy-Wilson Holdings, Inc. 631,344 --------------- ROAD & RAIL -- 0.9% 22,891 Knight-Swift Transportation Holdings, Inc. 726,789 11,996 Landstar System, Inc. 1,218,554 --------------- 1,945,343 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.4% 9,027 Cabot Microelectronics Corp. 919,761 33,538 Cree, Inc. (a) 1,691,321 45,117 Cypress Semiconductor Corp. 625,773 41,144 Entegris, Inc. 1,359,809 8,883 MKS Instruments, Inc. 725,119 7,405 Monolithic Power Systems, Inc. 937,177 34,759 ON Semiconductor Corp. (a) 696,570 18,766 Semtech Corp. (a) 911,277 7,283 Silicon Laboratories, Inc. (a) 557,150 9,143 Teradyne, Inc. 329,057 20,701 Versum Materials, Inc. 761,176 --------------- 9,514,190 --------------- SOFTWARE -- 11.3% 3,492 Aspen Technology, Inc. (a) 337,432 14,566 CommVault Systems, Inc. (a) 962,376 18,258 Coupa Software, Inc. (a) 1,587,716 6,138 Fair Isaac Corp. (a) 1,382,277 70,804 FireEye, Inc. (a) 1,251,815 10,728 Guidewire Software, Inc. (a) 929,903 9,128 HubSpot, Inc. (a) 1,445,054 8,271 j2 Global, Inc. 621,648 10,555 LogMeIn, Inc. 981,826 10,630 New Relic, Inc. (a) 1,080,539 27,595 Nutanix, Inc., Class A (a) 1,413,692 9,371 Paycom Software, Inc. (a) 1,389,157 14,297 Paylocity Holding Corp. (a) 1,015,516 6,001 Pegasystems, Inc. 337,796 3,422 Proofpoint, Inc. (a) 348,599 11,519 Qualys, Inc. (a) 996,739 See Notes to Financial Statements Page 91 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 11,907 RealPage, Inc. (a) $ 664,053 17,402 RingCentral, Inc., Class A (a) 1,608,641 11,956 Tableau Software, Inc., Class A (a) 1,528,455 12,363 Trade Desk (The), Inc., Class A (a) 1,763,953 1,546 Tyler Technologies, Inc. (a) 292,488 3,515 Ultimate Software Group (The), Inc. (a) 959,841 24,579 Zendesk, Inc. (a) 1,659,820 --------------- 24,559,336 --------------- SPECIALTY RETAIL -- 3.6% 44,531 American Eagle Outfitters, Inc. 940,495 14,020 Five Below, Inc. (a) 1,734,695 22,157 Floor & Decor Holdings, Inc., Class A (a) 759,763 10,185 National Vision Holdings, Inc. (a) 323,476 11,974 RH (a) (b) 1,626,907 17,193 Tractor Supply Co. 1,468,282 25,929 Urban Outfitters, Inc. (a) 837,507 --------------- 7,691,125 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.2% 17,843 Pure Storage, Inc., Class A (a) 319,568 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.8% 17,061 Columbia Sportswear Co. 1,521,671 11,214 Deckers Outdoor Corp. (a) 1,440,438 48,717 Under Armour, Inc., Class A (a) 1,010,390 --------------- 3,972,499 --------------- THRIFTS & MORTGAGE FINANCE -- 0.7% 5,226 LendingTree, Inc. (a) 1,548,673 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.1% 5,191 SiteOne Landscape Supply, Inc. (a) 276,680 --------------- WATER UTILITIES -- 0.3% 16,783 Aqua America, Inc. 588,244 --------------- TOTAL COMMON STOCKS -- 100.0% 216,806,601 (Cost $202,555,700) --------------- MONEY MARKET FUNDS -- 0.0% 108,480 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) 108,480 (Cost $108,480) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 494,647 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $494,683. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $506,999. (d) $ 494,647 613,473 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $613,515. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $625,742. (d) 613,473 --------------- TOTAL REPURCHASE AGREEMENTS -- 0.5% 1,108,120 (Cost $1,108,120) --------------- TOTAL INVESTMENTS -- 100.5% 218,023,201 (Cost $203,772,300) (e) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (1,138,154) --------------- NET ASSETS -- 100.0% $ 216,885,047 =============== (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 $1,195,656 and the total value of the collateral held by the Fund is $1,216,600. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $20,638,417 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,387,516. The net unrealized appreciation is $14,250,901. Page 92 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 216,806,601 $ -- $ -- Money Market Funds 108,480 -- -- Repurchase Agreements -- 1,108,120 -- --------------------------------------------- Total Investments $ 216,915,081 $ 1,108,120 $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 1,195,656 Non-cash Collateral(2) (1,195,656) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 1,108,120 Non-cash Collateral(4) (1,108,120) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 93 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.1% 1,807 AAR Corp. $ 68,088 --------------- AIR FREIGHT & LOGISTICS -- 1.2% 8,149 Atlas Air Worldwide Holdings, Inc. (a) 433,690 7,419 Hub Group, Inc., Class A (a) 330,219 --------------- 763,909 --------------- AIRLINES -- 1.3% 2,743 Allegiant Travel Co. 356,590 13,017 Hawaiian Holdings, Inc. 416,804 --------------- 773,394 --------------- AUTO COMPONENTS -- 2.5% 30,972 American Axle & Manufacturing Holdings, Inc. (a) 457,766 4,254 Cooper Tire & Rubber Co. 149,741 5,534 Cooper-Standard Holdings, Inc. (a) 423,130 749 Dorman Products, Inc. (a) 64,376 3,030 LCI Industries 249,793 5,020 Tenneco, Inc., Class A 174,094 --------------- 1,518,900 --------------- AUTOMOBILES -- 0.7% 14,201 Winnebago Industries, Inc. 406,149 --------------- BANKS -- 3.1% 3,408 1st Source Corp. 154,723 5,099 Berkshire Hills Bancorp, Inc. 138,948 1,386 Eagle Bancorp, Inc. (a) 76,064 15,990 First BanCorp 170,293 1,846 First Interstate BancSystem, Inc., Class A 71,846 3,405 First Midwest Bancorp, Inc. 74,978 4,401 Great Western Bancorp, Inc. 155,311 1,535 Heartland Financial USA, Inc. 69,628 3,783 Hilltop Holdings, Inc. 69,645 17,065 Hope Bancorp, Inc. 244,200 7,020 Opus Bank 146,718 795 Park National Corp. 74,746 4,556 Renasant Corp. 161,829 4,387 Sandy Spring Bancorp, Inc. 143,060 2,373 Trustmark Corp. 74,821 3,144 United Community Banks, Inc. 80,864 --------------- 1,907,674 --------------- BEVERAGES -- 0.1% 381 Coca-Cola Consolidated, Inc. 82,220 --------------- BUILDING PRODUCTS -- 2.2% 3,635 American Woodmark Corp. (a) 254,268 9,213 Apogee Enterprises, Inc. 313,887 12,604 Builders FirstSource, Inc. (a) 166,625 3,863 Gibraltar Industries, Inc. (a) 137,716 18,967 NCI Building Systems, Inc. (a) 154,771 10,595 Universal Forest Products, Inc. 326,538 --------------- 1,353,805 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS -- 1.3% 7,623 Federated Investors, Inc., Class B $ 199,189 16,320 TCG BDC, Inc. (b) 243,821 15,212 Waddell & Reed Financial, Inc., Class A 260,429 10,145 WisdomTree Investments, Inc. 67,972 --------------- 771,411 --------------- CHEMICALS -- 3.1% 11,300 AdvanSix, Inc. (a) 357,532 3,223 H.B. Fuller Co. 159,184 1,092 Innospec, Inc. 76,735 15,741 Kraton Corp. (a) 443,896 29,843 Kronos Worldwide, Inc. 393,032 5,357 Minerals Technologies, Inc. 313,760 1,858 Stepan Co. 163,374 --------------- 1,907,513 --------------- COMMERCIAL SERVICES & SUPPLIES -- 4.5% 4,282 ABM Industries, Inc. 146,402 50,706 ACCO Brands Corp. 447,734 2,819 Advanced Disposal Services, Inc. (a) 71,039 7,154 Deluxe Corp. 336,023 4,546 Herman Miller, Inc. 155,610 3,881 HNI Corp. 150,854 4,733 Interface, Inc. 77,669 12,280 Knoll, Inc. 247,565 4,982 Matthews International Corp., Class A 221,649 7,838 Multi-Color Corp. 364,859 23,268 Pitney Bowes, Inc. 167,762 9,273 Steelcase, Inc., Class A 153,004 1,414 UniFirst Corp. 195,740 --------------- 2,735,910 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 9,361 EchoStar Corp., Class A (a) 383,614 1,015 InterDigital, Inc. 73,902 5,819 NetScout Systems, Inc. (a) 150,887 --------------- 608,403 --------------- CONSTRUCTION & ENGINEERING -- 1.6% 3,745 Dycom Industries, Inc. (a) 217,397 3,415 Granite Construction, Inc. 147,596 22,647 KBR, Inc. 389,529 10,579 Primoris Services Corp. 211,051 --------------- 965,573 --------------- CONSTRUCTION MATERIALS -- 0.5% 22,180 Summit Materials, Inc., Class A (a) 338,467 --------------- CONSUMER FINANCE -- 0.9% 3,866 Nelnet, Inc., Class A 203,352 11,285 PRA Group, Inc. (a) 333,020 --------------- 536,372 --------------- Page 94 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING -- 0.5% 7,412 Greif, Inc., Class A $ 289,068 --------------- DISTRIBUTORS -- 0.1% 2,902 Core-Mark Holding Co., Inc. 80,908 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.0% 536 Graham Holdings Co., Class B 356,440 18,047 Laureate Education, Inc., Class A (a) 288,752 --------------- 645,192 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.1% 10,128 FGL Holdings (a) 80,112 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 2,830 ATN International, Inc. 211,061 --------------- ELECTRIC UTILITIES -- 0.4% 2,742 El Paso Electric Co. 144,010 1,125 MGE Energy, Inc. 72,349 --------------- 216,359 --------------- ELECTRICAL EQUIPMENT -- 0.6% 3,406 AZZ, Inc. 152,418 4,033 Encore Wire Corp. 217,379 --------------- 369,797 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.3% 3,725 Anixter International, Inc. (a) 226,145 6,584 Belden, Inc. 352,968 948 ePlus, Inc. (a) 75,100 1,316 Fabrinet (a) 74,801 4,967 Insight Enterprises, Inc. (a) 228,085 5,069 Knowles Corp. (a) 79,076 8,689 Methode Electronics, Inc. 223,742 3,999 ScanSource, Inc. (a) 153,202 --------------- 1,413,119 --------------- ENERGY EQUIPMENT & SERVICES -- 7.6% 36,719 Archrock, Inc. 346,627 25,466 C&J Energy Services, Inc. (a) 409,239 21,439 Diamond Offshore Drilling, Inc. (a) 234,328 83,240 Forum Energy Technologies, Inc. (a) 408,709 38,681 FTS International, Inc. (a) 315,250 63,547 Helix Energy Solutions Group, Inc. (a) 434,026 137,513 Nabors Industries Ltd. 407,039 22,729 Oceaneering International, Inc. (a) 356,618 9,629 Oil States International, Inc. (a) 165,811 54,396 Select Energy Services, Inc., Class A (a) 462,366 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 82,098 Superior Energy Services, Inc. (a) $ 321,003 33,771 U.S. Silica Holdings, Inc. (b) 455,233 24,075 Unit Corp. (a) 384,237 --------------- 4,700,486 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.0% 18,703 Alexander & Baldwin, Inc. (a) 430,917 8,310 Chesapeake Lodging Trust 236,669 3,487 Columbia Property Trust, Inc. 76,958 22,289 DiamondRock Hospitality Co. 226,456 7,804 Global Net Lease, Inc. 151,320 10,289 Industrial Logistics Properties Trust 221,111 14,362 Kite Realty Group Trust 238,840 33,499 Lexington Realty Trust 321,926 7,020 Mack-Cali Realty Corp. 144,612 10,008 Office Properties Income Trust 320,556 6,218 Retail Properties of America, Inc., Class A 78,596 16,936 RPT Realty 221,692 35,331 Summit Hotel Properties, Inc. 394,647 56,590 Washington Prime Group, Inc. 321,431 15,990 Xenia Hotels & Resorts, Inc. 300,132 --------------- 3,685,863 --------------- FOOD & STAPLES RETAILING -- 1.5% 1,142 PriceSmart, Inc. 69,947 5,849 Sprouts Farmers Market, Inc. (a) 140,259 32,464 United Natural Foods, Inc. (a) 425,278 5,755 Weis Markets, Inc. 279,233 --------------- 914,717 --------------- FOOD PRODUCTS -- 1.7% 4,757 B&G Foods, Inc. (b) 126,822 4,785 Cal-Maine Foods, Inc. 201,831 4,864 Fresh Del Monte Produce, Inc. 155,551 31,425 Hostess Brands, Inc. (a) 361,073 679 Sanderson Farms, Inc. 83,585 3,569 Simply Good Foods (The) Co. (a) 70,630 2,020 Tootsie Roll Industries, Inc. (b) 69,993 --------------- 1,069,485 --------------- GAS UTILITIES -- 0.1% 830 Chesapeake Utilities Corp. 75,173 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.8% 1,093 CorVel Corp. (a) 68,280 5,011 Diplomat Pharmacy, Inc. (a) 72,660 4,834 Magellan Health, Inc. (a) 314,983 1,753 National HealthCare Corp. 140,818 10,294 Patterson Cos., Inc. 229,453 8,959 Select Medical Holdings Corp. (a) 139,940 5,542 Tivity Health, Inc. (a) 123,365 --------------- 1,089,499 --------------- See Notes to Financial Statements Page 95 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY -- 0.1% 6,998 Allscripts Healthcare Solutions, Inc. (a) $ 82,506 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.9% 7,687 Bloomin' Brands, Inc. 141,672 4,651 Cheesecake Factory (The), Inc. 208,737 4,542 Dave & Buster's Entertainment, Inc. 233,686 7,838 International Speedway Corp., Class A 340,561 1,694 Papa John's International, Inc. (b) 71,639 19,125 Playa Hotels & Resorts N.V. (a) 150,705 --------------- 1,147,000 --------------- HOUSEHOLD DURABLES -- 3.8% 10,596 KB Home 226,860 7,304 La-Z-Boy, Inc. 216,345 9,785 M.D.C. Holdings, Inc. 322,220 9,361 Meritage Homes Corp. (a) 421,994 17,297 Taylor Morrison Home Corp., Class A (a) 326,913 1,630 Tempur Sealy International, Inc. (a) 86,423 6,112 TopBuild Corp. (a) 322,775 31,454 TRI Pointe Group, Inc. (a) 423,056 --------------- 2,346,586 --------------- HOUSEHOLD PRODUCTS -- 0.3% 4,401 Central Garden & Pet Co., Class A (a) 156,764 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.7% 3,911 Clearway Energy, Inc., Class C 59,017 2,629 Ormat Technologies, Inc. 151,719 10,870 Pattern Energy Group, Inc., Class A 231,314 --------------- 442,050 --------------- INSURANCE -- 1.6% 1,004 Argo Group International Holdings Ltd. 67,007 4,822 Employers Holdings, Inc. 204,308 2,095 FBL Financial Group, Inc., Class A 147,111 3,672 Horace Mann Educators Corp. 152,939 914 National Western Life Group, Inc., Class A 277,216 825 Safety Insurance Group, Inc. 67,906 6,998 Third Point Reinsurance Ltd. (a) 73,549 --------------- 990,036 --------------- INTERACTIVE MEDIA & SERVICES -- 0.7% 15,990 Cars.com, Inc. (a) 436,687 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- IT SERVICES -- 1.2% 2,124 CSG Systems International, Inc. $ 76,868 3,871 ManTech International Corp., Class A 218,208 11,019 NIC, Inc. 180,712 10,537 Presidio, Inc. 167,854 2,728 Sykes Enterprises, Inc. (a) 75,211 --------------- 718,853 --------------- MACHINERY -- 4.3% 2,618 Alamo Group, Inc. 225,488 3,367 EnPro Industries, Inc. 222,390 1,573 Franklin Electric Co., Inc. 75,158 8,694 Greenbrier (The) Cos., Inc. 368,713 3,989 Meritor, Inc. (a) 82,492 11,565 Milacron Holdings Corp. (a) 160,291 5,886 Mueller Industries, Inc. 152,506 15,112 Mueller Water Products, Inc., Class A 149,307 26,948 REV Group, Inc. 223,938 2,409 SPX Corp. (a) 71,668 6,653 SPX FLOW, Inc. (a) 218,019 3,012 Standex International Corp. 224,635 5,039 TriMas Corp. (a) 146,081 21,027 Wabash National Corp. 293,116 --------------- 2,613,802 --------------- MARINE -- 0.5% 8,588 Matson, Inc. 287,784 --------------- MEDIA -- 4.8% 5,011 AMC Networks, Inc., Class A (a) 315,392 27,859 Emerald Expositions Events, Inc. 395,598 60,207 Entercom Communications Corp., Class A 441,317 23,726 Gannett Co., Inc. 263,121 23,322 Gray Television, Inc. (a) 389,711 1,299 Meredith Corp. 70,497 23,770 New Media Investment Group, Inc. 324,936 1,676 Scholastic Corp. 69,872 13,052 Sinclair Broadcast Group, Inc., Class A 402,132 25,302 TEGNA, Inc. 297,046 --------------- 2,969,622 --------------- METALS & MINING -- 2.0% 29,983 AK Steel Holding Corp. (a) (b) 88,450 15,091 Coeur Mining, Inc. (a) 77,719 17,169 Commercial Metals Co. 299,599 58,269 Hecla Mining Co. 157,326 1,500 Materion Corp. 70,395 11,407 Warrior Met Coal, Inc. 327,723 5,809 Worthington Industries, Inc. 219,173 --------------- 1,240,385 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.6% 16,509 Apollo Commercial Real Estate Finance, Inc. 300,464 Page 96 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MORTGAGE REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 13,976 Invesco Mortgage Capital, Inc. $ 225,013 14,770 PennyMac Mortgage Investment Trust 298,945 13,430 Redwood Trust, Inc. 216,626 11,070 TPG RE Finance Trust, Inc. 219,518 21,419 Two Harbors Investment Corp. 312,503 --------------- 1,573,069 --------------- MULTILINE RETAIL -- 1.1% 9,510 Big Lots, Inc. 299,945 5,701 Dillard's, Inc., Class A (b) 380,770 --------------- 680,715 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.3% 3,315 Arch Coal, Inc., Class A 292,151 52,487 Gulfport Energy Corp. (a) 440,366 94,967 Laredo Petroleum, Inc. (a) 360,875 19,958 SemGroup Corp., Class A 319,727 --------------- 1,413,119 --------------- PAPER & FOREST PRODUCTS -- 1.2% 14,415 Boise Cascade Co. 395,980 1,146 Neenah, Inc. 79,842 8,079 Schweitzer-Mauduit International, Inc. 259,013 --------------- 734,835 --------------- PHARMACEUTICALS -- 0.5% 11,133 Prestige Consumer Healthcare, Inc. (a) 310,833 --------------- PROFESSIONAL SERVICES -- 0.4% 9,096 TrueBlue, Inc. (a) 221,851 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.1% 4,146 HFF, Inc., Class A 171,727 1,965 Marcus & Millichap, Inc. (a) 77,814 23,418 Realogy Holdings Corp. (b) 415,670 --------------- 665,211 --------------- ROAD & RAIL -- 3.2% 10,035 ArcBest Corp. 377,517 6,118 Avis Budget Group, Inc. (a) 162,983 11,059 Heartland Express, Inc. 221,290 25,186 Hertz Global Holdings, Inc. (a) 417,836 18,413 Schneider National, Inc., Class B 391,092 11,639 Werner Enterprises, Inc. 383,156 --------------- 1,953,874 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.3% 3,204 Advanced Energy Industries, Inc. (a) 164,333 52,405 Amkor Technology, Inc. (a) 419,240 6,099 Cirrus Logic, Inc. (a) 226,578 --------------- 810,151 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE -- 1.0% 23,612 Avaya Holdings Corp. (a) $ 399,279 21,506 TiVo Corp. 239,362 --------------- 638,641 --------------- SPECIALTY RETAIL -- 6.6% 13,717 Abercrombie & Fitch Co., Class A 297,247 3,036 Asbury Automotive Group, Inc. (a) 214,493 30,370 Bed Bath & Beyond, Inc. 458,283 14,220 Buckle (The), Inc. (b) 247,001 7,272 Caleres, Inc. 216,996 61,172 Chico's FAS, Inc. 354,798 1,527 Children's Place (The), Inc. 147,753 8,815 Dick's Sporting Goods, Inc. 311,258 6,520 Group 1 Automotive, Inc. 397,916 3,603 Lithia Motors, Inc., Class A 320,487 2,640 Murphy USA, Inc. (a) 194,172 106,600 Office Depot, Inc. 314,470 34,447 Party City Holdco, Inc. (a) 380,295 11,869 Sally Beauty Holdings, Inc. (a) 204,384 --------------- 4,059,553 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 9,862 G-III Apparel Group Ltd. (a) 343,888 1,935 Oxford Industries, Inc. 148,182 --------------- 492,070 --------------- THRIFTS & MORTGAGE FINANCE -- 0.6% 2,555 Flagstar Bancorp, Inc. (a) 78,822 2,796 Provident Financial Services, Inc. 69,089 7,576 Washington Federal, Inc. 220,386 --------------- 368,297 --------------- TOBACCO -- 0.5% 5,079 Universal Corp. 293,058 --------------- TRADING COMPANIES & DISTRIBUTORS -- 5.4% 19,942 Aircastle Ltd. 415,591 6,380 Beacon Roofing Supply, Inc. (a) 231,785 17,767 BMC Stock Holdings, Inc. (a) 304,882 18,508 GMS, Inc. (a) 350,356 13,228 Herc Holdings, Inc. (a) 490,097 16,548 MRC Global, Inc. (a) 258,480 5,796 NOW, Inc. (a) 78,420 9,971 Rush Enterprises, Inc., Class A 381,391 5,755 Systemax, Inc. 134,322 11,065 Triton International Ltd. 397,787 5,730 WESCO International, Inc. (a) 300,252 --------------- 3,343,363 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.2% 10,565 Telephone & Data Systems, Inc. 382,664 See Notes to Financial Statements Page 97 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES (CONTINUED) 6,615 United States Cellular Corp. (a) $ 380,892 --------------- 763,556 --------------- TOTAL COMMON STOCKS -- 99.8% 61,332,898 (Cost $66,182,856) --------------- MONEY MARKET FUNDS -- 0.2% 135,126 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) 135,126 (Cost $135,126) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.2% $ 616,148 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $616,192. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $631,534. (d) 616,148 764,161 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $764,214. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $779,444. (d) 764,161 --------------- TOTAL REPURCHASE AGREEMENTS -- 2.2% 1,380,309 (Cost $1,380,309) --------------- TOTAL INVESTMENTS -- 102.2% 62,848,333 (Cost $67,698,291) (e) NET OTHER ASSETS AND LIABILITIES -- (2.2)% (1,377,288) --------------- NET ASSETS -- 100.0% $ 61,471,045 =============== (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 $1,485,449 and the total value of the collateral held by the Fund is $1,515,435. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,958,014 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,807,972. The net unrealized depreciation was $4,849,958. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 61,332,898 $ -- $ -- Money Market Funds 135,126 -- -- Repurchase Agreements -- 1,380,309 -- --------------------------------------------- Total Investments $ 61,468,024 $ 1,380,309 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 98 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 1,485,449 Non-cash Collateral(2) (1,485,449) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 1,380,309 Non-cash Collateral(4) (1,380,309) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 99 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.0% 48,148 Aerojet Rocketdyne Holdings, Inc. (a) $ 1,900,401 14,695 Aerovironment, Inc. (a) 1,141,214 28,695 Mercury Systems, Inc. (a) 1,682,388 126,396 Wesco Aircraft Holdings, Inc. (a) 1,104,701 --------------- 5,828,704 --------------- AIR FREIGHT & LOGISTICS -- 1.0% 59,490 Air Transport Services Group, Inc. (a) 1,412,888 24,740 Forward Air Corp. 1,448,032 --------------- 2,860,920 --------------- AUTO COMPONENTS -- 0.6% 28,813 Fox Factory Holding Corp. (a) 1,709,475 --------------- BANKS -- 6.8% 20,011 BancFirst Corp. 1,074,190 49,095 Brookline Bancorp, Inc. 730,043 14,774 City Holding Co. 1,059,000 33,539 CVB Financial Corp. 734,840 8,846 Enterprise Financial Services Corp. 390,374 38,749 FB Financial Corp. 1,281,817 30,573 First Bancorp 1,124,169 40,691 First Busey Corp. 1,007,509 56,167 First Commonwealth Financial Corp. 763,871 19,798 First Merchants Corp. 725,201 22,829 Heritage Financial Corp. 707,242 14,201 Independent Bank Corp. 1,132,956 7,273 Independent Bank Group, Inc. 383,723 24,864 Lakeland Financial Corp. 1,119,626 10,372 LegacyTexas Financial Group, Inc. 413,220 22,475 Live Oak Bancshares, Inc. 312,403 32,346 National Bank Holdings Corp., Class A 1,033,778 26,387 S&T Bancorp, Inc. 1,013,789 38,375 Seacoast Banking Corp. of Florida (a) 1,056,080 21,290 ServisFirst Bancshares, Inc. 718,538 41,381 Simmons First National Corp., Class A 1,023,766 13,313 Tompkins Financial Corp. 979,038 13,897 TowneBank 360,766 9,071 WesBanco, Inc. 368,373 --------------- 19,514,312 --------------- BEVERAGES -- 0.5% 5,634 Boston Beer (The) Co., Inc., Class A (a) 1,403,768 --------------- BIOTECHNOLOGY -- 7.6% 61,751 ACADIA Pharmaceuticals, Inc. (a) 1,406,688 7,642 Acceleron Pharma, Inc. (a) 324,021 21,363 Acorda Therapeutics, Inc. (a) 355,267 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 34,743 Amicus Therapeutics, Inc. (a) $ 418,306 8,545 Arena Pharmaceuticals, Inc. (a) 392,814 26,800 Arrowhead Pharmaceuticals, Inc. (a) 378,416 53,466 Athenex, Inc. (a) 628,225 6,174 Blueprint Medicines Corp. (a) 445,084 11,650 CRISPR Therapeutics AG (a) (b) 377,809 22,042 CytomX Therapeutics, Inc. (a) 374,273 14,631 Editas Medicine, Inc. (a) 317,932 28,613 Emergent BioSolutions, Inc. (a) 1,785,165 14,098 Enanta Pharmaceuticals, Inc. (a) 1,119,804 26,335 Genomic Health, Inc. (a) 1,996,456 46,376 Halozyme Therapeutics, Inc. (a) 750,364 13,464 Intercept Pharmaceuticals, Inc. (a) 1,624,835 35,522 Karyopharm Therapeutics, Inc. (a) 300,871 23,843 Natera, Inc. (a) 324,026 39,539 PTC Therapeutics, Inc. (a) 1,230,849 41,145 Radius Health, Inc. (a) 751,719 16,173 REGENXBIO, Inc. (a) 710,965 32,163 Repligen Corp. (a) 1,833,613 29,982 Retrophin, Inc. (a) 646,412 28,993 Sangamo Therapeutics, Inc. (a) 338,928 64,916 Vanda Pharmaceuticals, Inc. (a) 1,761,171 37,526 Xencor, Inc. (a) 1,354,689 --------------- 21,948,702 --------------- BUILDING PRODUCTS -- 1.6% 38,703 AAON, Inc. 1,429,689 41,176 Advanced Drainage Systems, Inc. 1,049,988 26,661 Continental Building Products, Inc. (a) 702,251 11,241 Patrick Industries, Inc. (a) 448,516 62,999 PGT Innovations, Inc. (a) 1,048,303 --------------- 4,678,747 --------------- CAPITAL MARKETS -- 1.7% 25,468 Blucora, Inc. (a) 751,561 9,698 Cohen & Steers, Inc. 364,936 18,337 Hamilton Lane, Inc., Class A 665,083 18,438 Houlihan Lokey, Inc. 815,697 17,505 PJT Partners, Inc., Class A 761,117 65,848 Virtu Financial, Inc., Class A 1,682,416 --------------- 5,040,810 --------------- CHEMICALS -- 1.1% 9,980 Chase Corp. 1,006,184 43,270 Ferro Corp. (a) 721,311 91,624 PQ Group Holdings, Inc. (a) 1,378,941 --------------- 3,106,436 --------------- COMMERCIAL SERVICES & SUPPLIES -- 3.0% 39,030 Brady Corp., Class A 1,745,031 59,536 Casella Waste Systems, Inc., Class A (a) 1,793,224 Page 100 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 74,406 Covanta Holding Corp. $ 1,197,937 26,359 McGrath RentCorp 1,328,494 21,369 Mobile Mini, Inc. 807,534 26,933 US Ecology, Inc. 1,714,824 --------------- 8,587,044 --------------- COMMUNICATIONS EQUIPMENT -- 0.9% 51,674 Casa Systems, Inc. (a) 601,486 168,777 Viavi Solutions, Inc. (a) 1,876,800 --------------- 2,478,286 --------------- CONSTRUCTION & ENGINEERING -- 0.5% 31,066 Comfort Systems USA, Inc. 1,490,236 --------------- CONSUMER FINANCE -- 0.4% 51,312 Enova International, Inc. (a) 1,182,742 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 59,413 Career Education Corp. (a) 767,022 17,072 Sotheby's (a) 689,538 --------------- 1,456,560 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 15,008 Cogent Communications Holdings, Inc. 727,138 73,548 Iridium Communications, Inc. (a) 1,425,360 --------------- 2,152,498 --------------- ELECTRICAL EQUIPMENT -- 2.6% 85,496 Atkore International Group, Inc. (a) 1,982,652 155,759 Sunrun, Inc. (a) 2,071,595 69,009 TPI Composites, Inc. (a) 2,088,903 35,908 Vicor Corp. (a) 1,414,416 --------------- 7,557,566 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.8% 38,567 CTS Corp. 1,094,146 16,694 FARO Technologies, Inc. (a) 709,829 20,903 II-VI, Inc. (a) 793,478 96,705 KEMET Corp. 1,713,613 3,361 Rogers Corp. (a) 426,544 34,208 TTM Technologies, Inc. (a) 392,708 --------------- 5,130,318 --------------- ENERGY EQUIPMENT & SERVICES -- 1.2% 82,944 Keane Group, Inc. (a) 836,075 55,536 Mammoth Energy Services, Inc. 1,229,012 81,050 ProPetro Holding Corp. (a) 1,324,357 --------------- 3,389,444 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.4% 28,556 Acadia Realty Trust $ 820,414 22,952 Agree Realty Corp. 1,515,521 1,092 Alexander's, Inc. 363,701 73,509 CareTrust REIT, Inc. 1,615,728 38,112 Four Corners Property Trust, Inc. 1,076,283 52,416 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 1,184,077 23,957 LTC Properties, Inc. 1,136,520 37,737 National Storage Affiliates Trust 1,098,147 84,652 Physicians Realty Trust 1,533,048 39,818 Piedmont Office Realty Trust, Inc., Class A 770,876 20,960 Retail Opportunity Investments Corp. 368,267 33,883 Rexford Industrial Realty, Inc. 1,138,469 7,049 Saul Centers, Inc. 373,315 27,270 STAG Industrial, Inc. 751,834 28,392 Terreno Realty Corp. 1,145,333 32,888 Tier REIT, Inc. 772,868 --------------- 15,664,401 --------------- FOOD PRODUCTS -- 1.4% 9,299 Calavo Growers, Inc. 756,566 52,744 Freshpet, Inc. (a) 1,897,202 9,386 J&J Snack Foods Corp. 1,448,729 --------------- 4,102,497 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.6% 1,831 Atrion Corp. 1,365,633 35,049 Cardiovascular Systems, Inc. (a) 1,091,075 21,136 CONMED Corp. 1,486,918 59,767 CryoLife, Inc. (a) 1,668,097 24,158 Glaukos Corp. (a) 1,541,039 22,243 Integer Holdings Corp. (a) 1,801,461 14,372 iRhythm Technologies, Inc. (a) 1,221,620 39,875 Natus Medical, Inc. (a) 1,345,382 28,498 OraSure Technologies, Inc. (a) 366,199 25,851 Orthofix Medical, Inc. (a) 1,398,798 20,453 Quidel Corp. (a) 1,186,888 31,292 STAAR Surgical Co. (a) 1,118,063 35,738 Tandem Diabetes Care, Inc. (a) 1,553,888 147,275 TransEnterix, Inc. (a) (b) 400,588 49,853 Wright Medical Group N.V. (a) 1,487,613 --------------- 19,033,262 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 29,938 AMN Healthcare Services, Inc. (a) 1,939,683 28,403 BioTelemetry, Inc. (a) 2,039,903 43,728 Ensign Group (The), Inc. 1,905,229 18,068 LHC Group, Inc. (a) 1,910,330 36,331 Premier, Inc., Class A (a) 1,445,610 16,574 U.S. Physical Therapy, Inc. 1,755,021 --------------- 10,995,776 --------------- See Notes to Financial Statements Page 101 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY -- 2.4% 68,018 Evolent Health, Inc., Class A (a) $ 1,202,558 60,299 HMS Holdings Corp. (a) 1,808,367 44,785 NextGen Healthcare, Inc. (a) 791,799 22,158 Omnicell, Inc. (a) 1,443,150 26,603 Tabula Rasa HealthCare, Inc. (a) 1,603,629 --------------- 6,849,503 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.5% 19,746 BJ's Restaurants, Inc. 983,943 38,567 Brinker International, Inc. 1,562,735 25,188 Dine Brands Global, Inc. 1,921,089 12,862 Jack in the Box, Inc. 1,041,179 16,388 Red Rock Resorts, Inc., Class A 415,927 61,430 SeaWorld Entertainment, Inc. (a) 1,600,251 14,938 Shake Shack, Inc., Class A (a) 713,439 26,426 Wingstop, Inc. 1,734,867 --------------- 9,973,430 --------------- HOUSEHOLD DURABLES -- 2.0% 2,552 Cavco Industries, Inc. (a) 424,372 29,638 Installed Building Products, Inc. (a) 1,248,056 20,257 iRobot Corp. (a) 1,818,876 30,008 LGI Homes, Inc. (a) (b) 1,779,474 21,491 Tupperware Brands Corp. 586,060 --------------- 5,856,838 --------------- HOUSEHOLD PRODUCTS -- 0.6% 9,256 WD-40 Co. 1,682,278 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 37,495 Raven Industries, Inc. 1,386,940 --------------- INSURANCE -- 1.2% 24,423 Kinsale Capital Group, Inc. 1,416,534 13,073 Trupanion, Inc. (a) (b) 347,088 44,731 Universal Insurance Holdings, Inc. 1,687,254 --------------- 3,450,876 --------------- INTERACTIVE MEDIA & SERVICES -- 1.2% 106,748 Liberty TripAdvisor Holdings, Inc., Class A (a) 1,778,422 31,727 Match Group, Inc. 1,697,077 --------------- 3,475,499 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.4% 43,370 Liberty Expedia Holdings, Inc., Class A (a) 1,777,736 63,529 Quotient Technology, Inc. (a) 635,290 16,853 Shutterfly, Inc. (a) 774,564 18,842 Shutterstock, Inc. 753,869 --------------- 3,941,459 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- IT SERVICES -- 2.1% 13,178 Carbonite, Inc. (a) $ 377,418 50,051 Endurance International Group Holdings, Inc. (a) 405,413 59,101 EVERTEC, Inc. 1,635,325 14,067 GTT Communications, Inc. (a) (b) 360,115 20,257 MongoDB, Inc. (a) 1,870,936 31,861 Virtusa Corp. (a) 1,545,896 --------------- 6,195,103 --------------- LEISURE PRODUCTS -- 0.7% 47,392 Acushnet Holdings Corp. 1,089,542 65,263 Callaway Golf Co. 1,063,134 --------------- 2,152,676 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.6% 8,814 Cambrex Corp. (a) 384,731 29,359 Luminex Corp. 818,823 32,047 Medpace Holdings, Inc. (a) 2,063,827 79,184 NeoGenomics, Inc. (a) 1,316,038 --------------- 4,583,419 --------------- MACHINERY -- 4.3% 32,325 Actuant Corp., Class A 739,919 21,736 Albany International Corp., Class A 1,492,394 26,083 Chart Industries, Inc. (a) 1,948,400 27,821 Douglas Dynamics, Inc. 984,864 25,719 ESCO Technologies, Inc. 1,674,564 68,191 Federal Signal Corp. 1,498,838 68,328 Harsco Corp. (a) 1,455,387 12,259 Kadant, Inc. 1,045,693 10,029 Sun Hydraulics Corp. 355,227 15,474 Watts Water Technologies, Inc., Class A 1,158,538 --------------- 12,353,824 --------------- MEDIA -- 0.5% 57,597 MSG Networks, Inc., Class A (a) 1,290,173 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.2% 88,575 KKR Real Estate Finance Trust, Inc. 1,826,417 88,608 Ladder Capital Corp. 1,533,804 --------------- 3,360,221 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.1% 19,533 California Resources Corp. (a) 393,590 51,284 Callon Petroleum Co. (a) 417,452 29,481 Carrizo Oil & Gas, Inc. (a) 362,027 194,645 Denbury Resources, Inc. (a) 395,129 77,585 Extraction Oil & Gas, Inc. (a) 305,685 147,275 Northern Oil and Gas, Inc. (a) 372,606 59,119 QEP Resources, Inc. (a) 488,914 70,818 SRC Energy, Inc. (a) 348,424 --------------- 3,083,827 --------------- Page 102 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PERSONAL PRODUCTS -- 1.0% 25,868 Inter Parfums, Inc. $ 1,719,187 7,987 Medifast, Inc. 1,016,266 --------------- 2,735,453 --------------- PHARMACEUTICALS -- 2.5% 74,741 Corcept Therapeutics, Inc. (a) 835,605 45,595 Endo International PLC (a) 444,551 97,204 Innoviva, Inc. (a) 1,662,189 6,812 MyoKardia, Inc. (a) 281,881 31,543 Pacira Pharmaceuticals, Inc. (a) 1,283,169 12,094 Reata Pharmaceuticals, Inc., Class A (a) 964,738 16,534 Revance Therapeutics, Inc. (a) 285,542 10,018 Supernus Pharmaceuticals, Inc. (a) 381,986 39,020 Theravance Biopharma, Inc. (a) (b) 1,016,471 --------------- 7,156,132 --------------- PROFESSIONAL SERVICES -- 1.5% 68,882 CBIZ, Inc. (a) 1,350,087 26,759 Exponent, Inc. 1,336,880 26,184 ICF International, Inc. 1,726,049 --------------- 4,413,016 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6% 23,113 Redfin Corp. (a) (b) 413,491 12,783 RMR Group (The), Inc., Class A 843,806 25,273 St Joe (The) Co. (a) 393,248 --------------- 1,650,545 --------------- ROAD & RAIL -- 0.5% 41,908 Marten Transport Ltd. 810,920 12,155 Saia, Inc. (a) 728,935 --------------- 1,539,855 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.3% 38,141 Brooks Automation, Inc. 1,187,329 52,579 Diodes, Inc. (a) 1,768,232 21,103 Inphi Corp. (a) 832,302 --------------- 3,787,863 --------------- SOFTWARE -- 10.5% 75,220 8x8, Inc. (a) 1,324,624 32,702 Alarm.com Holdings, Inc. (a) 2,057,937 28,523 Alteryx, Inc., Class A (a) 2,029,411 22,914 Appfolio, Inc., Class A (a) 1,450,685 24,384 Blackline, Inc. (a) 1,160,191 20,803 Bottomline Technologies DE, Inc. (a) 1,074,475 85,343 Cision Ltd. (a) 1,058,253 30,095 Cloudera, Inc. (a) 406,283 33,636 Cornerstone OnDemand, Inc. (a) 1,928,688 27,587 Envestnet, Inc. (a) 1,496,595 29,884 Everbridge, Inc. (a) 1,848,624 38,797 Five9, Inc. (a) 1,983,691 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 26,105 ForeScout Technologies, Inc. (a) $ 796,203 36,176 Instructure, Inc. (a) 1,430,037 35,976 LivePerson, Inc. (a) 844,357 28,136 Progress Software Corp. 1,019,367 31,801 PROS Holdings, Inc. (a) 1,100,315 20,152 Q2 Holdings, Inc. (a) 1,197,633 43,548 Rapid7, Inc. (a) 1,749,759 16,473 SPS Commerce, Inc. (a) 1,460,496 12,826 Varonis Systems, Inc. (a) 757,760 32,073 Verint Systems, Inc. (a) 1,551,371 45,690 Yext, Inc. (a) 712,307 --------------- 30,439,062 --------------- SPECIALTY RETAIL -- 1.1% 41,486 Carvana Co. (a) (b) 1,541,205 24,672 Monro, Inc. 1,767,995 --------------- 3,309,200 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 66,714 3D Systems Corp. (a) (b) 851,271 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.9% 65,288 Crocs, Inc. (a) 1,875,071 43,133 Fossil Group, Inc. (a) 731,536 --------------- 2,606,607 --------------- THRIFTS & MORTGAGE FINANCE -- 1.6% 26,946 Axos Financial, Inc. (a) 818,080 76,020 NMI Holdings, Inc., Class A (a) 1,672,440 14,787 OceanFirst Financial Corp. 355,036 23,087 Walker & Dunlop, Inc. 1,109,792 17,898 WSFS Financial Corp. 754,759 --------------- 4,710,107 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 6,170 Applied Industrial Technologies, Inc. 364,092 16,299 H&E Equipment Services, Inc. 436,324 --------------- 800,416 --------------- WATER UTILITIES -- 1.3% 20,242 American States Water Co. 1,370,788 35,591 California Water Service Group 1,762,467 12,198 SJW Group 731,270 --------------- 3,864,525 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 38,333 Shenandoah Telecommunications Co. 1,825,801 --------------- TOTAL COMMON STOCKS -- 100.0% 288,638,423 (Cost $296,208,571) --------------- See Notes to Financial Statements Page 103 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 352,830 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.36% (c) (d) $ 352,830 (Cost $352,830) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.3% $ 1,608,834 BNP Paribas S.A., 2.58% (c), dated 01/31/19, due 02/01/19, with a maturity value of $1,608,949. Collateralized by U.S. Treasury Note, interest rate of 2.25%, due 11/15/27. The value of the collateral including accrued interest is $1,649,010. (d) 1,608,834 1,995,314 JPMorgan Chase & Co., 2.50% (c), dated 01/31/19, due 02/01/19, with a maturity value of $1,995,452. Collateralized by U.S. Treasury Note, interest rate of 2.375%, due 01/31/23. The value of the collateral including accrued interest is $2,035,220. (d) 1,995,314 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.3% 3,604,148 (Cost $3,604,148) --------------- TOTAL INVESTMENTS -- 101.4% 292,595,401 (Cost $300,165,549) (e) NET OTHER ASSETS AND LIABILITIES -- (1.4)% (3,956,436) --------------- NET ASSETS -- 100.0% $ 288,638,965 =============== (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 $3,895,319 and the total value of the collateral held by the Fund is $3,956,978. (c) Rate shown reflects yield as of January 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $15,063,537 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $22,633,685. The net unrealized depreciation was $7,570,148. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 288,638,423 $ -- $ -- Money Market Funds 352,830 -- -- Repurchase Agreements -- 3,604,148 -- --------------------------------------------- Total Investments $ 288,991,253 $ 3,604,148 $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 104 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2019 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 3,895,319 Non-cash Collateral(2) (3,895,319) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2019, 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) $ 3,604,148 Non-cash Collateral(4) (3,604,148) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 105 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.8% 500 Boeing (The) Co. $ 192,810 --------------- AUTOMOBILES -- 2.9% 2,423 Tesla, Inc. (a) 743,909 --------------- BANKS -- 2.7% 6,546 Bank of America Corp. 186,365 2,759 PNC Financial Services Group (The), Inc. 338,446 3,500 Wells Fargo & Co. 171,185 --------------- 695,996 --------------- BIOTECHNOLOGY -- 3.0% 3,499 AbbVie, Inc. 280,935 1,657 Amgen, Inc. 310,041 536 Biogen, Inc. (a) 178,906 --------------- 769,882 --------------- CAPITAL MARKETS -- 3.3% 1,715 CME Group, Inc. 312,610 966 Goldman Sachs Group (The), Inc. 191,278 8,136 Morgan Stanley 344,153 --------------- 848,041 --------------- COMMUNICATIONS EQUIPMENT -- 1.4% 7,445 Cisco Systems, Inc. 352,074 --------------- CONSUMER FINANCE -- 2.0% 5,076 American Express Co. 521,305 --------------- DIVERSIFIED FINANCIAL SERVICES -- 3.2% 3,950 Berkshire Hathaway, Inc., Class B (a) 811,883 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.8% 28,258 AT&T, Inc. 849,435 11,476 Verizon Communications, Inc. 631,869 --------------- 1,481,304 --------------- ELECTRIC UTILITIES -- 3.9% 5,607 Duke Energy Corp. 492,183 2,784 NextEra Energy, Inc. 498,280 --------------- 990,463 --------------- ENTERTAINMENT -- 1.3% 2,942 Walt Disney (The) Co. 328,092 --------------- FOOD & STAPLES RETAILING -- 5.9% 792 Costco Wholesale Corp. 169,987 11,803 Walgreens Boots Alliance, Inc. 852,884 5,195 Walmart, Inc. 497,837 --------------- 1,520,708 --------------- FOOD PRODUCTS -- 3.5% 18,738 Kraft Heinz (The) Co. 900,548 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.9% 11,150 Abbott Laboratories $ 813,727 1,564 Danaher Corp. 173,479 --------------- 987,206 --------------- HEALTH CARE PROVIDERS & SERVICES -- 7.6% 2,457 Anthem, Inc. 744,471 2,548 Cigna Corp. 509,116 2,590 UnitedHealth Group, Inc. 699,818 --------------- 1,953,405 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.3% 12,523 Starbucks Corp. 853,317 --------------- HOUSEHOLD PRODUCTS -- 0.7% 1,755 Procter & Gamble (The) Co. 169,305 --------------- INSURANCE -- 0.6% 1,249 Chubb Ltd. 166,179 --------------- INTERACTIVE MEDIA & SERVICES -- 1.6% 2,461 Facebook, Inc., Class A (a) 410,224 --------------- IT SERVICES -- 2.0% 5,754 PayPal Holdings, Inc. (a) 510,725 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.8% 2,883 Thermo Fisher Scientific, Inc. 708,267 --------------- MEDIA -- 6.3% 2,264 Charter Communications, Inc., Class A (a) 749,497 23,685 Comcast Corp., Class A 866,161 --------------- 1,615,658 --------------- OIL, GAS & CONSUMABLE FUELS -- 10.3% 4,448 Chevron Corp. 509,963 10,348 ConocoPhillips 700,456 9,248 EOG Resources, Inc. 917,402 7,096 Exxon Mobil Corp. 519,995 --------------- 2,647,816 --------------- PHARMACEUTICALS -- 7.6% 6,969 Eli Lilly and Co. 835,304 8,444 Merck & Co., Inc. 628,487 11,086 Pfizer, Inc. 470,601 --------------- 1,934,392 --------------- ROAD & RAIL -- 4.8% 10,384 CSX Corp. 682,229 3,501 Union Pacific Corp. 556,904 --------------- 1,239,133 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.9% 2,537 Broadcom, Inc. 680,550 6,874 Intel Corp. 323,903 --------------- 1,004,453 --------------- Page 106 See Notes to Financial Statements FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 1,023 Apple, Inc. $ 170,268 --------------- TOBACCO -- 1.3% 6,531 Altria Group, Inc. 322,305 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 2.8% 10,143 T-Mobile US, Inc. (a) 706,156 --------------- TOTAL INVESTMENTS -- 99.9% 25,555,824 (Cost $25,040,001) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 25,322 --------------- NET ASSETS -- 100.0% $ 25,581,146 =============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,071,758 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $555,935. The net unrealized appreciation was $515,823. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2019 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* $ 25,555,824 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 107 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JANUARY 31, 2019 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE SMALL CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) (FYX) ---------------- ---------------- ---------------- ASSETS: Investments, at value............................................... $ 1,335,756,757 $ 840,881,664 $ 591,760,626 Cash................................................................ 1,701,148 -- -- Receivables: Capital shares sold........................................... 11,425,510 -- -- Dividends..................................................... 1,181,092 324,805 217,943 Securities lending income..................................... 765,517 1,914 13,332 Prepaid expenses.................................................... 13,137 8,319 7,029 ---------------- ---------------- ---------------- Total Assets.................................................. 1,350,843,161 841,216,702 591,998,930 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... -- -- 8,742 Payables: Investment securities purchased............................... 11,405,060 -- -- Collateral for securities on loan............................. 1,709,899 4,282,914 10,565,019 Investment advisory fees...................................... 537,054 332,945 236,753 Licensing fees................................................ 92,848 56,505 42,892 Shareholder reporting fees.................................... 65,382 45,115 38,313 Audit and tax fees............................................ 14,481 14,481 14,481 Trustees' fees................................................ 750 681 649 Other liabilities................................................... 232,951 171,377 145,209 ---------------- ---------------- ---------------- Total Liabilities............................................. 14,058,425 4,904,018 11,052,058 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,336,784,736 $ 836,312,684 $ 580,946,872 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,478,105,894 $ 977,296,200 $ 726,092,914 Par value........................................................... 234,000 128,500 96,000 Accumulated distributable earnings (loss)........................... (141,555,158) (141,112,016) (145,242,042) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,336,784,736 $ 836,312,684 $ 580,946,872 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 57.13 $ 65.08 $ 60.52 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 23,400,002 12,850,002 9,600,002 ================ ================ ================ Investments, at cost................................................ $ 1,277,062,367 $ 805,658,637 $ 597,684,294 ================ ================ ================ Securities on loan, at value........................................ $ 1,647,721 $ 4,193,198 $ 10,417,192 ================ ================ ================
Page 108 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,115,793,108 $ 878,814,025 $ 88,531,668 $ 169,712,482 $ 55,064,482 $ 218,023,201 -- -- -- -- 155,678 159,191 2,518,238 -- -- -- -- 4,055,367 1,254,364 521,890 75,892 62,929 31,034 34,392 -- 1,076,693 409 111,906 123 158 10,347 8,657 2,454 3,126 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,119,576,057 880,421,265 88,610,423 169,890,443 55,251,317 222,272,309 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- -- -- -- -- -- -- 5,016,587 -- -- -- -- 4,052,395 -- 2,672,069 543,282 871,281 362,459 1,216,600 447,372 353,870 33,382 67,496 29,742 118,267 75,530 61,125 5,733 12,388 -- -- 51,869 39,919 6,085 11,209 -- -- 14,481 14,481 14,481 14,481 -- -- 727 695 586 598 -- -- 209,045 170,601 30,092 34,039 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 5,815,611 3,312,760 633,641 1,011,492 392,201 5,387,262 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,113,760,446 $ 877,108,505 $ 87,976,782 $ 168,878,951 $ 54,859,116 $ 216,885,047 ================ ================ ================ ================ ================ ================ $ 1,344,019,553 $ 905,470,806 $ 121,839,428 $ 177,359,024 $ 73,639,644 $ 244,680,725 219,500 140,000 16,500 25,000 16,000 53,000 (230,478,607) (28,502,301) (33,879,146) (8,505,073) (18,796,528) (27,848,678) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,113,760,446 $ 877,108,505 $ 87,976,782 $ 168,878,951 $ 54,859,116 $ 216,885,047 ================ ================ ================ ================ ================ ================ $ 50.74 $ 62.65 $ 53.32 $ 67.55 $ 34.29 $ 40.92 ================ ================ ================ ================ ================ ================ 21,950,002 14,000,002 1,650,002 2,500,002 1,600,002 5,300,002 ================ ================ ================ ================ ================ ================ $ 1,129,096,548 $ 814,162,241 $ 89,842,274 $ 155,303,280 $ 56,590,894 $ 203,772,300 ================ ================ ================ ================ ================ ================ $ -- $ 2,583,600 $ 531,202 $ 849,849 $ 353,568 $ 1,195,656 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 109 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JANUARY 31, 2019 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYT) (FYC) (FMK) ---------------- ---------------- ---------------- ASSETS: Investments, at value............................................... $ 62,848,333 $ 292,595,401 $ 25,555,824 Cash................................................................ 130,821 109,986 -- Receivables: Capital shares sold........................................... -- 2,183,296 -- Dividends..................................................... 40,277 44,384 41,935 Securities lending income..................................... 1,354 11,497 -- Prepaid expenses.................................................... -- -- -- ---------------- ---------------- ---------------- Total Assets.................................................. 63,020,785 294,944,564 25,597,759 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... -- -- 1,673 Payables: Investment securities purchased............................... -- 2,183,498 -- Collateral for securities on loan............................. 1,515,435 3,956,978 -- Investment advisory fees...................................... 34,305 165,123 14,940 Licensing fees................................................ -- -- -- Shareholder reporting fees.................................... -- -- -- Audit and tax fees............................................ -- -- -- Trustees' fees................................................ -- -- -- Other liabilities................................................... -- -- -- ---------------- ---------------- ---------------- Total Liabilities............................................. 1,549,740 6,305,599 16,613 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 61,471,045 $ 288,638,965 $ 25,581,146 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 92,448,017 $ 349,386,141 $ 29,086,370 Par value........................................................... 17,500 65,500 7,500 Accumulated distributable earnings (loss)........................... (30,994,472) (60,812,676) (3,512,724) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 61,471,045 $ 288,638,965 $ 25,581,146 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 35.13 $ 44.07 $ 34.11 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 1,750,002 6,550,002 750,002 ================ ================ ================ Investments, at cost................................................ $ 67,698,291 $ 300,165,549 $ 25,040,001 ================ ================ ================ Securities on loan, at value........................................ $ 1,485,449 $ 3,895,319 $ -- ================ ================ ================
Page 110 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2019 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE SMALL CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) (FYX) ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends........................................................... $ 13,107,669 $ 6,683,306 $ 5,327,930 Securities lending income (net of fees)............................. 786,750 67,654 192,401 Foreign withholding tax............................................. -- (1,042) (146) ---------------- ---------------- ---------------- Total investment income....................................... 13,894,419 6,749,918 5,520,185 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 3,621,613 2,183,410 1,698,956 Accounting and administration fees.................................. 341,261 219,861 171,920 Licensing fees...................................................... 148,766 91,412 72,100 Custodian fees...................................................... 83,886 82,235 92,472 Shareholder reporting fees.......................................... 66,341 53,297 49,701 Transfer agent fees................................................. 30,710 21,834 16,989 Legal fees.......................................................... 27,101 16,945 13,525 Trustees' fees and expenses......................................... 4,138 3,867 3,769 Audit and tax fees.................................................. 3,963 3,963 3,963 Listing fees........................................................ 2,534 2,390 1,862 Registration and filing fees........................................ 51 25 25 Other expenses...................................................... 18,219 10,375 8,241 ---------------- ---------------- ---------------- Total expenses................................................ 4,348,583 2,689,614 2,133,523 Less fees waived and expenses reimbursed by the investment advisor ................................................... -- -- -- ---------------- ---------------- ---------------- Net expenses.................................................. 4,348,583 2,689,614 2,133,523 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 9,545,836 4,060,304 3,386,662 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (58,617,487) (57,063,757) (46,304,633) In-kind redemptions........................................... 80,244,137 50,387,540 58,571,763 ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 21,626,650 (6,676,217) 12,267,130 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. (119,975,337) (56,932,166) (87,849,927) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (98,348,687) (63,608,383) (75,582,797) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ (88,802,851) $ (59,548,079) $ (72,196,135) ================ ================ ================
See Notes to Financial Statements Page 111 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE SIX MONTHS ENDED JANUARY 31, 2019 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FTA) (FTC) (FAB) ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends........................................................... $ 14,571,382 $ 4,634,357 $ 1,043,518 Securities lending income (net of fees)............................. -- 1,103,060 5,338 Foreign withholding tax............................................. -- -- (70) ---------------- ---------------- ---------------- Total investment income....................................... 14,571,382 5,737,417 1,048,786 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 2,839,952 2,301,197 219,804 Accounting and administration fees.................................. 278,463 230,996 23,973 Licensing fees...................................................... 118,095 96,043 12,572 Custodian fees...................................................... 75,661 61,679 35,792 Shareholder reporting fees.......................................... 56,109 50,623 9,245 Transfer agent fees................................................. 26,801 23,011 2,198 Legal fees.......................................................... 21,240 17,985 1,571 Trustees' fees and expenses......................................... 4,009 3,892 3,453 Audit and tax fees.................................................. 3,963 3,963 3,963 Listing fees........................................................ 2,484 2,392 3,297 Registration and filing fees........................................ 25 25 51 Other expenses...................................................... 13,248 10,044 2,207 ---------------- ---------------- ---------------- Total expenses................................................ 3,440,050 2,801,850 318,126 Less fees waived and expenses reimbursed by the investment advisor.................................................... -- -- (10,399) ---------------- ---------------- ---------------- Net expenses.................................................. 3,440,050 2,801,850 307,727 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 11,131,332 2,935,567 741,059 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... 6,586,292 (70,778,551) 813,913 In-kind redemptions........................................... 1,236,571 62,970,439 -- ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 7,822,863 (7,808,112) 813,913 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. (83,013,196) (65,715,879) (6,917,314) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (75,190,333) (73,523,991) (6,103,401) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ (64,059,001) $ (70,588,424) $ (5,362,342) ================ ================ ================
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). Page 112 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 803,740 $ 554,357 $ 829,536 $ 749,862 $ 1,329,472 $ 184,148 130,828 1,940 23,067 18,585 129,014 -- -- (122) -- (27) (487) -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 934,568 556,175 852,603 768,420 1,457,999 184,148 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 478,447 177,128 (a) 795,742 (a) 226,666 (a) 1,375,338 (a) 65,673 (a) 50,008 -- -- -- -- -- 23,122 -- -- -- -- -- 11,427 -- -- -- -- -- 17,685 -- -- -- -- -- 4,785 -- -- -- -- -- 3,994 -- -- -- -- -- 3,518 -- -- -- -- -- 3,963 -- -- -- -- -- 3,299 -- -- -- -- -- 25 -- -- -- -- -- 2,749 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 603,022 177,128 795,742 226,666 1,375,338 65,673 -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 603,022 177,128 795,742 226,666 1,375,338 65,673 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 331,546 379,047 56,861 541,754 82,661 118,475 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (9,346,282) (538,387) (15,941,426) 136,894 (43,593,259) (342,648) 5,698,945 (226,454) 1,458,896 482,464 24,570,236 322,482 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (3,647,337) (764,841) (14,482,530) 619,358 (19,023,023) (20,166) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (14,275,958) (2,842,814) (6,605,685) (7,625,859) (37,510,589) (299,255) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (17,923,295) (3,607,655) (21,088,215) (7,006,501) (56,533,612) (319,421) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ (17,591,749) $ (3,228,608) $ (21,031,354) $ (6,464,747) $ (56,450,951) $ (200,946) ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 113 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 1/31/2019 Year Ended 1/31/2019 Year Ended (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss)................................... $ 9,545,836 $ 17,463,068 $ 4,060,304 $ 7,266,460 Net realized gain (loss)....................................... 21,626,650 170,169,065 (6,676,217) 92,051,574 Net change in unrealized appreciation (depreciation)........... (119,975,337) 2,749,559 (56,932,166) 17,631,177 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations............................................. (88,802,851) 190,381,692 (59,548,079) 116,949,211 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations.......................................... (9,391,121) (4,762,960) -------------- -------------- Net investment income.......................................... (16,891,666) (7,074,436) -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold...................................... 311,585,601 678,795,675 254,115,998 480,574,743 Cost of shares redeemed........................................ (417,530,511) (865,809,200) (255,224,690) (386,711,821) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................... (105,944,910) (187,013,525) (1,108,692) 93,862,922 -------------- -------------- -------------- -------------- Payment from the Advisor....................................... -- -- -- -- -------------- -------------- -------------- -------------- Total increase (decrease) in net assets........................ (204,138,882) (13,523,499) (65,419,731) 203,737,697 NET ASSETS: Beginning of period............................................ 1,540,923,618 1,554,447,117 901,732,415 697,994,718 -------------- -------------- -------------- -------------- End of period.................................................. $1,336,784,736 $1,540,923,618 $ 836,312,684 $ 901,732,415 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period............................................ $ 960,658 $ 499,939 ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period........................ 25,350,002 28,750,002 12,950,002 11,650,002 Shares sold.................................................... 5,100,000 11,700,000 3,650,000 7,300,000 Shares redeemed................................................ (7,050,000) (15,100,000) (3,750,000) (6,000,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period.............................. 23,400,002 25,350,002 12,850,002 12,950,002 ============== ============== ============== ==============
Page 114 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYX) (FTA) (FTC) (FAB) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Six Months Ended Ended Ended Ended 1/31/2019 Year Ended 1/31/2019 Year Ended 1/31/2019 Year Ended 1/31/2019 Year Ended (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 3,386,662 $ 4,832,166 $ 11,131,332 $ 20,527,581 $ 2,935,567 $ 2,737,003 $ 741,059 $ 1,666,170 12,267,130 58,086,878 7,822,863 80,006,931 (7,808,112) 85,736,876 813,913 10,569,329 (87,849,927) 32,068,741 (83,013,196) (15,921,913) (65,715,879) 45,613,827 (6,917,314) (2,388,322) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (72,196,135) 94,987,785 (64,059,001) 84,612,599 (70,588,424) 134,087,706 (5,362,342) 9,847,177 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (3,467,501) (12,145,211) (1,629,790) (839,041) -------------- -------------- -------------- -------------- (4,463,156) (19,621,362) (2,780,516) (1,582,542) -------------- -------------- -------------- -------------- 236,990,124 342,228,917 86,163,371 495,692,611 394,453,412 516,532,534 2,412,024 13,593,728 (308,481,339) (200,105,675) (42,552,236) (471,327,725) (345,124,477) (398,790,450) -- (41,051,232) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (71,491,215) 142,123,242 43,611,135 24,364,886 49,328,935 117,742,084 2,412,024 (27,457,504) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -- 3,456,678 -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (147,154,851) 236,104,549 (32,593,077) 89,356,123 (22,889,279) 249,049,274 (3,789,359) (19,192,869) 728,101,723 491,997,174 1,146,353,523 1,056,997,400 899,997,784 650,948,510 91,766,141 110,959,010 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 580,946,872 $ 728,101,723 $1,113,760,446 $1,146,353,523 $ 877,108,505 $ 899,997,784 $ 87,976,782 $ 91,766,141 ============== ============== ============== ============== ============== ============== ============== ============== $ 440,801 $ 1,084,196 $ 224,389 $ 92,955 ============== ============== ============== ============== 10,900,002 8,750,002 21,200,002 20,750,002 13,450,002 11,650,002 1,600,002 2,100,002 3,550,000 5,500,000 1,650,000 9,300,000 5,850,000 8,350,000 50,000 250,000 (4,850,000) (3,350,000) (900,000) (8,850,000) (5,300,000) (6,550,000) -- (750,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 9,600,002 10,900,002 21,950,002 21,200,002 14,000,002 13,450,002 1,650,002 1,600,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 115 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST MULTI CAP GROWTH MID CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 1/31/2019 Year Ended 1/31/2019 Year Ended (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss)................................... $ 331,546 $ 237,431 $ 379,047 $ 813,339 Net realized gain (loss)....................................... (3,647,337) 11,522,148 (764,841) 3,643,568 Net change in unrealized appreciation (depreciation)........... (14,275,958) 13,754,135 (2,842,814) 528,908 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations............................................. (17,591,749) 25,513,714 (3,228,608) 4,985,815 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations.......................................... (221,885) (469,361) -------------- -------------- Net investment income.......................................... (285,705) (792,136) -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold...................................... 35,256,414 105,028,519 12,009,848 30,054,698 Cost of shares redeemed........................................ (41,249,148) (41,400,652) (3,017,849) (41,884,419) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................... (5,992,734) 63,627,867 8,991,999 (11,829,721) -------------- -------------- -------------- -------------- Payment from the Advisor....................................... -- -- -- -- -------------- -------------- -------------- -------------- Total increase (decrease) in net assets........................ (23,806,368) 88,855,876 5,294,030 (7,636,042) NET ASSETS: Beginning of period............................................ 192,685,319 103,829,443 49,565,086 57,201,128 -------------- -------------- -------------- -------------- End of period.................................................. $ 168,878,951 $ 192,685,319 $ 54,859,116 $ 49,565,086 ============== ============== ============== ============== Accumulated net investment income (loss) at end of period............................................ $ -- $ 62,366 ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period........................ 2,650,002 1,750,002 1,350,002 1,700,002 Shares sold.................................................... 500,000 1,550,000 350,000 850,000 Shares redeemed................................................ (650,000) (650,000) (100,000) (1,200,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period.............................. 2,500,002 2,650,002 1,600,002 1,350,002 ============== ============== ============== ==============
Page 116 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FNY) (FYT) (FYC) (FMK) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Six Months Ended Ended Ended Ended 1/31/2019 Year Ended 1/31/2019 Year Ended 1/31/2019 Year Ended 1/31/2019 Year Ended (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 (Unaudited) 7/31/2018 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 56,861 $ 32,769 $ 541,754 $ 896,363 $ 82,661 $ 192,452 $ 118,475 $ 204,767 (14,482,530) 18,724,432 619,358 3,146,060 (19,023,023) 19,411,766 (20,166) 2,470,720 (6,605,685) 8,584,431 (7,625,859) 3,566,680 (37,510,589) 17,177,486 (299,255) (254,556) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (21,031,354) 27,341,632 (6,464,747) 7,609,103 (56,450,951) 36,781,704 (200,946) 2,420,931 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (115,920) (591,261) (105,410) (105,351) -------------- -------------- -------------- -------------- (158,280) (796,501) (266,415) (199,431) -------------- -------------- -------------- -------------- 61,833,490 201,971,586 7,054,787 66,084,125 256,869,091 364,025,842 16,342,212 16,863,212 (38,440,536) (109,215,958) (14,531,204) (59,215,518) (272,683,871) (157,067,136) (6,386,208) (18,649,362) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 23,392,954 92,755,628 (7,476,417) 6,868,607 (15,814,780) 206,958,706 9,956,004 (1,786,150) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -- -- -- 519,907 -- 1,053,251 -- -- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 2,245,680 119,938,980 (14,532,425) 14,201,116 (72,371,141) 244,527,246 9,649,707 435,350 214,639,367 94,700,387 76,003,470 61,802,354 361,010,106 116,482,860 15,931,439 15,496,089 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 216,885,047 $ 214,639,367 $ 61,471,045 $ 76,003,470 $ 288,638,965 $ 361,010,106 $ 25,581,146 $ 15,931,439 ============== ============== ============== ============== ============== ============== ============== ============== $ (29,735) $ 118,189 $ -- $ 18,444 ============== ============== ============== ============== 4,900,002 2,700,002 1,950,002 1,800,002 7,400,002 3,000,002 450,002 500,002 1,400,000 5,000,000 200,000 1,800,000 5,150,000 8,100,000 500,000 500,000 (1,000,000) (2,800,000) (400,000) (1,650,000) (6,000,000) (3,700,000) (200,000) (550,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 5,300,002 4,900,002 1,750,002 1,950,002 6,550,002 7,400,002 750,002 450,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 117 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 60.79 $ 54.07 $ 46.93 $ 45.96 $ 43.21 $ 37.10 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.40 0.69 0.61 0.64 0.57 0.49 Net realized and unrealized gain (loss) (3.67) 6.69 7.16 0.95 2.75 6.10 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (3.27) 7.38 7.77 1.59 3.32 6.59 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.39) (0.66) (0.63) (0.62) (0.57) (0.48) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 57.13 $ 60.79 $ 54.07 $ 46.93 $ 45.96 $ 43.21 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (5.36)% 13.72% 16.68% 3.59% 7.67% 17.83% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,336,785 $1,540,924 $1,554,447 $1,506,341 $1,932,424 $1,151,542 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% (b) 0.61% 0.61% 0.61% 0.61% 0.64% Ratio of net expenses to average net assets 0.60% (b) 0.61% 0.61% 0.61% 0.61% 0.64% Ratio of net investment income (loss) to average net assets 1.32% (b) 1.17% 1.21% 1.43% 1.25% 1.25% Portfolio turnover rate (c) 46% 87% 90% 109% 91% 78%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 69.63 $ 59.91 $ 52.80 $ 52.97 $ 50.65 $ 44.95 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.31 0.61 0.56 0.56 0.51 0.31 Net realized and unrealized gain (loss) (4.50) 9.71 7.12 (0.21) 2.31 5.75 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (4.19) 10.32 7.68 0.35 2.82 6.06 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.36) (0.60) (0.57) (0.52) (0.50) (0.36) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 65.08 $ 69.63 $ 59.91 $ 52.80 $ 52.97 $ 50.65 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (5.98)% 17.30% 14.61% 0.76% 5.55% 13.49% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 836,313 $ 901,732 $ 697,995 $ 644,144 $1,016,952 $ 861,094 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% (b) 0.62% 0.63% 0.63% 0.62% 0.64% Ratio of net expenses to average net assets 0.62% (b) 0.62% 0.63% 0.63% 0.62% 0.64% Ratio of net investment income (loss) to average net assets 0.93% (b) 0.94% 1.00% 1.10% 0.97% 0.64% Portfolio turnover rate (c) 54% 101% 103% 126% 102% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 118 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 66.80 $ 56.23 $ 48.91 $ 48.24 $ 46.07 $ 42.20 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.33 0.52 0.41 0.39 0.35 0.22 Net realized and unrealized gain (loss) (6.28) 10.53 7.40 0.64 2.17 3.86 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (5.95) 11.05 7.81 1.03 2.52 4.08 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.33) (0.48) (0.49) (0.36) (0.35) (0.21) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 60.52 $ 66.80 $ 56.23 $ 48.91 $ 48.24 $ 46.07 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (8.88)% 19.72%(d) 16.03% 2.20% 5.45% 9.66% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 580,947 $ 728,102 $ 491,997 $ 442,627 $ 701,882 $ 520,550 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.63% 0.63% 0.64% 0.63% 0.66% Ratio of net expenses to average net assets 0.63% (b) 0.63% 0.63% 0.64% 0.63% 0.66% Ratio of net investment income (loss) to average net assets 1.00% (b) 0.87% 0.78% 0.86% 0.73% 0.49% Portfolio turnover rate (c) 57% 116% 111% 126% 97% 89%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 54.07 $ 50.94 $ 41.98 $ 41.61 $ 42.48 $ 36.78 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.50 1.02 0.77 0.78 (e) 0.77 0.69 Net realized and unrealized gain (loss) (3.28) 3.08 8.96 0.38 (0.87) 5.69 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.78) 4.10 9.73 1.16 (0.10) 6.38 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.55) (0.97) (0.77) (0.79) (0.77) (0.68) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 50.74 $ 54.07 $ 50.94 $ 41.98 $ 41.61 $ 42.48 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (5.10)% 8.12% 23.35% 2.94% (0.29)% 17.46% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,113,760 $1,146,354 $1,056,997 $ 831,256 $1,181,747 $1,021,608 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% (b) 0.61% 0.62% 0.62% 0.62% 0.64% Ratio of net expenses to average net assets 0.61% (b) 0.61% 0.62% 0.62% 0.62% 0.64% Ratio of net investment income (loss) to average net assets 1.96% (b) 1.92% 1.63% 2.00% 1.77% 1.80% Portfolio turnover rate (c) 43% 82% 72% 94% 78% 68%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) The Fund received a payment from the Advisor in the amount of $3,456,678 in connection with a broker error, which represents $0.38 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. (e) Based on average shares outstanding. See Notes to Financial Statements Page 119 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 66.91 $ 55.88 $ 51.56 $ 49.95 $ 42.86 $ 36.26 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.21 0.23 0.33 0.35 0.32 0.23 Net realized and unrealized gain (loss) (4.36) 11.03 4.33 1.60 7.09 6.61 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (4.15) 11.26 4.66 1.95 7.41 6.84 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.11) (0.23) (0.34) (0.34) (0.32) (0.24) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 62.65 $ 66.91 $ 55.88 $ 51.56 $ 49.95 $ 42.86 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (6.19)% 20.19% 9.10% 3.96% 17.32% 18.88% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 877,109 $ 899,998 $ 650,949 $ 618,698 $ 681,765 $ 304,293 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% (b) 0.61% 0.62% 0.62% 0.63% 0.66% Ratio of net expenses to average net assets 0.61% (b) 0.61% 0.62% 0.62% 0.63% 0.66% Ratio of net investment income (loss) to average net assets 0.64% (b) 0.36% 0.63% 0.73% 0.68% 0.58% Portfolio turnover rate (c) 67% 119% 148% 149% 143% 138%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 57.35 $ 52.84 $ 44.91 $ 44.75 $ 45.71 $ 40.10 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.46 0.96 0.73 0.70 0.64 0.55 Net realized and unrealized gain (loss) (3.97) 4.45 7.96 0.13 (0.96) 5.60 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (3.51) 5.41 8.69 0.83 (0.32) 6.15 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.52) (0.90) (0.76) (0.67) (0.64) (0.54) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 53.32 $ 57.35 $ 52.84 $ 44.91 $ 44.75 $ 45.71 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (6.06)% 10.30% 19.46% 1.98% (0.74)% 15.38% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 87,977 $ 91,766 $ 110,959 $ 103,296 $ 196,887 $ 175,986 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.72% (b) 0.70% 0.66% 0.68% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.66% 0.68% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.69% (b) 1.67% 1.45% 1.61% 1.36% 1.29% Portfolio turnover rate (c) 44% 89% 81% 96% 82% 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) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 120 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 72.71 $ 59.33 $ 53.31 $ 52.16 $ 45.23 $ 39.59 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.12 0.12 0.25 0.24 0.23 0.12 Net realized and unrealized gain (loss) (5.20) 13.40 6.04 1.13 6.94 5.67 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (5.08) 13.52 6.29 1.37 7.17 5.79 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.08) (0.14) (0.27) (0.22) (0.24) (0.15) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 67.55 $ 72.71 $ 59.33 $ 53.31 $ 52.16 $ 45.23 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (6.98)% 22.82% 11.85% 2.66% 15.89% 14.63% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 168,879 $ 192,685 $ 103,829 $ 85,293 $ 91,279 $ 61,062 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.69% 0.70% 0.70% 0.72% 0.74% Ratio of net expenses to average net assets 0.63% (b) 0.69% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.35% (b) 0.18% 0.44% 0.50% 0.48% 0.27% Portfolio turnover rate (c) 64% 118% 142% 160% 135% 139%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 121 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 36.71 $ 33.65 $ 29.47 $ 29.56 $ 30.20 $ 26.63 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.25 0.58 0.44 0.43 0.39 0.24 Net realized and unrealized gain (loss) (2.35) 3.04 4.17 (0.10) (0.64) 3.56 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.10) 3.62 4.61 0.33 (0.25) 3.80 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.32) (0.56) (0.43) (0.42) (0.39) (0.23) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.29 $ 36.71 $ 33.65 $ 29.47 $ 29.56 $ 30.20 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (5.68)% 10.80% 15.72% 1.22% (0.87)% 14.30% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 54,859 $ 49,565 $ 57,201 $ 47,156 $ 75,389 $ 101,173 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.50% (b) 1.61% 1.31% 1.49% 1.27% 0.90% Portfolio turnover rate (c) 52% 94% 95% 114% 88% 84%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 43.80 $ 35.07 $ 31.22 $ 31.31 $ 27.61 $ 24.62 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.01 0.03 0.15 0.11 0.13 0.07 Net realized and unrealized gain (loss) (2.87) 8.75 3.87 (0.11) 3.71 3.00 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.86) 8.78 4.02 0.00 3.84 3.07 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.02) (0.05) (0.17) (0.09) (0.14) (0.08) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 40.92 $ 43.80 $ 35.07 $ 31.22 $ 31.31 $ 27.61 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (6.52)% 25.06% 12.94% 0.03% 13.91% 12.49% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 216,885 $ 214,639 $ 94,700 $ 82,725 $ 114,273 $ 41,422 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.05% (b) 0.02% 0.48% 0.35% 0.42% 0.08% Portfolio turnover rate (c) 76% 124% 153% 193% 159% 148%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 122 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 38.98 $ 34.33 $ 30.19 $ 30.20 $ 31.06 $ 27.96 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.32 0.48 0.41 0.26 0.28 0.23 Net realized and unrealized gain (loss) (3.83) 4.60 4.23 (0.04) (0.85) 3.09 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (3.51) 5.08 4.64 0.22 (0.57) 3.32 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.34) (0.43) (0.50) (0.23) (0.29) (0.22) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 35.13 $ 38.98 $ 34.33 $ 30.19 $ 30.20 $ 31.06 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (8.96)% 14.86%(d) 15.41% 0.79% (1.89)% 11.86% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 61,471 $ 76,003 $ 61,802 $ 54,341 $ 72,491 $ 62,110 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.67% (b) 1.28% 1.22% 0.89% 0.86% 0.72% Portfolio turnover rate (c) 60% 123% 110% 125% 96% 86%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 48.79 $ 38.83 $ 33.24 $ 32.18 $ 27.96 $ 26.01 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.01 0.06 0.05 0.09 0.04 (0.01) Net realized and unrealized gain (loss) (4.72) 9.97 5.63 1.04 4.20 1.97 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (4.71) 10.03 5.68 1.13 4.24 1.96 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.01) (0.07) (0.09) (0.07) (0.02) (0.01) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 44.07 $ 48.79 $ 38.83 $ 33.24 $ 32.18 $ 27.96 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (9.65)% 25.85%(e) 17.12% 3.54% 15.17% 7.52% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 288,639 $ 361,010 $ 116,483 $ 56,502 $ 88,492 $ 33,557 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.04% (b) 0.11% 0.12% 0.32% 0.09% (0.10)% Portfolio turnover rate (c) 75% 141% 162% 161% 153% 175%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) The Fund received a payment from the Advisor in the amount of $519,907 in connection with a broker error, which represents $0.27 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. (e) The Fund received a payment from the Advisor in the amount of $1,053,251 in connection with a broker error, which represents $0.25 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. See Notes to Financial Statements Page 123 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2019 ------------------------------------------------------------------ (UNAUDITED) 2018 2017 2016 2015 2014 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 35.40 $ 30.99 $ 27.09 $ 27.48 $ 26.23 $ 22.97 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.21 0.40 0.40 0.45 0.37 0.31 Net realized and unrealized gain (loss) (1.29) 4.40 3.92 (0.42) 1.27 3.24 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.08) 4.80 4.32 0.03 1.64 3.55 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.21) (0.39) (0.42) (0.42) (0.39) (0.29) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.11 $ 35.40 $ 30.99 $ 27.09 $ 27.48 $ 26.23 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (3.06)% 15.57% 16.10% 0.19% 6.29% 15.54% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 25,581 $ 15,931 $ 15,496 $ 14,897 $ 17,864 $ 13,117 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.26% (b) 1.21% 1.38% 1.69% 1.40% 1.28% Portfolio turnover rate (c) 74% 136% 128% 145% 134% 125%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 124 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-one exchange-traded funds considered either a Sector Fund or Style Fund. This report covers the twelve Style Funds listed below. The shares of each Style Fund are listed and traded on The Nasdaq Stock Market LLC ("Nasdaq"). First Trust Large Cap Core AlphaDEX(R) Fund - (ticker "FEX") First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX") First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX") First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA") First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC") First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB") First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD") First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK") First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY") First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT") First Trust Small Cap Growth AlphaDEX(R) Fund - (ticker "FYC") First Trust Mega Cap AlphaDEX(R) Fund - (ticker "FMK") Each fund represents a separate series of shares of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of 50,000 shares called a "Creation Unit." Creation Units are generally issued and redeemed in-kind for securities in which a Fund invests and, in certain circumstances, for cash, and only to and from broker-dealer and large institutional investors that have entered into participation agreements. Except when aggregated in Creation Units, each Fund's shares are not redeemable securities. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
FUND INDEX First Trust Large Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Core Index First Trust Mid Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Core Index First Trust Small Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Core Index First Trust Large Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Value Index First Trust Large Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Growth Index First Trust Multi Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Value Index First Trust Multi Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Growth Index First Trust Mid Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Value Index First Trust Mid Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Growth Index First Trust Small Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Value Index First Trust Small Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Growth Index First Trust Mega Cap AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mega Cap Index
2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board ("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 125 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. Page 126 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of January 31, 2019, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At January 31, 2019, all the Funds except FTA and FMK had securities in the securities lending program. Page 127 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the six months ended January 31, 2019, were received as collateral for lending securities. F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2018, 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 $ 16,891,666 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 7,074,436 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 4,463,156 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 19,621,362 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 2,780,516 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 1,582,542 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 285,705 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 792,136 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 158,280 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 796,501 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 266,415 -- -- First Trust Mega Cap AlphaDEX(R) Fund 199,431 -- --
Page 128 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) As of July 31, 2018, 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 $ 960,658 $ (213,331,767) $ 169,009,923 First Trust Mid Cap Core AlphaDEX(R) Fund 499,939 (165,618,070) 88,317,154 First Trust Small Cap Core AlphaDEX(R) Fund 470,743 (147,900,354) 77,851,205 First Trust Large Cap Value AlphaDEX(R) Fund 1,084,196 (211,404,185) 56,045,594 First Trust Large Cap Growth AlphaDEX(R) Fund 224,389 (85,899,432) 129,390,956 First Trust Multi Cap Value AlphaDEX(R) Fund 94,428 (32,545,217) 4,773,026 First Trust Multi Cap Growth AlphaDEX(R) Fund -- (18,859,117) 28,167,678 First Trust Mid Cap Value AlphaDEX(R) Fund 62,366 (16,056,480) 895,555 First Trust Mid Cap Growth AlphaDEX(R) Fund (29,735) (25,804,195) 19,132,526 First Trust Small Cap Value AlphaDEX(R) Fund 119,490 (26,079,228) 2,021,274 First Trust Small Cap Growth AlphaDEX(R) Fund -- (31,090,765) 26,834,450 First Trust Mega Cap AlphaDEX(R) Fund 18,444 (3,992,776) 767,905
G. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2015, 2016, 2017, and 2018 remain open to federal and state audit. As of January 31, 2019, 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, 2018, 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 Post Total Available Enactment - Capital through No Loss 7/31/2019 Expiration Available ----------------------- ----------------------- ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 1,020,863 $ 212,310,904 $ 213,331,767 First Trust Mid Cap Core AlphaDEX(R) Fund 1,502,304 164,115,766 165,618,070 First Trust Small Cap Core AlphaDEX(R) Fund 1,258,833 146,641,521 147,900,354 First Trust Large Cap Value AlphaDEX(R) Fund 298,768 211,105,417 211,404,185 First Trust Large Cap Growth AlphaDEX(R) Fund 1,803,151 84,096,281 85,899,432 First Trust Multi Cap Value AlphaDEX(R) Fund 322,362 32,222,855 32,545,217 First Trust Multi Cap Growth AlphaDEX(R) Fund 345,171 18,513,946 18,859,117 First Trust Mid Cap Value AlphaDEX(R) Fund -- 16,056,480 16,056,480 First Trust Mid Cap Growth AlphaDEX(R) Fund -- 25,804,195 25,804,195 First Trust Small Cap Value AlphaDEX(R) Fund -- 26,079,228 26,079,228 First Trust Small Cap Growth AlphaDEX(R) Fund -- 31,090,765 31,090,765 First Trust Mega Cap AlphaDEX(R) Fund -- 3,992,776 3,992,776
Page 129 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) During the taxable year ended July 31, 2018, the following Funds utilized Post-enactment capital loss carryforwards in the following amounts:
Capital Loss Utilized --------------------- First Trust Mid Cap Core AlphaDEX(R) Fund $ 9,043,099 First Trust Small Cap Core AlphaDEX(R) Fund 12,331,707 First Trust Large Cap Growth AlphaDEX(R) Fund 7,201,264 First Trust Multi Cap Value AlphaDEX(R) Fund 3,310,426 First Trust Multi Cap Growth AlphaDEX(R) Fund 3,097,994
Certain losses realized during the current fiscal year may be deferred and treated as occurring the first day of the following fiscal year for Federal income tax purposes. For the fiscal year ended July 31, 2018, 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 Mid Cap Growth AlphaDEX(R) Fund $ 29,735 $ --
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 ACCOUNTING PRONOUNCEMENT On August 28, 2018, the FASB issued Accounting Standards Update ("ASU") 2018-13, "Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement," which amends the fair value measurement disclosure requirements of ASC 820. The amendments of ASU 2018-13 include new, eliminated, and modified disclosure requirements of ASC 820. In addition, the amendments clarify that materiality is an appropriate consideration of entities when evaluating disclosure requirements. The ASU is effective for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of this ASU. The Funds have early adopted ASU 2018-13 for these financial statements, which did not result in a material impact. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. For the Unitary Fee Funds, First Trust is paid an annual unitary management fee of 0.70% of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit, license and other services, and excluding fee payments under the Investment Management Agreement, distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. For such Funds, the Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or Page 130 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) 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, 2019. 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 its Expense Cap. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the six months ended January 31, 2019 and fees waived or expenses borne by First Trust subject to recovery from the applicable Fund for the periods indicated were as follows:
Fees Waived or Expense Borne by First Trust Subject to Recovery ------------------------------------------------ Six Six Advisory Expense Months Year Year Months Fee Reim- Ended Ended Ended Ended Waivers bursements 1/31/2016 7/31/2017 7/31/2018 1/31/2019 Total --------- ---------- --------- --------- --------- --------- --------- First Trust Multi Cap Value AlphaDEX(R) Fund $ 10,399 $ -- $ -- $ -- $ -- $ 10,399 $ 10,399
During the fiscal year ended July 31, 2018, FYX, FYT, and FYC received a payment from the Advisor of $3,456,678, $519,907, and $1,053,251, respectively, in connection with a broker error. 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 six months ended January 31, 2019, 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 $ 660,344,723 $ 661,928,891 First Trust Mid Cap Core AlphaDEX(R) Fund 470,099,553 469,380,188 First Trust Small Cap Core AlphaDEX(R) Fund 380,603,763 380,372,233 First Trust Large Cap Value AlphaDEX(R) Fund 481,021,916 480,283,625 First Trust Large Cap Growth AlphaDEX(R) Fund 615,006,500 614,862,581 First Trust Multi Cap Value AlphaDEX(R) Fund 38,402,234 38,470,011 First Trust Multi Cap Growth AlphaDEX(R) Fund 121,780,867 122,002,698 First Trust Mid Cap Value AlphaDEX(R) Fund 26,316,740 26,347,621 First Trust Mid Cap Growth AlphaDEX(R) Fund 171,806,856 171,440,043 First Trust Small Cap Value AlphaDEX(R) Fund 38,845,740 38,941,179 First Trust Small Cap Growth AlphaDEX(R) Fund 290,844,876 290,447,825 First Trust Mega Cap AlphaDEX(R) Fund 14,815,552 14,788,813
Page 131 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) For the six months ended January 31, 2019, 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 $ 311,605,939 $ 417,612,678 First Trust Mid Cap Core AlphaDEX(R) Fund 253,161,384 255,273,023 First Trust Small Cap Core AlphaDEX(R) Fund 236,810,047 307,909,719 First Trust Large Cap Value AlphaDEX(R) Fund 85,908,453 42,435,892 First Trust Large Cap Growth AlphaDEX(R) Fund 394,172,880 345,376,492 First Trust Multi Cap Value AlphaDEX(R) Fund 2,405,554 -- First Trust Multi Cap Growth AlphaDEX(R) Fund 35,108,816 41,188,887 First Trust Mid Cap Value AlphaDEX(R) Fund 11,968,525 3,014,307 First Trust Mid Cap Growth AlphaDEX(R) Fund 61,630,095 38,393,722 First Trust Small Cap Value AlphaDEX(R) Fund 7,042,119 14,504,220 First Trust Small Cap Growth AlphaDEX(R) Fund 256,242,868 272,362,216 First Trust Mega Cap AlphaDEX(R) Fund 16,335,144 6,384,396
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. Page 132 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2019. 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 133 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS 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 each Fund's website at www.ftportfolios.com; and (3) on the SEC's website at www.sec.gov. Beginning in April 2019, the Trust will cease to disclose each Fund's holdings on Form N-Q and will file Form N-PORT with the SEC on a fiscal quarter basis. Part F of Form N-PORT, which contains the complete schedule of each Fund's portfolio holdings, will be made available in the same manner as Form N-Q discussed above. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a large percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is not concentrated. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. Page 134 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2019 (UNAUDITED) ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could significantly increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 135 This page is intentionally left blank. -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603 [BLANK BACK COVER] ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEMS 6. INVESTMENTS. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. (a) Not applicable. (b) Not applicable. ITEM 13. EXHIBITS. (a)(1) Not applicable. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not applicable. (a)(4) Not applicable. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(R) Fund -------------------------------------------------- By (Signature and Title) /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) Date: April 10, 2019 ---------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer Date: April 10, 2019 ---------------- By (Signature and Title) /s/ Donald P. Swade ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer Date: April 10, 2019 ---------------- 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: April 10, 2019 /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: April 10, 2019 /s/ Donald P. Swade ---------------- ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting 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: April 10, 2019 /s/ James M. Dykas ---------------- ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) I, Donald P. Swade, Treasurer, 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: April 10, 2019 /s/ Donald P. Swade ---------------- ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)