0001445546-19-004220.txt : 20191004 0001445546-19-004220.hdr.sgml : 20191004 20191004112919 ACCESSION NUMBER: 0001445546-19-004220 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20190731 FILED AS OF DATE: 20191004 DATE AS OF CHANGE: 20191004 EFFECTIVENESS DATE: 20191004 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED ALPHADEX FUND CENTRAL INDEX KEY: 0001383496 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-22019 FILM NUMBER: 191137906 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-CSR 1 adex_ncsr.txt ANNUAL CERTIFIED SHAREHOLDER REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-22019 ----------- First Trust Exchange-Traded AlphaDEX(R) Fund ------------------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ------------------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ------------------------------------------------------------- (Name and address of agent for service) registrant's telephone number, including area code: (630) 765-8000 ---------------- Date of fiscal year end: July 31 --------- Date of reporting period: July 31, 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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORT TO STOCKHOLDERS. The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Annual Report July 31, 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(R) FAMILY OF ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS ANNUAL REPORT JULY 31, 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).................... 28 First Trust Energy AlphaDEX(R) Fund (FXN).............................. 29 First Trust Financials AlphaDEX(R) Fund (FXO).......................... 31 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)........................... 43 Statements of Assets and Liabilities......................................... 44 Statements of Operations..................................................... 46 Statements of Changes in Net Assets.......................................... 48 Financial Highlights......................................................... 52 Notes to Financial Statements................................................ 57 Report of Independent Registered Public Accounting Firm...................... 65 Additional Information....................................................... 66 Board of Trustees and Officers............................................... 72 Privacy Policy............................................................... 74 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 ANNUAL LETTER FROM THE CHAIRMAN AND CEO JULY 31, 2019 Dear Shareholders: One thing we can all agree on and expect: headline news coming out of Washington, DC continues to influence the financial markets. By late February of 2019, President Trump announced the U.S. was close to a trade deal with China, yet by May 10, existing tariffs on Chinese imports jumped from 10% to 25%. Furthermore, the President's threat of additional tariffs on the remaining $300 billion in Chinese imports became a reality with his announcement after a Federal Funds rate cut of 0.25% on the last day of July. This led many to wonder if these events could be signaling a recession. While reticent investors sought cover in "risk-on" assets, calendar year-to-date performances of broad markets as of July 31, 2019, were strong. Both U.S. and world equities, as indicated by the S&P 500(R) Index and the MSCI All Country World Index, returned 20.24% and 16.57%, respectively. Bonds, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned 6.35%, for the same period. Despite the ongoing bluster of the news cycle, we believe the economy is doing well and productivity growth, due to deregulation and lower taxes on corporate profits, has improved over the last two years. o The Consumer Confidence Index of 135.7 for July is strong and at the highest level this year. o The U.S. inflation rate hovers near 2%, on average, as it has for the last decade. o July's unemployment rate of 3.7% barely moved from 3.6% in May, which was the lowest level since December of 1969. Before you head for the exits or reach for the antacids due to the latest political equivocation, keep a balanced perspective in view. Remember, no one can predict the inevitable and expected market fluctuations. Speak periodically with your investment professional, who can provide insight when it comes to investing and discovering opportunities when they arise. Thank you for giving First Trust the opportunity to be a part of your financial plan. We value our relationship with you. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 31, 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 The trade conflict between the U.S. and China was nearly 17-months-old at the close of July 2019. In our opinion, the most notable change from the business climate of 2018 to that of 2019 was the Trump Administration's ratcheting up of tariffs on roughly $200 billion of imported goods from China. On May 10, 2019, tariffs jumped from 10% to 25%. At the end of July, President Trump decided to up the ante on China by announcing a 10% tariff on the remaining $300 billion or so in goods shipped to the U.S. annually. The Trump Administration tends to play the tariff card whenever trade negotiations get bogged down. The tariff was to begin on September 1, 2019. We learned in August, however, that President Trump softened his stance by shielding some consumer products from the new tariff until at least December in order to allow retailers to stock their inventories for the critical holiday shopping season. The ongoing dispute has become a drag on global growth, according to organizations such as the International Monetary Fund. While the U.S. economy continues to flourish relative to many other developed and emerging economies, recent data suggests that China's economy is being stressed by the tariffs. China's gross domestic product rose at an annualized pace of 6.2% in the second quarter of 2019, the slowest rate of growth in 27 years, according to MarketWatch. CNBC reported that, as of July 1, 2019, the current U.S. economic expansion will become the longest in its history, breaking the previous record of 120 months of growth from March 1991 to March 2001, according to data from the National Bureau of Economic Research. The recent escalation in the trade conflict between the U.S. and China has investors flocking to safe-haven assets around the globe, including bonds. One reflection of this is the market value of the Bloomberg Barclays Global Negative Yielding Debt Index, which closed the July 31, 2019 trading session at $14.01 trillion, according to Bloomberg. Another is the plunge in the yield on the benchmark 10-year Treasury Note, which declined by 94 basis points to 2.02% over the past 12 months. More than half of that drop transpired after mid-April 2019. ETFGI, an independent research and consultancy firm, reported that total assets invested in exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") listed globally stood at an all-time high of $5.74 trillion in July 2019, up from $5.12 trillion a year ago, according to its own release. Total assets of U.S. listed ETFs/ETPs also stood at an all-time high of $4.02 trillion for the same period, up from $3.63 trillion a year ago. SECTOR/EQUITY INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end mutual funds and ETFs. The flows are reported over time on a rolling 12-month basis. For the 12-month period ended July 31, 2019, U.S. Equity funds/ETFs reported estimated net inflows totaling $40.68 billion, according to data from Morningstar. As has been the case in recent years, investors are favoring passive funds over actively managed funds. Passive U.S. Equity funds/ETFs reported estimated net inflows totaling $242.78 billion, compared to estimated net outflows totaling $202.10 billion for actively managed U.S. Equity funds/ETFs, for the same period. Investors shied away from sector funds and sector ETFs. For the 12-month period ended July 31, 2019, Sector Equity funds/ETFs reported estimated net outflows totaling $50.79 billion. Passive Sector Equity funds/ETFs reported estimated net outflows totaling $20.18 billion, compared to estimated net outflows totaling $30.61 billion for actively managed Sector Equity funds/ETFs for the same period. For the 12-month period ended July 31, 2019, nine of the 11 major sectors that comprise the S&P 500(R) Index generated positive total returns, according to Bloomberg. The S&P 500(R) Index posted a total return of 7.99% over the period. Six of the 11 sectors outperformed the broader index. Those six sectors were as follows: Real Estate (+17.56%); Utilities (+16.53%); Information Technology (+15.72%); Communication Services (+14.82%); Consumer Staples (+14.64%); and Consumer Discretionary (+9.22%), according to Bloomberg. The two sectors that posted negative total returns for the period were Materials, down 0.14%, and Energy, down 15.99%. 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 3.13% 7.09% 13.90% 7.36% 40.84% 267.62% 138.32% Market Price 3.13% 7.09% 13.90% 7.36% 40.84% 267.33% 138.31% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index 3.79% 7.78% 14.69% 8.12% 45.44% 293.85% 159.96% Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19% S&P 500(R) Consumer Discretionary Index 9.22% 14.49% 18.75% 11.34% 96.73% 457.75% 271.81% Russell 1000(R) Consumer Discretionary Index(1) 11.21% 13.73% 18.12% N/A 90.28% 428.62% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXD's one-year net asset value ("NAV") return of 3.13% underperformed the S&P 500(R) Consumer Discretionary Index ("Benchmark") return of 9.22% by 6.09%. The Specialty Retail industry received the greatest allocation in the Fund during the period, with an average weight of 19.3%. This industry contributed 0.7% to the Fund's return. The greatest contributor to Fund performance was the Hotels, Restaurants, & Leisure industry. This industry received 14.6% allocation, performed 7.4% and contributed 1.8% to the Fund's overall return. The Auto Components industry was the greatest drag on the Fund, with a 6.1% weight, -26.6% return and -1.9% contribution to the Fund's return. The Fund underperformed the Benchmark during the period. The Hotels, Restaurants, & Leisure industry contributed the most to this underperformance. While the industry returned well in the Fund, the Benchmark gave this industry a slightly greater weight and received a much better return. In all, this industry contributed -3.4% to underperformance in the Fund versus the Benchmark. The greatest outperformance came from Internet & Direct Marketing Retail, which caused 0.7% outperformance for the Fund versus the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 78.60% Communication Services 15.28 Industrials 2.50 Consumer Staples 1.97 Information Technology 1.65 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Trade Desk (The), Inc., Class A 1.65% Qurate Retail, Inc., Series A 1.63 Roku, Inc. 1.63 Kohl's Corp. 1.62 Tempur Sealy International, Inc. 1.56 Gap (The), Inc. 1.55 Dick's Sporting Goods, Inc. 1.53 Macy's, Inc. 1.51 General Motors Co. 1.49 Urban Outfitters, Inc. 1.49 ------- Total 15.66% ======= ----------------------------- (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 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, 2009 - JULY 31, 2019 First Trust Russell 1000(R) Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Consumer AlphaDEX(R) Fund Discretionary Index Index Discretionary Index Discretionary Index 7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/10 11,458 11,502 11,027 11,545 11,471 7/31/10 12,508 12,604 11,450 12,614 12,380 1/31/11 15,402 15,576 13,599 15,076 14,937 7/31/11 16,854 17,122 13,819 16,209 15,907 1/31/12 16,505 16,847 14,135 17,058 16,686 7/31/12 16,339 16,702 14,918 18,136 17,897 1/31/13 19,526 20,041 16,543 21,094 20,901 7/31/13 23,228 23,924 18,831 25,155 24,704 1/31/14 24,587 25,424 20,221 26,865 26,407 7/31/14 26,102 27,082 22,045 28,348 27,780 1/31/15 28,135 29,289 23,003 30,361 29,674 7/31/15 30,420 31,779 24,522 35,061 33,544 1/31/16 26,447 27,711 22,587 32,722 30,877 7/31/16 29,711 31,222 25,708 36,298 34,487 1/31/17 29,719 31,335 27,287 38,113 35,942 7/31/17 31,223 33,027 29,808 41,345 39,252 1/31/18 36,812 39,067 34,336 49,164 46,679 7/31/18 35,649 37,946 34,631 51,062 47,528 1/31/19 34,433 36,755 33,589 50,005 47,005 7/31/19 36,764 39,386 37,404 55,775 52,862
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 158 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% 8/1/14 - 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 - 7/31/19 89 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 0.83% 5.67% 12.41% 8.52% 31.73% 222.01% 171.82% Market Price 0.94% 5.68% 12.41% 8.52% 31.79% 222.08% 171.86% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index 1.49% 6.34% 13.23% 9.32% 36.00% 246.57% 197.26% Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19% S&P 500(R) Consumer Staples Index 14.64% 9.65% 12.42% 9.66% 58.49% 222.32% 209.01% Russell 1000(R) Consumer Staples Index(1) 10.13% 8.16% 11.97% N/A 48.00% 209.80% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXG's one-year NAV return of 0.83% underperformed the S&P 500(R) Consumer Staples Index ("Benchmark") return of 14.64% by 13.81%. Over the period, the Food Products industry was given the greatest allocation in the Fund with a weighting of 53.8%. With a return of 5.7% and contribution of 3.3% to the Fund's total return, this industry was the greatest positive contributor to the Fund's return. The Food & Staples Retailing industry caused the greatest drag in the portfolio, with a weight of 20.5%, return of -6.2%, and contribution to the Fund's return of -1.6%. The Fund underperformed the Benchmark during the period. The Household Products industry caused the most underperformance. The Benchmark allocated 22.3% to this industry, in contrast with the Fund's 10.2%, and these investments in the Benchmark returned 35%, while Household Products in the Fund returned 9.0%. In all, Household Products accounted for -4.3% underperformance in the Fund. The greatest outperformance for the Fund came simply by investing very little in the Tobacco industry. This industry was very nearly absent from the Fund, with an average allocation of only 0.5%, and earned 2.3% outperformance in the Fund versus the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Staples 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Pilgrim's Pride Corp. 5.92% Casey's General Stores, Inc. 5.77 Archer-Daniels-Midland Co. 5.59 Walgreens Boots Alliance, Inc. 5.54 Kroger (The) Co. 5.41 Molson Coors Brewing Co., Class B 5.36 Hershey (The) Co. 4.31 Campbell Soup Co. 3.93 Constellation Brands, Inc., Class A 3.81 Tyson Foods, Inc., Class A 3.75 ------- Total 49.39% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) 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 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, 2009 - JULY 31, 2019 S&P 500(R) Russell 1000(R) First Trust Consumer StrataQuant(R) Russell 1000(R) Consumer Staples Consumer Staples Staples AlphaDEX(R) Fund Consumer Staples Index Index Index Index 7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/10 10,819 10,855 11,027 10,876 10,850 7/31/10 11,597 11,679 11,450 11,334 11,385 1/31/11 12,982 13,132 13,599 12,351 12,396 7/31/11 15,216 15,448 13,819 13,341 13,668 1/31/12 14,701 14,985 14,135 14,087 14,242 7/31/12 14,754 15,144 14,918 15,965 15,946 1/31/13 17,187 17,704 16,543 16,766 16,934 7/31/13 21,230 21,968 18,831 18,986 19,242 1/31/14 22,000 22,846 20,221 18,955 19,317 7/31/14 24,445 25,483 22,045 20,337 20,933 1/31/15 27,652 28,895 23,003 22,918 23,521 7/31/15 30,091 31,545 24,522 24,261 25,313 1/31/16 28,818 30,289 22,587 24,863 25,824 7/31/16 32,858 34,651 25,708 27,093 28,213 1/31/17 30,758 32,540 27,287 26,462 27,643 7/31/17 31,770 33,722 29,808 28,285 29,247 1/31/18 34,449 36,686 34,336 30,013 30,162 7/31/18 31,941 34,147 34,631 28,119 28,132 1/31/19 31,391 33,652 33,589 28,476 28,321 7/31/19 32,204 34,655 37,404 32,235 30,980
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 114 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% 8/1/14 - 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 - 7/31/19 135 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV -35.77% -16.18% -1.22% -3.99% -58.62% -11.52% -39.25% Market Price -35.87% -16.19% -1.23% -4.00% -58.66% -11.60% -39.31% INDEX PERFORMANCE StrataQuant(R) Energy Index -35.50% -15.78% -0.62% -3.41% -57.63% -6.05% -34.57% Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19% S&P 500(R) Energy Index -15.99% -5.24% 4.37% 1.83% -23.59% 53.41% 24.84% Russell 1000(R) Energy Index(1) -17.58% -6.33% 3.79% N/A -27.90% 45.05% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXN's one-year NAV return of -35.77% underperformed the S&P 500(R) Energy Index ("Benchmark") return of -15.99% by 19.78%. The Oil, Gas, & Consumable Fuels industry was given by far the greatest allocation in the Fund and caused significant negative performance in the Fund. The allocation of 84.9% performed -36.3%, contributing -30.9% to the Fund's total return. The best-returning industry was the Chemicals industry, with a performance of -5.3%. With a meager 0.2% allocation, this industry contributed essentially nothing to the Fund's return (-2 basis points over the year). The Fund underperformed the Benchmark during the period. The heavily weighted Oil, Gas, & Consumable Fuels industry contributed -21% to this underperformance, while Energy Equipment & Services and Chemicals created 0.6% and 0.5% outperformance, respectively. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Energy 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Phillips 66 5.48% HollyFrontier Corp. 5.38 Occidental Petroleum Corp. 5.11 Marathon Oil Corp. 4.95 ConocoPhillips 4.84 Cimarex Energy Co. 4.27 Antero Resources Corp. 4.17 Halliburton Co. 4.04 Marathon Petroleum Corp. 4.04 Murphy Oil Corp. 3.90 ------- Total 46.18% ======= ----------------------------- (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 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, 2009 - JULY 31, 2019 First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) AlphaDEX(R) Fund Energy Index Index Energy Index Energy Index 7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/10 11,660 11,705 11,027 10,637 10,688 7/31/10 11,827 11,918 11,450 10,569 10,628 1/31/11 16,637 16,826 13,599 14,400 14,524 7/31/11 17,585 17,856 13,819 15,051 15,172 1/31/12 14,726 15,008 14,135 14,262 14,229 7/31/12 13,804 14,124 14,918 14,295 14,162 1/31/13 16,428 16,876 16,543 15,820 15,714 7/31/13 17,064 17,578 18,831 16,956 16,833 1/31/14 18,060 18,672 20,221 17,228 17,186 7/31/14 21,380 22,173 22,045 20,082 20,115 1/31/15 15,381 15,973 23,003 16,138 15,941 7/31/15 13,129 13,648 24,522 14,923 14,734 1/31/16 10,121 10,522 22,587 12,970 12,536 7/31/16 11,465 11,940 25,708 15,228 14,638 1/31/17 12,702 13,279 27,287 16,420 15,818 7/31/17 10,893 11,431 29,808 15,256 14,570 1/31/18 12,170 12,824 34,336 17,503 16,710 7/31/18 13,775 14,567 34,631 18,264 17,596 1/31/19 10,721 11,346 33,589 15,344 14,687 7/31/19 8,847 9,397 37,404 15,344 14,505
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 92 3 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% 8/1/14 - 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 - 7/31/19 151 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 3.03% 10.22% 13.90% 5.78% 62.65% 267.52% 98.89% Market Price 3.00% 10.21% 13.91% 5.78% 62.58% 267.87% 98.87% INDEX PERFORMANCE StrataQuant(R) Financials Index 3.72% 10.96% 14.74% 6.64% 68.22% 295.50% 119.51% Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19% S&P 500(R) Financials Index 3.46% 11.44% 12.41% 1.47% 71.87% 222.06% 19.57% Russell 1000(R) Financial Services Index(1) 9.81% 12.54% 13.34% N/A 80.51% 249.92% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXO's one-year NAV return of 3.03% underperformed the S&P 500(R) Financials Index ("Benchmark") return of 3.46% by 0.43%. The Banking industry received the greatest allocation during the period, with 21.2% average weight. This industry performed -6.0% during the period and contributed -0.7% to the Fund's total return. The Insurance industry had the greatest positive impact on the Fund's return with a weight of 20.9%, performance of 9.7%, and a total contribution to return of 1.7%. The Real Estate Management & Development industry had the greatest drag on the portfolio, with a 2.3% average weight and -0.9% contribution to the Fund's return. The Fund underperformed the Benchmark during the period. The greatest outperformance came from the IT Services industry, which, absent from the Benchmark, earned 1.4% outperformance for the Fund. The greatest source of underperformance came from the Real Estate Management & Development industry. The Benchmark did not include this industry, while the Fund gave Real Estate Management and Development industry a 2.3% allocation which caused -1.0% underperformance. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 74.19% Real Estate 15.60 Information Technology 9.26 Industrials 0.95 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- OneMain Holdings, Inc. 1.09% Santander Consumer USA Holdings, Inc. 0.99 Jefferies Financial Group, Inc. 0.98 Fair Isaac Corp. 0.98 First American Financial Corp. 0.95 Ally Financial, Inc. 0.94 Popular, Inc. 0.94 Outfront Media, Inc. 0.93 BGC Partners, Inc., Class A 0.93 White Mountains Insurance Group Ltd. 0.93 ------- Total 9.66% ======= ---------------------------- (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 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, 2009 - JULY 31, 2019 First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) AlphaDEX(R) Fund Financials Index Index Financials Index Financial Services Index 7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/10 11,880 11,924 11,027 10,992 11,079 7/31/10 12,668 12,767 11,450 11,455 11,512 1/31/11 14,593 14,771 13,599 12,855 12,941 7/31/11 13,966 14,194 13,819 11,680 12,048 1/31/12 14,082 14,376 14,135 11,210 11,752 7/31/12 14,604 14,966 14,918 11,810 12,504 1/31/13 17,307 17,812 16,543 14,153 14,781 7/31/13 20,364 21,035 18,831 16,821 17,320 1/31/14 21,519 22,312 20,221 17,458 18,144 7/31/14 22,595 23,513 22,045 18,740 19,385 1/31/15 23,560 24,604 23,003 19,427 20,388 7/31/15 25,845 27,086 24,522 21,438 22,477 1/31/16 22,795 23,955 22,587 18,731 19,928 7/31/16 25,902 27,323 25,708 20,630 22,164 1/31/17 29,547 31,274 27,287 25,292 25,467 7/31/17 32,117 34,098 29,808 27,434 27,835 1/31/18 35,595 37,927 34,336 32,828 32,311 7/31/18 35,670 38,136 34,631 31,131 31,869 1/31/19 33,740 36,179 33,589 29,185 30,861 7/31/19 36,752 39,550 37,404 32,206 34,992
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 120 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% 8/1/14 - 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 - 7/31/19 125 1 1 1 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 1.07% 7.88% 16.03% 11.79% 46.09% 342.46% 290.69% Market Price 1.05% 7.88% 16.03% 11.79% 46.09% 342.46% 290.69% INDEX PERFORMANCE StrataQuant(R) Health Care Index 1.79% 8.59% 16.84% 12.60% 50.98% 374.00% 326.68% Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19% S&P 500(R) Health Care Index 4.29% 10.23% 14.68% 9.80% 62.71% 293.32% 213.64% Russell 1000(R) Health Care Index(1) 5.26% 10.64% 15.26% N/A 65.82% 313.62% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXH's one-year NAV return of 1.07% underperformed the S&P 500(R) Health Care Index ("Benchmark") return of 4.29% by 3.22%. The industry receiving the greatest allocation was Health Care Providers and Services, with a 27.5% average weight over the period. This industry performed -3.3% and contributed -1.7% to the Fund's total performance. This -1.7% contribution was the greatest drag on the Fund's performance during the period. The greatest contributor to the Fund's performance was the Health Care Equipment and Supplies industry, with a 26.3% allocation, 10.2% performance and 2.5% contribution to the Fund's return. The Fund underperformed the Benchmark during the period. Investments in Health Care Technology garnered the most outperformance for the Fund. The Fund allocated 3.5% to this industry, while the Benchmark had only 0.6%, and this led to the Fund's outperformance of 1.8%. Meanwhile, investments in Health Care Equipment and Supplies caused -1.4% underperformance for the Fund. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Universal Health Services, Inc., Class B 2.57% Mylan N.V. 2.44 DexCom, Inc. 2.32 Insulet Corp. 2.29 Veeva Systems, Inc., Class A 2.27 Biogen, Inc. 2.26 WellCare Health Plans, Inc. 2.24 STERIS PLC 2.22 Exelixis, Inc. 2.21 IQVIA Holdings, Inc. 2.20 ------- Total 23.02% ======= ----------------------------- (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 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, 2009 - JULY 31, 2019 First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) AlphaDEX(R) Fund Health Care Index Index Health Care Index Health Care Index 7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/10 12,174 12,213 11,027 11,339 11,355 7/31/10 12,208 12,296 11,450 10,431 10,534 1/31/11 14,938 15,111 13,599 11,670 11,931 7/31/11 16,197 16,448 13,819 12,718 12,974 1/31/12 16,242 16,563 14,135 13,496 13,705 7/31/12 17,035 17,406 14,918 14,680 14,946 1/31/13 20,234 20,755 16,543 16,585 16,993 7/31/13 24,273 25,002 18,831 19,911 20,492 1/31/14 28,504 29,459 20,221 22,035 22,804 7/31/14 30,288 31,395 22,045 24,177 24,943 1/31/15 34,883 36,273 23,003 27,695 28,739 7/31/15 39,693 41,432 24,522 30,814 32,245 1/31/16 30,568 31,993 22,587 27,024 27,763 7/31/16 35,089 36,840 25,708 30,818 31,786 1/31/17 33,938 35,732 27,287 29,096 30,174 7/31/17 38,149 40,302 29,808 33,285 34,465 1/31/18 42,266 44,795 34,336 37,050 38,304 7/31/18 43,783 46,565 34,631 37,717 39,293 1/31/19 42,588 45,438 33,589 38,777 40,369 7/31/19 44,246 47,401 37,404 39,331 41,362
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 147 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% 8/1/14 - 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 - 7/31/19 98 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 3.67% 8.50% 14.38% 7.16% 50.40% 283.22% 133.07% Market Price 3.57% 8.50% 14.37% 7.16% 50.38% 283.04% 132.96% INDEX PERFORMANCE StrataQuant(R) Industrials Index 4.25% 9.23% 15.20% 7.94% 55.47% 311.78% 154.55% Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19% S&P 500(R) Industrials Index 3.58% 10.34% 14.65% 7.85% 63.52% 292.28% 151.89% Russell 1000(R) Producer Durables Index(1) 4.93% 11.08% 15.15% N/A 69.11% 309.78% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXR's one-year NAV return of 3.67% outperformed the S&P 500(R) Industrials Index ("Benchmark") return of 3.58% by 0.09%. The Machinery industry carried the most weight in the Fund during the period. With an average weight of 19.9% and a performance of -3.2%, this industry contributed -1.1% to the Fund's total return. The best industry for the Fund during this period was Commercial Services & Supplies, which received a 6.4% allocation, experienced 22.8% performance and contributed 2% to the Fund's total return. The worst drag on the Fund was from Trading Companies & Distributors. Investments in this industry accounted for -1.3% of the Fund's performance. The Fund outperformed the Benchmark during the period. The outperformance of 1.7% is attributable to investments in the Industrial Conglomerates industry, which was a drag on the Benchmark but was barely represented in the Fund. The greatest source of underperformance were the investments in the Machinery industry, which caused -1.5% underperformance against the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 86.80% Information Technology 11.56 Health Care 0.95 Materials 0.69 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- CoStar Group, Inc. 2.05% Knight-Swift Transportation Holdings, Inc. 2.01 Northrop Grumman Corp. 1.97 Schneider National, Inc., Class B 1.95 Genpact Ltd. 1.92 FedEx Corp. 1.92 Booz Allen Hamilton Holding Corp. 1.92 Carlisle Cos., Inc. 1.90 HEICO Corp. 1.89 Air Lease Corp. 1.87 ------- Total 19.40% ======= ----------------------------- (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 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, 2009 - JULY 31, 2019 First Trust Industrials/ Russell 1000(R) Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) Producer Durables AlphaDEX(R) Fund Industrials Index Index Industrials Index Index 7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/10 11,895 11,945 11,027 11,624 11,574 7/31/10 12,916 13,019 11,450 12,868 12,736 1/31/11 15,909 16,102 13,599 15,544 15,544 7/31/11 15,200 15,435 13,819 14,977 14,991 1/31/12 15,703 16,022 14,135 15,849 15,763 7/31/12 15,091 15,451 14,918 15,972 15,799 1/31/13 18,015 18,515 16,543 18,055 18,117 7/31/13 20,813 21,467 18,831 20,552 20,710 1/31/14 24,006 24,860 20,221 22,965 23,213 7/31/14 25,482 26,489 22,045 23,989 24,232 1/31/15 25,568 26,669 23,003 25,445 25,665 7/31/15 25,814 26,986 24,522 25,646 26,103 1/31/16 21,426 22,461 22,587 24,259 24,378 7/31/16 25,599 26,937 25,708 28,329 28,371 1/31/17 29,920 31,662 27,287 31,021 31,336 7/31/17 31,437 33,378 29,808 33,515 33,999 1/31/18 37,442 39,887 34,336 38,984 39,963 7/31/18 36,963 39,500 34,631 37,869 39,052 1/31/19 34,460 36,904 33,589 35,767 37,029 7/31/19 38,320 41,178 37,404 39,226 40,980
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 142 3 0 1 -------------------------------------------------------------------------------- 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% 8/1/14 - 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 - 7/31/19 103 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV -10.08% 4.72% 11.21% 6.90% 25.95% 189.33% 126.08% Market Price -10.19% 4.71% 11.19% 6.89% 25.85% 188.72% 125.90% INDEX PERFORMANCE StrataQuant(R) Materials Index -9.45% 5.44% 12.02% 7.69% 30.32% 211.25% 147.45% Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19% S&P 500(R) Materials Index -0.14% 5.77% 9.97% 5.56% 32.37% 158.59% 93.92% Russell 1000(R) Materials and Processing Index(1) -0.66% 6.57% 11.03% N/A 37.46% 184.71% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXZ's one-year NAV return of -10.08% underperformed the S&P 500(R) Materials Index ("Benchmark") return of -0.14% by 9.94%. With an average weight of 35.8%, the Chemicals industry was the largest allocation in the Fund. Investments in Chemicals performed -12.5% and contributed -4.4% to the Fund's total return. The greatest drag on portfolio performance, however, were investments in the Metals & Mining industry, which received an allocation of 18.7% and caused a -6.7% return in the Fund. The greatest contributor to the Fund's performance were the investments in the Building Products industry, which carried an average weight of 6.4% and contributed 1.4% to the Fund's total return. The Fund underperformed the Benchmark during the period. The vast majority of this underperformance is attributable to investments in Metals and Mining, with -4.5% underperformance, and Chemicals with -3.9% underperformance against the Benchmark. The Building Products industry, meanwhile, caused 1.1% outperformance against the Benchmark during the period. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Materials 85.01% Industrials 13.64 Information Technology 1.35 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Scotts Miracle-Gro (The) Co. 4.24% Reliance Steel & Aluminum Co. 3.93 Crown Holdings, Inc. 3.90 Steel Dynamics, Inc. 3.89 WestRock Co. 3.68 Nucor Corp. 3.68 United States Steel Corp. 3.66 LyondellBasell Industries N.V., Class A 3.62 Domtar Corp. 3.55 Albemarle Corp. 2.78 ------- Total 36.93% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) 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 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, 2009 - JULY 31, 2019 First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) Materials AlphaDEX(R) Fund Materials Index Index Materials Index and Processing Index 7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/10 11,857 11,910 11,027 10,521 10,738 7/31/10 13,272 13,356 11,450 11,268 11,657 1/31/11 16,299 16,466 13,599 14,060 14,604 7/31/11 16,341 16,580 13,819 14,097 14,810 1/31/12 16,145 16,467 14,135 14,115 14,982 7/31/12 15,561 15,932 14,918 13,363 14,243 1/31/13 18,903 19,440 16,543 15,160 16,422 7/31/13 19,513 20,140 18,831 15,866 17,271 1/31/14 21,883 22,676 20,221 17,494 18,976 7/31/14 22,973 23,885 22,045 19,534 20,711 1/31/15 21,326 22,232 23,003 19,228 20,330 7/31/15 21,970 22,988 24,522 18,706 19,943 1/31/16 18,809 19,737 22,587 16,058 17,414 7/31/16 24,931 26,260 25,708 20,278 22,141 1/31/17 27,578 29,144 27,287 21,922 24,127 7/31/17 28,425 30,143 29,808 23,233 25,529 1/31/18 33,513 35,672 34,336 27,020 29,557 7/31/18 32,176 34,370 34,631 25,891 28,469 1/3/119 27,871 29,857 33,589 23,346 25,600 7/31/19 28,933 31,125 37,404 25,859 28,471
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 76 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% 8/1/14 - 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 - 7/31/19 169 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 23.20% 17.59% 17.41% 11.04% 124.79% 397.75% 260.12% Market Price 23.17% 17.58% 17.39% 11.05% 124.75% 397.13% 260.17% INDEX PERFORMANCE StrataQuant(R) Technology Index 23.60% 18.19% 18.17% 11.84% 130.65% 431.19% 292.94% Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19% S&P 500(R) Information Technology Index 15.72% 18.97% 17.92% 12.83% 138.31% 420.03% 337.61% Russell 1000(R) Technology Index(1) 13.82% 17.87% 17.17% N/A 127.49% 387.57% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXL's one-year NAV return of 23.20% outperformed the S&P 500(R) Information Technology Index ("Benchmark") return of 15.72% by 7.48%. The Software industry received the most weight in the Fund during the period, with an allocation of 36.0%. This industry was an excellent performer, returning 31.8% and contributing 11.3% to the Fund's total return. The most negative industry in the Fund was Technology Hardware Storage & Peripherals, which received an average weight of 8.0% and contributed -1.6% to the Fund's total return. The Fund outperformed the Benchmark during the period. The heavily-weighted Software industry accounted for 4.2% of this outperformance. Meanwhile, the Technology Hardware Storage and Peripherals industry caused the most underperformance, with a total effect of -0.8% underperformance against the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 88.73% Communication Services 7.03 Industrials 2.69 Health Care 1.55 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Micron Technology, Inc. 1.86% Avalara, Inc. 1.80 Match Group, Inc. 1.79 Zscaler, Inc. 1.75 Alteryx, Inc., Class A 1.72 Coupa Software, Inc. 1.71 Atlassian Corp. PLC, Class A 1.71 CDW Corp. 1.70 Paycom Software, Inc. 1.69 Okta, Inc. 1.69 ------- Total 17.42% ======= ----------------------------- (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 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, 2009 - JULY 31, 2019 First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information Russell 1000(R) AlphaDEX(R) Fund Technology Index Index Technology Index Technology Index 7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/10 11,396 11,434 11,027 10,863 10,881 7/31/10 12,522 12,614 11,450 11,371 11,499 1/31/11 16,402 16,592 13,599 13,624 13,870 7/31/11 15,076 15,315 13,819 13,555 13,659 1/31/12 15,268 15,578 14,135 14,407 14,494 7/31/12 14,502 14,852 14,918 15,323 15,100 1/31/13 15,877 16,327 16,543 15,579 15,199 7/31/13 18,061 18,646 18,831 17,030 16,586 1/31/14 20,796 21,556 20,221 19,244 18,841 7/31/14 22,141 23,031 22,045 21,818 21,436 1/31/15 23,379 24,394 23,003 22,798 22,261 7/31/15 24,515 25,662 24,522 24,606 23,750 1/31/16 21,284 22,355 22,587 23,902 22,781 7/31/16 24,617 25,943 25,708 27,012 25,920 1/31/17 28,009 29,504 27,287 29,856 28,790 7/31/17 32,180 34,001 29,808 34,974 33,523 1/31/18 39,655 42,042 34,336 42,727 40,814 7/31/18 40,401 42,975 34,631 44,932 42,847 1/31/19 42,296 44,995 33,589 42,340 40,914 7/31/19 49,775 53,119 37,404 52,003 48,757
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 162 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% 8/1/14 - 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 - 7/31/19 82 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 11.71% 8.22% 10.89% 6.22% 48.46% 181.23% 109.25% Market Price 11.67% 8.22% 10.88% 6.22% 48.41% 180.92% 109.15% INDEX PERFORMANCE StrataQuant(R) Utilities Index 12.33% 8.95% 11.77% 7.08% 53.51% 204.20% 130.98% Russell 1000(R) Index 8.00% 11.15% 14.10% 8.06% 69.67% 274.04% 158.19% S&P 500(R) Utilities Index 16.53% 11.49% 11.72% 6.89% 72.24% 202.82% 125.98% Russell 1000(R) Utilities Index(1) 14.75% 8.72% 10.89% N/A 51.89% 181.04% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW FXU's one-year NAV return of 11.71% underperformed the S&P 500(R) Utilities Index ("Benchmark") return of 16.53% by 4.82%. The Electric Utilities industry received the largest allocation during the period, performed at 15.4%, and contributed more than any other industry to the Fund's total performance, contributing 5.5% to the Fund's total return. The sector with the greatest drag in the Fund was Independent Power & Renewable Electricity Producers, which received a 1.1% allocation and contributed -0.4% to the Fund's total return. The Fund underperformed the Benchmark during the period. Much of this underperformance is attributable to the investments in Diversified Telecommunications Services, which received 14.5% allocation in the Fund, was absent in the Benchmark, and caused -2.9% underperformance against the Benchmark. The most outperformance came from investments in Wireless Telecommunication Services, which was also absent from the Benchmark, and garnered 1.8% outperformance relative to the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Utilities 69.11% Communication Services 30.89 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- United States Cellular Corp. 6.03% Telephone & Data Systems, Inc. 5.98 AT&T, Inc. 5.71 National Fuel Gas Co. 5.09 PPL Corp. 4.66 Vistra Energy Corp. 4.60 Sprint Corp. 4.30 T-Mobile US, Inc. 4.15 MDU Resources Group, Inc. 4.00 Avangrid, Inc. 3.86 ------- Total 48.38% ======= ----------------------------- (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 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, 2009 - JULY 31, 2019 First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) AlphaDEX(R) Fund Utilities Index Index Utilities Index Utilities Index 7/31/09 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/10 10,796 10,838 11,027 10,420 10,194 7/31/10 11,580 11,673 11,450 10,947 10,900 1/31/11 12,899 13,053 13,599 11,693 12,108 7/31/11 13,551 13,770 13,819 12,490 12,806 1/31/12 13,451 13,723 14,135 13,358 13,232 7/31/12 14,452 14,810 14,918 14,900 15,515 1/31/13 15,049 15,475 16,543 14,725 15,394 7/31/13 16,751 17,378 18,831 16,093 16,859 1/31/14 17,227 17,948 20,221 16,374 16,970 7/31/14 18,943 19,815 22,045 17,584 18,506 1/31/15 21,377 22,431 23,003 20,989 19,877 7/31/15 20,035 21,092 24,522 19,421 19,261 1/31/16 20,243 21,391 22,587 20,470 20,392 7/31/16 24,573 26,074 25,708 23,909 24,013 1/31/17 24,755 26,358 27,287 22,970 23,250 7/31/17 25,451 27,185 29,808 25,273 24,226 1/31/18 24,056 25,777 34,336 24,652 24,333 7/31/18 25,172 27,082 34,631 25,988 24,503 1/31/19 26,760 28,893 33,589 27,383 25,635 7/31/19 28,123 30,420 37,404 30,282 28,104
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 158 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% 8/1/14 - 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 - 7/31/19 88 1 0 0 Page 21 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the period since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading) the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 22 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES JULY 31, 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 July 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 FEBRUARY 1, 2019 JULY 31, 2019 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) Actual $1,000.00 $1,067.70 0.64% $3.28 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) Actual $1,000.00 $1,025.90 0.64% $3.21 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) Actual $1,000.00 $ 825.20 0.64% $2.90 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) Actual $1,000.00 $1,089.30 0.62% $3.21 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) Actual $1,000.00 $1,039.10 0.63% $3.19 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16
Page 23 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2019 (UNAUDITED)
----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2019 JULY 31, 2019 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) Actual $1,000.00 $1,112.00 0.63% $3.30 Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) Actual $1,000.00 $1,038.20 0.65% $3.28 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) Actual $1,000.00 $1,176.80 0.61% $3.29 Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) Actual $1,000.00 $1,050.80 0.62% $3.15 Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
(a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2019 through July 31, 2019), multiplied by 181/365 (to reflect the six-month period). Page 24 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 6.1% 12,987 Aptiv PLC $ 1,138,310 130,474 BorgWarner, Inc. 4,931,917 205,176 Garrett Motion, Inc. (a) 2,907,344 170,633 Gentex Corp. 4,678,757 357,996 Goodyear Tire & Rubber (The) Co. 4,915,285 39,328 Lear Corp. 4,986,004 --------------- 23,557,617 --------------- AUTOMOBILES -- 3.4% 307,865 Ford Motor Co. 2,933,954 142,157 General Motors Co. 5,734,613 58,600 Harley-Davidson, Inc. 2,096,708 35,922 Thor Industries, Inc. 2,140,951 --------------- 12,906,226 --------------- BUILDING PRODUCTS -- 0.8% 55,127 Fortune Brands Home & Security, Inc. 3,028,677 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 125,979 KAR Auction Services, Inc. 3,368,678 --------------- DISTRIBUTORS -- 1.4% 78,905 LKQ Corp. (a) 2,124,912 16,489 Pool Corp. 3,122,522 --------------- 5,247,434 --------------- DIVERSIFIED CONSUMER SERVICES -- 3.6% 27,833 Bright Horizons Family Solutions, Inc. (a) 4,232,564 6,085 Graham Holdings Co., Class B 4,519,512 8,972 Grand Canyon Education, Inc. (a) 975,885 71,660 H&R Block, Inc. 1,984,265 44,884 Service Corp. International 2,070,948 --------------- 13,783,174 --------------- ENTERTAINMENT -- 4.0% 29,080 Cinemark Holdings, Inc. 1,160,874 63,385 Live Nation Entertainment, Inc. (a) 4,567,523 2,858 Netflix, Inc. (a) 923,106 7,181 Spotify Technology S.A. (a) 1,112,624 183,372 Viacom, Inc., Class B 5,565,340 15,036 Walt Disney (The) Co. 2,150,298 --------------- 15,479,765 --------------- FOOD & STAPLES RETAILING -- 1.1% 15,891 Costco Wholesale Corp. 4,380,036 --------------- HOTELS, RESTAURANTS & LEISURE -- 15.3% 58,226 Aramark 2,107,199 88,818 Caesars Entertainment Corp. (a) 1,051,605 117,666 Carnival Corp. 5,557,365 4,297 Chipotle Mexican Grill, Inc. (a) 3,418,392 24,130 Choice Hotels International, Inc. 2,070,595 8,625 Darden Restaurants, Inc. 1,048,455 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 186,468 Extended Stay America, Inc. $ 3,117,745 98,977 Hilton Grand Vacations, Inc. (a) 3,236,548 42,964 Hilton Worldwide Holdings, Inc. 4,148,174 27,580 Hyatt Hotels Corp., Class A 2,133,313 242,827 International Game Technology PLC 3,241,740 7,483 Marriott International, Inc., Class A 1,040,586 73,491 MGM Resorts International 2,206,200 78,300 Norwegian Cruise Line Holdings Ltd. (a) 3,871,152 43,478 Planet Fitness, Inc., Class A (a) 3,419,980 34,645 Royal Caribbean Cruises Ltd. 4,030,599 50,093 Starbucks Corp. 4,743,306 160,852 Wendy's (The) Co. 2,925,898 37,669 Wyndham Hotels & Resorts, Inc. 2,130,182 8,467 Wynn Resorts Ltd. 1,101,303 45,447 Yum China Holdings, Inc. 2,067,839 --------------- 58,668,176 --------------- HOUSEHOLD DURABLES -- 11.1% 97,363 D.R. Horton, Inc. 4,471,883 13,155 Garmin Ltd. 1,033,852 27,361 Leggett & Platt, Inc. 1,093,619 113,029 Lennar Corp., Class A 5,376,790 28,476 Mohawk Industries, Inc. (a) 3,550,672 1,246 NVR, Inc. (a) 4,166,798 173,224 PulteGroup, Inc. 5,458,288 60,470 Roku, Inc. (a) 6,248,365 74,654 Tempur Sealy International, Inc. (a) 5,988,744 149,572 Toll Brothers, Inc. 5,380,105 --------------- 42,769,116 --------------- INTERNET & DIRECT MARKETING RETAIL -- 4.6% 1,108 Amazon.com, Inc. (a) 2,068,392 53,155 eBay, Inc. 2,189,455 17,107 Etsy, Inc. (a) 1,146,511 15,783 Expedia Group, Inc. 2,095,035 442,077 Qurate Retail, Inc., Series A (a) 6,250,969 28,761 Wayfair, Inc., Class A (a) 3,772,293 --------------- 17,522,655 --------------- LEISURE PRODUCTS -- 1.2% 22,876 Brunswick Corp. 1,124,584 9,934 Hasbro, Inc. 1,203,604 23,015 Polaris Industries, Inc. 2,178,830 --------------- 4,507,018 --------------- MACHINERY -- 0.3% 7,918 WABCO Holdings, Inc. (a) 1,048,422 --------------- MEDIA -- 11.2% 172,455 Altice USA, Inc., Class A (a) 4,451,063 3,586 Cable One, Inc. 4,363,445 84,153 CBS Corp., Class B 4,334,721 10,626 Charter Communications, Inc., Class A (a) 4,095,048 See Notes to Financial Statements Page 25 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 74,491 Comcast Corp., Class A $ 3,215,776 102,589 Discovery, Inc., Class A (a) 3,109,473 81,995 DISH Network Corp., Class A (a) 2,776,351 85,958 Fox Corp., Class A 3,207,952 46,474 Interpublic Group of Cos. (The), Inc. 1,065,184 68,676 John Wiley & Sons, Inc., Class A 3,125,445 32,184 New York Times (The) Co., Class A 1,148,325 31,183 Nexstar Media Group, Inc., Class A 3,173,494 102,132 Sinclair Broadcast Group, Inc., Class A 5,132,133 --------------- 43,198,410 --------------- MULTILINE RETAIL -- 5.8% 31,070 Dollar General Corp. 4,164,002 9,775 Dollar Tree, Inc. (a) 994,606 115,191 Kohl's Corp. 6,204,187 255,234 Macy's, Inc. 5,801,469 24,103 Ollie's Bargain Outlet Holdings, Inc. (a) 2,041,283 36,363 Target Corp. 3,141,763 --------------- 22,347,310 --------------- PERSONAL PRODUCTS -- 0.8% 17,199 Estee Lauder (The) Cos., Inc., Class A 3,167,884 --------------- ROAD & RAIL -- 0.6% 5,546 AMERCO 2,146,302 --------------- SOFTWARE -- 1.6% 24,047 Trade Desk (The), Inc., Class A (a) 6,331,816 --------------- SPECIALTY RETAIL -- 17.9% 100,127 AutoNation, Inc. (a) 4,874,182 1,910 AutoZone, Inc. (a) 2,145,006 45,166 Best Buy Co., Inc. 3,456,554 6,170 Burlington Stores, Inc. (a) 1,115,227 63,080 CarMax, Inc. (a) 5,535,901 87,510 Carvana Co. (a) 5,562,136 158,168 Dick's Sporting Goods, Inc. 5,879,105 8,746 Five Below, Inc. (a) 1,027,305 50,111 Floor & Decor Holdings, Inc., Class A (a) 1,961,846 130,661 Foot Locker, Inc. 5,364,941 304,804 Gap (The), Inc. 5,943,678 10,096 Home Depot (The), Inc. 2,157,414 88,781 Penske Automotive Group, Inc. 4,081,263 10,592 Ross Stores, Inc. 1,123,070 22,423 Tiffany & Co. 2,105,968 38,596 Tractor Supply Co. 4,199,631 9,078 Ulta Beauty, Inc. (a) 3,170,491 240,761 Urban Outfitters, Inc. (a) 5,732,519 48,454 Williams-Sonoma, Inc. 3,230,913 --------------- 68,667,150 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 8.3% 157,938 Capri Holdings Ltd. (a) $ 5,621,014 21,527 Carter's, Inc. 2,002,442 10,481 Columbia Sportswear Co. 1,110,776 60,964 Hanesbrands, Inc. 980,911 23,303 Lululemon Athletica, Inc. (a) 4,452,970 44,372 PVH Corp. 3,945,558 18,484 Ralph Lauren Corp. 1,926,587 100,015 Skechers U.S.A., Inc., Class A (a) 3,794,569 132,345 Tapestry, Inc. 4,093,431 124,239 Under Armour, Inc., Class A (a) 2,866,194 12,019 VF Corp. 1,050,340 --------------- 31,844,792 --------------- TOTAL COMMON STOCKS -- 100.0% 383,970,658 (Cost $366,930,923) --------------- MONEY MARKET FUNDS -- 0.1% 365,226 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.15% (b) 365,226 (Cost $365,226) --------------- TOTAL INVESTMENTS -- 100.1% 384,335,884 (Cost $367,296,149) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (219,337) --------------- NET ASSETS -- 100.0% $ 384,116,547 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2019. (c) Aggregate cost for federal income tax purposes is $370,428,263. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $35,777,688 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $21,870,067. The net unrealized appreciation was $13,907,621. Page 26 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 383,970,658 $ -- $ -- Money Market Funds 365,226 -- -- -------------------------------------------- Total Investments $ 384,335,884 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 27 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% BEVERAGES -- 17.6% 63,700 Constellation Brands, Inc., Class A $ 12,537,434 325,580 Keurig Dr Pepper, Inc. 9,161,821 326,711 Molson Coors Brewing Co., Class B 17,639,127 147,414 Monster Beverage Corp. (a) 9,503,781 71,753 PepsiCo, Inc. 9,170,751 --------------- 58,012,914 --------------- FOOD & STAPLES RETAILING -- 24.8% 117,284 Casey's General Stores, Inc. 18,989,453 842,731 Kroger (The) Co. 17,832,188 664,142 Sprouts Farmers Market, Inc. (a) 11,243,924 88,700 Sysco Corp. 6,082,159 263,120 US Foods Holding Corp. (a) 9,306,554 334,658 Walgreens Boots Alliance, Inc. 18,235,514 --------------- 81,689,792 --------------- FOOD PRODUCTS -- 45.7% 448,425 Archer-Daniels-Midland Co. 18,421,299 168,898 Bunge Ltd. 9,868,710 313,091 Campbell Soup Co. 12,943,182 354,799 Conagra Brands, Inc. 10,243,047 134,784 Flowers Foods, Inc. 3,194,381 59,721 General Mills, Inc. 3,171,782 93,603 Hershey (The) Co. 14,203,319 154,736 Hormel Foods Corp. 6,342,629 152,086 Ingredion, Inc. 11,754,727 54,455 J.M. Smucker (The) Co. 6,054,852 58,551 Kellogg Co. 3,408,839 49,503 Lamb Weston Holdings, Inc. 3,322,641 40,467 McCormick & Co., Inc. 6,415,638 58,189 Mondelez International, Inc., Class A 3,112,530 720,588 Pilgrim's Pride Corp. (a) 19,499,111 60,333 Post Holdings, Inc. (a) 6,468,904 155,383 Tyson Foods, Inc., Class A 12,352,949 --------------- 150,778,540 --------------- HOUSEHOLD PRODUCTS -- 6.6% 42,928 Church & Dwight Co., Inc. 3,238,489 57,205 Procter & Gamble (The) Co. 6,752,478 233,319 Spectrum Brands Holdings, Inc. 11,691,615 --------------- 21,682,582 --------------- PERSONAL PRODUCTS -- 2.3% 190,781 Nu Skin Enterprises, Inc., Class A 7,627,424 --------------- TOBACCO -- 2.9% 132,478 Altria Group, Inc. 6,235,740 39,936 Philip Morris International, Inc. 3,339,049 --------------- 9,574,789 --------------- TOTAL COMMON STOCKS -- 99.9% 329,366,041 (Cost $333,751,818) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 548,031 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.15% (b) $ 548,031 (Cost $548,031) --------------- TOTAL INVESTMENTS -- 100.0% 329,914,072 (Cost $334,299,849) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (121,893) --------------- NET ASSETS -- 100.0% $ 329,792,179 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2019. (c) Aggregate cost for federal income tax purposes is $336,959,295. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $18,505,759 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $25,550,982. The net unrealized depreciation was $7,045,223. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 329,366,041 $ -- $ -- Money Market Funds 548,031 -- -- -------------------------------------------- Total Investments $ 329,914,072 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. Page 28 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% ENERGY EQUIPMENT & SERVICES -- 10.5% 31,902 Apergy Corp. (a) $ 1,037,772 43,447 Baker Hughes a GE Co. 1,103,119 215,117 Halliburton Co. 4,947,691 21,139 Helmerich & Payne, Inc. 1,050,186 48,135 National Oilwell Varco, Inc. 1,146,576 212,505 Patterson-UTI Energy, Inc. 2,471,433 26,923 Schlumberger Ltd. 1,076,112 --------------- 12,832,889 --------------- OIL, GAS & CONSUMABLE FUELS -- 89.5% 51,997 Anadarko Petroleum Corp. 3,830,099 1,105,732 Antero Resources Corp. (a) 5,097,425 36,939 Apache Corp. 902,050 159,794 Cabot Oil & Gas Corp. 3,061,653 644,504 Centennial Resource Development, Inc., Class A (a) 3,834,799 15,639 Cheniere Energy, Inc. (a) 1,018,881 2,508,588 Chesapeake Energy Corp. (a) (b) 4,540,544 29,483 Chevron Corp. 3,629,652 103,063 Cimarex Energy Co. 5,222,202 23,709 Concho Resources, Inc. 2,315,895 100,238 ConocoPhillips 5,922,061 87,171 Continental Resources, Inc. (a) 3,240,146 85,762 Devon Energy Corp. 2,315,574 22,442 Diamondback Energy, Inc. 2,321,176 39,382 EOG Resources, Inc. 3,380,945 154,699 EQT Corp. 2,337,502 31,916 Exxon Mobil Corp. 2,373,274 132,126 HollyFrontier Corp. 6,575,911 51,246 Kinder Morgan, Inc. 1,056,693 430,314 Marathon Oil Corp. 6,054,518 87,541 Marathon Petroleum Corp. 4,936,437 198,448 Murphy Oil Corp. 4,770,690 121,612 Occidental Petroleum Corp. 6,245,992 257,320 Parsley Energy, Inc., Class A (a) 4,268,939 156,280 PBF Energy, Inc., Class A 4,364,900 65,363 Phillips 66 6,703,629 15,892 Pioneer Natural Resources Co. 2,193,732 42,861 Valero Energy Corp. 3,653,900 318,745 WPX Energy, Inc. (a) 3,327,698 --------------- 109,496,917 --------------- TOTAL COMMON STOCKS -- 100.0% 122,329,806 (Cost $157,521,646) --------------- MONEY MARKET FUNDS -- 0.5% 467,797 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 467,797 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS (CONTINUED) 165,220 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.15% (c) $ 165,220 --------------- TOTAL MONEY MARKET FUNDS -- 0.5% 633,017 (Cost $633,017) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 3.1% $ 3,829,534 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $3,829,803. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $3,907,473. (d) 3,829,534 (Cost $3,829,534) --------------- TOTAL INVESTMENTS -- 103.6% 126,792,357 (Cost $161,984,197) (e) NET OTHER ASSETS AND LIABILITIES -- (3.6)% (4,418,852) --------------- NET ASSETS -- 100.0% $ 122,373,505 =============== (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 $4,086,401 and the total value of the collateral held by the Fund is $4,297,331. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $162,807,522. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $576,459 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $36,591,624. The net unrealized depreciation was $36,015,165. See Notes to Financial Statements Page 29 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 122,329,806 $ -- $ -- Money Market Funds 633,017 -- -- Repurchase Agreements -- 3,829,534 -- -------------------------------------------- Total Investments $ 122,962,823 $ 3,829,534 $ -- ============================================ * 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) $ 4,086,401 Non-cash Collateral(2) (4,086,401) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 3,829,534 Non-cash Collateral(4) (3,829,534) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 30 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BANKS -- 21.8% 322,237 Associated Banc-Corp. $ 6,982,876 180,935 Bank of America Corp. 5,551,086 226,390 Bank OZK 6,923,006 155,516 BankUnited, Inc. 5,351,306 106,800 BB&T Corp. 5,503,404 69,518 BOK Financial Corp. 5,817,266 166,450 CIT Group, Inc. 8,414,047 97,274 Citigroup, Inc. 6,922,018 192,648 Citizens Financial Group, Inc. 7,178,064 72,234 Comerica, Inc. 5,287,529 28,546 Commerce Bancshares, Inc. 1,736,453 18,184 Cullen/Frost Bankers, Inc. 1,726,389 112,191 East West Bancorp, Inc. 5,386,290 578,766 F.N.B. Corp. 6,974,130 244,160 Fifth Third Bancorp 7,249,110 7,565 First Citizens BancShares, Inc., Class A 3,533,006 131,660 First Hawaiian, Inc. 3,523,222 456,268 First Horizon National Corp. 7,482,795 379,677 Huntington Bancshares, Inc. 5,410,397 30,466 JPMorgan Chase & Co. 3,534,056 295,613 KeyCorp 5,430,411 20,028 M&T Bank Corp. 3,289,599 175,433 PacWest Bancorp 6,776,977 202,982 People's United Financial, Inc. 3,332,964 91,286 Pinnacle Financial Partners, Inc. 5,544,712 38,222 PNC Financial Services Group (The), Inc. 5,461,924 161,231 Popular, Inc. 9,280,456 51,568 Prosperity Bancshares, Inc. 3,578,304 351,214 Regions Financial Corp. 5,594,839 28,185 Signature Bank 3,592,460 320,116 Sterling Bancorp 6,994,535 54,192 SunTrust Banks, Inc. 3,609,187 7,583 SVB Financial Group (a) 1,759,029 97,316 Synovus Financial Corp. 3,714,552 85,501 Texas Capital Bancshares, Inc. (a) 5,380,578 32,499 U.S. Bancorp 1,857,318 316,282 Umpqua Holdings Corp. 5,522,284 71,301 Webster Financial Corp. 3,636,351 143,957 Wells Fargo & Co. 6,968,958 76,164 Western Alliance Bancorp (a) 3,765,548 46,556 Wintrust Financial Corp. 3,330,616 148,152 Zions Bancorp N.A. 6,677,211 --------------- 215,585,263 --------------- CAPITAL MARKETS -- 16.5% 46,928 Ameriprise Financial, Inc. 6,828,493 154,293 Bank of New York Mellon (The) Corp. 7,239,428 1,672,129 BGC Partners, Inc., Class A 9,213,431 3,629 BlackRock, Inc. 1,697,211 16,433 Cboe Global Markets, Inc. 1,796,291 76,367 E*TRADE Financial Corp. 3,725,946 121,658 Eaton Vance Corp. 5,413,781 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 98,738 Evercore, Inc., Class A $ 8,528,001 23,773 FactSet Research Systems, Inc. 6,592,253 251,300 Franklin Resources, Inc. 8,199,919 33,294 Goldman Sachs Group (The), Inc. 7,329,008 31,420 Interactive Brokers Group, Inc., Class A 1,610,589 19,816 Intercontinental Exchange, Inc. 1,741,034 427,431 Invesco Ltd. 8,202,401 408,655 Janus Henderson Group PLC 8,201,706 198,084 Lazard Ltd., Class A 7,667,832 107,212 LPL Financial Holdings, Inc. 8,991,870 27,208 MarketAxess Holdings, Inc. 9,170,184 8,720 Moody's Corp. 1,869,045 155,492 Morgan Stanley 6,928,724 36,277 Morningstar, Inc. 5,513,378 36,624 MSCI, Inc. 8,322,438 18,922 Northern Trust Corp. 1,854,356 40,285 Raymond James Financial, Inc. 3,249,791 7,477 S&P Global, Inc. 1,831,491 60,714 SEI Investments Co. 3,617,947 121,513 State Street Corp. 7,058,690 62,093 T. Rowe Price Group, Inc. 7,040,725 34,115 TD Ameritrade Holding Corp. 1,743,277 78,193 Virtu Financial, Inc., Class A 1,695,224 --------------- 162,874,464 --------------- CONSUMER FINANCE -- 8.2% 282,196 Ally Financial, Inc. 9,287,070 70,845 American Express Co. 8,810,993 96,377 Capital One Financial Corp. 8,907,162 14,079 Credit Acceptance Corp. (a) 6,730,184 87,796 Discover Financial Services 7,878,813 384,405 Navient Corp. 5,439,331 258,659 OneMain Holdings, Inc. 10,721,416 364,994 Santander Consumer USA Holdings, Inc. 9,821,989 539,829 SLM Corp. 4,917,842 252,242 Synchrony Financial 9,050,443 --------------- 81,565,243 --------------- DIVERSIFIED FINANCIAL SERVICES -- 2.6% 162,967 AXA Equitable Holdings, Inc. 3,663,498 15,978 Berkshire Hathaway, Inc., Class B (a) 3,282,361 454,791 Jefferies Financial Group, Inc. 9,700,692 158,141 Voya Financial, Inc. 8,882,780 --------------- 25,529,331 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 13.4% 70,055 American Homes 4 Rent, Class A 1,696,032 8,330 American Tower Corp. 1,762,795 105,060 Americold Realty Trust 3,522,662 174,486 Apartment Investment & Management Co., Class A 8,644,036 See Notes to Financial Statements Page 31 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 330,841 Apple Hospitality REIT, Inc. $ 5,197,512 118,926 Brandywine Realty Trust 1,754,158 190,495 Brixmor Property Group, Inc. 3,615,595 29,574 CoreSite Realty Corp. 3,099,651 13,065 Crown Castle International Corp. 1,741,042 22,832 EPR Properties 1,699,386 13,508 Equinix, Inc. 6,782,367 268,919 Equity Commonwealth 9,030,300 14,035 Equity LifeStyle Properties, Inc. 1,743,849 164,076 HCP, Inc. 5,238,947 62,087 Healthcare Trust of America, Inc., Class A 1,672,003 272,482 Hospitality Properties Trust 6,733,030 373,878 Host Hotels & Resorts, Inc. 6,501,738 54,410 Iron Mountain, Inc. 1,600,198 184,310 Kimco Realty Corp. 3,540,595 21,101 Lamar Advertising Co., Class A 1,707,493 17,911 Life Storage, Inc. 1,746,143 501,447 Medical Properties Trust, Inc. 8,775,323 339,095 Outfront Media, Inc. 9,216,602 247,172 Park Hotels & Resorts, Inc. 6,527,812 56,205 Rayonier, Inc. 1,632,193 23,336 SBA Communications Corp. (a) 5,726,888 396,309 SITE Centers Corp. 5,647,403 39,920 Spirit Realty Capital, Inc. 1,761,270 40,933 Sun Communities, Inc. 5,436,312 238,073 VICI Properties, Inc. 5,080,478 124,217 Weingarten Realty Investors 3,466,896 --------------- 132,300,709 --------------- INSURANCE -- 21.3% 62,141 Aflac, Inc. 3,271,102 10,002 Alleghany Corp. (a) 6,858,671 33,495 Allstate (The) Corp. 3,597,363 16,619 American Financial Group, Inc. 1,701,453 98,483 American International Group, Inc. 5,514,063 27,190 Aon PLC 5,145,707 235,848 Arch Capital Group Ltd. (a) 9,124,959 77,772 Arthur J. Gallagher & Co. 7,032,922 207,824 Assured Guaranty Ltd. 9,079,831 203,095 Athene Holding Ltd., Class A (a) 8,298,462 57,101 Axis Capital Holdings Ltd. 3,635,621 46,416 Brighthouse Financial, Inc. (a) 1,818,115 156,632 Brown & Brown, Inc. 5,627,788 11,562 Chubb Ltd. 1,767,136 32,855 Cincinnati Financial Corp. 3,526,327 34,391 Erie Indemnity Co., Class A 7,661,283 27,558 Everest Re Group Ltd. 6,796,905 169,035 Fidelity National Financial, Inc. 7,248,221 162,854 First American Financial Corp. 9,416,218 13,275 Hanover Insurance Group (The), Inc. 1,721,900 94,170 Hartford Financial Services Group (The), Inc. 5,427,017 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 101,347 Kemper Corp. $ 8,920,563 105,696 Lincoln National Corp. 6,906,177 31,152 Loews Corp. 1,667,878 3,126 Markel Corp. (a) 3,482,145 17,072 Marsh & McLennan Cos., Inc. 1,686,714 27,248 Mercury General Corp. 1,545,234 105,640 MetLife, Inc. 5,220,729 390,761 Old Republic International Corp. 8,913,258 28,395 Primerica, Inc. 3,483,783 58,806 Principal Financial Group, Inc. 3,413,100 109,411 Progressive (The) Corp. 8,860,103 33,722 Prudential Financial, Inc. 3,416,376 21,830 Reinsurance Group of America, Inc. 3,403,734 49,129 RenaissanceRe Holdings Ltd. 8,899,718 38,073 Torchmark Corp. (a) 3,476,826 45,559 Travelers (The) Cos., Inc. 6,679,861 156,397 Unum Group 4,996,884 25,830 W.R. Berkley Corp. 1,792,344 8,561 White Mountains Insurance Group Ltd. 9,211,636 --------------- 210,248,127 --------------- IT SERVICES -- 8.3% 37,444 Alliance Data Systems Corp. 5,875,712 41,097 Broadridge Financial Solutions, Inc. 5,224,251 40,712 CoreLogic, Inc. (a) 1,855,246 51,981 Euronet Worldwide, Inc. (a) 8,104,358 39,777 Fidelity National Information Services, Inc. 5,300,285 56,806 Fiserv, Inc. (a) 5,989,057 24,256 FleetCor Technologies, Inc. (a) 6,892,827 21,271 Global Payments, Inc. 3,571,826 12,716 Jack Henry & Associates, Inc. 1,776,425 25,751 Mastercard, Inc., Class A 7,011,225 59,515 PayPal Holdings, Inc. (a) 6,570,456 46,960 Square, Inc., Class A (a) 3,776,054 40,907 Total System Services, Inc. 5,551,898 30,234 Visa, Inc., Class A 5,381,652 85,623 Western Union (The) Co. 1,798,083 32,735 WEX, Inc. (a) 7,138,521 --------------- 81,817,876 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.6% 180,500 Chimera Investment Corp. 3,480,040 948,758 MFA Financial, Inc. 6,812,082 340,946 New Residential Investment Corp. 5,349,443 --------------- 15,641,565 --------------- PROFESSIONAL SERVICES -- 0.9% 25,185 Equifax, Inc. 3,502,982 71,381 TransUnion 5,909,633 --------------- 9,412,615 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.2% 170,472 CBRE Group, Inc., Class A (a) 9,036,720 Page 32 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT (CONTINUED) 42,369 Howard Hughes (The) Corp. (a) $ 5,719,815 48,420 Jones Lang LaSalle, Inc. 7,054,310 --------------- 21,810,845 --------------- SOFTWARE -- 1.0% 27,849 Fair Isaac Corp. (a) 9,675,300 --------------- THRIFTS & MORTGAGE FINANCE -- 2.2% 20,820 LendingTree, Inc. (a) 6,715,283 665,543 MGIC Investment Corp. (a) 8,552,227 525,766 New York Community Bancorp, Inc. 6,062,082 --------------- 21,329,592 --------------- TOTAL COMMON STOCKS -- 100.0% 987,790,930 (Cost $908,048,597) --------------- MONEY MARKET FUNDS -- 0.2% 2,290,020 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.15% (b) 2,290,020 (Cost $2,290,020) --------------- TOTAL INVESTMENTS -- 100.2% 990,080,950 (Cost $910,338,617) (c) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (1,728,298) --------------- NET ASSETS -- 100.0% $ 988,352,652 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2019. (c) Aggregate cost for federal income tax purposes is $918,779,988. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $103,732,627 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $32,431,665. The net unrealized appreciation was $71,300,962. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 987,790,930 $ -- $ -- Money Market Funds 2,290,020 -- -- -------------------------------------------- Total Investments $ 990,080,950 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 33 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 17.4% 80,284 Alexion Pharmaceuticals, Inc. (a) $ 9,095,374 57,062 Amgen, Inc. 10,646,628 112,406 Biogen, Inc. (a) 26,732,395 170,632 Celgene Corp. (a) 15,674,255 222,709 Exact Sciences Corp. (a) 25,636,033 1,230,159 Exelixis, Inc. (a) 26,165,482 233,469 Gilead Sciences, Inc. 15,296,889 185,652 Incyte Corp. (a) 15,765,568 76,695 Ionis Pharmaceuticals, Inc. (a) 5,051,133 67,192 Regeneron Pharmaceuticals, Inc. (a) 20,477,434 173,008 Sarepta Therapeutics, Inc. (a) 25,752,241 71,218 Seattle Genetics, Inc. (a) 5,391,915 26,879 Vertex Pharmaceuticals, Inc. (a) 4,478,579 --------------- 206,163,926 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 25.7% 125,035 Abbott Laboratories 10,890,548 18,009 Align Technology, Inc. (a) 3,765,322 60,186 Baxter International, Inc. 5,053,818 19,560 Becton, Dickinson and Co. 4,944,768 244,658 Boston Scientific Corp. (a) 10,388,179 61,126 Cantel Medical Corp. 5,640,707 62,425 Cooper (The) Cos., Inc. 21,062,195 147,152 Danaher Corp. 20,674,856 175,445 DexCom, Inc. (a) 27,522,057 26,682 Edwards Lifesciences Corp. (a) 5,679,264 47,116 Hill-Rom Holdings, Inc. 5,024,450 102,646 Hologic, Inc. (a) 5,260,608 76,385 IDEXX Laboratories, Inc. (a) 21,544,389 220,208 Insulet Corp. (a) 27,072,372 141,318 Masimo Corp. (a) 22,307,046 50,611 Medtronic PLC 5,159,285 98,582 Penumbra, Inc. (a) 16,522,343 86,169 ResMed, Inc. 11,089,950 176,575 STERIS PLC 26,284,955 51,149 Stryker Corp. 10,730,037 47,632 Teleflex, Inc. 16,182,496 36,207 Varian Medical Systems, Inc. (a) 4,249,616 126,034 West Pharmaceutical Services, Inc. 17,300,687 --------------- 304,349,948 --------------- HEALTH CARE PROVIDERS & SERVICES -- 23.4% 184,999 AmerisourceBergen Corp. 16,122,663 37,261 Anthem, Inc. 10,977,463 200,524 Centene Corp. (a) 10,445,295 43,713 Chemed Corp. 17,720,813 66,742 Cigna Corp. 11,340,801 280,361 DaVita, Inc. (a) 16,779,606 165,963 Encompass Health Corp. 10,595,078 116,690 HCA Healthcare, Inc. 15,579,282 39,636 Humana, Inc. 11,761,983 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 91,227 Laboratory Corp. of America Holdings (a) $ 15,282,347 156,491 McKesson Corp. 21,744,424 1,041,954 MEDNAX, Inc. (a) 25,600,810 110,194 Molina Healthcare, Inc. (a) 14,631,559 154,927 Quest Diagnostics, Inc. 15,814,948 20,201 UnitedHealth Group, Inc. 5,030,251 201,614 Universal Health Services, Inc., Class B 30,415,488 92,219 WellCare Health Plans, Inc. (a) 26,489,908 --------------- 276,332,719 --------------- HEALTH CARE TECHNOLOGY -- 5.8% 286,913 Cerner Corp. 20,557,316 232,359 Medidata Solutions, Inc. (a) 21,230,642 162,163 Veeva Systems, Inc., Class A (a) 26,902,842 --------------- 68,690,800 --------------- LIFE SCIENCES TOOLS & SERVICES -- 14.7% 140,824 Agilent Technologies, Inc. 9,774,594 67,278 Bio-Rad Laboratories, Inc., Class A (a) 21,185,842 100,871 Bio-Techne Corp. 21,198,041 526,295 Bruker Corp. 25,183,216 111,157 Charles River Laboratories International, Inc. (a) 14,955,063 57,127 Illumina, Inc. (a) 17,102,681 163,383 IQVIA Holdings, Inc. (a) 26,005,672 163,722 PerkinElmer, Inc. 14,099,738 49,714 PRA Health Sciences, Inc. (a) 4,966,926 71,611 Thermo Fisher Scientific, Inc. 19,884,942 --------------- 174,356,715 --------------- PHARMACEUTICALS -- 13.0% 463,745 Bristol-Myers Squibb Co. 20,594,916 437,049 Horizon Therapeutics PLC (a) 10,878,150 147,521 Jazz Pharmaceuticals PLC (a) 20,561,477 35,390 Johnson & Johnson 4,608,486 58,784 Merck & Co., Inc. 4,878,484 1,380,697 Mylan N.V. (a) 28,856,567 738,818 Nektar Therapeutics (a) 21,026,760 220,819 Perrigo Co. PLC 11,926,434 242,737 Pfizer, Inc. 9,427,905 185,308 Zoetis, Inc. 21,290,036 --------------- 154,049,215 --------------- TOTAL COMMON STOCKS -- 100.0% 1,183,943,323 (Cost $1,163,589,911) --------------- MONEY MARKET FUNDS -- 0.1% 867,979 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 2.15% (b) 867,979 (Cost $867,979) --------------- Page 34 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 100.1% $ 1,184,811,302 (Cost $1,164,457,890) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (1,071,330) --------------- NET ASSETS -- 100.0% $ 1,183,739,972 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2019. (c) Aggregate cost for federal income tax purposes is $1,169,029,786. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $85,739,742 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $69,958,226. The net unrealized appreciation was $15,781,516. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $1,183,943,323 $ -- $ -- Money Market Funds 867,979 -- -- -------------------------------------------- Total Investments $1,184,811,302 $ -- $ -- ============================================ * 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 JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 12.6% 102,419 Arconic, Inc. $ 2,564,572 10,400 Curtiss-Wright Corp. 1,319,864 14,545 General Dynamics Corp. 2,704,497 52,152 HEICO Corp. 7,131,786 17,650 Huntington Ingalls Industries, Inc. 4,029,495 19,196 Lockheed Martin Corp. 6,952,216 21,597 Northrop Grumman Corp. 7,463,275 15,208 Raytheon Co. 2,772,266 32,500 Spirit AeroSystems Holdings, Inc., Class A 2,497,300 99,716 Textron, Inc. 4,915,999 10,932 TransDigm Group, Inc. (a) 5,306,830 --------------- 47,658,100 --------------- AIR FREIGHT & LOGISTICS -- 3.8% 15,675 C.H. Robinson Worldwide, Inc. 1,312,468 17,430 Expeditors International of Washington, Inc. 1,330,780 42,503 FedEx Corp. 7,248,036 68,616 XPO Logistics, Inc. (a) 4,630,208 --------------- 14,521,492 --------------- AIRLINES -- 6.5% 62,067 Alaska Air Group, Inc. 3,932,565 93,198 Delta Air Lines, Inc. 5,688,806 214,532 JetBlue Airways Corp. (a) 4,125,450 104,154 Southwest Airlines Co. 5,367,056 60,410 United Airlines Holdings, Inc. (a) 5,552,283 --------------- 24,666,160 --------------- BUILDING PRODUCTS -- 4.0% 28,038 A.O. Smith Corp. 1,274,327 63,125 Allegion PLC 6,535,962 32,008 Johnson Controls International PLC 1,358,420 318,360 Resideo Technologies, Inc. (a) 6,004,270 --------------- 15,172,979 --------------- COMMERCIAL SERVICES & SUPPLIES -- 5.5% 648,153 ADT, Inc. (b) 4,115,772 22,289 Cintas Corp. 5,804,947 70,765 Copart, Inc. (a) 5,486,410 15,261 Republic Services, Inc. 1,352,888 34,382 Waste Management, Inc. 4,022,694 --------------- 20,782,711 --------------- CONSTRUCTION & ENGINEERING -- 2.4% 69,868 AECOM (a) 2,511,754 39,247 Fluor Corp. 1,275,920 138,490 Quanta Services, Inc. 5,182,296 --------------- 8,969,970 --------------- CONTAINERS & PACKAGING -- 0.7% 22,860 Avery Dennison Corp. 2,625,928 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 8.0% 43,666 AMETEK, Inc. $ 3,912,910 47,631 Eaton Corp. PLC 3,914,792 39,636 Emerson Electric Co. 2,571,584 53,516 Hubbell, Inc. 6,950,658 160,012 nVent Electric PLC 3,966,698 64,728 Regal Beloit Corp. 5,153,643 80,953 Sensata Technologies Holding PLC (a) 3,839,601 --------------- 30,309,886 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.2% 58,890 Keysight Technologies, Inc. (a) 5,271,833 154,699 Trimble, Inc. (a) 6,537,580 18,935 Zebra Technologies Corp., Class A (a) 3,993,202 --------------- 15,802,615 --------------- INDUSTRIAL CONGLOMERATES -- 3.6% 7,628 3M Co. 1,332,764 49,700 Carlisle Cos., Inc. 7,167,237 7,574 Honeywell International, Inc. 1,306,212 10,830 Roper Technologies, Inc. 3,938,330 --------------- 13,744,543 --------------- IT SERVICES -- 4.9% 7,156 Accenture PLC, Class A 1,378,103 7,998 Automatic Data Processing, Inc. 1,331,827 105,399 Booz Allen Hamilton Holding Corp. 7,246,181 183,209 Genpact Ltd. 7,269,733 16,068 Paychex, Inc. 1,334,447 --------------- 18,560,291 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% 4,723 Mettler-Toledo International, Inc. (a) 3,574,130 --------------- MACHINERY -- 18.7% 51,137 AGCO Corp. 3,937,549 19,403 Caterpillar, Inc. 2,554,793 47,172 Colfax Corp. (a) 1,305,721 47,540 Crane Co. 3,979,098 30,868 Cummins, Inc. 5,062,352 15,959 Deere & Co. 2,643,608 39,587 Dover Corp. 3,834,001 100,378 Flowserve Corp. 5,021,911 15,362 IDEX Corp. 2,584,196 20,192 ITT, Inc. 1,260,385 16,062 Lincoln Electric Holdings, Inc. 1,357,560 38,975 Middleby (The) Corp. (a) 5,237,461 83,585 Oshkosh Corp. 6,985,198 73,806 PACCAR, Inc. 5,176,753 15,554 Parker-Hannifin Corp. 2,723,194 35,544 Pentair PLC 1,379,463 31,930 Snap-on, Inc. 4,872,837 63,722 Trinity Industries, Inc. 1,248,951 61,668 Woodward, Inc. 6,909,283 31,618 Xylem, Inc. 2,538,609 --------------- 70,612,923 --------------- Page 36 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 3.8% 12,595 CoStar Group, Inc. (a) $ 7,750,963 41,063 ManpowerGroup, Inc. 3,751,105 18,055 Verisk Analytics, Inc. 2,739,305 --------------- 14,241,373 --------------- ROAD & RAIL -- 10.4% 17,090 CSX Corp. 1,203,136 39,667 Genesee & Wyoming, Inc., Class A (a) 4,355,833 28,930 J.B. Hunt Transport Services, Inc. 2,961,564 21,708 Kansas City Southern 2,686,148 212,499 Knight-Swift Transportation Holdings, Inc. 7,615,964 24,488 Landstar System, Inc. 2,724,780 13,267 Norfolk Southern Corp. 2,535,589 17,718 Old Dominion Freight Line, Inc. 2,958,552 90,720 Ryder System, Inc. 4,831,747 382,590 Schneider National, Inc., Class B 7,383,987 --------------- 39,257,300 --------------- SOFTWARE -- 1.5% 56,374 Paylocity Holding Corp. (a) 5,755,222 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.0% 112,022 Xerox Corp. 3,595,906 --------------- TRADING COMPANIES & DISTRIBUTORS -- 6.7% 168,806 Air Lease Corp. 7,054,403 32,826 HD Supply Holdings, Inc. (a) 1,329,781 71,222 MSC Industrial Direct Co., Inc., Class A 5,060,323 39,877 United Rentals, Inc. (a) 5,046,434 137,778 WESCO International, Inc. (a) 6,990,856 --------------- 25,481,797 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.7% 65,231 Macquarie Infrastructure Corp. 2,703,173 --------------- TOTAL COMMON STOCKS -- 99.9% 378,036,499 (Cost $367,689,837) --------------- MONEY MARKET FUNDS -- 0.2% 321,834 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 2.15% (c) 321,834 358,838 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 358,838 --------------- TOTAL MONEY MARKET FUNDS -- 0.2% 680,672 (Cost $680,672) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.8% $ 2,937,566 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $2,937,772. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $2,997,352. (d) $ 2,937,566 (Cost $2,937,566) --------------- TOTAL INVESTMENTS -- 100.9% 381,654,737 (Cost $371,308,075) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (3,482,137) --------------- NET ASSETS -- 100.0% $ 378,172,600 =============== (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 $3,104,166 and the total value of the collateral held by the Fund is $3,296,404. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $375,294,572. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $23,746,200 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $17,386,035. The net unrealized appreciation was $6,360,165. See Notes to Financial Statements Page 37 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 378,036,499 $ -- $ -- Money Market Funds 680,672 -- -- Repurchase Agreements -- 2,937,566 -- -------------------------------------------- Total Investments $ 378,717,171 $ 2,937,566 $ -- ============================================ * 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) $ 3,104,166 Non-cash Collateral(2) (3,104,166) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 2,937,566 Non-cash Collateral(4) (2,937,566) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 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 JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BUILDING PRODUCTS -- 5.3% 46,159 Armstrong World Industries, Inc. $ 4,510,196 4,079 Lennox International, Inc. 1,046,182 57,817 Owens Corning 3,353,386 --------------- 8,909,764 --------------- CHEMICALS -- 38.7% 9,910 Air Products & Chemicals, Inc. 2,262,156 63,719 Albemarle Corp. 4,648,938 37,677 Axalta Coating Systems Ltd. (a) 1,116,369 70,529 Cabot Corp. 3,154,057 31,215 Celanese Corp. 3,501,387 24,013 CF Industries Holdings, Inc. 1,190,084 140,205 Chemours (The) Co. 2,673,709 90,987 Dow, Inc. 4,407,410 44,823 DuPont de Nemours, Inc. 3,234,428 43,234 Eastman Chemical Co. 3,257,682 11,363 Ecolab, Inc. 2,292,258 219,498 Huntsman Corp. 4,510,684 5,585 Linde PLC 1,068,299 72,349 LyondellBasell Industries N.V., Class A 6,054,888 179,246 Mosaic (The) Co. 4,515,207 204,772 Olin Corp. 4,109,774 63,262 Scotts Miracle-Gro (The) Co. 7,096,731 2,447 Sherwin-Williams (The) Co. 1,255,409 64,591 Westlake Chemical Corp. 4,364,414 --------------- 64,713,884 --------------- CONSTRUCTION MATERIALS -- 2.8% 9,749 Martin Marietta Materials, Inc. 2,415,315 16,338 Vulcan Materials Co. 2,260,362 --------------- 4,675,677 --------------- CONTAINERS & PACKAGING -- 20.4% 27,062 AptarGroup, Inc. 3,275,043 64,103 Ball Corp. 4,582,083 21,328 Berry Global Group, Inc. (a) 960,826 101,985 Crown Holdings, Inc. (a) 6,528,060 160,462 Graphic Packaging Holding Co. 2,384,465 77,676 International Paper Co. 3,410,753 64,948 Owens-Illinois, Inc. 1,102,168 35,302 Packaging Corp. of America 3,564,443 36,654 Silgan Holdings, Inc. 1,101,819 17,165 Sonoco Products Co. 1,030,415 170,861 WestRock Co. 6,159,539 --------------- 34,099,614 --------------- ELECTRICAL EQUIPMENT -- 2.6% 16,266 Acuity Brands, Inc. 2,183,223 195,067 GrafTech International Ltd. 2,233,517 --------------- 4,416,740 --------------- MACHINERY -- 4.4% 35,419 Ingersoll-Rand PLC 4,379,914 65,541 Timken (The) Co. 2,995,879 --------------- 7,375,793 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- METALS & MINING -- 19.6% 95,824 Alcoa Corp. (a) $ 2,155,082 386,438 Freeport-McMoRan, Inc. 4,274,004 113,091 Nucor Corp. 6,149,889 65,856 Reliance Steel & Aluminum Co. 6,582,307 28,871 Southern Copper Corp. 1,033,293 206,335 Steel Dynamics, Inc. 6,501,616 407,008 United States Steel Corp. 6,117,330 --------------- 32,813,521 --------------- PAPER & FOREST PRODUCTS -- 3.5% 139,934 Domtar Corp. 5,940,198 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.4% 43,491 Versum Materials, Inc. 2,260,662 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.3% 68,833 Fastenal Co. 2,120,056 --------------- TOTAL COMMON STOCKS -- 100.0% 167,325,909 (Cost $179,166,987) --------------- MONEY MARKET FUNDS -- 0.0% 93,750 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.15% (b) 93,750 (Cost $93,750) --------------- TOTAL INVESTMENTS -- 100.0% 167,419,659 (Cost $179,260,737) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (50,462) --------------- NET ASSETS -- 100.0% $ 167,369,197 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2019. (c) Aggregate cost for federal income tax purposes is $181,637,395. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,933,018 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $21,150,754. The net unrealized depreciation was $14,217,736. See Notes to Financial Statements Page 39 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 167,325,909 $ -- $ -- Money Market Funds 93,750 -- -- -------------------------------------------- Total Investments $ 167,419,659 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. Page 40 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.4% 161,711 L3Harris Technologies, Inc. $ 33,571,204 --------------- COMMUNICATIONS EQUIPMENT -- 5.2% 133,056 Cisco Systems, Inc. 7,371,303 1,388,819 CommScope Holding Co., Inc. (a) 19,832,335 492,916 EchoStar Corp., Class A (a) 22,437,536 50,003 F5 Networks, Inc. (a) 7,336,440 820,356 Juniper Networks, Inc. 22,166,019 229,297 Motorola Solutions, Inc. 38,054,130 55,376 Ubiquiti Networks, Inc. 7,128,553 --------------- 124,326,316 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 10.7% 75,902 Amphenol Corp., Class A 7,083,175 536,420 Arrow Electronics, Inc. (a) 38,949,456 482,572 Avnet, Inc. 21,918,420 344,419 CDW Corp. 40,696,549 224,278 Coherent, Inc. (a) 31,141,000 920,389 Corning, Inc. 28,301,962 112,724 Dolby Laboratories, Inc., Class A 7,676,505 99,138 IPG Photonics Corp. (a) 12,988,069 1,209,832 Jabil, Inc. 37,359,612 310,819 SYNNEX Corp. 30,628,104 --------------- 256,742,852 --------------- ENTERTAINMENT -- 3.0% 462,842 Activision Blizzard, Inc. 22,558,919 134,698 Take-Two Interactive Software, Inc. (a) 16,503,199 4,989,316 Zynga, Inc., Class A (a) 31,831,836 --------------- 70,893,954 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.5% 1,562,988 Covetrus, Inc. (a) 36,995,926 --------------- INTERACTIVE MEDIA & SERVICES -- 4.1% 113,193 Facebook, Inc., Class A (a) 21,985,477 100,427 IAC/InterActiveCorp (a) 24,007,074 568,315 Match Group, Inc. 42,788,436 208,654 Twitter, Inc. (a) 8,828,151 --------------- 97,609,138 --------------- IT SERVICES -- 15.0% 190,819 Akamai Technologies, Inc. (a) 16,816,878 246,290 Amdocs Ltd. 15,760,097 121,064 Black Knight, Inc. (a) 7,665,773 74,745 CACI International, Inc., Class A (a) 16,081,387 344,631 Cognizant Technology Solutions Corp., Class A 22,449,263 693,212 DXC Technology Co. 38,660,433 176,688 EPAM Systems, Inc. (a) 34,240,368 95,017 Gartner, Inc. (a) 13,238,719 SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES (CONTINUED) 52,805 International Business Machines Corp. $ 7,827,813 191,511 Leidos Holdings, Inc. 15,723,053 201,095 MongoDB, Inc. (a) 28,800,826 309,535 Okta, Inc. (a) 40,496,464 328,021 Sabre Corp. 7,711,774 2,920,599 Switch, Inc., Class A 39,632,528 224,311 Twilio, Inc., Class A (a) 31,203,903 104,447 VeriSign, Inc. (a) 22,047,717 --------------- 358,356,996 --------------- PROFESSIONAL SERVICES -- 1.3% 479,985 IHS Markit Ltd. (a) 30,920,634 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 20.2% 1,007,063 Advanced Micro Devices, Inc. (a) 30,665,068 64,516 Analog Devices, Inc. 7,578,049 486,442 Applied Materials, Inc. 24,015,642 388,860 Cree, Inc. (a) 24,179,315 687,602 Cypress Semiconductor Corp. 15,794,218 409,761 Entegris, Inc. 17,828,701 798,637 Intel Corp. 40,371,100 61,607 KLA Corp. 8,398,266 162,824 Lam Research Corp. 33,966,715 83,993 Microchip Technology, Inc. 7,930,619 990,686 Micron Technology, Inc. (a) 44,471,895 392,662 MKS Instruments, Inc. 33,427,316 391,668 NXP Semiconductors N.V. 40,494,554 1,513,337 ON Semiconductor Corp. (a) 32,551,879 229,578 Qorvo, Inc. (a) 16,825,772 201,029 QUALCOMM, Inc. 14,707,282 395,815 Skyworks Solutions, Inc. 33,755,103 455,982 Teradyne, Inc. 25,411,877 81,318 Universal Display Corp. 17,164,603 129,685 Xilinx, Inc. 14,811,324 --------------- 484,349,298 --------------- SOFTWARE -- 33.4% 74,141 Adobe, Inc. (a) 22,157,779 350,354 Alteryx, Inc., Class A (a) 41,180,609 106,658 ANSYS, Inc. (a) 21,664,373 175,780 Aspen Technology, Inc. (a) 23,180,109 292,194 Atlassian Corp. PLC, Class A (a) 40,942,223 93,875 Autodesk, Inc. (a) 14,660,459 529,509 Avalara, Inc. (a) 43,144,393 431,924 Cadence Design Systems, Inc. (a) 31,923,503 304,628 Ceridian HCM Holding, Inc. (a) 16,239,719 301,956 Coupa Software, Inc. (a) 40,978,449 290,701 Dropbox, Inc., Class A (a) 6,848,916 150,840 Guidewire Software, Inc. (a) 15,397,747 128,113 HubSpot, Inc. (a) 22,896,355 27,864 Intuit, Inc. 7,726,966 98,833 LogMeIn, Inc. 7,508,343 315,103 Manhattan Associates, Inc. (a) 26,780,604 228,309 Microsoft Corp. 31,111,667 See Notes to Financial Statements Page 41 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 127,823 Oracle Corp. $ 7,196,435 168,625 Paycom Software, Inc. (a) 40,596,469 214,750 Pegasystems, Inc. 16,235,100 240,174 Pluralsight, Inc., Class A (a) 7,370,940 60,559 Proofpoint, Inc. (a) 7,642,546 123,738 RealPage, Inc. (a) 7,731,150 266,137 RingCentral, Inc., Class A (a) 37,786,131 111,390 ServiceNow, Inc. (a) 30,898,472 789,889 Smartsheet, Inc., Class A (a) 39,423,360 121,608 Splunk, Inc. (a) 16,454,778 265,444 SS&C Technologies Holdings, Inc. 12,728,040 237,661 Synopsys, Inc. (a) 31,551,874 230,277 Tableau Software, Inc., Class A (a) 39,038,860 106,267 Workday, Inc., Class A (a) 21,251,275 343,530 Zendesk, Inc. (a) 28,705,367 498,835 Zscaler, Inc. (a) 42,036,825 --------------- 800,989,836 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 4.2% 36,792 Apple, Inc. 7,838,168 143,346 Dell Technologies, Inc., Class C (a) 8,276,798 1,461,274 Hewlett Packard Enterprise Co. 20,998,507 735,557 HP, Inc. 15,476,119 702,445 NCR Corp. (a) 23,749,666 459,435 Western Digital Corp. 24,758,952 --------------- 101,098,210 --------------- TOTAL COMMON STOCKS -- 100.0% 2,395,854,364 (Cost $2,104,225,844) --------------- MONEY MARKET FUNDS -- 0.1% 1,552,661 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 2.15% (b) 1,552,661 (Cost $1,552,661) --------------- TOTAL INVESTMENTS -- 100.1% 2,397,407,025 (Cost $2,105,778,505) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (2,060,071) --------------- Net Assets -- 100.0% $ 2,395,346,954 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2019. (c) Aggregate cost for federal income tax purposes is $2,136,632,136. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $307,590,549 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $46,815,660. The net unrealized appreciation was $260,774,889. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $2,395,854,364 $ -- $ -- Money Market Funds 1,552,661 -- -- -------------------------------------------- Total Investments $2,397,407,025 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 98.6% DIVERSIFIED TELECOMMUNICATION SERVICES -- 10.3% 2,233,342 AT&T, Inc. $ 76,045,295 898,273 Verizon Communications, Inc. 49,647,549 389,840 Zayo Group Holdings, Inc. (a) 13,149,303 --------------- 138,842,147 --------------- ELECTRIC UTILITIES -- 39.6% 522,804 Alliant Energy Corp. 25,899,710 291,549 American Electric Power Co., Inc. 25,600,918 1,016,206 Avangrid, Inc. 51,369,213 581,578 Duke Energy Corp. 50,434,444 373,931 Entergy Corp. 39,494,592 426,588 Evergy, Inc. 25,804,308 169,346 Eversource Energy 12,846,588 1,070,471 Exelon Corp. 48,235,423 299,684 FirstEnergy Corp. 13,177,105 294,596 Hawaiian Electric Industries, Inc. 13,197,901 255,494 IDACORP, Inc. 26,075,718 904,344 OGE Energy Corp. 38,841,575 409,062 Pinnacle West Capital Corp. 37,314,636 2,095,024 PPL Corp. 62,075,561 696,251 Southern (The) Co. 39,129,306 431,321 Xcel Energy, Inc. 25,711,045 --------------- 535,208,043 --------------- GAS UTILITIES -- 7.8% 121,538 Atmos Energy Corp. 13,252,504 1,418,757 National Fuel Gas Co. 67,731,459 480,418 UGI Corp. 24,544,556 --------------- 105,528,519 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 5.5% 765,488 AES Corp. 12,852,543 2,852,406 Vistra Energy Corp. 61,212,633 --------------- 74,065,176 --------------- MULTI-UTILITIES -- 15.2% 341,623 Ameren Corp. 25,857,445 448,118 CenterPoint Energy, Inc. 12,999,903 438,970 Consolidated Edison, Inc. 37,294,891 300,975 DTE Energy Co. 38,256,932 1,989,087 MDU Resources Group, Inc. 53,188,187 654,349 Public Service Enterprise Group, Inc. 37,396,045 --------------- 204,993,403 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 20.2% 7,811,021 Sprint Corp. (a) 57,254,784 2,461,819 Telephone & Data Systems, Inc. 79,615,226 692,183 T-Mobile US, Inc. (a) 55,187,751 1,674,426 United States Cellular Corp. (a) 80,188,261 --------------- 272,246,022 --------------- TOTAL COMMON STOCKS -- 98.6% 1,330,883,310 (Cost $1,312,994,455) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 1.3% 17,462,319 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.15% (b) $ 17,462,319 (Cost $17,462,319) --------------- TOTAL INVESTMENTS -- 99.9% 1,348,345,629 (Cost $1,330,456,774) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 1,195,797 --------------- NET ASSETS -- 100.0% $ 1,349,541,426 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2019. (c) Aggregate cost for federal income tax purposes is $1,336,056,750. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $42,797,010 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $30,508,131. The net unrealized appreciation was $12,288,879. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $1,330,883,310 $ -- $ -- Money Market Funds 17,462,319 -- -- -------------------------------------------- Total Investments $1,348,345,629 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 43 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2019
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............................................... $ 384,335,884 $ 329,914,072 $ 126,792,357 Cash .............................................................. -- -- -- Receivables: Investment securities sold.................................... -- -- -- Dividends..................................................... 198,995 212,404 54,139 Securities lending income..................................... 156 -- 2,507 Prepaid expenses.................................................... 2,991 2,772 3,124 ---------------- ---------------- ---------------- Total Assets.................................................. 384,538,026 330,129,248 126,852,127 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... 739 -- -- Due to authorized participant....................................... 42,342 -- -- Payables: Investment securities purchased............................... -- -- -- Capital shares redeemed....................................... -- -- -- Collateral for securities on loan............................. -- -- 4,297,331 Investment advisory fees...................................... 162,915 136,232 54,502 Licensing fees................................................ 79,533 75,815 41,588 Audit and tax fees............................................ 22,924 22,925 22,924 Shareholder reporting fees.................................... 17,929 18,643 16,298 Trustees' fees................................................ 695 688 653 Other liabilities................................................... 94,402 82,766 45,326 ---------------- ---------------- ---------------- Total Liabilities............................................. 421,479 337,069 4,478,622 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 384,116,547 $ 329,792,179 $ 122,373,505 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 775,515,240 $ 587,451,588 $ 555,858,761 Par value........................................................... 88,500 72,000 112,500 Accumulated distributable earnings (loss)........................... (391,487,193) (257,731,409) (433,597,756) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 384,116,547 $ 329,792,179 $ 122,373,505 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 43.40 $ 45.80 $ 10.88 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 8,850,002 7,200,002 11,250,002 ================ ================ ================ Investments, at cost................................................ $ 367,296,149 $ 334,299,849 $ 161,984,197 ================ ================ ================ Securities on loan, at value........................................ $ -- $ -- $ 4,086,401 ================ ================ ================
Page 44 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 990,080,950 $ 1,184,811,302 $ 381,654,737 $ 167,419,659 $ 2,397,407,025 $ 1,348,345,629 -- -- 4,073 -- -- -- 10,153,287 -- 2,124,030 -- 3,466,519 2,846,806 990,561 248,836 201,014 126,526 37,240 2,310,444 138 -- 2,591 -- 38 -- 5,514 5,838 5,658 2,632 7,518 2,703 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,001,230,450 1,185,065,976 383,992,103 167,548,817 2,400,918,340 1,353,505,582 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- -- -- -- -- -- -- -- -- -- -- -- -- 8,674,807 -- -- -- -- -- 3,235,196 -- 2,124,565 -- 3,465,992 2,886,719 -- -- 3,296,404 -- -- -- 421,490 504,983 160,556 70,062 1,024,856 587,009 229,727 394,503 86,723 33,395 503,925 190,632 22,925 22,925 22,925 22,924 22,925 22,925 43,867 71,807 17,901 11,842 61,123 25,961 844 1,013 699 645 1,146 776 248,942 330,773 109,730 40,752 491,419 250,134 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 12,877,798 1,326,004 5,819,503 179,620 5,571,386 3,964,156 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 988,352,652 $ 1,183,739,972 $ 378,172,600 $ 167,369,197 $ 2,395,346,954 $ 1,349,541,426 ================ ================ ================ ================ ================ ================ $ 1,020,859,166 $ 1,811,251,002 $ 547,308,236 $ 303,066,016 $ 2,412,235,008 $ 1,450,248,351 305,500 152,500 89,000 43,500 345,550 467,500 (32,812,014) (627,663,530) (169,224,636) (135,740,319) (17,233,604) (101,174,425) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 988,352,652 $ 1,183,739,972 $ 378,172,600 $ 167,369,197 $ 2,395,346,954 $ 1,349,541,426 ================ ================ ================ ================ ================ ================ $ 32.35 $ 77.62 $ 42.49 $ 38.48 $ 69.32 $ 28.87 ================ ================ ================ ================ ================ ================ 30,550,002 15,250,002 8,900,002 4,350,002 34,555,000 46,750,002 ================ ================ ================ ================ ================ ================ $ 910,338,617 $ 1,164,457,890 $ 371,308,075 $ 179,260,737 $ 2,105,778,505 $ 1,330,456,774 ================ ================ ================ ================ ================ ================ $ -- $ -- $ 3,104,166 $ -- $ -- $ -- ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 45 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2019
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........................................................... $ 5,501,192 $ 7,175,494 $ 4,754,710 Securities lending income (net of fees)............................. 15,645 23 15,700 Foreign withholding tax............................................. (2,623) -- -- ---------------- ---------------- ---------------- Total investment income....................................... 5,514,214 7,175,517 4,770,410 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 1,797,083 1,669,456 1,310,377 Accounting and administration fees.................................. 181,270 168,199 132,319 Licensing fees...................................................... 143,891 133,616 105,319 Custodian fees...................................................... 54,593 50,068 42,807 Shareholder reporting fees.......................................... 38,410 42,403 45,757 Transfer agent fees................................................. 17,971 16,694 13,104 Audit and tax fees.................................................. 15,331 15,331 15,331 Legal fees.......................................................... 13,041 12,483 12,571 Listing fees........................................................ 8,049 8,049 8,049 Trustees' fees and expenses......................................... 7,535 7,515 7,392 Registration and filing fees........................................ (4,090) (181) (10,572) Other expenses...................................................... 9,571 8,008 9,014 ---------------- ---------------- ---------------- Total expenses................................................ 2,282,655 2,131,641 1,691,468 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 3,231,559 5,043,876 3,078,942 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (10,031,264) (31,436,235) (62,221,417) In-kind redemptions........................................... 13,426,253 15,191,728 (7,617,098) ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 3,394,989 (16,244,507) (69,838,515) ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. (4,579,483) 12,583,208 (64,441,284) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (1,184,494) (3,661,299) (134,279,799) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 2,047,065 $ 1,382,577 $ (131,200,857) ================ ================ ================
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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 27,953,237 $ 8,246,598 $ 9,688,464 $ 3,421,682 $ 17,743,554 $ 17,568,386 20,571 122,742 35,074 8 5,562,723 312 (10,185) -- -- -- (39,710) -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 27,963,623 8,369,340 9,723,538 3,421,690 23,266,567 17,568,698 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 5,208,976 8,127,988 3,642,843 891,980 10,521,302 3,080,750 517,014 751,686 349,350 90,563 943,209 300,630 417,301 653,389 293,884 71,169 844,794 247,089 143,265 239,881 106,670 27,928 241,568 82,900 97,255 156,837 36,134 23,950 142,112 59,178 50,635 65,649 32,305 8,920 77,605 28,639 15,331 15,331 15,331 15,331 15,331 15,331 39,794 68,950 31,295 6,713 77,119 15,492 10,549 9,501 9,097 8,049 10,549 8,049 8,423 9,476 7,713 7,276 9,908 7,909 (5,639) -- -- (3,942) (84,156) -- 25,204 25,050 34,363 6,641 38,510 10,494 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 6,528,108 10,123,738 4,558,985 1,154,578 12,837,851 3,856,461 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 21,435,515 (1,754,398) 5,164,553 2,267,112 10,428,716 13,712,237 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (22,673,813) (101,184,121) (34,759,682) (6,384,733) (153,314,599) (23,459,084) 42,288,977 165,024,507 56,415,793 (2,640,170) 397,299,436 49,720,375 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 19,615,164 63,840,386 21,656,111 (9,024,903) 243,984,837 26,261,291 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (26,430,170) (151,566,044) (132,608,865) (29,969,693) 157,909,622 25,589,904 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (6,815,006) (87,725,658) (110,952,754) (38,994,596) 401,894,459 51,851,195 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 14,620,509 $ (89,480,056) $ (105,788,201) $ (36,727,484) $ 412,323,175 $ 65,563,432 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 47 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST CONSUMER DISCRETIONARY CONSUMER STAPLES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) ---------------------------------- ---------------------------------- Year Ended Year Ended Year Ended Year Ended 7/31/2019 7/31/2018 7/31/2019 7/31/2018 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)............................ $ 3,231,559 $ 4,665,380 $ 5,043,876 $ 7,775,129 Net realized gain (loss)................................ 3,394,989 38,976,580 (16,244,507) (2,346,535) Net change in unrealized appreciation (depreciation).... (4,579,483) 12,181,662 12,583,208 (4,372,240) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations...................................... 2,047,065 55,823,622 1,382,577 1,056,354 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (2,816,656) (8,074,707) -------------- -------------- Net investment income................................... (4,531,050) (4,589,886) -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 118,936,453 217,704,196 124,804,864 89,018,129 Cost of shares redeemed................................. (143,392,949) (266,850,762) (157,963,843) (177,217,120) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (24,456,496) (49,146,566) (33,158,979) (88,198,991) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................. (25,226,087) 2,146,006 (39,851,109) (91,732,523) NET ASSETS: Beginning of period..................................... 409,342,634 407,196,628 369,643,288 461,375,811 -------------- -------------- -------------- -------------- End of period........................................... $ 384,116,547 $ 409,342,634 $ 329,792,179 $ 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............................................. 2,800,000 5,500,000 2,700,000 1,900,000 Shares redeemed......................................... (3,600,000) (6,700,000) (3,450,000) (3,800,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period....................... 8,850,002 9,650,002 7,200,002 7,950,002 ============== ============== ============== ==============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST ENERGY FINANCIALS HEALTH CARE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXN) (FXO) (FXH) ---------------------------------- ---------------------------------- ---------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2019 7/31/2018 7/31/2019 7/31/2018 7/31/2019 7/31/2018 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 3,078,942 $ 1,784,404 $ 21,435,515 $ 23,459,877 $ (1,754,398) $ (295,408) (69,838,515) (6,701,737) 19,615,164 122,632,791 63,840,386 91,131,071 (64,441,284) 59,182,168 (26,430,170) (23,300,665) (151,566,044) 48,168,654 -------------- -------------- -------------- -------------- -------------- -------------- (131,200,857) 54,264,835 14,620,509 122,792,003 (89,480,056) 139,004,317 -------------- -------------- -------------- -------------- -------------- -------------- (2,654,300) (20,256,006) -- -------------- -------------- -------------- (2,590,690) (21,806,216) -- -------------- -------------- -------------- 156,076,566 243,140,883 74,828,025 662,405,279 1,723,952,631 275,096,318 (337,620,739) (106,337,998) (333,749,514) (631,715,109) (1,514,477,381) (417,737,507) -------------- -------------- -------------- -------------- -------------- -------------- (181,544,173) 136,802,885 (258,921,489) 30,690,170 209,475,250 (142,641,189) -------------- -------------- -------------- -------------- -------------- -------------- (315,399,330) 188,477,030 (264,556,986) 131,675,957 119,995,194 (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 -------------- -------------- -------------- -------------- -------------- -------------- $ 122,373,505 $ 437,772,835 $ 988,352,652 $1,252,909,638 $1,183,739,972 $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 10,400,000 14,950,000 2,450,000 21,450,000 22,250,000 3,950,000 (24,750,000) (7,600,000) (11,000,000) (20,500,000) (20,850,000) (6,050,000) -------------- -------------- -------------- -------------- -------------- -------------- 11,250,002 25,600,002 30,550,002 39,100,002 15,250,002 13,850,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST INDUSTRIALS/PRODUCER DURABLES MATERIALS ALPHADEX(R) FUND ALPHADEX(R) FUND (FXR) (FXZ) ---------------------------------- ---------------------------------- Year Ended Year Ended Year Ended Year Ended 7/31/2019 7/31/2018 7/31/2019 7/31/2018 ---------------- ---------------- ---------------- ---------------- OPERATIONS: Net investment income (loss)............................ $ 5,164,553 $ 11,127,343 $ 2,267,112 $ 3,111,370 Net realized gain (loss)................................ 21,656,111 169,020,704 (9,024,903) 24,250,432 Net change in unrealized appreciation (depreciation).... (132,608,865) 67,890,805 (29,969,693) 5,229,986 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations...................................... (105,788,201) 248,038,852 (36,727,484) 32,591,788 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (4,745,501) (2,117,421) -------------- -------------- Net investment income................................... (11,199,166) (3,162,041) -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 706,888,586 1,234,023,624 64,963,487 280,033,282 Cost of shares redeemed................................. (1,797,275,535) (1,336,139,067) (172,775,616) (256,162,451) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (1,090,386,949) (102,115,443) (107,812,129) 23,870,831 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................. (1,200,920,651) 134,724,243 (146,657,034) 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........................................... $ 378,172,600 $1,579,093,251 $ 167,369,197 $ 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............................................. 17,350,000 31,400,000 1,650,000 6,600,000 Shares redeemed......................................... (46,700,000) (34,000,000) (4,550,000) (6,100,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period....................... 8,900,002 38,250,002 4,350,002 7,250,002 ============== ============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXL) (FXU) ---------------------------------- ---------------------------------- Year Ended Year Ended Year Ended Year Ended 7/31/2019 7/31/2018 7/31/2019 7/31/2018 ---------------- ---------------- ---------------- ---------------- $ 10,428,716 $ 2,484,348 $ 13,712,237 $ 15,009,787 243,984,837 184,838,724 26,261,291 53,774,587 157,909,622 57,513,718 25,589,904 (82,012,328) -------------- -------------- -------------- -------------- 412,323,175 244,836,790 65,563,432 (13,227,954) -------------- -------------- -------------- -------------- (9,561,020) (10,275,866) -------------- -------------- (2,688,800) (16,157,772) -------------- -------------- 1,756,769,650 2,013,289,240 1,503,287,322 461,544,643 (1,760,385,574) (866,337,102) (517,573,676) (1,473,950,260) -------------- -------------- -------------- -------------- (3,615,924) 1,146,952,138 985,713,646 (1,012,405,617) -------------- -------------- -------------- -------------- 399,146,231 1,389,100,128 1,041,001,212 (1,041,791,343) 1,996,200,723 607,100,595 308,540,214 1,350,331,557 -------------- -------------- -------------- -------------- $2,395,346,954 $1,996,200,723 $1,349,541,426 $ 308,540,214 ============== ============== ============== ============== $ 30,524 $ -- ============== ============== 35,305,000 13,455,000 11,700,002 48,850,002 27,100,000 37,700,000 53,150,000 17,200,000 (27,850,000) (15,850,000) (18,100,000) (54,350,000) -------------- -------------- -------------- -------------- 34,555,000 35,305,000 46,750,002 11,700,002 ============== ============== ============== ==============
See Notes to Financial Statements Page 51 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 42.42 $ 37.53 $ 36.06 $ 37.29 $ 32.24 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.37 0.43 0.34 0.53 0.30 Net realized and unrealized gain (loss) 0.93 4.88 1.48 (1.43) 5.03 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.30 5.31 1.82 (0.90) 5.33 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.32) (0.42) (0.35) (0.33) (0.28) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 43.40 $ 42.42 $ 37.53 $ 36.06 $ 37.29 ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.13% 14.17% 5.10% (2.34)% 16.54% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 384,117 $ 409,343 $ 407,197 $1,766,902 $2,559,671 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.64% 0.63% 0.61% 0.63% Ratio of net expenses to average net assets 0.64% 0.64% 0.63% 0.61% 0.63% Ratio of net investment income (loss) to average net assets 0.90% 1.03% 0.79% 1.39% 0.91% Portfolio turnover rate (b) 97% 101% 93% 103% 131%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 46.50 $ 46.84 $ 49.06 $ 45.69 $ 37.71 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.70 1.00 0.56 0.76 0.72 Net realized and unrealized gain (loss) (0.32) (0.74) (2.20) 3.38 7.95 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.38 0.26 (1.64) 4.14 8.67 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.08) (0.60) (0.58) (0.77) (0.69) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 45.80 $ 46.50 $ 46.84 $ 49.06 $ 45.69 ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.83% 0.53% (3.31)% 9.19% 23.09% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 329,792 $ 369,643 $ 461,376 $2,558,300 $2,894,359 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.64% 0.62% 0.61% 0.62% Ratio of net expenses to average net assets 0.64% 0.64% 0.62% 0.61% 0.62% Ratio of net investment income (loss) to average net assets 1.51% 2.09% 0.94% 1.60% 1.75% Portfolio turnover rate (b) 90% 107% 100% 102% 87%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 52 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 17.10 $ 13.66 $ 14.54 $ 16.93 $ 28.07 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.16 0.12 0.14 0.22 0.40 Net realized and unrealized gain (loss) (6.25) 3.47 (0.85) (2.37) (11.14) ---------- ---------- ---------- ---------- ---------- Total from investment operations (6.09) 3.59 (0.71) (2.15) (10.74) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.13) (0.15) (0.17) (0.24) (0.40) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 10.88 $ 17.10 $ 13.66 $ 14.54 $ 16.93 ========== ========== ========== ========== ========== TOTAL RETURN (a) (35.77)% 26.45% (4.99)% (12.67)% (38.59)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 122,374 $ 437,773 $ 249,296 $1,458,077 $ 346,292 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% 0.63% 0.63% 0.62% 0.64% Ratio of net expenses to average net assets 0.65% 0.63% 0.63% 0.62% 0.64% Ratio of net investment income (loss) to average net assets 1.17% 0.68% 1.03% 1.40% 1.68% Portfolio turnover rate (b) 99% 108% 55% 112% 97%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 32.04 $ 29.39 $ 24.09 $ 24.43 $ 21.64 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.65 0.62 0.44 0.39 0.30 Net realized and unrealized gain (loss) 0.25 2.61 5.30 (0.36) 2.79 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.90 3.23 5.74 0.03 3.09 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.59) (0.58) (0.44) (0.37) (0.30) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 32.35 $ 32.04 $ 29.39 $ 24.09 $ 24.43 ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.03% 11.06% 24.00% 0.22% 14.39% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 988,353 $1,252,910 $1,121,234 $ 710,692 $1,074,976 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.63% 0.63% 0.64% 0.64% Ratio of net expenses to average net assets 0.63% 0.63% 0.63% 0.64% 0.64% Ratio of net investment income (loss) to average net assets 2.06% 1.99% 1.72% 1.72% 1.59% Portfolio turnover rate (b) 81% 70% 80% 75% 80%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 53 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
YEAR ENDED JULY 31, ------------------------------------------------------------------- 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 76.80 $ 66.92 $ 61.55 $ 69.63 $ 53.13 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.11) (0.02) (0.03) 0.00 (a) (b) (0.05) Net realized and unrealized gain (loss) 0.93 9.90 5.40 (8.08) 16.55 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.82 9.88 5.37 (8.08) 16.50 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 77.62 $ 76.80 $ 66.92 $ 61.55 $ 69.63 ========== ========== ========== ========== ========== TOTAL RETURN (c) 1.07% 14.76% 8.72% (11.60)% 31.06% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,183,740 $1,063,745 $1,067,382 $1,147,893 $4,233,585 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.63% 0.62% 0.61% 0.62% Ratio of net expenses to average net assets 0.62% 0.63% 0.62% 0.61% 0.62% Ratio of net investment income (loss) to average net assets (0.11)% (0.03)% (0.05)% 0.01% (0.10)% Portfolio turnover rate (d) 123% 107% 112% 118% 125%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 41.28 $ 35.36 $ 28.94 $ 29.46 $ 29.27 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.30 0.28 0.17 0.24 0.13 Net realized and unrealized gain (loss) 1.17 5.92 6.42 (0.51) 0.26 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.47 6.20 6.59 (0.27) 0.39 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.26) (0.28) (0.17) (0.25) (0.20) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 42.49 $ 41.28 $ 35.36 $ 28.94 $ 29.46 ========== ========== ========== ========== ========== TOTAL RETURN (c) 3.67% 17.57% 22.81% (0.82)% 1.30% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 378,173 $1,579,093 $1,444,369 $ 159,169 $ 380,087 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.62% 0.63% 0.66% 0.63% Ratio of net expenses to average net assets 0.63% 0.62% 0.63% 0.66% 0.63% Ratio of net investment income (loss) to average net assets 0.71% 0.70% 0.53% 0.93% 0.55% Portfolio turnover rate (d) 79% 91% 101% 103% 105%
(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) 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 MATERIALS ALPHADEX(R) FUND (FXZ)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 43.31 $ 38.63 $ 34.32 $ 30.68 $ 32.55 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.50 0.40 0.48 0.41 0.47 Net realized and unrealized gain (loss) (4.88) 4.69 4.30 3.65 (1.88) ---------- ---------- ---------- ---------- ---------- Total from investment operations (4.38) 5.09 4.78 4.06 (1.41) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.45) (0.41) (0.47) (0.42) (0.46) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 38.48 $ 43.31 $ 38.63 $ 34.32 $ 30.68 ========== ========== ========== ========== ========== TOTAL RETURN (a) (10.08)% 13.20% 14.01% 13.48% (4.36)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 167,369 $ 314,026 $ 260,726 $ 250,558 $ 156,470 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% 0.64% 0.65% 0.66% 0.64% Ratio of net expenses to average net assets 0.65% 0.64% 0.65% 0.66% 0.64% Ratio of net investment income (loss) to average net assets 1.27% 0.92% 1.40% 1.26% 1.25% Portfolio turnover rate (b) 82% 92% 84% 113% 104%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 56.54 $ 45.12 $ 34.84 $ 34.98 $ 31.74 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.31 0.09 0.32 0.27 0.14 Net realized and unrealized gain (loss) 12.75 11.43 10.32 (0.14) 3.26 ---------- ---------- ---------- ---------- ---------- Total from investment operations 13.06 11.52 10.64 0.13 3.40 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.28) (0.10) (0.36) (0.27) (0.16) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 69.32 $ 56.54 $ 45.12 $ 34.84 $ 34.98 ========== ========== ========== ========== ========== TOTAL RETURN (a) 23.20% 25.55% 30.72% 0.42% 10.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,395,347 $1,996,201 $ 607,101 $ 491,478 $ 900,971 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.63% 0.63% 0.63% 0.63% Ratio of net expenses to average net assets 0.61% 0.63% 0.63% 0.63% 0.63% Ratio of net investment income (loss) to average net assets 0.50% 0.17% 0.82% 0.82% 0.53% Portfolio turnover rate (b) 91% 127% 115% 109% 91%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 55 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 26.37 $ 27.64 $ 27.46 $ 23.06 $ 22.59 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.63 0.98 0.76 0.73 0.83 Net realized and unrealized gain (loss) 2.43 (1.30) 0.19 4.38 0.47 ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.06 (0.32) 0.95 5.11 1.30 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.56) (0.95) (0.77) (0.71) (0.83) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 28.87 $ 26.37 $ 27.64 $ 27.46 $ 23.06 ========== ========== ========== ========== ========== TOTAL RETURN (a) 11.71% (1.09)% 3.57% 22.66% 5.77% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,349,541 $ 308,540 $1,350,332 $1,831,298 $ 132,568 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.63% 0.62% 0.62% 0.69% Ratio of net expenses to average net assets 0.63% 0.63% 0.62% 0.62% 0.69% Ratio of net investment income (loss) to average net assets 2.23% 2.67% 2.74% 2.79% 2.58% Portfolio turnover rate (b) 60% 76% 57% 71% 94%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 56 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 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 considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' Page 57 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 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 58 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of July 31, 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 July 31, 2019, only FXN and FXR had securities in the securities lending program. During the fiscal year ended July 31, 2019, all the Funds participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. Page 59 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 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, 2019 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 $ 2,816,656 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 8,074,707 -- -- First Trust Energy AlphaDEX(R) Fund 2,654,300 -- -- First Trust Financials AlphaDEX(R) Fund 20,256,006 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 4,745,501 -- -- First Trust Materials AlphaDEX(R) Fund 2,117,421 -- -- First Trust Technology AlphaDEX(R) Fund 9,561,020 -- -- First Trust Utilities AlphaDEX(R) Fund 10,275,866 -- --
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 -- --
Page 60 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 As of July 31, 2019, 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 $ 822,880 $ (406,217,694) $ 13,907,621 First Trust Consumer Staples AlphaDEX(R) Fund 388,154 (251,074,340) (7,045,223) First Trust Energy AlphaDEX(R) Fund 523,346 (398,105,937) (36,015,165) First Trust Financials AlphaDEX(R) Fund 5,862,971 (109,975,947) 71,300,962 First Trust Health Care AlphaDEX(R) Fund (889,570) (642,555,476) 15,781,516 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 839,513 (176,424,314) 6,360,165 First Trust Materials AlphaDEX(R) Fund 382,280 (121,904,863) (14,217,736) First Trust Technology AlphaDEX(R) Fund 898,220 (278,906,713) 260,774,889 First Trust Utilities AlphaDEX(R) Fund 6,412,239 (119,875,543) 12,288,879
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 2016, 2017, 2018, and 2019 remain open to federal and state audit. As of July 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, 2019, the Funds had 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.
Post Enactment - No Expiration -------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $406,217,694 First Trust Consumer Staples AlphaDEX(R) Fund 251,074,340 First Trust Energy AlphaDEX(R) Fund 398,105,937 First Trust Financials AlphaDEX(R) Fund 109,975,947 First Trust Health Care AlphaDEX(R) Fund 642,555,476 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 176,424,314 First Trust Materials AlphaDEX(R) Fund 121,904,863 First Trust Technology AlphaDEX(R) Fund 278,906,713 First Trust Utilities AlphaDEX(R) Fund 119,875,543
At the taxable year ended July 31, 2019, the following Funds' capital loss carryforwards expired in the following amounts:
Capital Loss Carryforward Expired -------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 9,617,858 First Trust Energy AlphaDEX(R) Fund 3,349,453 First Trust Financials AlphaDEX(R) Fund 3,464,108 First Trust Health Care AlphaDEX(R) Fund 1,764,162 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,133,736 First Trust Materials AlphaDEX(R) Fund 7,397,299 First Trust Technology AlphaDEX(R) Fund 2,516,610
Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2019, the following Fund listed below incurred and elected to defer net late year ordinary or capital losses as follows:
Qualified Late Year Losses -------------------------- Ordinary Losses Capital Losses --------------- -------------- First Trust Health Care AlphaDEX(R) Fund $ 889,570 $ --
In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2019, the adjustments for each Fund were as follows:
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ------------------ ------------------ ------------------ First Trust Consumer Discretionary AlphaDEX(R) Fund $ -- $ (1,920,393) $ 1,920,393 First Trust Consumer Staples AlphaDEX(R) Fund -- (8,659,986) 8,659,986 First Trust Energy AlphaDEX(R) Fund 98,704 17,483,132 (17,581,836) First Trust Financials AlphaDEX(R) Fund 2,092,318 (35,218,979) 33,126,661 First Trust Health Care AlphaDEX(R) Fund 902,650 (158,569,278) 157,666,628 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 420,461 (37,158,257) 36,737,796 First Trust Materials AlphaDEX(R) Fund -- 11,220,824 (11,220,824) First Trust Technology AlphaDEX(R) Fund -- (383,390,863) 383,390,863 First Trust Utilities AlphaDEX(R) Fund 2,975,868 (37,118,879) 34,143,011
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. 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 Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 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, 2020. 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 fiscal year ended July 31, 2019, there were no fees waived or expenses reimbursed by First Trust for the Funds. As of July 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. 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended July 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 $ 350,435,563 $ 349,265,199 First Trust Consumer Staples AlphaDEX(R) Fund 302,071,220 305,367,826 First Trust Energy AlphaDEX(R) Fund 259,961,690 258,401,024 First Trust Financials AlphaDEX(R) Fund 859,584,928 852,441,200 First Trust Health Care AlphaDEX(R) Fund 1,932,398,266 1,931,173,764 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 594,472,491 595,124,019 First Trust Materials AlphaDEX(R) Fund 147,888,329 147,855,235 First Trust Technology AlphaDEX(R) Fund 1,922,809,610 1,917,723,072 First Trust Utilities AlphaDEX(R) Fund 397,334,575 387,225,204
For the fiscal year ended July 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 $ 118,551,213 $ 143,268,095 First Trust Consumer Staples AlphaDEX(R) Fund 124,593,985 157,780,356 First Trust Energy AlphaDEX(R) Fund 155,508,383 336,916,079 First Trust Financials AlphaDEX(R) Fund 74,573,304 332,694,509 First Trust Health Care AlphaDEX(R) Fund 1,720,502,989 1,512,349,097 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 705,703,068 1,793,121,838 First Trust Materials AlphaDEX(R) Fund 64,897,353 172,574,929 First Trust Technology AlphaDEX(R) Fund 1,754,082,483 1,757,896,012 First Trust Utilities AlphaDEX(R) Fund 1,477,955,266 513,719,710
Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 5. CREATION, REDEMPTION AND TRANSACTION FEES Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares in transactions with broker-dealers or large institutional investors that have entered into a participation agreement (an "Authorized Participant"). Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per Share of each Fund on the transaction date times the number of Shares in a Creation Unit. Authorized Participants purchasing Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Creation in a Creation Unit Transaction Fee ------------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per Share of a Fund on the transaction date times the number of Shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes. Authorized Participants redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Redemption in a Creation Unit Transaction Fee ------------------------- ----------------- 1-100 $ 500 101-499 $1,000 500 or more $1,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2020. 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 64 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statements of assets and liabilities of First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, and First Trust Utilities AlphaDEX(R) Fund (the "Funds"), each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the portfolios of investments, as of July 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the nine portfolios included within the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2019, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America. BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois September 24, 2019 We have served as the auditor of one or more First Trust investment companies since 2001. Page 65 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 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 Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended July 31, 2019, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations:
Dividends Received Deduction --------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00% First Trust Consumer Staples AlphaDEX(R) Fund 100.00% First Trust Energy AlphaDEX(R) Fund 100.00% First Trust Financials AlphaDEX(R) Fund 68.20% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 80.94% First Trust Utilities AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2019, the following percentages of income dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income --------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00% First Trust Consumer Staples AlphaDEX(R) Fund 100.00% First Trust Energy AlphaDEX(R) Fund 100.00% First Trust Financials AlphaDEX(R) Fund 69.16% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 81.17% First Trust Utilities AlphaDEX(R) Fund 100.00%
A portion of First Trust Financials AlphaDEX(R) Fund's 2019 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2019, may be eligible for the Qualified Business Income Deduction (QBI) under Code Section 199A for the aggregate dividends this Fund received from the underlying Real Estate Investment Trust (REIT) it invests in. Page 66 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 (UNAUDITED) 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. 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. Page 67 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 (UNAUDITED) 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 REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Fund funds it manages (the "Funds") in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2018, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $3,416,811. This figure is comprised of $149,724 paid (or to be paid) in fixed compensation and $3,267,087 paid (or to be paid) in variable compensation. There were a total of 14 beneficiaries of the remuneration described above. Those amounts include $2,169,857 paid (or to be paid) to senior management of First Trust Advisors L.P. and $1,246,954 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Page 68 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 (UNAUDITED) Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees (the "Board") of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following nine series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD) First Trust Consumer Staples AlphaDEX(R) Fund (FXG) First Trust Energy AlphaDEX(R) Fund (FXN) First Trust Financials AlphaDEX(R) Fund (FXO) First Trust Health Care AlphaDEX(R) Fund (FXH) First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR) First Trust Materials AlphaDEX(R) Fund (FXZ) First Trust Technology AlphaDEX(R) Fund (FXL) First Trust Utilities AlphaDEX(R) Fund (FXU) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2020 at a meeting held on June 2, 2019. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2019 and June 2, 2019, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios Page 69 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 (UNAUDITED) of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2019, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 2, 2019 meeting, as well as at the meeting held that day. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2019 meeting, described to the Board the scope of its ongoing investment in additional infrastructure and personnel to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. The Board considered the advisory fee rate payable by each Fund under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through November 30, 2020. For each Fund, the Board noted that expenses borne or fees waived by the Advisor are to be subject to reimbursement by the Fund for up to three years from the date the expense was incurred or fee was waived, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board, at the April 18, 2019 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's description of its long-term commitment to each Fund. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2018 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable Page 70 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2019 (UNAUDITED) range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund's performance to that of its respective Performance Universe and to that of a broad-based benchmark index, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes its expenses will likely increase over the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2018 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board's analysis. Page 71 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2019 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 E. Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton 162 None (1951) Orthopedics; Limited Partner, o Since Inception Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 162 Director of ADM (1957) (Futures Commission Merchant) Investor Services, o Since Inception Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial and 162 Director of Trust (1956) Management Consulting) Company of o Since Inception Illinois Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 162 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 162 None Chairman of the Board Advisors L.P. and First Trust (1955) o Since Inception Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)
----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 72 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2019 (UNAUDITED)
POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ James M. Dykas President and Chief Executive o Indefinite Term Managing Director and Chief Financial Officer (1966) Officer (January 2016 to Present), Controller (January 2011 o Since January 2016 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice (1972) Officer and Chief President (April 2012 to July 2016), First Trust Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and (1960) Legal Officer First Trust Portfolios L.P.; Secretary and General o Since Inception Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Chief Compliance Officer Since January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. (1966) and First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. (1970) and First Trust Portfolios L.P. o Since Inception
----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 73 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2019 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2019 Page 74 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 Annual Report July 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 ANNUAL REPORT JULY 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)....................... 37 First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 45 First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 53 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 57 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 61 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 71 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 81 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 86 First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 91 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 96 First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 102 Statements of Assets and Liabilities........................................ 104 Statements of Operations.................................................... 107 Statements of Changes in Net Assets......................................... 110 Financial Highlights........................................................ 114 Notes to Financial Statements............................................... 121 Report of Independent Registered Public Accounting Firm..................... 131 Additional Information...................................................... 132 Board of Trustees and Officers.............................................. 138 Privacy Policy.............................................................. 140 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 ANNUAL LETTER FROM THE CHAIRMAN AND CEO JULY 31, 2019 Dear Shareholders: One thing we can all agree on and expect: headline news coming out of Washington, DC continues to influence the financial markets. By late February of 2019, President Trump announced the U.S. was close to a trade deal with China, yet by May 10, existing tariffs on Chinese imports jumped from 10% to 25%. Furthermore, the President's threat of additional tariffs on the remaining $300 billion in Chinese imports became a reality with his announcement after a Federal Funds rate cut of 0.25% on the last day of July. This led many to wonder if these events could be signaling a recession. While reticent investors sought cover in "risk-on" assets, calendar year-to-date performances of broad markets as of July 31, 2019, were strong. Both U.S. and world equities, as indicated by the S&P 500(R) Index and the MSCI All Country World Index, returned 20.24% and 16.57%, respectively. Bonds, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned 6.35%, for the same period. Despite the ongoing bluster of the news cycle, we believe the economy is doing well and productivity growth, due to deregulation and lower taxes on corporate profits, has improved over the last two years. o The Consumer Confidence Index of 135.7 for July is strong and at the highest level this year. o The U.S. inflation rate hovers near 2%, on average, as it has for the last decade. o July's unemployment rate of 3.7% barely moved from 3.6% in May, which was the lowest level since December of 1969. Before you head for the exits or reach for the antacids due to the latest political equivocation, keep a balanced perspective in view. Remember, no one can predict the inevitable and expected market fluctuations. Speak periodically with your investment professional, who can provide insight when it comes to investing and discovering opportunities when they arise. Thank you for giving First Trust the opportunity to be a part of your financial plan. We value our relationship with you. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 31, 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 The trade conflict between the U.S. and China was nearly 17-months-old at the close of July 2019. In our opinion, the most notable change from the business climate of 2018 to that of 2019 was the Trump Administration's ratcheting up of tariffs on roughly $200 billion of imported goods from China. On May 10, 2019, tariffs jumped from 10% to 25%. At the end of July, President Trump decided to up the ante on China by announcing a 10% tariff on the remaining $300 billion or so in goods shipped to the U.S. annually. The Trump Administration tends to play the tariff card whenever trade negotiations get bogged down. The tariff was to begin on September 1, 2019. We learned in August, however, that President Trump softened his stance by shielding some consumer products from the new tariff until at least December in order to allow retailers to stock their inventories for the critical holiday shopping season. The ongoing dispute has become a drag on global growth, according to such organizations as the International Monetary Fund. While the U.S. economy continues to flourish relative to many other developed and emerging economies, recent data suggests that China's economy is being stressed by the tariffs. China's gross domestic product rose at an annualized pace of 6.2% in the second quarter of 2019, the slowest rate of growth in 27 years, according to MarketWatch. CNBC reported that, as of July 1, 2019, the current U.S. economic expansion will become the longest in its history, breaking the previous record of 120 months of growth from March 1991 to March 2001, according to data from the National Bureau of Economic Research. The recent escalation in the trade conflict between the U.S. and China has investors flocking to safe-haven assets around the globe, including bonds. One reflection of this is the market value of the Bloomberg Barclays Global Negative Yielding Debt Index, which closed the July 31, 2019 trading session at $14.01 trillion, according to Bloomberg. Another is the plunge in the yield on the benchmark 10-year Treasury Note, which declined by 94 basis points to 2.02% over the past 12 months. More than half of that drop transpired after mid-April 2019. ETFGI, an industry research and consultancy firm, reported that total assets invested in exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") listed globally stood at an all-time high of $5.74 trillion in July 2019, up from $5.12 trillion a year ago, according to its own release. Total assets of U.S. listed ETFs/ETPs also stood at an all-time high of $4.02 trillion for the same period, up from $3.63 trillion a year ago. STYLE/EQUITY INVESTING One barometer for gauging investors' appetites for equities is tracking money flows in and out of open-end mutual funds and ETFs. The flows are reported over time on a rolling 12-month basis. For the 12-month period ended July 31, 2019, U.S. Equity funds/ETFs reported estimated net inflows totaling $40.68 billion, according to data from Morningstar. As has been the case in recent years, investors are favoring passive funds over actively managed funds. Passive U.S. Equity funds/ETFs reported estimated net inflows totaling $242.78 billion, compared to estimated net outflows totaling $202.10 billion for actively managed U.S. Equity funds/ETFs for the same period. For the 12-month period ended July 31, 2019, U.S. Large Blend, U.S. Large Growth and U.S. Large Value equity funds/ETFs reported estimated net flows totaling $175.56 billion, -$46.08 billion and -$19.60 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 $11.22 billion, -$8.41 billion and -$14.71 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 $2.75 billion, -$6.11 billion and -$2.45 billion, respectively, for the same period. Investors were clearly more comfortable funneling their capital into blended portfolios. For the 12-month period ended July 31, 2019, the S&P 500(R) Index posted a total return of 7.99%, according to Bloomberg. Growth stocks outperformed value stocks in the same period. The S&P 500(R) Growth Index posted a total return of 9.55%, compared to 6.28% for the S&P 500(R) Value Index for the period. The S&P MidCap 400(R) Index posted a total return of 0.79% in the same period. Growth stocks outperformed value stocks in the period. The S&P MidCap 400(R) Growth Index posted a total return of 1.81%, compared to -0.24% for the S&P MidCap 400(R) Value Index for the same period. The S&P SmallCap 600(R) Index posted a total return of -6.75% in the period. Growth stocks outperformed value stocks in the period. The S&P SmallCap 600(R) Growth Index posted a total return of -4.81%, compared to -8.48% for the S&P SmallCap 600(R) Value Index for the same period. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FEX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 3.48% 8.90% 13.58% 7.41% 53.15% 257.17% 139.70% Market Price 3.41% 8.89% 13.57% 7.41% 53.10% 257.04% 139.66% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Core Index(1) 4.08% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(1) 8.41% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 7.99% 11.34% 14.03% 8.00% 71.08% 271.71% 156.32% ------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FEX's one-year net asset value ("NAV") return of 3.48% underperformed the S&P 500(R) Index ("Benchmark") return of 7.99% by 4.51%. The Information Technology sector received the largest allocation and contributed the most to the Fund's return during the period. This sector carried an average weight of 16.6%, returned 11.5%, and contributed 1.5% to the Fund's return. The Energy sector, meanwhile, was the greatest drag on the Fund's return with a 6.1% allocation, -21.7% performance and -1.9% contribution to the Fund's return. On a relative basis, the Fund underperformed the Benchmark. The Benchmark over-weighted Information Technology, in comparison to the Fund, and this well-performing sector caused -1.4% underperformance for the Fund versus the Benchmark. Some outperformance for the Fund came from investments in Industrials, which earned 0.4% outperformance versus the Benchmark. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 16.44% Information Technology 15.90 Industrials 14.25 Consumer Discretionary 12.93 Health Care 10.26 Energy 6.28 Materials 6.25 Communication Services 5.41 Consumer Staples 4.71 Utilities 4.62 Real Estate 2.95 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Micron Technology, Inc. 0.51% Qurate Retail, Inc. 0.50 Kohl's Corp. 0.50 Starbucks Corp. 0.50 CoStar Group, Inc. 0.49 Skyworks Solutions, Inc. 0.48 Cintas Corp. 0.48 Phillips 66 0.48 Gap (The), Inc. 0.48 Delta Air Lines, Inc. 0.47 ------- Total 4.89% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JULY 31, 2019 First Trust Large Cap S&P 500(R) Core AlphaDEX(R) Fund Index 7/09 $10,000 $10,000 1/10 11,351 10,987 7/10 12,226 11,384 1/11 14,550 13,425 7/11 14,738 13,621 1/12 14,846 13,990 7/12 15,062 14,864 1/13 17,319 16,337 7/13 19,792 18,580 1/14 21,272 19,853 7/14 23,321 21,727 1/15 24,235 22,677 7/15 25,110 24,162 1/16 22,481 22,526 7/16 26,013 25,520 1/17 27,862 27,041 7/17 30,350 29,613 1/18 34,742 34,182 7/18 34,514 34,421 1/19 32,663 33,390 7/19 35,717 37,171
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 JULY 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 123 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% 8/1/14 - 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 - 7/31/19 122 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 1.22% 7.67% 13.16% 8.01% 44.71% 244.26% 156.57% Market Price 1.24% 7.64% 13.15% 8.00% 44.53% 243.97% 156.35% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Core Index(1) 1.83% N/A N/A N/A N/A N/A N/A Nasdaq US 600 Mid Cap Index(1) 3.15% N/A N/A N/A N/A N/A N/A S&P MidCap 400(R) Index 0.79% 9.23% 13.82% 8.33% 55.46% 264.90% 165.92% ------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FNX's one-year NAV return of 1.22% outperformed the S&P MidCap 400(R) Index ("Benchmark") return of 0.79% by 0.43%. The Industrials sector received the greatest average weight over the period, with a 17.4% allocation. However, with a return of 1.4%, this sector contributed only 0.4% to the Fund's total return. The top contributing sector in the Fund during the period was Information Technology, which received a 14.1% average weight, returned 24.9% and contributed 3.4% to the Fund's total return. The worst performing sector and the greatest drag on the Fund's performance were the investments in the Energy sector. Energy received an average weight of 4.4%, returned -45.1% and contributed -3.5% to the Fund's return. On a relative basis, the Fund outperformed the Benchmark. Investments in Information Technology generated 1.6% of this outperformance while investments in Energy returned -0.7% of underperformance against the Benchmark. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 20.63% Industrials 18.46 Consumer Discretionary 15.36 Information Technology 15.03 Materials 7.28 Health Care 6.44 Real Estate 5.38 Energy 3.71 Communication Services 3.67 Utilities 2.13 Consumer Staples 1.91 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Novocure Ltd. 0.48% FTI Consulting, Inc. 0.46 OneMain Holdings, Inc. 0.45 Snap, Inc., Class A 0.43 AutoNation, Inc. 0.42 Mercury Systems, Inc. 0.42 Trade Desk (The), Inc., Class A 0.42 Roku, Inc. 0.42 Avalara, Inc. 0.41 Match Group, Inc. 0.41 ------- Total 4.32% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JULY 31, 2019 First Trust Mid Cap S&P MidCap 400(R) Core AlphaDEX(R) Fund Index 7/09 $10,000 $10,000 1/10 11,403 11,273 7/10 12,393 12,282 1/11 15,215 15,044 7/11 15,689 15,446 1/12 15,940 15,450 7/12 15,794 15,631 1/13 18,441 18,318 7/13 20,960 20,789 1/14 22,890 22,324 7/14 23,787 23,469 1/15 24,197 24,753 7/15 25,106 26,119 1/16 21,607 23,094 7/16 25,297 27,563 1/17 27,670 30,060 7/17 28,992 31,611 1/18 33,005 35,354 7/18 34,012 36,201 1/19 31,977 33,762 7/19 34,426 36,490
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 JULY 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 143 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% 8/1/14 - 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 - 7/31/19 101 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV -6.52% 6.95% 12.28% 6.75% 39.94% 218.47% 122.33% Market Price -6.52% 6.96% 12.28% 6.75% 40.01% 218.37% 122.27% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Core Index(1) -5.91% N/A N/A N/A N/A N/A N/A Nasdaq US 700 Small Cap Index(1) -4.26% N/A N/A N/A N/A N/A N/A S&P SmallCap 600(R) Index -6.75% 9.89% 14.00% 8.18% 60.26% 270.70% 161.72% ------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FYX's one-year NAV return of -6.52% outperformed the S&P SmallCap 600(R) Index ("Benchmark") return of -6.75% by 0.23%. Investments in Industrials received the greatest allocation of any sector in the Fund during the period. This sector had an average weight of 20.5%, returned -6.6%, and contributed -1.1% to the Fund's total return. The most contributing sector in the Fund were the investments in Information Technology, which received an allocation of 12.1%, returned 15% and contributed 1.6% to the Fund's total return. The investments in the Energy sector were the greatest drag on performance, with a weight of 6.5%, a return of -53.6%, and a contribution to the Fund's return of -5.2%. On a relative basis, the Fund outperformed the Benchmark. The greatest contribution to the outperformance came from investments in the Consumer Discretionary sector. The Consumer Discretionary investments in the Fund outperformed those in the Benchmark, resulting in 1.4% outperformance for the Fund. The poorly returning Energy sector, meanwhile, caused -1.9% underperformance for the Fund, as the Fund allocated more weight to Energy than did the Benchmark. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 20.15% Financials 15.01 Consumer Discretionary 14.62 Information Technology 13.19 Health Care 10.73 Energy 6.71 Real Estate 5.64 Materials 5.21 Consumer Staples 3.85 Communication Services 3.33 Utilities 1.56 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- ACCO Brands Corp. 0.39% Amkor Technology, Inc. 0.39 Meritage Homes Corp. 0.39 eHealth, Inc. 0.38 Medpace Holdings, Inc. 0.38 Abercrombie & Fitch Co., Class A 0.37 Dillard's, Inc., Class A 0.37 Everbridge, Inc. 0.36 TRI Pointe Group, Inc. 0.36 CNX Resources Corp. 0.35 ------- Total 3.74% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JULY 31, 2019 First Trust Small Cap S&P SmallCap 600(R) Core AlphaDEX(R) Fund Index 7/09 $10,000 $10,000 1/10 11,180 10,923 7/10 12,063 11,917 1/11 14,477 14,302 7/11 14,984 14,864 1/12 15,588 15,375 7/12 15,196 15,458 1/13 17,681 17,752 7/13 20,756 20,834 1/14 22,777 22,800 7/14 22,759 23,133 1/15 23,294 24,204 7/15 24,002 25,903 1/16 20,534 23,070 7/16 24,530 27,446 1/17 27,208 30,992 7/17 28,463 32,294 1/18 31,608 36,124 7/18 34,071 39,753 1/19 31,046 35,672 7/19 31,847 37,070
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 JULY 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, 2014 through July 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% 8/1/14 - 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 - 7/31/18 153 0 0 0 8/1/18 - 7/31/19 146 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% 8/1/14 - 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 98 1 0 0 8/1/18 - 7/31/19 99 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV -0.65% 6.34% 12.55% 6.55% 35.99% 226.23% 117.31% Market Price -0.74% 6.32% 12.56% 6.55% 35.87% 226.44% 117.21% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Value Index(1) -0.05% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Value Index(1) 5.38% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 7.99% 11.34% 14.03% 8.00% 71.08% 271.71% 156.32% S&P 500(R) Value Index 6.28% 8.64% 12.39% 5.74% 51.31% 221.45% 97.92% ------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FTA's one-year NAV return of -0.65% underperformed the S&P 500(R) Value Index ("Benchmark") return of 6.28% by 6.93%. The Financials sector received the greatest allocation during the period and had the greatest contribution to the Fund's return. With an average weight of 23.6%, Financials returned 3.7% and contributed 1.2% to the Fund's return. The greatest drag on the Fund's performance were investments in the Energy sector. This sector carried a weight of 7.1%, returned -18.9% and contributed -1.5% to the Fund's return. On a relative basis, the Fund underperformed the Benchmark. Investments in the Information Technology sector caused -2.5% of this underperformance, which were overweight and received superior return in the Benchmark than in the Fund. Outperformance of 0.5% was earned by the Fund for investments in the Industrials sector. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 24.21% Consumer Discretionary 13.48 Industrials 11.80 Energy 10.81 Information Technology 8.76 Materials 8.60 Communication Services 5.37 Health Care 5.28 Utilities 5.17 Consumer Staples 5.13 Real Estate 1.39 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Micron Technology, Inc. 1.04% Qurate Retail, Inc. 1.02 Kohl's Corp. 1.01 Mylan N.V. 0.98 Phillips 66 0.98 Gap (The), Inc. 0.97 HollyFrontier Corp. 0.96 D.R. Horton, Inc. 0.95 Ally Financial, Inc. 0.95 General Motors Co. 0.93 ------- Total 9.79% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JULY 31, 2019 First Trust Large Cap S&P 500(R) S&P 500(R) Value AlphaDEX(R) Fund Index Value Index 7/09 $10,000 $10,000 $10,000 1/10 11,658 10,987 11,108 7/10 12,353 11,384 11,497 1/11 14,544 13,425 13,471 7/11 14,613 13,621 13,242 1/12 15,121 13,990 13,623 7/12 15,337 14,864 14,266 1/13 17,951 16,337 16,275 7/13 20,421 18,580 18,589 1/14 21,564 19,853 19,362 7/14 23,986 21,727 21,244 1/15 24,190 22,677 21,657 7/15 23,917 24,162 22,646 1/16 21,063 22,526 20,880 7/16 24,619 25,520 23,955 1/17 28,184 27,041 25,941 7/17 30,365 29,613 27,392 1/18 33,881 34,182 30,963 7/18 32,835 34,421 30,246 1/19 31,160 33,390 29,389 7/19 32,622 37,171 32,148
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 143 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% 8/1/14 - 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 - 7/31/19 103 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 7.16% 11.38% 14.31% 8.00% 71.39% 280.86% 156.34% Market Price 7.11% 11.37% 14.31% 8.00% 71.31% 280.96% 156.40% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Growth Index(1) 7.72% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Growth Index(1) 10.94% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 7.99% 11.34% 14.03% 8.00% 71.08% 271.71% 156.32% S&P 500(R) Growth Index 9.55% 13.64% 15.47% 10.07% 89.48% 321.39% 223.42% ------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FTC's one-year NAV return of 7.16% underperformed the ("Benchmark") S&P 500(R) Growth Index return of 9.55% by 2.39%. The Information Technology sector received the greatest allocation and contributed the most to the Fund's return over the period, with an average weight of 28.5%, a return of 14.4% and a contribution to the Fund's return of 3.5%. The worst performing sector in the Fund were the investments in the Energy sector, which received a 5.5% allocation, returned -22.3% and contributed -2.8% to the Fund's return. On a relative basis, the Fund underperformed the Benchmark. Much of this underperformance came from investments in the Energy sector, which accounted for -2.1% of underperformance against the Benchmark. Investments in the Communication Services sector reversed some of the underperformance, earning 1.0% of outperformance against the Benchmark. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 25.93% Health Care 15.27 Industrials 14.87 Consumer Discretionary 12.60 Financials 6.32 Communication Services 5.26 Real Estate 4.90 Consumer Staples 4.39 Materials 4.23 Utilities 4.19 Energy 2.04 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Starbucks Corp. 1.00% CoStar Group, Inc. 0.99 Cintas Corp. 0.97 Live Nation Entertainment, Inc. 0.97 Chipotle Mexican Grill, Inc. 0.96 CDW Corp. 0.95 Altice USA, Inc., Class A 0.94 DexCom, Inc. 0.93 Cadence Design Systems, Inc. 0.93 FMC Corp. 0.93 ------- Total 9.57% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JULY 31, 2019 First Trust Large Cap S&P 500(R) S&P 500(R) Growth AlphaDEX(R) Fund Index Growth Index 7/09 $10,000 $10,000 $10,000 1/10 10,954 10,987 10,867 7/10 12,020 11,384 11,271 1/11 14,545 13,425 13,383 7/11 14,836 13,621 13,992 1/12 14,373 13,990 14,362 7/12 14,556 14,864 15,445 1/13 16,300 16,337 16,432 7/13 18,694 18,580 18,610 1/14 20,530 19,853 20,367 7/14 22,223 21,727 22,237 1/15 23,861 22,677 23,709 7/15 26,073 24,162 25,682 1/16 23,888 22,526 24,161 7/16 27,108 25,520 27,039 1/17 26,802 27,041 28,012 7/17 29,573 29,613 31,629 1/18 34,852 34,182 37,167 7/18 35,542 34,421 38,464 1/19 33,342 33,390 37,266 7/19 38,086 37,171 42,139
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 163 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% 8/1/14 - 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 - 7/31/19 82 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV -3.62% 5.15% 11.99% 6.50% 28.54% 210.31% 116.09% Market Price -3.71% 5.14% 11.98% 6.49% 28.51% 210.17% 115.88% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Value Index(1) -2.95% N/A N/A N/A N/A N/A N/A Nasdaq US Multi Cap Value Index(1) 4.15% N/A N/A N/A N/A N/A N/A S&P Composite 1500(R) Index 7.04% 11.16% 14.04% 8.05% 69.70% 272.01% 157.86% S&P Composite 1500(R) Value Index 5.29% 8.58% 12.48% 5.93% 50.92% 224.12% 102.19% ------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FAB's one-year NAV return of -3.62% underperformed the S&P Composite 1500(R) Value Index ("Benchmark") return of 5.29% by 8.91%. The Financials sector was given the heaviest weight in the Fund over the period with a 21.7% allocation. This sector had a relatively low return of 0.1%, which limited its contribution to the Fund's return to only 0.2%. The Utilities sector was the Fund's top performing and contributing sector with a 15.1% return and 0.6% contribution, stemming from its 6.1% allocation. The Energy sector was the Fund's worst performing and least contributing sector with a -36.9% return and -3.2% contribution, stemming from its 7.1% allocation. On a relative basis, the Fund underperformed the Benchmark. The Fund under-allocated and underperformed the Benchmark amongst the well-performing Information Technology sector by -5.4% and -15.5%, respectively, creating -1.9% of relative drag. The Fund over-allocated the Benchmark among the well-performing Utilities sector by 0.9%, which created 0.1% of relative outperformance. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 23.54% Industrials 15.75 Consumer Discretionary 15.61 Energy 9.42 Materials 9.06 Information Technology 8.34 Communication Services 4.05 Consumer Staples 3.92 Real Estate 3.82 Utilities 3.38 Health Care 3.11 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Micron Technology, Inc. 0.52% Qurate Retail, Inc. 0.51 Kohl's Corp. 0.51 Mylan N.V. 0.49 Phillips 66 0.49 Gap (The), Inc. 0.49 HollyFrontier Corp. 0.48 D.R. Horton, Inc. 0.48 Ally Financial, Inc. 0.48 General Motors Co. 0.47 ------- Total 4.92% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JULY 31, 2019 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Value AlphaDEX(R) Fund 1500(R) Index Value Index 7/09 $10,000 $10,000 $10,000 1/10 11,611 11,007 11,128 7/10 12,365 11,474 11,571 1/11 14,760 13,583 13,593 7/11 14,854 13,808 13,394 1/12 15,506 14,155 13,774 7/12 15,393 14,950 14,355 1/13 18,148 16,544 16,438 7/13 20,923 18,833 18,804 1/14 22,415 20,150 19,663 7/14 24,141 21,923 21,478 1/15 24,138 22,903 21,923 7/15 23,962 24,389 22,878 1/16 20,689 22,614 21,014 7/16 24,436 25,755 24,256 1/17 27,942 27,406 26,371 7/17 29,191 29,878 27,761 1/18 32,289 34,380 31,290 7/18 32,196 34,753 30,784 1/19 30,245 33,544 29,756 7/19 31,031 37,201 32,412
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 99 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% 8/1/14 - 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 - 7/31/18 171 0 0 0 8/1/18 - 7/31/19 148 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/19 7/31/19 7/31/19 to 7/31/19 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 4.65% 11.33% 14.27% 8.27% 71.03% 279.52% 164.21% Market Price 4.48% 11.31% 14.25% 8.26% 70.87% 278.98% 163.96% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Growth Index(1) 5.33% N/A N/A N/A N/A N/A N/A Nasdaq US Multi Cap Growth Index(1) 10.20% N/A N/A N/A N/A N/A N/A S&P Composite 1500(R) Index 7.04% 11.16% 14.04% 8.05% 69.70% 272.01% 157.86% S&P Composite 1500(R) Growth Index 8.65% 13.36% 15.41% 10.02% 87.18% 319.34% 221.59% ------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FAD's one-year NAV return of 4.65% underperformed the S&P Composite 1500(R) Growth Index ("Benchmark") return of 8.65% by 4.00%. The Information Technology sector was the largest allocated and top contributing sector in the Fund over the period with a 24.5% allocation and 4.7% contribution, stemming from its 20.7% return. The top performing sector in the Fund was the Utilities sector with a 23.8% return. This sector had a limited 0.4% contribution due to its 2.3% allocation. The Energy sector, which was only given a 4.8% allocation in the Fund, was the least contributing and worst performing sector over the period with a -3.8% contribution and -41.5% return. On a relative basis, the Fund underperformed the Benchmark. The Fund over weighted the Benchmark among the poor performing Energy sector by 2.5%, which created -2.9% of relative underperformance. The Fund outperformed the Benchmark among the Communication Services sector by 11.4%, which reversed 0.8% of the relative underperformance. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 23.87% Health Care 16.69 Industrials 15.49 Consumer Discretionary 12.48 Financials 8.64 Real Estate 5.41 Communication Services 4.92 Materials 3.53 Utilities 3.40 Consumer Staples 3.32 Energy 2.25 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Starbucks Corp. 0.50% CoStar Group, Inc. 0.49 Cintas Corp. 0.49 Live Nation Entertainment, Inc. 0.48 Chipotle Mexican Grill, Inc. 0.48 CDW Corp. 0.47 Altice USA, Inc., Class A 0.47 DexCom, Inc. 0.46 Cadence Design Systems, Inc. 0.46 FMC Corp. 0.46 ------- Total 4.76% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2009 - JULY 31, 2019 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Growth AlphaDEX(R) Fund 1500(R) Index Growth Index 7/09 $10,000 $10,000 $10,000 1/10 10,977 11,007 10,888 7/10 12,065 11,474 11,377 1/11 14,683 13,583 13,577 7/11 15,291 13,808 14,222 1/12 14,994 14,155 14,546 7/12 15,123 14,950 15,538 1/13 17,027 16,544 16,684 7/13 19,358 18,833 18,902 1/14 21,344 20,150 20,666 7/14 22,192 21,923 22,402 1/15 23,616 22,903 23,903 7/15 25,716 24,389 25,913 1/16 23,034 22,614 24,216 7/16 26,399 25,755 27,226 1/17 26,900 27,406 28,323 7/17 29,526 29,878 31,801 1/18 34,525 34,380 37,252 7/18 36,261 34,755 38,593 1/19 33,730 33,546 37,208 7/19 37,952 37,201 41,934
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 92 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% 8/1/14 - 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 - 7/31/19 152 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (4/19/11) Ended (4/19/11) 7/31/19 7/31/19 to 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV -4.26% 4.26% 8.11% 23.18% 90.77% Market Price -4.29% 4.22% 8.10% 22.98% 90.65% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Value Index(1) -3.60% N/A N/A N/A N/A Nasdaq US 600 Mid Cap Value Index(1) -1.15% N/A N/A N/A N/A S&P MidCap 400(R) Value Index -0.24% 8.03% 10.30% 47.14% 125.29% --------------------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FNK's one-year NAV return of -4.26% underperformed the S&P MidCap 400(R) Value Index ("Benchmark") return of -0.24% by 4.02%. Over the period, the heaviest weight in the Fund was allocated to the Financials sector, which received a 24.1% weight, returned -1.4%, and contributed -0.2% to the Fund's total return. The greatest contributor to the Fund's return over the period was the Information Technology sector, which received an allocation of 6.6%, returned 9.8%, and contributed 0.7% to the Fund's total return. The greatest drag on the Fund's return came from the investments in the Energy sector, which received a 5.5% allocation, returned -50.8%, and contributed -3.7% to the Fund's total return. On a relative basis, the Fund underperformed the Benchmark. The investments in the Consumer Discretionary industry caused the most underperformance. The Consumer Discretionary investments in the Fund were more heavily weighted and underperforming in comparison to those in the Benchmark, leading to -1.4% underperformance for the Fund. The Consumer Staples sector caused 0.6% outperformance against the Benchmark, as the investments in this sector in the Fund outperformed those in the Benchmark. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 28.00% Industrials 17.70 Consumer Discretionary 17.28 Materials 10.35 Information Technology 6.45 Energy 6.45 Real Estate 6.44 Utilities 2.54 Communication Services 2.50 Consumer Staples 1.98 Health Care 0.31 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- OneMain Holdings, Inc. 0.91% Knight-Swift Transportation Holdings, Inc. 0.81 Graham Holdings Co., Class B 0.80 Dick's Sporting Goods, Inc. 0.79 Telephone & Data Systems, Inc. 0.79 Delek US Holdings, Inc. 0.79 Macy's, Inc. 0.78 Reliance Steel & Aluminum Co. 0.78 American Eagle Outfitters, Inc. 0.77 Urban Outfitters, Inc. 0.77 ------- Total 7.99% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 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 7/19 19,078 22,530
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 JULY 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 131 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% 8/1/14 - 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 - 7/31/19 113 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (4/19/11) Ended (4/19/11) 7/31/19 7/31/19 to 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 6.43% 11.36% 10.97% 71.28% 136.78% Market Price 6.43% 11.37% 10.97% 71.35% 136.78% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Growth Index(1) 7.20% N/A N/A N/A N/A Nasdaq US 600 Mid Cap Growth Index(1) 7.41% N/A N/A N/A N/A S&P MidCap 400(R) Growth Index 1.81% 10.15% 10.73% 62.14% 132.60% --------------------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FNY's one-year NAV return of 6.43% outperformed the S&P MidCap 400(R) Growth Index ("Benchmark") return of 1.81% by 4.62%. The Information Technology sector was the largest allocated and top contributing sector in the Fund over the period with a 23% allocation and 7.4% contribution, stemming from its 31.9% return. The Energy sector was the worst performing sector and the greatest drag on the Fund's return. Energy received a 3.9% allocation, returned -49.1% and contributed -4.7% to the Fund's total return. On a relative basis, the Fund outperformed the Benchmark. These same two sectors contributed the most to outperformance and underperformance, respectively. Investments in Information Technology caused 4.6% outperformance against the Benchmark, while Energy earned -2.7% underperformance. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 25.24% Industrials 16.28 Health Care 15.35 Consumer Discretionary 13.79 Financials 9.59 Real Estate 6.10 Communication Services 5.11 Materials 4.16 Utilities 1.88 Energy 1.65 Consumer Staples 0.85 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Novocure Ltd. 0.95% FTI Consulting, Inc. 0.90 Mercury Systems, Inc. 0.84 Trade Desk (The), Inc., Class A 0.84 Roku, Inc. 0.82 Avalara, Inc. 0.82 EPAM Systems, Inc. 0.81 Match Group, Inc. 0.81 Fair Isaac Corp. 0.80 Zscaler, Inc. 0.79 ------- Total 8.38% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 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 7/19 23,678 23,261
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 JULY 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, 2014 through July 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% 8/1/14 - 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 - 7/31/19 140 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% 8/1/14 - 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 - 7/31/19 105 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (4/19/11) Ended (4/19/11) 7/31/19 7/31/19 to 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV -9.69% 3.43% 7.96% 18.38% 88.57% Market Price -9.75% 3.43% 7.95% 18.39% 88.41% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Value Index(1) -9.02% N/A N/A N/A N/A Nasdaq US 700 Small Cap Value Index(1) -7.25% N/A N/A N/A N/A S&P SmallCap 600(R) Value Index -8.48% 8.32% 10.84% 49.09% 134.41% --------------------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FYT's one-year NAV return of -9.69% underperformed the S&P SmallCap 600(R) Value Index ("Benchmark") return of -8.48% by 1.21%. The Industrials sector was the Fund's heaviest allocated sector over the period with a 23.4% allocation. This sector had a -8.1% return over the period in the Fund and led to a -1.6% contribution. The Communication Services sector was the most contributing sector in the Fund with a 0.5% contribution, stemming from its 5.4% allocation and 13.4% return. The Utilities sector was the Fund's top performing sector with a 33.3% return. The Energy sector was the worst performing and contributing sector with a -51.9% return and -6.2% contribution, stemming from its 9.7% allocation. On a relative basis, the Fund underperformed the Benchmark. The Fund underperformed the Benchmark among Information Technology sector securities by -11.9%, which created -1.8% of relative drag. The Fund outperformed the Benchmark among the Communication Services sector securities by 20.5%, which created 1.1% of relative outperformance. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 22 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 22.80% Consumer Discretionary 18.49 Financials 15.19 Energy 10.36 Information Technology 10.09 Materials 8.29 Real Estate 6.00 Consumer Staples 3.79 Communication Services 3.03 Health Care 1.83 Utilities 0.13 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- ACCO Brands Corp. 0.79% Amkor Technology, Inc. 0.79 Meritage Homes Corp. 0.78 Abercrombie & Fitch Co., Class A 0.75 Dillard's, Inc., Class A 0.75 TRI Pointe Group, Inc. 0.73 CNX Resources Corp. 0.72 Marten Transport Ltd. 0.71 M.D.C. Holdings, Inc. 0.71 Cooper-Standard Holdings, Inc. 0.69 ------- Total 7.42% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 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 7/19 18,857 23,442
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 JULY 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, 2014 through July 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% 8/1/14 - 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 - 7/31/18 132 0 0 0 8/1/18 - 7/31/19 136 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% 8/1/14 - 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 0 8/1/18 - 7/31/19 111 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 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (4/19/11) Ended (4/19/11) 7/31/19 7/31/19 to 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV -3.90% 11.05% 10.94% 68.90% 136.35% Market Price -3.97% 11.05% 10.94% 68.89% 136.25% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Growth Index(1) -3.18% N/A N/A N/A N/A Nasdaq US 700 Small Cap Growth Index(1) -1.21% N/A N/A N/A N/A S&P SmallCap 600(R) Growth Index -4.81% 11.49% 12.23% 72.23% 159.97% --------------------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FYC's one-year NAV return of -3.90% outperformed the S&P SmallCap 600(R) Growth Index ("Benchmark") return of -4.81% by 0.91%. The Health Care sector received the largest allocation in the Fund over the period. This sector carried a 24.7% average weight in the Fund, returned -9.2% and contributed -2.8% to the Fund's total return. The greatest contribution to the Fund's return were the investments in the Information Technology sector. This sector received a 16.8% return which came from the investments in the Energy sector, which received a 4.2% allocation, returned -59.6% and contributed -4.8% to the Fund's total return. On a relative basis, the Fund outperformed the Benchmark. The Fund over-allocated and underperformed in the Energy sector, leading to a -3.1% Fund underperformance versus the Benchmark. Meanwhile, the investments in the Information Technology sector, which performed much better than those in the Benchmark, resulted in 3.4% outperformance for the Fund versus the Benchmark. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 24 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 22.30% Information Technology 16.61 Industrials 15.84 Financials 13.00 Consumer Discretionary 10.16 Real Estate 5.66 Consumer Staples 4.38 Communication Services 3.78 Utilities 3.74 Energy 3.69 Materials 0.84 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Lattice Semiconductor Corp. 0.84% Sleep Number Corp. 0.77 eHealth, Inc. 0.76 Medpace Holdings, Inc. 0.76 Federal Signal Corp. 0.74 Everbridge, Inc. 0.73 PROS Holdings, Inc. 0.73 Inspire Medical Systems, Inc. 0.71 Viavi Solutions, Inc. 0.70 Denny's Corp. 0.70 ------- Total 7.44% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 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 7/19 23,630 25,997
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 JULY 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, 2014 through July 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% 8/1/14 - 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 - 7/31/18 159 0 0 0 8/1/18 - 7/31/19 71 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% 8/1/14 - 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 - 7/31/19 172 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 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/11/11) Ended (5/11/11) 7/31/19 7/31/19 to 7/31/19 7/31/19 to 7/31/19 FUND PERFORMANCE NAV 3.24% 8.08% 9.06% 47.51% 104.00% Market Price 3.18% 8.08% 9.05% 47.47% 103.94% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mega Cap Index(1) 3.99% N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(1) 8.41% N/A N/A N/A N/A S&P 100(R) Index 8.34% 11.36% 12.63% 71.26% 165.81% --------------------------------------------------------------------------------------------------------------------------------
(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.) PERFORMANCE REVIEW FMK's one-year NAV return of 3.24% underperformed the S&P 100(R) Index ("Benchmark") return of 8.34% by 5.10%. The Information Technology sector was the Fund's heaviest allocated sector over the period with a 19.4% allocation. However, it was the Communication Services sector that contributed the most to the Fund over the period with a 3.2% contribution, stemming from its 16.3% allocation and 20.2% return. The Fund had a relatively smaller allocation to the Utilities sector with a 3% weighting. This sector was the top performing sector in the Fund with a 25.8% return. The least performing sector in the Fund was the Energy sector with a -15.0% return and -1.3% contribution, stemming from its 9.7% allocation. The Fund's least contributing sector was the Consumer Staples sector with a -1.5% contribution, stemming from its -14.7% return and 9.8% allocation. On a relative basis, the Fund underperformed the Benchmark. The primary cause of the underperformance is attributable to the Fund underperforming the Benchmark among Information Technology securities by -10.2%, which created -3.7% of relative drag. The Fund outperformed the Benchmark among Communication Services securities by 11.6%, which created 1.2% of relative outperformance. ----------------------------- Nasdaq(R) and the Index are trademarks and service marks of Nasdaq, Inc. ("Nasdaq") and are licensed for use by First Trust Portfolios L.P. ("First Trust"). AlphaDEX(R) is a trademark owned by First Trust and has been licensed to Nasdaq for use in the name of the Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq and Nasdaq 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 Index in connection with the trading of the Fund. Page 26 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Communication Services 18.11% Information Technology 18.07 Financials 15.71 Consumer Staples 10.01 Health Care 9.65 Energy 9.06 Industrials 6.44 Consumer Discretionary 5.73 Materials 5.22 Utilities 2.00 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Starbucks Corp. 3.74% Intel Corp. 3.50 AT&T, Inc. 3.37 American Express Co. 3.34 Lockheed Martin Corp. 3.30 Chevron Corp. 3.28 Charter Communications, Inc., Class A 3.23 ConocoPhillips 3.21 QUALCOMM, Inc. 3.19 DuPont de Nemours, Inc. 3.18 ------- Total 33.34% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 11, 2011 - JULY 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 7/19 20,400 26,581
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 JULY 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, 2014 through July 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% 8/1/14 - 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 - 7/31/18 136 0 0 0 8/1/18 - 7/31/19 197 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% 8/1/14 - 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 0 0 8/1/18 - 7/31/19 46 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 JULY 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 July 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 FEBRUARY 1, 2019 JULY 31, 2019 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $1,093.50 0.60% $3.11 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $1,076.50 0.61% $3.14 Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $1,025.90 0.61% $3.06 Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $1,046.90 0.60% $3.05 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $1,142.40 0.61% $3.24 Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06
Page 29 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2019 (UNAUDITED)
----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2019 JULY 31, 2019 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $1,026.00 0.70% $3.52 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $1,125.10 0.68% $3.58 Hypothetical (5% return before expenses) $1,000.00 $1,021.42 0.68% $3.41 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $1,015.00 0.70% $3.50 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $1,138.60 0.70% $3.71 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $ 992.00 0.70% $3.46 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $1,063.50 0.70% $3.58 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) Actual $1,000.00 $1,064.90 0.70% $3.58 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2019 through July 31, 2019), multiplied by 181/365 (to reflect the six-month period). Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.2% 146,152 Arconic, Inc. $ 3,659,646 3,460 Boeing (The) Co. 1,180,483 13,836 General Dynamics Corp. 2,572,666 47,000 HEICO Corp. 6,427,250 6,654 L3Harris Technologies, Inc. 1,381,370 3,464 Lockheed Martin Corp. 1,254,557 7,785 Northrop Grumman Corp. 2,690,262 118,573 Textron, Inc. 5,845,649 13,002 TransDigm Group, Inc. (a) 6,311,691 --------------- 31,323,574 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 29,820 C.H. Robinson Worldwide, Inc. 2,496,829 33,161 Expeditors International of Washington, Inc. 2,531,842 7,658 FedEx Corp. 1,305,919 12,183 United Parcel Service, Inc., Class B 1,455,503 --------------- 7,790,093 --------------- AIRLINES -- 1.4% 38,577 American Airlines Group, Inc. 1,176,984 110,823 Delta Air Lines, Inc. 6,764,636 123,855 Southwest Airlines Co. 6,382,248 57,473 United Airlines Holdings, Inc. (a) 5,282,344 --------------- 19,606,212 --------------- AUTO COMPONENTS -- 0.6% 31,127 Aptiv PLC 2,728,281 45,156 Lear Corp. 5,724,878 --------------- 8,453,159 --------------- AUTOMOBILES -- 0.6% 245,919 Ford Motor Co. 2,343,608 163,234 General Motors Co. 6,584,860 --------------- 8,928,468 --------------- BANKS -- 4.6% 173,493 Bank of America Corp. 5,322,765 76,811 BB&T Corp. 3,958,071 71,843 Citigroup, Inc. 5,112,348 142,292 Citizens Financial Group, Inc. 5,301,800 69,265 Comerica, Inc. 5,070,198 180,341 Fifth Third Bancorp 5,354,324 364,069 Huntington Bancshares, Inc. 5,187,983 33,753 JPMorgan Chase & Co. 3,915,348 283,457 KeyCorp 5,207,105 22,189 M&T Bank Corp. 3,644,543 27,490 PNC Financial Services Group (The), Inc. 3,928,321 336,776 Regions Financial Corp. 5,364,842 5,602 SVB Financial Group (a) 1,299,496 48,009 U.S. Bancorp 2,743,715 106,330 Wells Fargo & Co. 5,147,435 --------------- 66,558,294 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- BEVERAGES -- 0.9% 6,386 Constellation Brands, Inc., Class A $ 1,256,892 112,310 Molson Coors Brewing Co., Class B 6,063,617 59,119 Monster Beverage Corp. (a) 3,811,402 19,180 PepsiCo, Inc. 2,451,396 --------------- 13,583,307 --------------- BIOTECHNOLOGY -- 1.5% 53,284 Exact Sciences Corp. (a) 6,133,521 55,854 Gilead Sciences, Inc. 3,659,554 44,417 Incyte Corp. (a) 3,771,892 41,386 Sarepta Therapeutics, Inc. (a) 6,160,306 18,177 Seattle Genetics, Inc. (a) 1,376,181 --------------- 21,101,454 --------------- BUILDING PRODUCTS -- 0.7% 121,794 Johnson Controls International PLC 5,168,938 13,719 Lennox International, Inc. 3,518,649 32,060 Masco Corp. 1,307,086 --------------- 9,994,673 --------------- CAPITAL MARKETS -- 4.1% 8,664 Ameriprise Financial, Inc. 1,260,699 113,960 Bank of New York Mellon (The) Corp. 5,347,003 2,678 BlackRock, Inc. 1,252,447 6,480 CME Group, Inc. 1,259,841 84,611 E*TRADE Financial Corp. 4,128,171 180,729 Franklin Resources, Inc. 5,897,187 24,594 Goldman Sachs Group (The), Inc. 5,413,877 14,633 Intercontinental Exchange, Inc. 1,285,655 99,557 KKR & Co., Inc., Class A 2,663,150 12,879 Moody's Corp. 2,760,485 114,844 Morgan Stanley 5,117,449 26,338 MSCI, Inc. 5,985,047 13,082 Nasdaq, Inc. 1,260,712 44,628 Raymond James Financial, Inc. 3,600,141 5,521 S&P Global, Inc. 1,352,369 89,753 State Street Corp. 5,213,752 45,864 T. Rowe Price Group, Inc. 5,200,519 --------------- 58,998,504 --------------- CHEMICALS -- 3.9% 5,557 Air Products & Chemicals, Inc. 1,268,496 46,674 Celanese Corp. 5,235,423 80,786 CF Industries Holdings, Inc. 4,003,754 83,782 DuPont de Nemours, Inc. 6,045,709 80,808 Eastman Chemical Co. 6,088,883 25,484 Ecolab, Inc. 5,140,887 60,659 FMC Corp. 5,242,151 73,022 LyondellBasell Industries N.V., Class A 6,111,211 251,270 Mosaic (The) Co. 6,329,491 10,780 PPG Industries, Inc. 1,265,464 5,488 Sherwin-Williams (The) Co. 2,815,564 See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 90,546 Westlake Chemical Corp. $ 6,118,193 --------------- 55,665,226 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 26,508 Cintas Corp. 6,903,744 84,150 Copart, Inc. (a) 6,524,149 29,035 Republic Services, Inc. 2,573,953 43,615 Waste Management, Inc. 5,102,955 --------------- 21,104,801 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 45,970 Cisco Systems, Inc. 2,546,738 188,938 Juniper Networks, Inc. 5,105,105 37,719 Motorola Solutions, Inc. 6,259,845 --------------- 13,911,688 --------------- CONSTRUCTION MATERIALS -- 0.3% 10,930 Martin Marietta Materials, Inc. 2,707,907 9,160 Vulcan Materials Co. 1,267,286 --------------- 3,975,193 --------------- CONSUMER FINANCE -- 1.9% 162,360 Ally Financial, Inc. 5,343,267 50,953 American Express Co. 6,337,025 69,311 Capital One Financial Corp. 6,405,723 48,638 Discover Financial Services 4,364,774 145,124 Synchrony Financial 5,207,049 --------------- 27,657,838 --------------- CONTAINERS & PACKAGING -- 1.2% 89,858 Ball Corp. 6,423,050 116,150 International Paper Co. 5,100,146 172,454 WestRock Co. 6,216,967 --------------- 17,740,163 --------------- DISTRIBUTORS -- 0.1% 12,147 Genuine Parts Co. 1,179,717 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 240,739 AXA Equitable Holdings, Inc. 5,411,813 17,706 Berkshire Hathaway, Inc., Class B (a) 3,637,343 --------------- 9,049,156 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 187,686 AT&T, Inc. 6,390,708 66,052 Verizon Communications, Inc. 3,650,694 --------------- 10,041,402 --------------- ELECTRIC UTILITIES -- 2.7% 25,633 Alliant Energy Corp. 1,269,859 28,584 American Electric Power Co., Inc. 2,509,961 42,762 Duke Energy Corp. 3,708,321 18,663 Edison International 1,391,140 24,441 Entergy Corp. 2,581,459 49,808 Eversource Energy 3,778,435 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) 104,955 Exelon Corp. $ 4,729,272 58,766 FirstEnergy Corp. 2,583,941 6,143 NextEra Energy, Inc. 1,272,645 40,105 Pinnacle West Capital Corp. 3,658,378 162,253 PPL Corp. 4,807,556 68,260 Southern (The) Co. 3,836,212 42,284 Xcel Energy, Inc. 2,520,549 --------------- 38,647,728 --------------- ELECTRICAL EQUIPMENT -- 1.0% 55,387 AMETEK, Inc. 4,963,229 60,414 Eaton Corp. PLC 4,965,427 56,562 Emerson Electric Co. 3,669,743 7,675 Rockwell Automation, Inc. 1,233,986 --------------- 14,832,385 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.7% 26,219 Amphenol Corp., Class A 2,446,757 56,657 CDW Corp. 6,694,591 189,263 Corning, Inc. 5,819,837 70,025 Keysight Technologies, Inc. (a) 6,268,638 65,666 TE Connectivity Ltd. 6,067,539 139,420 Trimble, Inc. (a) 5,891,889 24,017 Zebra Technologies Corp., Class A (a) 5,064,945 --------------- 38,254,196 --------------- ENERGY EQUIPMENT & SERVICES -- 1.1% 51,067 Baker Hughes a GE Co. 1,296,591 276,571 Halliburton Co. 6,361,133 113,167 National Oilwell Varco, Inc. 2,695,638 126,609 Schlumberger Ltd. 5,060,562 --------------- 15,413,924 --------------- ENTERTAINMENT -- 1.8% 79,949 Activision Blizzard, Inc. 3,896,714 12,421 Electronic Arts, Inc. (a) 1,148,942 75,950 Live Nation Entertainment, Inc. (a) 5,472,957 6,847 Netflix, Inc. (a) 2,211,513 22,159 Take-Two Interactive Software, Inc. (a) 2,714,921 210,553 Viacom, Inc., Class B 6,390,284 27,028 Walt Disney (The) Co. 3,865,274 --------------- 25,700,605 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.7% 12,301 American Tower Corp. 2,603,138 19,297 Crown Castle International Corp. 2,571,518 39,794 Duke Realty Corp. 1,326,334 7,485 Equinix, Inc. 3,758,218 10,371 Equity LifeStyle Properties, Inc. 1,288,597 345,187 Host Hotels & Resorts, Inc. 6,002,802 188,235 Invitation Homes, Inc. 5,170,815 10,682 Mid-America Apartment Communities, Inc. 1,258,767 Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 15,703 Prologis, Inc. $ 1,265,819 22,382 SBA Communications Corp. (a) 5,492,767 19,629 Sun Communities, Inc. 2,606,927 18,402 Ventas, Inc. 1,238,270 39,246 Vornado Realty Trust 2,524,303 15,432 Welltower, Inc. 1,282,708 --------------- 38,390,983 --------------- FOOD & STAPLES RETAILING -- 1.0% 289,696 Kroger (The) Co. 6,129,967 17,788 Sysco Corp. 1,219,723 115,041 Walgreens Boots Alliance, Inc. 6,268,584 11,381 Walmart, Inc. 1,256,235 --------------- 14,874,509 --------------- FOOD PRODUCTS -- 2.1% 154,146 Archer-Daniels-Midland Co. 6,332,318 142,292 Conagra Brands, Inc. 4,107,970 23,949 General Mills, Inc. 1,271,931 37,542 Hershey (The) Co. 5,696,623 32,759 J.M. Smucker (The) Co. 3,642,473 46,958 Kellogg Co. 2,733,895 8,110 McCormick & Co., Inc. 1,285,759 62,315 Tyson Foods, Inc., Class A 4,954,043 --------------- 30,025,012 --------------- GAS UTILITIES -- 0.3% 23,828 Atmos Energy Corp. 2,598,205 47,101 UGI Corp. 2,406,390 --------------- 5,004,595 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.7% 29,911 Abbott Laboratories 2,605,248 15,360 Baxter International, Inc. 1,289,779 58,530 Boston Scientific Corp. (a) 2,485,184 14,938 Cooper (The) Cos., Inc. 5,040,081 26,404 Danaher Corp. 3,709,762 41,972 DexCom, Inc. (a) 6,584,148 6,807 Edwards Lifesciences Corp. (a) 1,448,870 26,192 Hologic, Inc. (a) 1,342,340 18,270 IDEXX Laboratories, Inc. (a) 5,153,053 12,915 Medtronic PLC 1,316,555 10,310 ResMed, Inc. 1,326,897 12,242 Stryker Corp. 2,568,127 11,393 Teleflex, Inc. 3,870,658 --------------- 38,740,702 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.6% 8,916 Anthem, Inc. 2,626,743 106,827 Cardinal Health, Inc. 4,885,199 71,958 Centene Corp. (a) 3,748,292 23,950 Cigna Corp. 4,069,584 22,362 DaVita, Inc. (a) 1,338,366 27,921 HCA Healthcare, Inc. 3,727,733 35,989 Henry Schein, Inc. (a) 2,394,708 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 21,827 Laboratory Corp. of America Holdings (a) $ 3,656,459 37,068 Quest Diagnostics, Inc. 3,783,901 5,157 UnitedHealth Group, Inc. 1,284,144 38,584 Universal Health Services, Inc., Class B 5,820,782 --------------- 37,335,911 --------------- HEALTH CARE TECHNOLOGY -- 0.5% 17,162 Cerner Corp. 1,229,657 38,796 Veeva Systems, Inc., Class A (a) 6,436,257 --------------- 7,665,914 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.6% 135,113 Carnival Corp. 6,381,387 6,863 Chipotle Mexican Grill, Inc. (a) 5,459,722 20,664 Darden Restaurants, Inc. 2,511,916 9,036 Domino's Pizza, Inc. 2,209,573 64,350 Hilton Worldwide Holdings, Inc. 6,212,992 17,930 Marriott International, Inc., Class A 2,493,346 6,059 McDonald's Corp. 1,276,752 88,050 MGM Resorts International 2,643,261 117,270 Norwegian Cruise Line Holdings Ltd. (a) 5,797,829 41,509 Royal Caribbean Cruises Ltd. 4,829,157 75,027 Starbucks Corp. 7,104,307 54,451 Yum China Holdings, Inc. 2,477,521 22,734 Yum! Brands, Inc. 2,558,030 --------------- 51,955,793 --------------- HOUSEHOLD DURABLES -- 1.8% 145,819 D.R. Horton, Inc. 6,697,467 47,291 Garmin Ltd. 3,716,600 129,783 Lennar Corp., Class A 6,173,777 42,651 Mohawk Industries, Inc. (a) 5,318,153 1,123 NVR, Inc. (a) 3,755,469 --------------- 25,661,466 --------------- HOUSEHOLD PRODUCTS -- 0.2% 17,220 Church & Dwight Co., Inc. 1,299,077 11,471 Procter & Gamble (The) Co. 1,354,037 --------------- 2,653,114 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.2% 75,055 AES Corp. 1,260,173 55,562 Vistra Energy Corp. 1,192,361 --------------- 2,452,534 --------------- INDUSTRIAL CONGLOMERATES -- 0.6% 14,517 3M Co. 2,536,410 14,412 Honeywell International, Inc. 2,485,494 10,306 Roper Technologies, Inc. 3,747,777 --------------- 8,769,681 --------------- See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE -- 5.1% 45,902 Aflac, Inc. $ 2,416,281 1,847 Alleghany Corp. (a) 1,266,543 37,111 Allstate (The) Corp. 3,985,721 70,828 American International Group, Inc. 3,965,660 101,772 Arch Capital Group Ltd. (a) 3,937,559 43,085 Arthur J. Gallagher & Co. 3,896,177 17,080 Chubb Ltd. 2,610,507 24,262 Cincinnati Financial Corp. 2,604,041 124,851 Fidelity National Financial, Inc. 5,353,611 67,720 Hartford Financial Services Group (The), Inc. 3,902,704 78,068 Lincoln National Corp. 5,100,963 23,006 Loews Corp. 1,231,741 1,156 Markel Corp. (a) 1,287,703 75,977 MetLife, Inc. 3,754,783 65,152 Principal Financial Group, Inc. 3,781,422 78,688 Progressive (The) Corp. 6,372,154 37,361 Prudential Financial, Inc. 3,785,043 24,188 Reinsurance Group of America, Inc. 3,771,393 42,184 Torchmark Corp. 3,852,243 25,235 Travelers (The) Cos., Inc. 3,699,956 38,154 W.R. Berkley Corp. 2,647,506 --------------- 73,223,711 --------------- INTERACTIVE MEDIA & SERVICES -- 0.7% 26,074 Facebook, Inc., Class A (a) 5,064,353 17,344 IAC/InterActiveCorp (a) 4,146,083 36,042 Twitter, Inc. (a) 1,524,937 --------------- 10,735,373 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.4% 1,995 Amazon.com, Inc. (a) 3,724,226 675 Booking Holdings, Inc. (a) 1,273,462 95,532 eBay, Inc. 3,934,963 28,371 Expedia Group, Inc. 3,765,967 507,608 Qurate Retail, Inc., Series A (a) 7,177,577 --------------- 19,876,195 --------------- IT SERVICES -- 5.2% 6,806 Accenture PLC, Class A 1,310,699 15,696 Akamai Technologies, Inc. (a) 1,383,288 26,932 Alliance Data Systems Corp. 4,226,169 15,216 Automatic Data Processing, Inc. 2,533,768 49,254 Broadridge Financial Solutions, Inc. 6,261,168 79,371 Cognizant Technology Solutions Corp., Class A 5,170,227 114,038 DXC Technology Co. 6,359,899 10,255 Fidelity National Information Services, Inc. 1,366,479 13,797 Fiserv, Inc. (a) 1,454,618 17,913 FleetCor Technologies, Inc. (a) 5,090,337 23,444 Gartner, Inc. (a) 3,266,453 23,566 Global Payments, Inc. 3,957,203 SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES (CONTINUED) 18,248 International Business Machines Corp. $ 2,705,084 19,022 Mastercard, Inc., Class A 5,179,120 30,573 Paychex, Inc. 2,539,088 43,960 PayPal Holdings, Inc. (a) 4,853,184 34,686 Square, Inc., Class A (a) 2,789,101 46,125 Twilio, Inc., Class A (a) 6,416,449 12,029 VeriSign, Inc. (a) 2,539,202 28,989 Visa, Inc., Class A 5,160,042 --------------- 74,561,578 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.8% 33,690 Agilent Technologies, Inc. 2,338,423 13,663 Illumina, Inc. (a) 4,090,429 39,084 IQVIA Holdings, Inc. (a) 6,221,000 5,990 Mettler-Toledo International, Inc. (a) 4,532,933 39,168 PerkinElmer, Inc. 3,373,148 17,133 Thermo Fisher Scientific, Inc. 4,757,491 --------------- 25,313,424 --------------- MACHINERY -- 3.0% 27,687 Caterpillar, Inc. 3,645,547 36,710 Cummins, Inc. 6,020,440 22,774 Deere & Co. 3,772,513 12,555 Dover Corp. 1,215,952 29,231 IDEX Corp. 4,917,239 8,341 Illinois Tool Works, Inc. 1,286,432 9,934 Ingersoll-Rand PLC 1,228,439 87,765 PACCAR, Inc. 6,155,837 29,596 Parker-Hannifin Corp. 5,181,668 30,374 Snap-on, Inc. 4,635,376 8,697 Stanley Black & Decker, Inc. 1,283,590 45,114 Xylem, Inc. 3,622,203 --------------- 42,965,236 --------------- MEDIA -- 1.9% 258,287 Altice USA, Inc., Class A (a) 6,666,388 126,036 CBS Corp., Class B 6,492,114 6,365 Charter Communications, Inc., Class A (a) 2,452,944 118,998 Comcast Corp., Class A 5,137,144 163,888 Discovery, Inc., Class A (a) 4,967,445 15,352 Omnicom Group, Inc. 1,231,537 --------------- 26,947,572 --------------- METALS & MINING -- 0.9% 541,710 Freeport-McMoRan, Inc. 5,991,313 114,143 Nucor Corp. 6,207,096 --------------- 12,198,409 --------------- MULTILINE RETAIL -- 1.0% 18,615 Dollar General Corp. 2,494,782 132,270 Kohl's Corp. 7,124,062 58,090 Target Corp. 5,018,976 --------------- 14,637,820 --------------- MULTI-UTILITIES -- 1.2% 16,748 Ameren Corp. 1,267,656 87,872 CenterPoint Energy, Inc. 2,549,167 Page 34 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 43,442 CMS Energy Corp. $ 2,529,193 43,040 Consolidated Edison, Inc. 3,656,678 29,508 DTE Energy Co. 3,750,762 9,150 Sempra Energy 1,239,185 30,178 WEC Energy Group, Inc. 2,579,012 --------------- 17,571,653 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.2% 173,676 Apache Corp. 4,241,168 18,374 Cheniere Energy, Inc. (a) 1,197,066 50,545 Chevron Corp. 6,222,595 60,954 Concho Resources, Inc. 5,953,987 220,525 Devon Energy Corp. 5,954,175 65,660 Exxon Mobil Corp. 4,882,478 59,366 Hess Corp. 3,849,291 135,898 HollyFrontier Corp. 6,763,643 180,729 Kinder Morgan, Inc. 3,726,632 442,597 Marathon Oil Corp. 6,227,340 112,547 Marathon Petroleum Corp. 6,346,525 112,310 Noble Energy, Inc. 2,479,805 67,232 Phillips 66 6,895,314 8,172 Pioneer Natural Resources Co. 1,128,063 64,075 Targa Resources Corp. 2,493,158 73,465 Valero Energy Corp. 6,262,891 --------------- 74,624,131 --------------- PERSONAL PRODUCTS -- 0.3% 20,604 Estee Lauder (The) Cos., Inc., Class A 3,795,051 --------------- PHARMACEUTICALS -- 1.2% 110,949 Bristol-Myers Squibb Co. 4,927,245 15,006 Merck & Co., Inc. 1,245,348 264,255 Mylan N.V. (a) 5,522,930 44,333 Zoetis, Inc. 5,093,418 --------------- 16,788,941 --------------- PROFESSIONAL SERVICES -- 1.1% 11,348 CoStar Group, Inc. (a) 6,983,559 51,335 TransUnion 4,250,025 34,357 Verisk Analytics, Inc. 5,212,644 --------------- 16,446,228 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 73,561 CBRE Group, Inc., Class A (a) 3,899,469 --------------- ROAD & RAIL -- 1.5% 48,769 CSX Corp. 3,433,337 41,286 J.B. Hunt Transport Services, Inc. 4,226,448 30,977 Kansas City Southern 3,833,094 25,239 Norfolk Southern Corp. 4,823,678 16,859 Old Dominion Freight Line, Inc. 2,815,116 14,879 Union Pacific Corp. 2,677,476 --------------- 21,809,149 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.7% 165,668 Advanced Micro Devices, Inc. (a) $ 5,044,591 22,291 Analog Devices, Inc. 2,618,301 112,036 Applied Materials, Inc. 5,531,217 4,374 Broadcom, Inc. 1,268,416 13,392 Lam Research Corp. 2,793,705 29,015 Microchip Technology, Inc. 2,739,596 162,975 Micron Technology, Inc. (a) 7,315,948 81,395 Skyworks Solutions, Inc. 6,941,366 10,959 Texas Instruments, Inc. 1,369,984 32,003 Xilinx, Inc. 3,655,063 --------------- 39,278,187 --------------- SOFTWARE -- 3.4% 17,076 Adobe, Inc. (a) 5,103,333 24,566 ANSYS, Inc. (a) 4,989,846 23,166 Autodesk, Inc. (a) 3,617,834 71,054 Cadence Design Systems, Inc. (a) 5,251,601 9,625 Intuit, Inc. 2,669,109 28,169 Microsoft Corp. 3,838,590 22,078 Oracle Corp. 1,242,991 22,902 ServiceNow, Inc. (a) 6,352,786 20,008 Splunk, Inc. (a) 2,707,282 43,664 SS&C Technologies Holdings, Inc. 2,093,689 48,870 Synopsys, Inc. (a) 6,487,981 24,474 Workday, Inc., Class A (a) 4,894,311 --------------- 49,249,353 --------------- SPECIALTY RETAIL -- 3.5% 8,158 Advance Auto Parts, Inc. 1,228,921 5,723 AutoZone, Inc. (a) 6,427,158 72,157 Best Buy Co., Inc. 5,522,175 14,785 Burlington Stores, Inc. (a) 2,672,389 14,489 CarMax, Inc. (a) 1,271,555 349,985 Gap (The), Inc. 6,824,708 18,147 Home Depot (The), Inc. 3,877,832 3,409 O'Reilly Automotive, Inc. (a) 1,298,011 25,381 Ross Stores, Inc. 2,691,147 40,301 Tiffany & Co. 3,785,070 47,574 TJX (The) Cos., Inc. 2,595,637 57,808 Tractor Supply Co. 6,290,089 14,508 Ulta Beauty, Inc. (a) 5,066,919 --------------- 49,551,611 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 12,706 Apple, Inc. 2,706,886 336,555 Hewlett Packard Enterprise Co. 4,836,295 121,005 HP, Inc. 2,545,945 53,386 Seagate Technology PLC 2,472,306 --------------- 12,561,432 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.3% 118,931 Tapestry, Inc. 3,678,536 14,401 VF Corp. 1,258,503 --------------- 4,937,039 --------------- See Notes to Financial Statements Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TOBACCO -- 0.2% 53,130 Altria Group, Inc. $ 2,500,829 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.7% 115,786 Fastenal Co. 3,566,209 47,416 United Rentals, Inc. (a) 6,000,495 --------------- 9,566,704 --------------- WATER UTILITIES -- 0.2% 21,687 American Water Works Co., Inc. 2,489,234 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 50,900 T-Mobile US, Inc. (a) 4,058,257 --------------- TOTAL COMMON STOCKS -- 99.9% 1,432,628,560 (Cost $1,305,898,403) --------------- MONEY MARKET FUNDS -- 0.0% 404,821 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.15% (b) 404,821 (Cost $404,821) --------------- TOTAL INVESTMENTS -- 99.9% 1,433,033,381 (Cost $1,306,303,224) (c) NET OTHER ASSETS AND LIABILITIES -- 0.1% 1,645,508 --------------- NET ASSETS -- 100.0% $ 1,434,678,889 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2019. (c) Aggregate cost for federal income tax purposes is $1,314,025,592. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $167,284,374 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $48,276,585. The net unrealized appreciation was $119,007,789. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $1,432,628,560 $ -- $ -- Money Market Funds 404,821 -- -- -------------------------------------------- Total Investments $1,433,033,381 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. Page 36 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 2.1% 57,860 Aerojet Rocketdyne Holdings, Inc. (a) $ 2,471,779 30,258 Axon Enterprise, Inc. (a) 2,124,717 12,430 BWX Technologies, Inc. 670,101 10,188 Curtiss-Wright Corp. 1,292,959 8,005 Hexcel Corp. 654,489 8,645 Huntington Ingalls Industries, Inc. 1,973,653 46,029 Mercury Systems, Inc. (a) 3,752,284 13,839 Moog, Inc., Class A 1,127,325 23,876 Spirit AeroSystems Holdings, Inc., Class A 1,834,632 9,460 Teledyne Technologies, Inc. (a) 2,755,509 --------------- 18,657,448 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 44,811 XPO Logistics, Inc. (a) 3,023,846 --------------- AIRLINES -- 1.0% 30,398 Alaska Air Group, Inc. 1,926,017 140,096 JetBlue Airways Corp. (a) 2,694,046 53,372 SkyWest, Inc. 3,240,214 27,136 Spirit Airlines, Inc. (a) 1,151,381 --------------- 9,011,658 --------------- AUTO COMPONENTS -- 1.0% 77,130 BorgWarner, Inc. 2,915,514 7,433 Dorman Products, Inc. (a) 534,284 105,261 Gentex Corp. 2,886,257 211,636 Goodyear Tire & Rubber (The) Co. 2,905,762 --------------- 9,241,817 --------------- AUTOMOBILES -- 0.4% 54,225 Harley-Davidson, Inc. 1,940,170 33,238 Thor Industries, Inc. 1,980,985 --------------- 3,921,155 --------------- BANKS -- 8.2% 122,538 Associated Banc-Corp. 2,655,399 44,599 BancorpSouth Bank 1,333,064 86,089 Bank OZK 2,632,602 57,580 BankUnited, Inc. 1,981,328 25,741 BOK Financial Corp. 2,154,007 54,102 Cathay General Bancorp 2,013,676 49,304 CIT Group, Inc. 2,492,317 35,799 Columbia Banking System, Inc. 1,349,980 9,835 Community Bank System, Inc. 649,012 13,831 Cullen/Frost Bankers, Inc. 1,313,115 41,538 East West Bancorp, Inc. 1,994,239 220,089 F.N.B. Corp. 2,652,073 4,314 First Citizens BancShares, Inc., Class A 2,014,724 21,032 First Financial Bankshares, Inc. 688,798 50,066 First Hawaiian, Inc. 1,339,766 173,505 First Horizon National Corp. 2,845,482 79,121 Fulton Financial Corp. 1,345,057 15,970 Glacier Bancorp, Inc. 669,303 48,497 Hancock Whitney Corp. 2,013,595 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 100,874 Home BancShares, Inc. $ 1,984,192 34,154 IBERIABANK Corp. 2,683,480 58,079 Investors Bancorp, Inc. 659,777 78,074 Old National Bancorp 1,374,883 66,710 PacWest Bancorp 2,577,007 77,188 People's United Financial, Inc. 1,267,427 33,800 Pinnacle Financial Partners, Inc. 2,053,012 47,759 Popular, Inc. 2,749,008 19,611 Prosperity Bancshares, Inc. 1,360,807 10,719 Signature Bank 1,366,244 121,731 Sterling Bancorp 2,659,822 37,004 Synovus Financial Corp. 1,412,443 47,260 TCF Financial Corp. (a) 1,986,810 31,655 Texas Capital Bancshares, Inc. (a) 1,992,049 9,838 UMB Financial Corp. 671,542 117,108 Umpqua Holdings Corp. 2,044,706 34,923 United Bankshares, Inc. 1,312,756 180,222 Valley National Bancorp 2,011,278 43,444 Western Alliance Bancorp (a) 2,147,871 26,554 Wintrust Financial Corp. 1,899,673 56,337 Zions Bancorp N.A. 2,539,109 --------------- 72,891,433 --------------- BIOTECHNOLOGY -- 1.0% 96,908 ACADIA Pharmaceuticals, Inc. (a) 2,381,999 34,327 Blueprint Medicines Corp. (a) 3,437,849 13,404 Emergent BioSolutions, Inc. (a) 591,652 20,154 Ionis Pharmaceuticals, Inc. (a) 1,327,342 7,671 Neurocrine Biosciences, Inc. (a) 739,408 --------------- 8,478,250 --------------- BUILDING PRODUCTS -- 1.7% 27,465 A.O. Smith Corp. 1,248,284 29,292 Allegion PLC 3,032,894 26,650 Armstrong World Industries, Inc. 2,603,971 22,673 Fortune Brands Home & Security, Inc. 1,245,655 55,637 Owens Corning 3,226,946 29,233 Simpson Manufacturing Co., Inc. 1,805,430 27,095 Trex Co., Inc. (a) 2,215,016 --------------- 15,378,196 --------------- CAPITAL MARKETS -- 2.7% 45,047 Eaton Vance Corp. 2,004,592 14,622 Evercore, Inc., Class A 1,262,902 9,038 FactSet Research Systems, Inc. 2,506,238 59,781 Federated Investors, Inc., Class B 2,077,390 126,611 Invesco Ltd. 2,429,665 56,495 Lazard Ltd., Class A 2,186,922 39,697 LPL Financial Holdings, Inc. 3,329,387 8,058 MarketAxess Holdings, Inc. 2,715,868 13,432 Morningstar, Inc. 2,041,395 23,087 SEI Investments Co. 1,375,754 32,894 Stifel Financial Corp. 1,967,390 --------------- 23,897,503 --------------- See Notes to Financial Statements Page 37 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS -- 2.6% 45,988 Albemarle Corp. $ 3,355,284 8,098 Ashland Global Holdings, Inc. 643,629 65,260 Axalta Coating Systems Ltd. (a) 1,933,654 6,478 Balchem Corp. 664,902 67,870 Cabot Corp. 3,035,146 158,415 Huntsman Corp. 3,255,428 18,472 Ingevity Corp. (a) 1,820,231 147,787 Olin Corp. 2,966,085 3,190 Quaker Chemical Corp. 597,774 21,197 RPM International, Inc. 1,437,793 17,629 Sensient Technologies Corp. 1,201,769 33,157 Valvoline, Inc. 669,440 17,018 WR Grace & Co. 1,153,991 --------------- 22,735,126 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.2% 423,273 ADT, Inc. (b) 2,687,784 36,435 Clean Harbors, Inc. (a) 2,835,007 21,360 Healthcare Services Group, Inc. 510,718 129,520 KAR Auction Services, Inc. 3,463,365 6,146 MSA Safety, Inc. 647,481 8,247 Tetra Tech, Inc. 653,162 --------------- 10,797,517 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 62,981 Ciena Corp. (a) 2,848,001 123,512 CommScope Holding Co., Inc. (a) 1,763,751 4,927 Ubiquiti Networks, Inc. 634,253 --------------- 5,246,005 --------------- CONSTRUCTION & ENGINEERING -- 1.3% 51,329 AECOM (a) 1,845,278 22,052 EMCOR Group, Inc. 1,860,968 38,447 Fluor Corp. 1,249,912 50,270 MasTec, Inc. (a) 2,579,857 84,786 Quanta Services, Inc. 3,172,692 5,107 Valmont Industries, Inc. 702,723 --------------- 11,411,430 --------------- CONSUMER FINANCE -- 1.9% 5,354 Credit Acceptance Corp. (a) 2,559,373 25,899 FirstCash, Inc. 2,606,475 189,775 Navient Corp. 2,685,316 95,772 OneMain Holdings, Inc. 3,969,749 108,113 Santander Consumer USA Holdings, Inc. 2,909,321 266,505 SLM Corp. 2,427,861 --------------- 17,158,095 --------------- CONTAINERS & PACKAGING -- 1.9% 20,834 AptarGroup, Inc. 2,521,331 36,945 Berry Global Group, Inc. (a) 1,664,372 10,597 Crown Holdings, Inc. (a) 678,314 185,294 Graphic Packaging Holding Co. 2,753,469 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONTAINERS & PACKAGING (CONTINUED) 112,496 Owens-Illinois, Inc. $ 1,909,057 33,968 Packaging Corp. of America 3,429,749 15,136 Sealed Air Corp. 632,533 63,491 Silgan Holdings, Inc. 1,908,539 19,822 Sonoco Products Co. 1,189,915 --------------- 16,687,279 --------------- DISTRIBUTORS -- 0.5% 73,013 LKQ Corp. (a) 1,966,240 13,564 Pool Corp. 2,568,615 --------------- 4,534,855 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.6% 43,125 Adtalem Global Education, Inc. (a) 2,042,831 17,168 Bright Horizons Family Solutions, Inc. (a) 2,610,738 50,346 Chegg, Inc. (a) 2,261,542 4,695 Graham Holdings Co., Class B 3,487,117 66,308 H&R Block, Inc. 1,836,069 41,529 Service Corp. International 1,916,148 --------------- 14,154,445 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 101,029 Jefferies Financial Group, Inc. 2,154,949 23,423 Voya Financial, Inc. 1,315,670 --------------- 3,470,619 --------------- ELECTRIC UTILITIES -- 0.7% 23,348 ALLETE, Inc. 2,030,109 14,868 Hawaiian Electric Industries, Inc. 666,086 12,721 PNM Resources, Inc. 631,852 47,821 Portland General Electric Co. 2,622,982 --------------- 5,951,029 --------------- ELECTRICAL EQUIPMENT -- 1.3% 14,090 Acuity Brands, Inc. 1,891,160 28,360 EnerSys 1,931,600 46,649 Generac Holdings, Inc. (a) 3,372,723 9,933 Hubbell, Inc. 1,290,098 39,628 Regal Beloit Corp. 3,155,181 --------------- 11,640,762 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.5% 45,432 Arrow Electronics, Inc. (a) 3,298,818 71,525 Avnet, Inc. 3,248,665 195,062 AVX Corp. 2,970,794 18,994 Coherent, Inc. (a) 2,637,317 10,028 Dolby Laboratories, Inc., Class A 682,907 23,942 FLIR Systems, Inc. 1,188,960 8,397 IPG Photonics Corp. (a) 1,100,091 40,989 Jabil, Inc. 1,265,740 32,904 SYNNEX Corp. 3,242,360 24,765 Tech Data Corp. (a) 2,509,685 --------------- 22,145,337 --------------- Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES -- 0.3% 38,381 Helmerich & Payne, Inc. $ 1,906,768 56,262 Patterson-UTI Energy, Inc. 654,327 --------------- 2,561,095 --------------- ENTERTAINMENT -- 0.5% 53,817 Cinemark Holdings, Inc. 2,148,375 422,579 Zynga, Inc., Class A (a) 2,696,054 --------------- 4,844,429 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.1% 53,277 American Homes 4 Rent, Class A 1,289,836 39,953 Americold Realty Trust 1,339,624 204,162 Apple Hospitality REIT, Inc. 3,207,385 144,880 Brixmor Property Group, Inc. 2,749,822 31,225 Columbia Property Trust, Inc. 684,764 5,624 CoreSite Realty Corp. 589,451 5,584 EastGroup Properties, Inc. 672,760 8,683 EPR Properties 646,276 99,570 Equity Commonwealth 3,343,561 17,629 First Industrial Realty Trust, Inc. 673,252 16,616 Gaming and Leisure Properties, Inc. 626,589 92,471 GEO Group (The), Inc. 1,646,909 129,520 Hospitality Properties Trust 3,200,439 8,022 Lamar Advertising Co., Class A 649,140 19,338 Macerich (The) Co. 639,121 25,110 Outfront Media, Inc. 682,490 92,449 Paramount Group, Inc. 1,278,570 117,488 Park Hotels & Resorts, Inc. 3,102,858 7,687 PS Business Parks, Inc. 1,345,225 21,374 Rayonier, Inc. 620,701 32,085 Rexford Industrial Realty, Inc. 1,328,319 182,525 RLJ Lodging Trust 3,154,032 15,972 Ryman Hospitality Properties, Inc. 1,197,900 32,892 Sabra Health Care REIT, Inc. 678,891 313,231 Senior Housing Properties Trust 2,568,494 8,057 SL Green Realty Corp. 653,262 19,511 STORE Capital Corp. 667,471 236,179 Sunstone Hotel Investors, Inc. 3,119,925 143,752 VEREIT, Inc. 1,311,018 58,768 VICI Properties, Inc. 1,254,109 --------------- 44,922,194 --------------- FOOD & STAPLES RETAILING -- 0.8% 49,062 BJ's Wholesale Club Holdings, Inc. (a) 1,155,901 4,154 Casey's General Stores, Inc. 672,574 16,177 Performance Food Group Co. (a) 709,361 137,132 Sprouts Farmers Market, Inc. (a) 2,321,645 54,329 US Foods Holding Corp. (a) 1,921,617 --------------- 6,781,098 --------------- FOOD PRODUCTS -- 1.0% 34,875 Bunge Ltd. 2,037,746 65,121 Darling Ingredients, Inc. (a) 1,323,910 SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 27,827 Flowers Foods, Inc. $ 659,500 31,401 Ingredion, Inc. 2,426,983 4,023 J&J Snack Foods Corp. 747,634 25,509 Pilgrim's Pride Corp. (a) 690,274 6,227 Post Holdings, Inc. (a) 667,659 --------------- 8,553,706 --------------- GAS UTILITIES -- 0.6% 13,013 New Jersey Resources Corp. 648,958 7,173 ONE Gas, Inc. 654,034 21,680 Southwest Gas Holdings, Inc. 1,927,569 23,151 Spire, Inc. 1,907,874 --------------- 5,138,435 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.3% 8,029 Cantel Medical Corp. 740,916 21,525 Haemonetics Corp. (a) 2,627,772 6,192 Hill-Rom Holdings, Inc. 660,315 27,122 Insulet Corp. (a) 3,334,379 15,432 Integer Holdings Corp. (a) 1,350,763 11,594 Integra LifeSciences Holdings Corp. (a) 734,944 13,057 Masimo Corp. (a) 2,061,047 10,872 Merit Medical Systems, Inc. (a) 429,009 51,208 Novocure Ltd. (a) 4,261,530 12,142 Penumbra, Inc. (a) 2,034,999 15,524 West Pharmaceutical Services, Inc. 2,130,979 --------------- 20,366,653 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.1% 10,668 Amedisys, Inc. (a) 1,471,011 23,874 AMN Healthcare Services, Inc. (a) 1,274,394 5,385 Chemed Corp. 2,183,025 10,222 Encompass Health Corp. 652,572 21,664 LHC Group, Inc. (a) 2,742,229 13,575 Molina Healthcare, Inc. (a) 1,802,489 --------------- 10,125,720 --------------- HEALTH CARE TECHNOLOGY -- 0.3% 39,004 Teladoc Health, Inc. (a) (b) 2,661,633 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.2% 53,878 Aramark 1,949,845 48,079 Boyd Gaming Corp. 1,273,613 14,884 Choice Hotels International, Inc. 1,277,196 16,886 Churchill Downs, Inc. 2,020,410 7,585 Cracker Barrel Old Country Store, Inc. 1,317,590 32,518 Dunkin' Brands Group, Inc. 2,606,643 56,229 Eldorado Resorts, Inc. (a) 2,537,052 81,408 Hilton Grand Vacations, Inc. (a) 2,662,042 25,522 Hyatt Hotels Corp., Class A 1,974,127 134,495 Penn National Gaming, Inc. (a) 2,625,342 35,758 Planet Fitness, Inc., Class A (a) 2,812,724 132,299 Wendy's (The) Co. 2,406,519 See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 46,473 Wyndham Hotels & Resorts, Inc. $ 2,628,048 --------------- 28,091,151 --------------- HOUSEHOLD DURABLES -- 1.5% 9,919 Helen of Troy Ltd. (a) 1,470,789 33,755 Leggett & Platt, Inc. 1,349,187 102,405 PulteGroup, Inc. 3,226,782 35,747 Roku, Inc. (a) 3,693,738 88,423 Toll Brothers, Inc. 3,180,575 --------------- 12,921,071 --------------- INDUSTRIAL CONGLOMERATES -- 0.1% 9,226 Carlisle Cos., Inc. 1,330,481 --------------- INSURANCE -- 4.9% 95,377 American Equity Investment Life Holding Co. 2,460,727 12,639 American Financial Group, Inc. 1,293,981 27,804 American National Insurance Co. 3,364,840 6,087 Assurant, Inc. 690,022 61,562 Assured Guaranty Ltd. 2,689,644 75,199 Athene Holding Ltd., Class A (a) 3,072,631 10,855 Axis Capital Holdings Ltd. 691,138 17,653 Brighthouse Financial, Inc. (a) 691,468 57,996 Brown & Brown, Inc. 2,083,796 11,147 Enstar Group Ltd. (a) 1,974,691 12,734 Erie Indemnity Co., Class A 2,836,753 48,238 First American Financial Corp. 2,789,121 5,047 Hanover Insurance Group (The), Inc. 654,646 37,524 Kemper Corp. 3,302,862 10,361 Mercury General Corp. 587,572 112,919 National General Holdings Corp. 2,792,487 144,682 Old Republic International Corp. 3,300,196 16,195 Primerica, Inc. 1,986,965 3,639 RenaissanceRe Holdings Ltd. 659,205 8,648 Selective Insurance Group, Inc. 650,330 57,908 Unum Group 1,850,161 2,536 White Mountains Insurance Group Ltd. 2,728,736 --------------- 43,151,972 --------------- INTERACTIVE MEDIA & SERVICES -- 1.1% 48,134 Match Group, Inc. 3,624,009 226,437 Snap, Inc., Class A (a) 3,804,141 41,879 Zillow Group, Inc., Class C (a) 2,092,275 --------------- 9,520,425 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.6% 31,655 Etsy, Inc. (a) 2,121,518 8,302 GrubHub, Inc. (a) 561,464 22,180 Wayfair, Inc., Class A (a) 2,909,129 --------------- 5,592,111 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES -- 3.1% 21,532 Black Knight, Inc. (a) $ 1,363,406 48,903 Booz Allen Hamilton Holding Corp. 3,362,081 6,330 CACI International, Inc., Class A (a) 1,361,900 15,481 CoreLogic, Inc. (a) 705,469 14,964 EPAM Systems, Inc. (a) 2,899,874 19,245 Euronet Worldwide, Inc. (a) 3,000,488 17,002 Genpact Ltd. 674,639 16,220 Leidos Holdings, Inc. 1,331,662 17,857 MAXIMUS, Inc. 1,312,668 17,033 MongoDB, Inc. (a) 2,439,466 26,218 Okta, Inc. (a) 3,430,101 55,326 Perspecta, Inc. 1,290,756 29,171 Sabre Corp. 685,810 65,121 Western Union (The) Co. 1,367,541 9,335 WEX, Inc. (a) 2,035,684 --------------- 27,261,545 --------------- LEISURE PRODUCTS -- 0.3% 28,225 Brunswick Corp. 1,387,541 14,197 Polaris Industries, Inc. 1,344,030 --------------- 2,731,571 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.3% 4,145 Bio-Rad Laboratories, Inc., Class A (a) 1,305,261 9,317 Bio-Techne Corp. 1,957,968 64,826 Bruker Corp. 3,101,924 13,691 Charles River Laboratories International, Inc. (a) 1,841,987 6,530 PRA Health Sciences, Inc. (a) 652,412 50,701 Syneos Health, Inc. (a) 2,590,314 --------------- 11,449,866 --------------- MACHINERY -- 4.3% 25,044 AGCO Corp. 1,928,388 41,916 Allison Transmission Holdings, Inc. 1,926,040 45,979 Barnes Group, Inc. 2,392,747 46,207 Colfax Corp. (a) 1,279,010 31,046 Crane Co. 2,598,550 25,468 Donaldson Co., Inc. 1,272,127 18,716 Gardner Denver Holdings, Inc. (a) 617,066 12,905 Graco, Inc. 620,472 49,099 Hillenbrand, Inc. 1,654,145 19,780 ITT, Inc. 1,234,668 87,536 Kennametal, Inc. 3,026,995 7,867 Lincoln Electric Holdings, Inc. 664,919 4,772 Middleby (The) Corp. (a) 641,261 75,194 Navistar International Corp. (a) 2,349,061 4,583 Nordson Corp. 649,228 38,782 Oshkosh Corp. 3,241,012 5,582 Proto Labs, Inc. (a) 581,086 11,646 RBC Bearings, Inc. (a) 1,894,688 63,072 Timken (The) Co. 2,883,021 9,680 Toro (The) Co. 704,898 Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 124,842 Trinity Industries, Inc. $ 2,446,903 28,613 Woodward, Inc. 3,205,800 --------------- 37,812,085 --------------- MARINE -- 0.1% 8,198 Kirby Corp. (a) 642,395 --------------- MEDIA -- 1.6% 11,884 AMC Networks, Inc., Class A (a) 634,368 2,210 Cable One, Inc. 2,689,128 67,438 DISH Network Corp., Class A (a) 2,283,451 57,334 Interpublic Group of Cos. (The), Inc. 1,314,095 150,695 Liberty Latin America Ltd., Class C (a) 2,471,398 39,707 New York Times (The) Co., Class A 1,416,746 96,013 News Corp., Class A 1,263,531 19,234 Nexstar Media Group, Inc., Class A 1,957,444 --------------- 14,030,161 --------------- METALS & MINING -- 2.1% 110,652 Alcoa Corp. (a) 2,488,563 102,793 Allegheny Technologies, Inc. (a) 2,237,804 242,775 Cleveland-Cliffs, Inc. (b) 2,587,982 34,220 Reliance Steel & Aluminum Co. 3,420,289 12,636 Royal Gold, Inc. 1,446,190 107,220 Steel Dynamics, Inc. 3,378,502 211,496 United States Steel Corp. 3,178,785 --------------- 18,738,115 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.9% 36,404 Blackstone Mortgage Trust, Inc., Class A 1,293,070 68,640 Chimera Investment Corp. 1,323,379 360,785 MFA Financial, Inc. 2,590,437 126,239 New Residential Investment Corp. 1,980,690 28,505 Starwood Property Trust, Inc. 662,171 --------------- 7,849,747 --------------- MULTILINE RETAIL -- 0.8% 150,886 Macy's, Inc. 3,429,639 60,980 Nordstrom, Inc. 2,019,048 22,302 Ollie's Bargain Outlet Holdings, Inc. (a) 1,888,756 --------------- 7,337,443 --------------- MULTI-UTILITIES -- 0.7% 58,079 Avista Corp. 2,673,376 16,570 Black Hills Corp. 1,311,516 35,905 NorthWestern Corp. 2,510,478 --------------- 6,495,370 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS -- 3.4% 585,539 Antero Resources Corp. (a) $ 2,699,335 1,660,525 Chesapeake Energy Corp. (a) (b) 3,005,550 54,575 Cimarex Energy Co. 2,765,315 64,774 CVR Energy, Inc. 3,437,556 79,909 Delek US Holdings, Inc. 3,442,480 163,847 EQT Corp. 2,475,728 131,361 Murphy Oil Corp. 3,157,918 34,067 Parsley Energy, Inc., Class A (a) 565,172 103,452 PBF Energy, Inc., Class A 2,889,414 134,358 Peabody Energy Corp. 2,829,580 173,344 Whiting Petroleum Corp. (a) (b) 3,064,722 --------------- 30,332,770 --------------- PAPER & FOREST PRODUCTS -- 0.7% 72,717 Domtar Corp. 3,086,837 123,495 Louisiana-Pacific Corp. 3,228,159 --------------- 6,314,996 --------------- PERSONAL PRODUCTS -- 0.2% 48,330 Coty, Inc., Class A 527,280 26,263 Nu Skin Enterprises, Inc., Class A 1,049,995 --------------- 1,577,275 --------------- PHARMACEUTICALS -- 0.4% 53,832 Horizon Therapeutics PLC (a) 1,339,878 4,542 Jazz Pharmaceuticals PLC (a) 633,064 18,200 Nektar Therapeutics (a) 517,972 27,199 Perrigo Co., PLC 1,469,018 --------------- 3,959,932 --------------- PROFESSIONAL SERVICES -- 1.8% 32,060 ASGN, Inc. (a) 2,021,383 11,061 Exponent, Inc. 760,997 38,622 FTI Consulting, Inc. (a) 4,034,068 21,209 Insperity, Inc. 2,255,577 26,813 ManpowerGroup, Inc. 2,449,367 22,721 Robert Half International, Inc. 1,372,576 47,759 TriNet Group, Inc. (a) 3,512,197 --------------- 16,406,165 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 18,414 Jones Lang LaSalle, Inc. 2,682,736 --------------- ROAD & RAIL -- 1.4% 6,843 AMERCO 2,648,241 12,952 Genesee & Wyoming, Inc., Class A (a) 1,422,259 98,601 Knight-Swift Transportation Holdings, Inc. 3,533,860 17,990 Landstar System, Inc. 2,001,747 55,539 Ryder System, Inc. 2,958,007 --------------- 12,564,114 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0% 11,767 Cabot Microelectronics Corp. 1,431,456 23,053 Cree, Inc. (a) 1,433,436 52,058 Entegris, Inc. 2,265,044 See Notes to Financial Statements Page 41 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 33,257 MKS Instruments, Inc. $ 2,831,168 4,768 Monolithic Power Systems, Inc. 706,427 64,089 ON Semiconductor Corp. (a) 1,378,554 29,166 Qorvo, Inc. (a) 2,137,576 18,790 Silicon Laboratories, Inc. (a) 2,108,426 27,036 Teradyne, Inc. 1,506,716 10,330 Universal Display Corp. 2,180,456 --------------- 17,979,259 --------------- SOFTWARE -- 6.4% 12,103 Alarm.com Holdings, Inc. (a) 604,061 29,673 Alteryx, Inc., Class A (a) 3,487,764 20,844 Aspen Technology, Inc. (a) 2,748,698 44,846 Avalara, Inc. (a) 3,654,052 7,753 Blackbaud, Inc. 705,523 48,408 Blackline, Inc. (a) 2,158,997 12,900 Ceridian HCM Holding, Inc. (a) 687,699 11,179 Cornerstone OnDemand, Inc. (a) 661,797 25,573 Coupa Software, Inc. (a) 3,470,512 13,029 DocuSign, Inc. (a) 673,860 51,703 Dropbox, Inc., Class A (a) 1,218,123 10,309 Fair Isaac Corp. (a) 3,581,553 25,254 Five9, Inc. (a) 1,246,790 19,166 Guidewire Software, Inc. (a) 1,956,465 11,393 HubSpot, Inc. (a) 2,036,157 14,572 j2 Global, Inc. 1,298,219 37,364 Manhattan Associates, Inc. (a) 3,175,566 14,283 Paycom Software, Inc. (a) 3,438,632 27,609 Paylocity Holding Corp. (a) 2,818,603 10,773 Proofpoint, Inc. (a) 1,359,553 7,438 Qualys, Inc. (a) 643,833 11,006 RealPage, Inc. (a) 687,655 22,540 RingCentral, Inc., Class A (a) 3,200,229 14,215 Trade Desk (The), Inc., Class A (a) 3,742,952 2,997 Tyler Technologies, Inc. (a) 699,350 12,044 Verint Systems, Inc. (a) 696,986 29,094 Zendesk, Inc. (a) 2,431,095 42,251 Zscaler, Inc. (a) 3,560,492 --------------- 56,645,216 --------------- SPECIALTY RETAIL -- 3.5% 31,635 Aaron's, Inc. 1,994,587 191,601 American Eagle Outfitters, Inc. 3,389,422 77,206 AutoNation, Inc. (a) 3,758,388 93,504 Dick's Sporting Goods, Inc. 3,475,544 10,794 Five Below, Inc. (a) 1,267,863 46,365 Floor & Decor Holdings, Inc., Class A (a) 1,815,190 77,244 Foot Locker, Inc. 3,171,638 49,627 L Brands, Inc. 1,287,821 68,454 Penske Automotive Group, Inc. 3,146,830 11,205 RH (a) 1,561,977 142,332 Urban Outfitters, Inc. (a) 3,388,925 39,852 Williams-Sonoma, Inc. 2,657,331 --------------- 30,915,516 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 25,498 Dell Technologies, Inc., Class C (a) $ 1,472,255 73,155 Xerox Corp. 2,348,275 --------------- 3,820,530 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.9% 19,920 Carter's, Inc. 1,852,959 12,931 Columbia Sportswear Co. 1,370,427 18,403 Deckers Outdoor Corp. (a) 2,876,021 75,216 Hanesbrands, Inc. 1,210,226 34,213 PVH Corp. 3,042,220 17,106 Ralph Lauren Corp. 1,782,958 82,261 Skechers U.S.A., Inc., Class A (a) 3,120,982 38,151 Steven Madden Ltd. 1,316,591 --------------- 16,572,384 --------------- THRIFTS & MORTGAGE FINANCE -- 1.6% 68,910 Essent Group Ltd. (a) 3,180,886 7,711 LendingTree, Inc. (a) 2,487,106 246,426 MGIC Investment Corp. (a) 3,166,574 194,673 New York Community Bancorp, Inc. 2,244,580 141,708 Radian Group, Inc. 3,230,942 --------------- 14,310,088 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.4% 78,328 Air Lease Corp. 3,273,327 32,669 GATX Corp. 2,510,939 32,153 HD Supply Holdings, Inc. (a) 1,302,518 34,885 MSC Industrial Direct Co., Inc., Class A 2,478,579 59,306 Triton International Ltd. 1,961,843 3,958 Watsco, Inc. 643,650 --------------- 12,170,856 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.3% 63,895 Macquarie Infrastructure Corp. 2,647,809 --------------- WATER UTILITIES -- 0.1% 31,310 Aqua America, Inc. 1,313,455 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 106,515 Telephone & Data Systems, Inc. 3,444,695 14,498 United States Cellular Corp. (a) 694,309 --------------- 4,139,004 --------------- TOTAL COMMON STOCKS -- 99.8% 885,696,382 (Cost $822,468,547) --------------- MONEY MARKET FUNDS -- 0.4% 1,174,355 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 1,174,355 Page 42 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS (CONTINUED) 1,797,731 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.15% (c) $ 1,797,731 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 2,972,086 (Cost $2,972,086) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.1% $ 9,613,645 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $9,614,321. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $9,809,304. (d) 9,613,645 (Cost $9,613,645) --------------- TOTAL INVESTMENTS -- 101.3% 898,282,113 (Cost $835,054,278) (e) NET OTHER ASSETS AND LIABILITIES -- (1.3)% (11,105,736) --------------- NET ASSETS -- 100.0% $ 887,176,377 =============== (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 $10,288,809 and the total value of the collateral held by the Fund is $10,788,000. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $839,328,028. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $103,190,251 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $44,236,166. The net unrealized appreciation was $58,954,085. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 885,696,382 $ -- $ -- Money Market Funds 2,972,086 -- -- Repurchase Agreements -- 9,613,645 -- -------------------------------------------- Total Investments $ 888,668,468 $ 9,613,645 $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 43 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 --------------------------------- 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) $ 10,288,809 Non-cash Collateral(2) (10,288,809) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 9,613,645 Non-cash Collateral(4) (9,613,645) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 44 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.5% 17,661 Cubic Corp. $ 1,169,158 66,337 Kratos Defense & Security Solutions, Inc. (a) 1,635,207 --------------- 2,804,365 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 31,115 Air Transport Services Group, Inc. (a) 725,291 42,519 Atlas Air Worldwide Holdings, Inc. (a) 1,940,992 12,835 Forward Air Corp. 808,605 36,171 Hub Group, Inc., Class A (a) 1,640,355 --------------- 5,115,243 --------------- AIRLINES -- 0.6% 10,582 Allegiant Travel Co. 1,585,713 69,196 Hawaiian Holdings, Inc. 1,798,404 --------------- 3,384,117 --------------- AUTO COMPONENTS -- 2.2% 119,000 American Axle & Manufacturing Holdings, Inc. (a) 1,436,330 48,128 Cooper Tire & Rubber Co. 1,295,606 41,424 Cooper-Standard Holdings, Inc. (a) 2,049,660 95,188 Dana, Inc. 1,590,592 23,004 Fox Factory Holding Corp. (a) 1,842,160 9,075 Gentherm, Inc. (a) 371,258 12,654 LCI Industries 1,159,486 16,745 Standard Motor Products, Inc. 770,437 136,920 Tenneco, Inc., Class A 1,237,757 19,441 Visteon Corp. (a) 1,280,773 --------------- 13,034,059 --------------- AUTOMOBILES -- 0.3% 49,108 Winnebago Industries, Inc. 1,979,052 --------------- BANKS -- 7.0% 24,544 1st Source Corp. 1,152,341 29,059 Ameris Bancorp 1,155,676 21,489 Atlantic Union Bankshares Corp. 817,227 20,460 BancFirst Corp. 1,193,636 24,187 Berkshire Hills Bancorp, Inc. 793,334 94,352 Boston Private Financial Holdings, Inc. 1,088,822 49,364 Brookline Bancorp, Inc. 732,068 36,501 Cadence BanCorp 625,627 16,483 CenterState Bank Corp. 400,867 4,978 City Holding Co. 385,546 14,026 Eagle Bancorp, Inc. 565,388 20,744 FB Financial Corp. 788,480 20,846 First Bancorp 770,051 103,155 First BanCorp 1,109,948 28,748 First Busey Corp. 777,059 84,545 First Commonwealth Financial Corp. 1,164,185 19,168 First Interstate BancSystem, Inc., Class A 767,295 20,032 First Merchants Corp. 789,461 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 55,634 First Midwest Bancorp, Inc. $ 1,203,363 42,510 Great Western Bancorp, Inc. 1,437,688 25,460 Heartland Financial USA, Inc. 1,224,371 12,851 Heritage Financial Corp. 366,511 35,694 Hilltop Holdings, Inc. 809,540 110,192 Hope Bancorp, Inc. 1,625,332 4,985 Independent Bank Corp. 387,634 13,814 Independent Bank Group, Inc. 784,773 40,267 International Bancshares Corp. 1,515,247 16,212 Lakeland Financial Corp. 745,590 31,373 National Bank Holdings Corp., Class A 1,138,213 20,240 NBT Bancorp, Inc. 783,288 31,940 OFG Bancorp 722,802 36,879 Pacific Premier Bancorp, Inc. 1,166,483 3,819 Park National Corp. 361,239 31,687 Renasant Corp. 1,137,246 20,257 S&T Bancorp, Inc. 771,184 32,650 Sandy Spring Bancorp, Inc. 1,189,766 11,080 ServisFirst Bancshares, Inc. 377,385 65,281 Simmons First National Corp., Class A 1,680,986 15,459 South State Corp. 1,237,802 11,723 Southside Bancshares, Inc. 405,850 9,304 Tompkins Financial Corp. 762,649 41,746 TowneBank 1,174,732 20,085 TriCo Bancshares 758,209 22,834 Trustmark Corp. 811,520 26,583 United Community Banks, Inc. 762,932 14,628 Veritex Holdings, Inc. 374,331 29,542 WesBanco, Inc. 1,080,646 6,161 Westamerica Bancorporation 394,920 --------------- 42,269,243 --------------- BEVERAGES -- 0.7% 5,024 Boston Beer (The) Co., Inc., Class A (a) 1,971,016 6,342 Coca-Cola Consolidated, Inc. 1,861,567 5,725 MGP Ingredients, Inc. 286,193 --------------- 4,118,776 --------------- BIOTECHNOLOGY -- 3.9% 30,417 Amicus Therapeutics, Inc. (a) 377,171 32,373 Arena Pharmaceuticals, Inc. (a) 2,029,140 71,625 Arrowhead Pharmaceuticals, Inc. (a) 2,081,422 52,739 CareDx, Inc. (a) 1,728,257 85,885 Coherus Biosciences, Inc. (a) 1,444,586 8,060 CRISPR Therapeutics AG (a) (b) 408,561 36,571 Denali Therapeutics, Inc. (a) 780,791 15,344 Editas Medicine, Inc. (a) 387,436 4,499 Enanta Pharmaceuticals, Inc. (a) 337,515 93,500 Fate Therapeutics, Inc. (a) 2,061,675 22,096 Halozyme Therapeutics, Inc. (a) 375,411 64,615 Invitae Corp. (a) 1,737,497 20,818 Medicines (The) Co. (a) 746,117 11,056 Mirati Therapeutics, Inc. (a) 1,169,725 13,665 Myriad Genetics, Inc. (a) 398,198 13,992 Portola Pharmaceuticals, Inc. (a) 373,307 See Notes to Financial Statements Page 45 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 25,307 PTC Therapeutics, Inc. (a) $ 1,219,038 22,083 Repligen Corp. (a) 2,084,414 35,247 Sangamo Therapeutics, Inc. (a) 423,316 11,957 Ultragenyx Pharmaceutical, Inc. (a) 720,529 14,572 uniQure N.V. (a) 854,648 37,098 Xencor, Inc. (a) 1,633,054 --------------- 23,371,808 --------------- BUILDING PRODUCTS -- 2.5% 30,260 AAON, Inc. 1,537,208 46,308 Advanced Drainage Systems, Inc. 1,524,923 17,944 American Woodmark Corp. (a) 1,522,548 17,477 Apogee Enterprises, Inc. 708,867 90,062 Builders FirstSource, Inc. (a) 1,547,265 28,574 Continental Building Products, Inc. (a) 702,349 260,452 Cornerstone Building Brands, Inc. (a) 1,515,831 18,812 Gibraltar Industries, Inc. (a) 779,569 53,642 JELD-WEN Holding, Inc. (a) 1,175,296 30,869 Patrick Industries, Inc. (a) 1,415,961 68,112 PGT Innovations, Inc. (a) 1,097,965 39,895 Universal Forest Products, Inc. 1,612,955 --------------- 15,140,737 --------------- CAPITAL MARKETS -- 1.7% 13,794 Artisan Partners Asset Management, Inc., Class A 408,165 217,749 BGC Partners, Inc., Class A 1,199,797 12,499 Blucora, Inc. (a) 374,220 22,139 Cohen & Steers, Inc. 1,159,419 19,959 Hamilton Lane, Inc., Class A 1,171,593 17,050 Houlihan Lokey, Inc. 784,300 9,916 Legg Mason, Inc. 373,437 21,723 Moelis & Co., Class A 791,586 15,333 Piper Jaffray Cos. 1,185,241 74,726 TCG BDC, Inc. 1,129,857 113,860 Waddell & Reed Financial, Inc., Class A 1,992,550 --------------- 10,570,165 --------------- CHEMICALS -- 2.2% 77,694 AdvanSix, Inc. (a) 1,992,074 10,580 Chase Corp. 1,095,876 24,026 Ferro Corp. (a) 353,903 16,767 GCP Applied Technologies, Inc. (a) 369,377 24,544 H.B. Fuller Co. 1,173,449 8,321 Innospec, Inc. 777,015 99,115 Kronos Worldwide, Inc. 1,329,132 35,471 Minerals Technologies, Inc. 1,888,831 24,187 PolyOne Corp. 792,608 47,900 PQ Group Holdings, Inc. (a) 746,761 12,390 Stepan Co. 1,228,469 44,829 Trinseo S.A. 1,739,813 --------------- 13,487,308 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 3.6% 18,981 ABM Industries, Inc. $ 798,910 241,175 ACCO Brands Corp. 2,358,691 23,091 Brady Corp., Class A 1,194,497 20,289 BrightView Holdings, Inc. (a) 400,911 38,316 Casella Waste Systems, Inc., Class A (a) 1,670,578 4,177 Cimpress N.V. (a) 402,872 63,586 Covanta Holding Corp. 1,094,951 37,344 Deluxe Corp. 1,666,289 25,477 Herman Miller, Inc. 1,155,127 32,188 HNI Corp. 1,102,117 49,525 Interface, Inc. 686,417 49,558 Knoll, Inc. 1,201,782 43,571 Matthews International Corp., Class A 1,487,950 18,324 McGrath RentCorp 1,248,048 177,387 Pitney Bowes, Inc. 718,417 88,798 Steelcase, Inc., Class A 1,501,574 8,053 UniFirst Corp. 1,585,394 12,752 US Ecology, Inc. 811,410 5,731 Viad Corp. 396,241 --------------- 21,482,176 --------------- COMMUNICATIONS EQUIPMENT -- 0.8% 34,260 EchoStar Corp., Class A (a) 1,559,515 5,895 InterDigital, Inc. 379,815 15,010 NETGEAR, Inc. (a) 508,089 14,951 NetScout Systems, Inc. (a) 389,324 142,818 Viavi Solutions, Inc. (a) 2,095,140 --------------- 4,931,883 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 29,779 Comfort Systems USA, Inc. 1,250,718 19,345 Dycom Industries, Inc. (a) 1,067,070 7,879 Granite Construction, Inc. 279,705 72,549 Primoris Services Corp. 1,520,627 126,200 WillScot Corp. (a) 2,009,104 --------------- 6,127,224 --------------- CONSTRUCTION MATERIALS -- 0.1% 39,440 Summit Materials, Inc., Class A (a) 727,274 --------------- CONSUMER FINANCE -- 0.7% 56,040 Encore Capital Group, Inc. (a) 2,016,319 19,230 Nelnet, Inc., Class A 1,203,029 26,981 PRA Group, Inc. (a) 839,919 2,313 World Acceptance Corp. (a) 293,126 --------------- 4,352,393 --------------- CONTAINERS & PACKAGING -- 0.3% 46,650 Greif, Inc., Class A 1,630,884 --------------- DISTRIBUTORS -- 0.1% 9,557 Core-Mark Holding Co., Inc. 357,719 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 49,932 K12, Inc. (a) 1,490,470 Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 96,654 Laureate Education, Inc., Class A (a) $ 1,584,159 8,530 Strategic Education, Inc. 1,518,255 --------------- 4,592,884 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 13,099 Cannae Holdings, Inc. (a) 379,216 90,383 FGL Holdings 736,621 --------------- 1,115,837 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 6,575 ATN International, Inc. 369,975 19,185 Cogent Communications Holdings, Inc. 1,208,847 48,961 Iridium Communications, Inc. (a) 1,245,568 100,515 Vonage Holdings Corp. (a) 1,246,386 --------------- 4,070,776 --------------- ELECTRIC UTILITIES -- 0.3% 10,389 MGE Energy, Inc. 770,344 14,376 Otter Tail Corp. 767,391 --------------- 1,537,735 --------------- ELECTRICAL EQUIPMENT -- 1.1% 73,369 Atkore International Group, Inc. (a) 2,002,240 24,746 AZZ, Inc. 1,152,669 25,921 Encore Wire Corp. 1,423,581 101,175 Sunrun, Inc. (a) 1,927,384 --------------- 6,505,874 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.2% 25,431 Anixter International, Inc. (a) 1,636,739 19,079 Badger Meter, Inc. 1,020,536 25,490 Belden, Inc. 1,158,775 75,560 Benchmark Electronics, Inc. 2,044,654 13,763 CTS Corp. 433,810 22,025 ePlus, Inc. (a) 1,671,698 15,286 Fabrinet (a) 820,552 20,767 II-VI, Inc. (a) 824,450 26,090 Insight Enterprises, Inc. (a) 1,435,472 100,907 KEMET Corp. 2,030,249 62,197 Knowles Corp. (a) 1,265,709 66,435 Methode Electronics, Inc. 1,989,728 16,852 OSI Systems, Inc. (a) 1,896,861 26,014 Plexus Corp. (a) 1,553,296 2,200 Rogers Corp. (a) 349,052 50,147 Sanmina Corp. (a) 1,592,167 46,635 ScanSource, Inc. (a) 1,583,258 186,084 TTM Technologies, Inc. (a) 1,946,439 22,978 Vishay Intertechnology, Inc. 390,626 --------------- 25,644,071 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES -- 2.3% 143,249 Archrock, Inc. $ 1,572,874 11,461 Cactus, Inc., Class A (a) 336,610 42,798 Diamond Offshore Drilling, Inc. (a) (b) 386,894 175,949 Helix Energy Solutions Group, Inc. (a) 1,541,313 93,847 Liberty Oilfield Services, Inc., Class A 1,327,935 275,879 Mammoth Energy Services, Inc. 1,787,696 196,485 McDermott International, Inc. (a) 1,261,434 523,600 Nabors Industries Ltd. 1,549,856 62,231 Oil States International, Inc. (a) 928,486 91,693 ProPetro Holding Corp. (a) 1,662,394 263,252 RPC, Inc. 1,626,897 --------------- 13,982,389 --------------- ENTERTAINMENT -- 0.1% 52,871 Glu Mobile, Inc. (a) 394,418 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.2% 13,870 Acadia Realty Trust 389,331 16,112 American Assets Trust, Inc. 747,597 31,927 CareTrust REIT, Inc. 741,664 80,468 Chatham Lodging Trust 1,437,158 73,142 CoreCivic, Inc. 1,241,220 146,851 DiamondRock Hospitality Co. 1,478,789 12,341 Getty Realty Corp. 369,983 58,044 Global Net Lease, Inc. 1,133,019 53,884 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 1,479,116 131,239 Independence Realty Trust, Inc. 1,620,802 72,932 Industrial Logistics Properties Trust 1,559,286 75,270 Kite Realty Group Trust 1,197,546 40,341 Lexington Realty Trust 398,166 81,496 Mack-Cali Realty Corp. 1,937,975 13,117 National Storage Affiliates Trust 397,314 57,802 Office Properties Income Trust 1,628,282 19,047 Piedmont Office Realty Trust, Inc., Class A 396,368 29,215 PotlatchDeltic Corp. 1,075,696 8,220 QTS Realty Trust, Inc., Class A 380,422 94,040 RPT Realty 1,151,990 13,526 Saul Centers, Inc. 741,089 8,836 Seritage Growth Properties, Class A 369,080 28,672 SITE Centers Corp. 408,576 165,479 Summit Hotel Properties, Inc. 1,838,472 46,837 Tanger Factory Outlet Centers, Inc. (b) 743,771 23,223 Terreno Realty Corp. 1,134,676 13,409 Universal Health Realty Income Trust 1,235,773 496,871 Washington Prime Group, Inc. (b) 1,803,642 See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 14,201 Washington Real Estate Investment Trust $ 382,717 91,033 Xenia Hotels & Resorts, Inc. 1,950,837 --------------- 31,370,357 --------------- FOOD & STAPLES RETAILING -- 1.0% 55,743 Andersons (The), Inc. 1,496,700 43,298 Chefs' Warehouse (The), Inc. (a) 1,579,078 22,278 PriceSmart, Inc. 1,358,958 52,130 Weis Markets, Inc. 1,900,138 --------------- 6,334,874 --------------- FOOD PRODUCTS -- 1.1% 91,252 B&G Foods, Inc. (b) 1,668,086 3,924 Calavo Growers, Inc. 347,039 9,099 Cal-Maine Foods, Inc. 361,867 28,172 Fresh Del Monte Produce, Inc. 854,457 33,365 Freshpet, Inc. (a) 1,506,430 26,289 Hostess Brands, Inc. (a) 371,201 47,293 Simply Good Foods (The) Co. (a) 1,287,788 10,279 Tootsie Roll Industries, Inc. 384,023 --------------- 6,780,891 --------------- GAS UTILITIES -- 0.3% 11,986 Chesapeake Utilities Corp. 1,120,212 10,924 Northwest Natural Holding Co. 780,192 --------------- 1,900,404 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.0% 12,722 AtriCure, Inc. (a) 408,122 446 Atrion Corp. 343,197 35,371 Cardiovascular Systems, Inc. (a) 1,621,053 13,309 CONMED Corp. 1,162,541 38,050 CryoLife, Inc. (a) 1,096,601 15,104 Glaukos Corp. (a) 1,233,695 14,401 iRhythm Technologies, Inc. (a) 1,197,299 11,711 Nevro Corp. (a) 782,997 6,485 NuVasive, Inc. (a) 431,901 12,799 Quidel Corp. (a) 755,525 26,676 Tactile Systems Technology, Inc. (a) 1,540,272 23,534 Tandem Diabetes Care, Inc. (a) 1,492,762 --------------- 12,065,965 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.1% 105,301 Brookdale Senior Living, Inc. (a) 820,295 21,814 CorVel Corp. (a) 1,858,553 33,346 Ensign Group (The), Inc. 2,009,430 10,228 Magellan Health, Inc. (a) 719,438 18,711 National HealthCare Corp. 1,639,084 33,154 Patterson Cos., Inc. 656,449 9,706 Premier, Inc., Class A (a) 376,107 71,760 Select Medical Holdings Corp. (a) 1,201,262 115,453 Tivity Health, Inc. (a) 2,014,655 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 12,388 US Physical Therapy, Inc. $ 1,599,043 --------------- 12,894,316 --------------- HEALTH CARE TECHNOLOGY -- 1.1% 32,641 Allscripts Healthcare Solutions, Inc. (a) 336,202 35,160 HMS Holdings Corp. (a) 1,227,084 104,647 Inovalon Holdings, Inc., Class A (a) 1,569,705 25,036 Inspire Medical Systems, Inc. (a) 1,693,185 57,228 NextGen Healthcare, Inc. (a) 936,250 13,238 Omnicell, Inc. (a) 995,630 --------------- 6,758,056 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.1% 20,075 Bloomin' Brands, Inc. 341,877 9,647 Brinker International, Inc. 384,433 26,048 Cheesecake Factory (The), Inc. 1,122,148 9,380 Dave & Buster's Entertainment, Inc. 381,297 92,452 Denny's Corp. (a) 2,088,490 19,881 Dine Brands Global, Inc. 1,632,031 35,345 Red Rock Resorts, Inc., Class A 736,590 19,153 Scientific Games Corp. (a) 391,679 61,228 SeaWorld Entertainment, Inc. (a) 1,871,740 26,289 Shake Shack, Inc., Class A (a) 1,962,737 20,032 Wingstop, Inc. 1,914,859 --------------- 12,827,881 --------------- HOUSEHOLD DURABLES -- 2.8% 4,819 Cavco Industries, Inc. (a) 854,650 6,410 Installed Building Products, Inc. (a) 341,525 8,285 iRobot Corp. (a) 605,633 73,768 KB Home 1,937,885 37,144 La-Z-Boy, Inc. 1,225,380 21,258 LGI Homes, Inc. (a) 1,494,225 57,903 M.D.C. Holdings, Inc. 2,092,614 36,970 Meritage Homes Corp. (a) 2,322,086 90,556 Taylor Morrison Home Corp. (a) 2,039,321 9,174 TopBuild Corp. (a) 744,287 158,567 TRI Pointe Group, Inc. (a) 2,170,782 59,844 Tupperware Brands Corp. 916,212 --------------- 16,744,600 --------------- HOUSEHOLD PRODUCTS -- 0.3% 61,625 Central Garden & Pet Co., Class A (a) 1,697,769 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.6% 45,031 Clearway Energy, Inc., Class C 811,458 65,762 Pattern Energy Group, Inc., Class A 1,507,923 79,639 TerraForm Power, Inc., Class A 1,227,237 --------------- 3,546,618 --------------- Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE -- 2.1% 5,952 AMERISAFE, Inc. $ 387,237 10,252 Argo Group International Holdings Ltd. 701,647 22,045 eHealth, Inc. (a) 2,287,169 44,903 Employers Holdings, Inc. 1,971,242 11,900 FBL Financial Group, Inc., Class A 746,130 9,422 Horace Mann Educators Corp. 409,292 8,094 James River Group Holdings Ltd. 387,136 20,749 Kinsale Capital Group, Inc. 1,864,505 5,909 National Western Life Group, Inc., Class A 1,589,521 10,513 ProAssurance Corp. 410,953 11,972 Safety Insurance Group, Inc. 1,181,157 10,846 State Auto Financial Corp. 375,055 7,834 United Fire Group, Inc. 409,483 --------------- 12,720,527 --------------- INTERACTIVE MEDIA & SERVICES -- 0.5% 77,000 Cars.com, Inc. (a) 1,463,000 95,801 QuinStreet, Inc. (a) 1,560,598 --------------- 3,023,598 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.4% 70,690 Quotient Technology, Inc. (a) 743,659 59,333 Stitch Fix, Inc., Class A (a) (b) 1,547,404 --------------- 2,291,063 --------------- IT SERVICES -- 1.2% 15,548 CSG Systems International, Inc. 796,679 46,435 EVERTEC, Inc. 1,486,849 5,741 ExlService Holdings, Inc. (a) 394,923 30,442 KBR, Inc. 803,060 11,530 ManTech International Corp., Class A 793,033 47,333 NIC, Inc. 858,621 55,539 Presidio, Inc. 777,546 55,296 Sykes Enterprises, Inc. (a) 1,564,324 --------------- 7,475,035 --------------- LEISURE PRODUCTS -- 0.5% 28,912 Acushnet Holdings Corp. 738,991 66,366 Callaway Golf Co. 1,217,152 20,904 Sturm Ruger & Co., Inc. 1,181,076 --------------- 3,137,219 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 66,366 Accelerate Diagnostics, Inc. (a) (b) 1,239,717 24,328 Cambrex Corp. (a) 1,065,566 29,013 Medpace Holdings, Inc. (a) 2,285,064 51,907 NeoGenomics, Inc. (a) 1,264,974 --------------- 5,855,321 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY -- 4.1% 30,601 Actuant Corp., Class A $ 700,763 15,195 Alamo Group, Inc. 1,487,439 22,893 Albany International Corp., Class A 1,968,569 31,740 Altra Industrial Motion Corp. 911,890 9,875 Chart Industries, Inc. (a) 745,859 11,893 EnPro Industries, Inc. 844,879 22,973 ESCO Technologies, Inc. 1,919,624 56,764 Federal Signal Corp. 1,768,199 15,984 Franklin Electric Co., Inc. 749,010 62,436 Greenbrier (The) Cos., Inc. 1,805,025 69,171 Harsco Corp. (a) 1,622,752 32,718 Helios Technologies, Inc. 1,536,437 3,134 John Bean Technologies Corp. 371,880 12,541 Kadant, Inc. 1,172,082 62,616 Meritor, Inc. (a) 1,548,494 55,016 Milacron Holdings Corp. (a) 926,469 38,908 Mueller Industries, Inc. 1,174,633 38,657 Mueller Water Products, Inc., Class A 393,142 11,496 SPX Corp. (a) 401,210 9,068 SPX FLOW, Inc. (a) 367,798 5,190 Standex International Corp. 365,220 6,203 Tennant Co. 472,110 36,771 TriMas Corp. (a) 1,102,762 4,074 Watts Water Technologies, Inc., Class A 378,189 --------------- 24,734,435 --------------- MARINE -- 0.3% 39,085 Matson, Inc. 1,598,967 --------------- MEDIA -- 2.1% 261,799 Entercom Communications Corp., Class A 1,487,018 74,482 EW Scripps (The) Co., Class A 1,141,809 186,084 Gannett Co., Inc. 1,907,361 69,484 Gray Television, Inc. (a) 1,233,341 33,110 John Wiley & Sons, Inc., Class A 1,506,836 13,789 Meredith Corp. 756,465 45,681 Scholastic Corp. 1,560,920 21,235 Sinclair Broadcast Group, Inc., Class A 1,067,059 125,284 TEGNA, Inc. 1,903,064 --------------- 12,563,873 --------------- METALS & MINING -- 2.1% 320,345 AK Steel Holding Corp. (a) 903,373 39,559 Carpenter Technology Corp. 1,780,550 174,935 Coeur Mining, Inc. (a) 804,701 106,334 Commercial Metals Co. 1,861,908 13,816 Compass Minerals International, Inc. 771,624 632,682 Hecla Mining Co. 1,170,462 15,556 Kaiser Aluminum Corp. 1,497,576 5,598 Materion Corp. 347,804 72,666 Warrior Met Coal, Inc. 1,797,757 37,716 Worthington Industries, Inc. 1,516,937 --------------- 12,452,692 --------------- See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.0% 82,569 Apollo Commercial Real Estate Finance, Inc. $ 1,553,949 31,320 Arbor Realty Trust, Inc. 381,791 38,114 KKR Real Estate Finance Trust, Inc. 763,423 61,228 New York Mortgage Trust, Inc. 374,103 69,557 PennyMac Mortgage Investment Trust 1,532,341 45,929 Redwood Trust, Inc. 777,119 19,679 TPG RE Finance Trust, Inc. 388,660 --------------- 5,771,386 --------------- MULTILINE RETAIL -- 0.6% 66,342 Big Lots, Inc. 1,698,355 30,476 Dillard's, Inc., Class A (b) 2,218,043 --------------- 3,916,398 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.4% 20,147 Arch Coal, Inc., Class A 1,796,306 35,812 Berry Petroleum Corp. 350,958 38,578 California Resources Corp. (a) (b) 590,629 288,019 Callon Petroleum Co. (a) 1,417,053 189,427 Carrizo Oil & Gas, Inc. (a) 1,805,239 259,650 CNX Resources Corp. (a) 2,134,323 36,571 Contura Energy, Inc. (a) 1,310,339 1,530,684 Denbury Resources, Inc. (a) 1,729,673 386,568 Gulfport Energy Corp. (a) 1,461,227 181,632 Kosmos Energy Ltd. 1,091,608 57,285 Matador Resources Co. (a) 1,009,935 267,331 Oasis Petroleum, Inc. (a) 1,301,902 21,054 PDC Energy, Inc. (a) 604,881 105,009 QEP Resources, Inc. (a) 519,795 126,536 SemGroup Corp., Class A 1,603,211 151,602 SM Energy Co. 1,511,472 600,648 Southwestern Energy Co. (a) 1,321,426 382,671 SRC Energy, Inc. (a) 1,561,298 78,921 Talos Energy, Inc. (a) 1,624,194 42,225 World Fuel Services Corp. 1,648,464 --------------- 26,393,933 --------------- PAPER & FOREST PRODUCTS -- 0.5% 27,008 Boise Cascade Co. 729,216 5,619 Neenah, Inc. 369,225 57,205 Schweitzer-Mauduit International, Inc. 1,969,568 --------------- 3,068,009 --------------- PERSONAL PRODUCTS -- 0.5% 56,343 Edgewell Personal Care Co. (a) 1,714,517 5,709 Inter Parfums, Inc. 395,520 5,918 Medifast, Inc. 660,745 --------------- 2,770,782 --------------- PHARMACEUTICALS -- 0.6% 53,947 Amphastar Pharmaceuticals, Inc. (a) 1,087,032 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 26,072 Innoviva, Inc. (a) $ 309,735 26,186 Pacira BioSciences, Inc. (a) 1,149,304 12,070 Reata Pharmaceuticals, Inc., Class A (a) 1,094,145 --------------- 3,640,216 --------------- PROFESSIONAL SERVICES -- 0.8% 58,133 CBIZ, Inc. (a) 1,358,568 7,535 Huron Consulting Group, Inc. (a) 459,409 10,429 ICF International, Inc. 888,446 16,369 Navigant Consulting, Inc. 398,749 86,041 TrueBlue, Inc. (a) 1,701,031 --------------- 4,806,203 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 262,162 Realogy Holdings Corp. 1,365,864 21,113 Redfin Corp. (a) (b) 380,878 43,937 St Joe (The) Co. (a) 845,348 --------------- 2,592,090 --------------- ROAD & RAIL -- 2.3% 67,522 ArcBest Corp. 2,020,933 10,797 Avis Budget Group, Inc. (a) 392,903 84,031 Heartland Express, Inc. 1,667,175 118,925 Hertz Global Holdings, Inc. (a) 1,845,716 104,576 Marten Transport Ltd. 2,098,840 23,480 Saia, Inc. (a) 1,791,524 104,059 Schneider National, Inc., Class B 2,008,339 61,070 Werner Enterprises, Inc. 2,024,471 --------------- 13,849,901 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.3% 13,493 Advanced Energy Industries, Inc. (a) 787,991 254,430 Amkor Technology, Inc. (a) 2,348,389 39,185 Brooks Automation, Inc. 1,520,378 17,373 Cirrus Logic, Inc. (a) 852,146 31,312 Diodes, Inc. (a) 1,333,891 24,225 FormFactor, Inc. (a) 406,495 22,731 Inphi Corp. (a) 1,368,633 104,074 Lattice Semiconductor Corp. (a) 2,012,791 9,468 Power Integrations, Inc. 862,251 52,109 Synaptics, Inc. (a) 1,676,868 36,873 Xperi Corp. 787,239 --------------- 13,957,072 --------------- SOFTWARE -- 4.5% 63,006 8x8, Inc. (a) 1,522,855 37,594 Altair Engineering, Inc., Class A (a) 1,564,286 18,559 Appfolio, Inc., Class A (a) 1,791,871 159,366 Avaya Holdings Corp. (a) 1,918,767 68,112 Carbon Black, Inc. (a) 1,267,564 15,118 Ebix, Inc. 695,882 16,658 Envestnet, Inc. (a) 1,189,548 21,226 Everbridge, Inc. (a) 2,171,420 Page 50 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 22,422 ForeScout Technologies, Inc. (a) $ 837,686 8,932 Instructure, Inc. (a) 354,511 27,076 LivePerson, Inc. (a) 898,652 24,381 Mimecast Ltd. (a) 1,160,536 17,405 Progress Software Corp. 753,462 24,003 PROS Holdings, Inc. (a) 1,736,857 19,885 Q2 Holdings, Inc. (a) 1,588,215 32,816 Rapid7, Inc. (a) 1,990,290 39,216 Smartsheet, Inc., Class A (a) 1,957,271 11,142 SPS Commerce, Inc. (a) 1,246,010 6,129 Varonis Systems, Inc. (a) 440,736 26,140 Workiva, Inc. (a) 1,502,789 37,791 Yext, Inc. (a) 786,431 --------------- 27,375,639 --------------- SPECIALTY RETAIL -- 4.3% 118,332 Abercrombie & Fitch Co., Class A 2,240,025 13,503 Asbury Automotive Group, Inc. (a) 1,243,356 284,993 At Home Group, Inc. (a) 1,707,108 130,675 Bed Bath & Beyond, Inc. (b) 1,268,854 19,057 Caleres, Inc. 357,891 24,260 Carvana Co. (a) 1,541,966 7,959 Children's Place (The), Inc. 777,356 44,882 Genesco, Inc. (a) 1,767,453 18,542 Group 1 Automotive, Inc. 1,556,786 23,505 Guess?, Inc. 396,059 12,783 Lithia Motors, Inc., Class A 1,685,822 130,900 Michaels Cos. (The), Inc. (a) 899,283 13,351 Monro, Inc. 1,124,288 13,553 Murphy USA, Inc. (a) 1,197,543 12,353 National Vision Holdings, Inc. (a) 390,231 921,383 Office Depot, Inc. 1,879,621 258,942 Party City Holdco, Inc. (a) (b) 1,652,050 71,275 Rent-A-Center, Inc. (a) 1,926,563 21,231 Signet Jewelers Ltd. 385,131 37,594 Sleep Number Corp. (a) 1,848,497 --------------- 25,845,883 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 64,515 G-III Apparel Group Ltd. (a) 1,849,000 20,032 Oxford Industries, Inc. 1,466,142 --------------- 3,315,142 --------------- THRIFTS & MORTGAGE FINANCE -- 2.3% 41,792 Axos Financial, Inc. (a) 1,224,924 27,568 Capitol Federal Financial, Inc. 376,579 25,140 Columbia Financial, Inc. (a) 384,391 34,364 Flagstar Bancorp, Inc. 1,184,871 28,564 Kearny Financial Corp. 381,329 40,600 Meta Financial Group, Inc. 1,253,322 47,392 Mr Cooper Group, Inc. (a) 360,653 66,856 NMI Holdings, Inc., Class A (a) 1,663,377 21,556 Northwest Bancshares, Inc. 369,685 SHARES DESCRIPTION VALUE ------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE (CONTINUED) 30,552 OceanFirst Financial Corp. $ 745,469 51,345 PennyMac Financial Services, Inc. 1,232,793 31,308 Provident Financial Services, Inc. 757,027 35,671 Walker & Dunlop, Inc. 2,081,046 21,736 Washington Federal, Inc. 795,103 18,383 WSFS Financial Corp. 778,888 --------------- 13,589,457 --------------- TOBACCO -- 0.2% 24,987 Universal Corp. 1,486,727 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.6% 89,278 Aircastle Ltd. 1,856,090 18,509 Applied Industrial Technologies, Inc. 1,126,088 20,676 Beacon Roofing Supply, Inc. (a) 749,091 89,530 BMC Stock Holdings, Inc. (a) 1,893,559 39,148 H&E Equipment Services, Inc. 1,198,320 24,849 Herc Holdings, Inc. (a) 1,121,684 5,960 Kaman Corp. 377,864 66,520 MRC Global, Inc. (a) 1,040,373 77,156 NOW, Inc. (a) 945,161 51,972 Rush Enterprises, Inc., Class A 1,957,266 21,912 SiteOne Landscape Supply, Inc. (a) 1,618,639 37,474 WESCO International, Inc. (a) 1,901,431 --------------- 15,785,566 --------------- WATER UTILITIES -- 0.4% 10,090 American States Water Co. 781,672 7,498 California Water Service Group 400,318 12,814 Middlesex Water Co. 802,541 6,247 SJW Group 405,368 --------------- 2,389,899 --------------- TOTAL COMMON STOCKS -- 99.8% 602,057,174 (Cost $586,479,948) --------------- MONEY MARKET FUNDS -- 0.4% 1,120,496 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 1,120,496 1,054,586 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 2.15% (c) 1,054,586 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 2,175,082 (Cost $2,175,082) --------------- See Notes to Financial Statements Page 51 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.5% $ 9,172,739 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $9,173,383. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $9,359,424. (d) $ 9,172,739 (Cost $9,172,739) --------------- TOTAL INVESTMENTS -- 101.7% 613,404,995 (Cost $597,827,769) (e) NET OTHER ASSETS AND LIABILITIES -- (1.7)% (10,486,832) --------------- NET ASSETS -- 100.0% $ 602,918,163 =============== (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 $10,041,772 and the total value of the collateral held by the Fund is $10,293,235. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $601,691,891. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $63,432,272 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $51,719,168. The net unrealized appreciation was $11,713,104. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 602,057,174 $ -- $ -- Money Market Funds 2,175,082 -- -- Repurchase Agreements -- 9,172,739 -- -------------------------------------------- Total Investments $ 604,232,256 $ 9,172,739 $ -- ============================================ * 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) $ 10,041,772 Non-cash Collateral(2) (10,041,772) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 9,172,739 Non-cash Collateral(4) (9,172,739) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 52 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.9% 234,730 Arconic, Inc. $ 5,877,639 22,823 General Dynamics Corp. 4,243,709 5,556 Lockheed Martin Corp. 2,012,216 6,253 Northrop Grumman Corp. 2,160,849 156,473 Textron, Inc. 7,714,119 --------------- 22,008,532 --------------- AIR FREIGHT & LOGISTICS -- 0.4% 23,951 C.H. Robinson Worldwide, Inc. 2,005,417 19,563 United Parcel Service, Inc., Class B 2,337,192 --------------- 4,342,609 --------------- AIRLINES -- 2.4% 61,952 American Airlines Group, Inc. 1,890,155 146,244 Delta Air Lines, Inc. 8,926,734 163,437 Southwest Airlines Co. 8,421,909 94,797 United Airlines Holdings, Inc. (a) 8,712,792 --------------- 27,951,590 --------------- AUTO COMPONENTS -- 1.0% 24,993 Aptiv PLC 2,190,637 74,489 Lear Corp. 9,443,715 --------------- 11,634,352 --------------- AUTOMOBILES -- 1.3% 405,638 Ford Motor Co. 3,865,730 269,251 General Motors Co. 10,861,585 --------------- 14,727,315 --------------- BANKS -- 8.0% 208,990 Bank of America Corp. 6,411,813 123,361 BB&T Corp. 6,356,792 118,512 Citigroup, Inc. 8,433,314 234,711 Citizens Financial Group, Inc. 8,745,332 83,434 Comerica, Inc. 6,107,369 297,469 Fifth Third Bancorp 8,831,855 438,547 Huntington Bancshares, Inc. 6,249,295 54,210 JPMorgan Chase & Co. 6,288,360 341,448 KeyCorp 6,272,400 24,400 M&T Bank Corp. 4,007,700 44,149 PNC Financial Services Group (The), Inc. 6,308,892 555,513 Regions Financial Corp. 8,849,322 38,555 U.S. Bancorp 2,203,418 175,388 Wells Fargo & Co. 8,490,533 --------------- 93,556,395 --------------- BEVERAGES -- 0.9% 185,254 Molson Coors Brewing Co., Class B 10,001,863 --------------- BIOTECHNOLOGY -- 0.3% 61,422 Gilead Sciences, Inc. 4,024,369 --------------- BUILDING PRODUCTS -- 0.7% 146,713 Johnson Controls International PLC 6,226,500 51,485 Masco Corp. 2,099,043 --------------- 8,325,543 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS -- 4.9% 187,982 Bank of New York Mellon (The) Corp. $ 8,820,116 93,041 E*TRADE Financial Corp. 4,539,470 238,487 Franklin Resources, Inc. 7,781,831 40,564 Goldman Sachs Group (The), Inc. 8,929,353 189,440 Morgan Stanley 8,441,446 49,080 Raymond James Financial, Inc. 3,959,284 148,044 State Street Corp. 8,599,876 55,243 T. Rowe Price Group, Inc. 6,264,004 --------------- 57,335,380 --------------- CHEMICALS -- 5.3% 8,925 Air Products & Chemicals, Inc. 2,037,310 76,989 Celanese Corp. 8,635,856 138,193 DuPont de Nemours, Inc. 9,972,007 133,292 Eastman Chemical Co. 10,043,552 120,448 LyondellBasell Industries N.V., Class A 10,080,293 414,470 Mosaic (The) Co. 10,440,499 149,355 Westlake Chemical Corp. 10,091,918 --------------- 61,301,435 --------------- COMMUNICATIONS EQUIPMENT -- 0.7% 36,912 Cisco Systems, Inc. 2,044,925 227,590 Juniper Networks, Inc. 6,149,482 --------------- 8,194,407 --------------- CONSUMER FINANCE -- 3.0% 334,761 Ally Financial, Inc. 11,016,985 114,329 Capital One Financial Corp. 10,566,286 53,482 Discover Financial Services 4,799,475 239,381 Synchrony Financial 8,588,990 --------------- 34,971,736 --------------- CONTAINERS & PACKAGING -- 1.6% 191,583 International Paper Co. 8,412,409 284,458 WestRock Co. 10,254,711 --------------- 18,667,120 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.1% 397,099 AXA Equitable Holdings, Inc. 8,926,785 19,467 Berkshire Hathaway, Inc., Class B (a) 3,999,106 --------------- 12,925,891 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 309,586 AT&T, Inc. 10,541,403 106,087 Verizon Communications, Inc. 5,863,429 --------------- 16,404,832 --------------- ELECTRIC UTILITIES -- 3.6% 68,685 Duke Energy Corp. 5,956,363 54,774 Eversource Energy 4,155,156 173,119 Exelon Corp. 7,800,742 47,191 FirstEnergy Corp. 2,074,988 64,413 Pinnacle West Capital Corp. 5,875,754 267,635 PPL Corp. 7,930,025 See Notes to Financial Statements Page 53 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 109,637 Southern (The) Co. $ 6,161,600 33,959 Xcel Energy, Inc. 2,024,296 --------------- 41,978,924 --------------- ELECTRICAL EQUIPMENT -- 1.0% 72,774 Eaton Corp. PLC 5,981,295 62,195 Emerson Electric Co. 4,035,212 12,332 Rockwell Automation, Inc. 1,982,739 --------------- 11,999,246 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 249,756 Corning, Inc. 7,679,997 86,651 TE Connectivity Ltd. 8,006,552 --------------- 15,686,549 --------------- ENERGY EQUIPMENT & SERVICES -- 1.8% 456,211 Halliburton Co. 10,492,853 186,671 National Oilwell Varco, Inc. 4,446,503 152,510 Schlumberger Ltd. 6,095,825 --------------- 21,035,181 --------------- ENTERTAINMENT -- 1.6% 87,917 Activision Blizzard, Inc. 4,285,075 347,311 Viacom, Inc., Class B 10,540,889 29,717 Walt Disney (The) Co. 4,249,828 --------------- 19,075,792 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 1.0% 569,386 Host Hotels & Resorts, Inc. 9,901,622 31,518 Vornado Realty Trust 2,027,238 --------------- 11,928,860 --------------- FOOD & STAPLES RETAILING -- 1.8% 477,854 Kroger (The) Co. 10,111,390 189,761 Walgreens Boots Alliance, Inc. 10,340,077 --------------- 20,451,467 --------------- FOOD PRODUCTS -- 2.3% 203,416 Archer-Daniels-Midland Co. 8,356,329 156,473 Conagra Brands, Inc. 4,517,375 36,024 J.M. Smucker (The) Co. 4,005,509 37,712 Kellogg Co. 2,195,593 102,790 Tyson Foods, Inc., Class A 8,171,805 --------------- 27,246,611 --------------- GAS UTILITIES -- 0.3% 19,139 Atmos Energy Corp. 2,086,917 37,825 UGI Corp. 1,932,479 --------------- 4,019,396 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.1% 7,160 Anthem, Inc. 2,109,407 128,678 Cardinal Health, Inc. 5,884,445 79,133 Centene Corp. (a) 4,122,038 26,338 Cigna Corp. 4,475,353 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 28,903 Henry Schein, Inc. (a) $ 1,923,206 24,001 Laboratory Corp. of America Holdings (a) 4,020,647 40,759 Quest Diagnostics, Inc. 4,160,679 63,650 Universal Health Services, Inc., Class B 9,602,239 --------------- 36,298,014 --------------- HEALTH CARE TECHNOLOGY -- 0.2% 27,562 Cerner Corp. 1,974,817 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.6% 222,862 Carnival Corp. 10,525,772 70,712 MGM Resorts International 2,122,774 154,753 Norwegian Cruise Line Holdings Ltd. (a) 7,650,989 68,471 Royal Caribbean Cruises Ltd. 7,965,916 43,728 Yum China Holdings, Inc. 1,989,624 --------------- 30,255,075 --------------- HOUSEHOLD DURABLES -- 3.3% 240,534 D.R. Horton, Inc. 11,047,727 52,000 Garmin Ltd. 4,086,680 214,078 Lennar Corp., Class A 10,183,691 70,348 Mohawk Industries, Inc. (a) 8,771,692 1,231 NVR, Inc. (a) 4,116,636 --------------- 38,206,426 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 11,655 3M Co. 2,036,362 11,572 Honeywell International, Inc. 1,995,707 --------------- 4,032,069 --------------- INSURANCE -- 7.1% 75,711 Aflac, Inc. 3,985,427 2,966 Alleghany Corp. (a) 2,033,875 40,808 Allstate (The) Corp. 4,382,779 113,753 American International Group, Inc. 6,369,030 111,913 Arch Capital Group Ltd. (a) 4,329,914 13,716 Chubb Ltd. 2,096,353 19,488 Cincinnati Financial Corp. 2,091,647 150,390 Fidelity National Financial, Inc. 6,448,723 108,771 Hartford Financial Services Group (The), Inc. 6,268,473 128,773 Lincoln National Corp. 8,414,028 36,952 Loews Corp. 1,978,410 122,021 MetLife, Inc. 6,030,278 104,639 Principal Financial Group, Inc. 6,073,248 60,006 Prudential Financial, Inc. 6,079,208 38,843 Reinsurance Group of America, Inc. 6,056,401 46,386 Torchmark Corp. 4,235,969 27,753 Travelers (The) Cos., Inc. 4,069,145 30,643 W.R. Berkley Corp. 2,126,318 --------------- 83,069,226 --------------- Page 54 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & DIRECT MARKETING RETAIL -- 1.4% 105,054 eBay, Inc. $ 4,327,174 837,306 Qurate Retail, Inc., Series A (a) 11,839,507 --------------- 16,166,681 --------------- IT SERVICES -- 2.6% 10,933 Accenture PLC, Class A 2,105,477 43,250 Alliance Data Systems Corp. 6,786,790 95,611 Cognizant Technology Solutions Corp., Class A 6,228,101 188,109 DXC Technology Co. 10,490,839 30,092 International Business Machines Corp. 4,460,838 --------------- 30,072,045 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 27,056 Agilent Technologies, Inc. 1,877,957 --------------- MACHINERY -- 3.4% 44,468 Caterpillar, Inc. 5,855,102 48,437 Cummins, Inc. 7,943,668 13,396 Illinois Tool Works, Inc. 2,066,065 15,949 Ingersoll-Rand PLC 1,972,253 115,816 PACCAR, Inc. 8,123,334 35,649 Parker-Hannifin Corp. 6,241,427 50,105 Snap-on, Inc. 7,646,524 --------------- 39,848,373 --------------- MEDIA -- 2.3% 207,901 CBS Corp., Class B 10,708,981 5,111 Charter Communications, Inc., Class A (a) 1,969,677 143,348 Comcast Corp., Class A 6,188,333 270,337 Discovery, Inc., Class A (a) 8,193,914 --------------- 27,060,905 --------------- METALS & MINING -- 1.7% 893,558 Freeport-McMoRan, Inc. 9,882,752 188,280 Nucor Corp. 10,238,666 --------------- 20,121,418 --------------- MULTILINE RETAIL -- 1.7% 14,947 Dollar General Corp. 2,003,197 218,174 Kohl's Corp. 11,750,851 69,977 Target Corp. 6,046,013 --------------- 19,800,061 --------------- MULTI-UTILITIES -- 1.2% 144,942 CenterPoint Energy, Inc. 4,204,767 69,124 Consolidated Edison, Inc. 5,872,775 32,451 DTE Energy Co. 4,124,847 --------------- 14,202,389 --------------- OIL, GAS & CONSUMABLE FUELS -- 9.0% 209,207 Apache Corp. 5,108,835 83,366 Chevron Corp. 10,263,188 80,436 Concho Resources, Inc. 7,856,989 363,752 Devon Energy Corp. 9,821,304 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 108,304 Exxon Mobil Corp. $ 8,053,485 224,162 HollyFrontier Corp. 11,156,543 198,739 Kinder Morgan, Inc. 4,097,998 730,064 Marathon Oil Corp. 10,272,001 185,652 Marathon Petroleum Corp. 10,468,916 185,254 Noble Energy, Inc. 4,090,408 110,907 Phillips 66 11,374,622 51,458 Targa Resources Corp. 2,002,231 121,180 Valero Energy Corp. 10,330,595 --------------- 104,897,115 --------------- PHARMACEUTICALS -- 1.5% 133,644 Bristol-Myers Squibb Co. 5,935,130 544,863 Mylan N.V. (a) 11,387,637 --------------- 17,322,767 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 80,891 CBRE Group, Inc., Class A (a) 4,288,032 --------------- ROAD & RAIL -- 0.9% 66,302 J.B. Hunt Transport Services, Inc. 6,787,336 34,064 Kansas City Southern 4,215,079 --------------- 11,002,415 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.4% 134,953 Applied Materials, Inc. 6,662,630 268,832 Micron Technology, Inc. (a) 12,067,868 107,407 Skyworks Solutions, Inc. 9,159,669 --------------- 27,890,167 --------------- SOFTWARE -- 0.2% 35,462 Oracle Corp. 1,996,511 --------------- SPECIALTY RETAIL -- 1.9% 86,916 Best Buy Co., Inc. 6,651,681 577,308 Gap (The), Inc. 11,257,506 44,316 Tiffany & Co. 4,162,159 --------------- 22,071,346 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.6% 555,141 Hewlett Packard Enterprise Co. 7,977,376 291,520 HP, Inc. 6,133,581 88,067 Seagate Technology PLC 4,078,383 --------------- 18,189,340 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.3% 130,781 Tapestry, Inc. 4,045,056 --------------- TOBACCO -- 0.2% 42,665 Altria Group, Inc. 2,008,242 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.7% 62,575 United Rentals, Inc. (a) 7,918,866 --------------- TOTAL COMMON STOCKS -- 99.8% 1,164,410,708 (Cost $1,142,588,017) --------------- See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.2% 1,799,220 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.15% (b) $ 1,799,220 (Cost $1,799,220) --------------- TOTAL INVESTMENTS -- 100.0% 1,166,209,928 (Cost $1,144,387,237) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 358,900 --------------- NET ASSETS -- 100.0% $ 1,166,568,828 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2019. (c) Aggregate cost for federal income tax purposes is $1,152,312,021. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $76,652,750 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $62,754,843. The net unrealized appreciation was $13,897,907. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $1,164,410,708 $ -- $ -- Money Market Funds 1,799,220 -- -- -------------------------------------------- Total Investments $1,166,209,928 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.0% 4,948 Boeing (The) Co. $ 1,688,158 69,108 HEICO Corp. 9,450,519 19,113 TransDigm Group, Inc. (a) 9,278,215 --------------- 20,416,892 --------------- AIR FREIGHT & LOGISTICS -- 0.4% 48,759 Expeditors International of Washington, Inc. 3,722,750 --------------- AUTOMOBILES -- 0.2% 8,059 Tesla, Inc. (a) (b) 1,947,135 --------------- BANKS -- 0.5% 18,441 First Republic Bank 1,832,298 16,469 SVB Financial Group (a) 3,820,314 --------------- 5,652,612 --------------- BEVERAGES -- 1.4% 18,781 Constellation Brands, Inc., Class A 3,696,477 115,900 Monster Beverage Corp. (a) 7,472,073 28,209 PepsiCo, Inc. 3,605,392 --------------- 14,773,942 --------------- BIOTECHNOLOGY -- 2.3% 78,340 Exact Sciences Corp. (a) 9,017,717 63,588 Incyte Corp. (a) 5,399,893 48,686 Sarepta Therapeutics, Inc. (a) 7,246,911 26,019 Seattle Genetics, Inc. (a) 1,969,899 --------------- 23,634,420 --------------- BUILDING PRODUCTS -- 0.5% 19,645 Lennox International, Inc. 5,038,550 --------------- CAPITAL MARKETS -- 3.3% 9,277 CME Group, Inc. 1,803,634 43,040 Intercontinental Exchange, Inc. 3,781,495 146,375 KKR & Co., Inc., Class A 3,915,531 18,939 Moody's Corp. 4,059,385 38,727 MSCI, Inc. 8,800,324 38,463 Nasdaq, Inc. 3,706,679 20,010 Northern Trust Corp. 1,960,980 16,239 S&P Global, Inc. 3,977,743 36,074 TD Ameritrade Holding Corp. 1,843,381 --------------- 33,849,152 --------------- CHEMICALS -- 3.3% 115,657 CF Industries Holdings, Inc. 5,731,961 46,835 Ecolab, Inc. 9,448,025 111,481 FMC Corp. 9,634,188 31,695 PPG Industries, Inc. 3,720,676 11,787 Sherwin-Williams (The) Co. 6,047,202 --------------- 34,582,052 --------------- COMMERCIAL SERVICES & SUPPLIES -- 3.1% 38,969 Cintas Corp. 10,149,086 123,727 Copart, Inc. (a) 9,592,554 62,355 Republic Services, Inc. 5,527,771 64,123 Waste Management, Inc. 7,502,391 --------------- 32,771,802 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 1.1% 6,937 Arista Networks, Inc. (a) $ 1,896,923 55,463 Motorola Solutions, Inc. 9,204,639 --------------- 11,101,562 --------------- CONSUMER FINANCE -- 0.9% 74,914 American Express Co. 9,317,054 --------------- CONTAINERS & PACKAGING -- 0.9% 132,122 Ball Corp. 9,444,081 --------------- ELECTRIC UTILITIES -- 1.6% 36,691 Alliant Energy Corp. 1,817,672 61,383 American Electric Power Co., Inc. 5,390,041 52,486 Entergy Corp. 5,543,572 29,939 Evergy, Inc. 1,811,010 8,790 NextEra Energy, Inc. 1,821,024 --------------- 16,383,319 --------------- ELECTRICAL EQUIPMENT -- 0.9% 101,798 AMETEK, Inc. 9,122,119 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.7% 38,554 Amphenol Corp., Class A 3,597,859 83,308 CDW Corp. 9,843,673 102,966 Keysight Technologies, Inc. (a) 9,217,516 204,994 Trimble, Inc. (a) 8,663,047 35,314 Zebra Technologies Corp., Class A (a) 7,447,370 --------------- 38,769,465 --------------- ENTERTAINMENT -- 1.8% 139,582 Live Nation Entertainment, Inc. (a) 10,058,279 10,070 Netflix, Inc. (a) 3,252,509 47,585 Take-Two Interactive Software, Inc. (a) 5,830,114 --------------- 19,140,902 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.9% 26,423 American Tower Corp. 5,591,635 28,377 Crown Castle International Corp. 3,781,519 56,969 Duke Realty Corp. 1,898,777 10,714 Equinix, Inc. 5,379,499 30,483 Equity LifeStyle Properties, Inc. 3,787,513 276,762 Invitation Homes, Inc. 7,602,652 15,291 Mid-America Apartment Communities, Inc. 1,801,892 46,179 Prologis, Inc. 3,722,489 32,903 SBA Communications Corp. (a) 8,074,725 28,855 Sun Communities, Inc. 3,832,233 26,346 Ventas, Inc. 1,772,822 45,368 Welltower, Inc. 3,770,988 --------------- 51,016,744 --------------- See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS -- 1.2% 55,195 Hershey (The) Co. $ 8,375,289 23,863 McCormick & Co., Inc. 3,783,240 --------------- 12,158,529 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.2% 64,237 Abbott Laboratories 5,595,043 6,580 Align Technology, Inc. (a) 1,375,746 125,694 Boston Scientific Corp. (a) 5,336,967 27,449 Cooper (The) Cos., Inc. 9,261,293 51,761 Danaher Corp. 7,272,420 61,713 DexCom, Inc. (a) 9,680,918 9,747 Edwards Lifesciences Corp. (a) 2,074,649 37,499 Hologic, Inc. (a) 1,921,824 26,869 IDEXX Laboratories, Inc. (a) 7,578,401 30,311 ResMed, Inc. 3,901,026 26,279 Stryker Corp. 5,512,809 16,315 Teleflex, Inc. 5,542,858 --------------- 65,053,954 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.9% 39,967 HCA Healthcare, Inc. 5,335,994 6,787 Humana, Inc. 2,014,042 7,380 UnitedHealth Group, Inc. 1,837,694 --------------- 9,187,730 --------------- HEALTH CARE TECHNOLOGY -- 0.9% 57,042 Veeva Systems, Inc., Class A (a) 9,463,268 --------------- HOTELS, RESTAURANTS & LEISURE -- 5.4% 12,618 Chipotle Mexican Grill, Inc. (a) 10,037,997 44,380 Darden Restaurants, Inc. 5,394,833 19,412 Domino's Pizza, Inc. 4,746,816 94,611 Hilton Worldwide Holdings, Inc. 9,134,692 38,508 Marriott International, Inc., Class A 5,354,922 17,812 McDonald's Corp. 3,753,345 110,311 Starbucks Corp. 10,445,349 14,524 Wynn Resorts Ltd. 1,889,137 48,814 Yum! Brands, Inc. 5,492,551 --------------- 56,249,642 --------------- HOUSEHOLD PRODUCTS -- 0.9% 50,628 Church & Dwight Co., Inc. 3,819,376 25,126 Colgate-Palmolive Co. 1,802,539 33,735 Procter & Gamble (The) Co. 3,982,080 --------------- 9,603,995 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5% 107,446 AES Corp. 1,804,019 163,381 Vistra Energy Corp. 3,506,156 --------------- 5,310,175 --------------- INDUSTRIAL CONGLOMERATES -- 0.7% 20,198 Roper Technologies, Inc. 7,345,003 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE -- 1.6% 84,459 Arthur J. Gallagher & Co. $ 7,637,628 115,692 Progressive (The) Corp. 9,368,738 --------------- 17,006,366 --------------- INTERACTIVE MEDIA & SERVICES -- 1.9% 38,330 Facebook, Inc., Class A (a) 7,444,836 34,007 IAC/InterActiveCorp (a) 8,129,373 105,986 Twitter, Inc. (a) 4,484,268 --------------- 20,058,477 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.6% 3,906 Amazon.com, Inc. (a) 7,291,643 960 Booking Holdings, Inc. (a) 1,811,145 55,609 Expedia Group, Inc. 7,381,539 --------------- 16,484,327 --------------- IT SERVICES -- 9.0% 32,676 Automatic Data Processing, Inc. 5,441,208 72,425 Broadridge Financial Solutions, Inc. 9,206,666 30,150 Fidelity National Information Services, Inc. 4,017,487 40,577 Fiserv, Inc. (a) 4,278,033 26,340 FleetCor Technologies, Inc. (a) 7,485,038 45,966 Gartner, Inc. (a) 6,404,443 46,198 Global Payments, Inc. 7,757,568 27,966 Mastercard, Inc., Class A 7,614,303 44,950 Paychex, Inc. 3,733,098 80,791 PayPal Holdings, Inc. (a) 8,919,326 74,484 Square, Inc., Class A (a) 5,989,258 67,820 Twilio, Inc., Class A (a) 9,434,440 25,828 VeriSign, Inc. (a) 5,452,033 42,626 Visa, Inc., Class A 7,587,428 --------------- 93,320,329 --------------- LIFE SCIENCES TOOLS & SERVICES -- 3.6% 20,095 Illumina, Inc. (a) 6,016,041 57,472 IQVIA Holdings, Inc. (a) 9,147,818 11,009 Mettler-Toledo International, Inc. (a) 8,331,061 76,789 PerkinElmer, Inc. 6,613,069 25,190 Thermo Fisher Scientific, Inc. 6,994,759 --------------- 37,102,748 --------------- MACHINERY -- 2.2% 44,644 Deere & Co. 7,395,279 22,091 Fortive Corp. 1,680,021 42,975 IDEX Corp. 7,229,254 88,448 Xylem, Inc. 7,101,490 --------------- 23,406,044 --------------- MEDIA -- 0.9% 379,766 Altice USA, Inc., Class A (a) 9,801,760 --------------- MULTI-UTILITIES -- 1.6% 49,248 Ameren Corp. 3,727,581 63,874 CMS Energy Corp. 3,718,744 62,527 NiSource, Inc. 1,856,427 Page 58 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 30,615 Public Service Enterprise Group, Inc. $ 1,749,647 64,800 WEC Energy Group, Inc. 5,537,808 --------------- 16,590,207 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.0% 54,038 Cheniere Energy, Inc. (a) 3,520,576 29,520 ConocoPhillips 1,744,042 42,785 Continental Resources, Inc. (a) 1,590,318 19,330 EOG Resources, Inc. 1,659,480 116,373 Hess Corp. 7,545,625 26,171 ONEOK, Inc. 1,834,064 24,040 Pioneer Natural Resources Co. 3,318,482 --------------- 21,212,587 --------------- PERSONAL PRODUCTS -- 0.9% 40,400 Estee Lauder (The) Cos., Inc., Class A 7,441,276 42,114 Herbalife Nutrition Ltd. (a) 1,727,516 --------------- 9,168,792 --------------- PHARMACEUTICALS -- 1.4% 16,254 Eli Lilly and Co. 1,770,873 44,114 Merck & Co., Inc. 3,661,021 41,568 Pfizer, Inc. 1,614,501 65,184 Zoetis, Inc. 7,488,990 --------------- 14,535,385 --------------- PROFESSIONAL SERVICES -- 2.3% 16,690 CoStar Group, Inc. (a) 10,271,026 73,492 TransUnion 6,084,403 50,511 Verisk Analytics, Inc. 7,663,529 --------------- 24,018,958 --------------- ROAD & RAIL -- 2.1% 69,825 CSX Corp. 4,915,680 37,113 Norfolk Southern Corp. 7,093,037 36,195 Old Dominion Freight Line, Inc. 6,043,841 21,873 Union Pacific Corp. 3,936,046 --------------- 21,988,604 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.8% 304,488 Advanced Micro Devices, Inc. (a) 9,271,660 32,771 Analog Devices, Inc. 3,849,282 12,850 Broadcom, Inc. 3,726,371 15,235 KLA Corp. 2,076,835 28,759 Lam Research Corp. 5,999,415 62,310 Microchip Technology, Inc. 5,883,310 15,692 Texas Instruments, Inc. 1,961,657 62,736 Xilinx, Inc. 7,165,079 --------------- 39,933,609 --------------- SOFTWARE -- 7.8% 25,107 Adobe, Inc. (a) 7,503,478 36,119 ANSYS, Inc. (a) 7,336,491 33,164 Autodesk, Inc. (a) 5,179,222 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 130,592 Cadence Design Systems, Inc. (a) $ 9,652,055 23,438 Fortinet, Inc. (a) 1,882,306 20,673 Intuit, Inc. 5,732,830 40,328 Microsoft Corp. 5,495,497 33,678 ServiceNow, Inc. (a) 9,341,940 42,961 Splunk, Inc. (a) 5,813,053 93,774 SS&C Technologies Holdings, Inc. 4,496,463 71,857 Synopsys, Inc. (a) 9,539,735 10,770 VMware, Inc., Class A 1,879,257 35,985 Workday, Inc., Class A (a) 7,196,280 --------------- 81,048,607 --------------- SPECIALTY RETAIL -- 5.4% 8,411 AutoZone, Inc. (a) 9,445,890 31,751 Burlington Stores, Inc. (a) 5,738,993 35,572 Home Depot (The), Inc. 7,601,381 17,846 Lowe's Cos., Inc. 1,809,584 10,014 O'Reilly Automotive, Inc. (a) 3,812,931 54,504 Ross Stores, Inc. 5,779,059 69,950 TJX (The) Cos., Inc. 3,816,472 84,993 Tractor Supply Co. 9,248,088 26,657 Ulta Beauty, Inc. (a) 9,309,957 --------------- 56,562,355 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.6% 27,294 Apple, Inc. 5,814,714 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.7% 226,996 Fastenal Co. 6,991,477 --------------- WATER UTILITIES -- 0.5% 46,571 American Water Works Co., Inc. 5,345,419 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 72,867 T-Mobile US, Inc. (a) 5,809,686 --------------- TOTAL COMMON STOCKS -- 100.0% 1,041,257,300 (Cost $898,104,613) --------------- MONEY MARKET FUNDS -- 0.1% 162,421 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 162,421 948,555 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio Institutional Class - 2.15% (c) 948,555 --------------- TOTAL MONEY MARKET FUNDS -- 0.1% 1,110,976 (Cost $1,110,976) --------------- See Notes to Financial Statements Page 59 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 1,329,624 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $1,329,718. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $1,356,685. (d) $ 1,329,624 (Cost $1,329,624) --------------- TOTAL INVESTMENTS -- 100.2% 1,043,697,900 (Cost $900,545,213) (e) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (1,972,164) --------------- NET ASSETS -- 100.0% $ 1,041,725,736 =============== (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 $1,458,600 and the total value of the collateral held by the Fund is $1,492,045. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $903,248,890. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $150,830,745 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $10,381,735. The net unrealized appreciation was $140,449,010. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $1,041,257,300 $ -- $ -- Money Market Funds 1,110,976 -- -- Repurchase Agreements -- 1,329,624 -- -------------------------------------------- Total Investments $1,042,368,276 $ 1,329,624 $ -- ============================================ * 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) $ 1,458,600 Non-cash Collateral(2) (1,458,600) --------------- 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 July 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) $ 1,329,624 Non-cash Collateral(4) (1,329,624) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 60 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.3% 8,519 Arconic, Inc. $ 213,316 292 Curtiss-Wright Corp. 37,058 828 General Dynamics Corp. 153,958 496 Huntington Ingalls Industries, Inc. 113,237 202 Lockheed Martin Corp. 73,158 397 Moog, Inc., Class A 32,340 227 Northrop Grumman Corp. 78,444 913 Spirit AeroSystems Holdings, Inc., Class A 70,155 5,679 Textron, Inc. 279,975 --------------- 1,051,641 --------------- AIR FREIGHT & LOGISTICS -- 0.6% 2,401 Atlas Air Worldwide Holdings, Inc. (a) 109,605 869 C.H. Robinson Worldwide, Inc. 72,761 2,042 Hub Group, Inc., Class A (a) 92,605 710 United Parcel Service, Inc., Class B 84,824 2,571 XPO Logistics, Inc. (a) 173,491 --------------- 533,286 --------------- AIRLINES -- 1.9% 1,744 Alaska Air Group, Inc. 110,500 440 Allegiant Travel Co. 65,934 2,249 American Airlines Group, Inc. 68,617 5,308 Delta Air Lines, Inc. 324,000 3,907 Hawaiian Holdings, Inc. 101,543 6,028 JetBlue Airways Corp. (a) 115,919 3,062 SkyWest, Inc. 185,894 5,932 Southwest Airlines Co. 305,676 3,441 United Airlines Holdings, Inc. (a) 316,262 --------------- 1,594,345 --------------- AUTO COMPONENTS -- 1.7% 6,719 American Axle & Manufacturing Holdings, Inc. (a) 81,098 907 Aptiv PLC 79,498 4,425 BorgWarner, Inc. 167,265 2,717 Cooper Tire & Rubber Co. 73,142 2,339 Cooper-Standard Holdings, Inc. (a) 115,734 4,299 Dana, Inc. 71,836 4,529 Gentex Corp. 124,185 12,141 Goodyear Tire & Rubber (The) Co. 166,696 701 LCI Industries 64,233 2,704 Lear Corp. 342,813 464 Standard Motor Products, Inc. 21,349 7,730 Tenneco, Inc., Class A 69,879 1,077 Visteon Corp. (a) 70,953 --------------- 1,448,681 --------------- AUTOMOBILES -- 1.0% 14,722 Ford Motor Co. 140,301 9,772 General Motors Co. 394,202 3,111 Harley-Davidson, Inc. 111,312 SHARES DESCRIPTION VALUE ------------------------------------------------------------- AUTOMOBILES (CONTINUED) 1,271 Thor Industries, Inc. $ 75,752 2,218 Winnebago Industries, Inc. 89,385 --------------- 810,952 --------------- BANKS -- 9.4% 924 1st Source Corp. 43,382 1,094 Ameris Bancorp 43,508 7,029 Associated Banc-Corp. 152,318 595 Atlantic Union Bankshares Corp. 22,628 1,279 BancorpSouth Bank 38,229 7,585 Bank of America Corp. 232,708 4,939 Bank OZK 151,035 2,202 BankUnited, Inc. 75,771 4,477 BB&T Corp. 230,700 1,366 Berkshire Hills Bancorp, Inc. 44,805 984 BOK Financial Corp. 82,341 3,551 Boston Private Financial Holdings, Inc. 40,979 1,367 Brookline Bancorp, Inc. 20,273 2,061 Cadence BanCorp 35,326 2,069 Cathay General Bancorp 77,008 2,828 CIT Group, Inc. 142,955 4,301 Citigroup, Inc. 306,059 8,519 Citizens Financial Group, Inc. 317,418 1,027 Columbia Banking System, Inc. 38,728 3,028 Comerica, Inc. 221,650 397 Cullen/Frost Bankers, Inc. 37,691 389 Eagle Bancorp, Inc. 15,681 2,383 East West Bancorp, Inc. 114,408 12,625 F.N.B. Corp. 152,131 575 FB Financial Corp. 21,856 10,796 Fifth Third Bancorp 320,533 1,623 First Busey Corp. 43,870 165 First Citizens BancShares, Inc., Class A 77,058 3,182 First Commonwealth Financial Corp. 43,816 2,872 First Hawaiian, Inc. 76,855 9,953 First Horizon National Corp. 163,229 531 First Interstate BancSystem, Inc., Class A 21,256 2,094 First Midwest Bancorp, Inc. 45,293 2,269 Fulton Financial Corp. 38,573 1,766 Great Western Bancorp, Inc. 59,726 2,782 Hancock Whitney Corp. 115,509 958 Heartland Financial USA, Inc. 46,070 2,015 Hilltop Holdings, Inc. 45,700 3,858 Home BancShares, Inc. 75,887 4,578 Hope Bancorp, Inc. 67,525 15,917 Huntington Bancshares, Inc. 226,817 1,469 IBERIABANK Corp. 115,419 383 Independent Bank Group, Inc. 21,758 1,673 International Bancshares Corp. 62,955 3,332 Investors Bancorp, Inc. 37,852 1,967 JPMorgan Chase & Co. 228,172 12,393 KeyCorp 227,659 886 M&T Bank Corp. 145,525 561 NBT Bancorp, Inc. 21,711 See Notes to Financial Statements Page 61 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 1,803 OFG Bancorp $ 40,802 4,479 Old National Bancorp 78,875 2,043 Pacific Premier Bancorp, Inc. 64,620 3,827 PacWest Bancorp 147,837 2,214 People's United Financial, Inc. 36,354 1,293 Pinnacle Financial Partners, Inc. 78,537 1,602 PNC Financial Services Group (The), Inc. 228,926 2,740 Popular, Inc. 157,714 1,125 Prosperity Bancshares, Inc. 78,064 20,162 Regions Financial Corp. 321,181 1,193 Renasant Corp. 42,817 1,144 S&T Bancorp, Inc. 43,552 615 Signature Bank 78,388 2,712 Simmons First National Corp., Class A 69,834 582 South State Corp. 46,601 2,123 Synovus Financial Corp. 81,035 2,711 TCF Financial Corp. (a) 113,970 1,211 Texas Capital Bancshares, Inc. (a) 76,208 1,571 TowneBank 44,208 556 TriCo Bancshares 20,989 632 Trustmark Corp. 22,461 1,399 U.S. Bancorp 79,953 6,718 Umpqua Holdings Corp. 117,296 1,002 United Bankshares, Inc. 37,665 1,501 United Community Banks, Inc. 43,079 10,339 Valley National Bancorp 115,383 6,366 Wells Fargo & Co. 308,178 1,112 WesBanco, Inc. 40,677 1,661 Western Alliance Bancorp (a) 82,120 1,016 Wintrust Financial Corp. 72,685 3,232 Zions Bancorp N.A. 145,666 --------------- 7,904,031 --------------- BEVERAGES -- 0.5% 317 MGP Ingredients, Inc. 15,847 6,724 Molson Coors Brewing Co., Class B 363,029 --------------- 378,876 --------------- BIOTECHNOLOGY -- 0.2% 2,229 Gilead Sciences, Inc. 146,044 --------------- BUILDING PRODUCTS -- 1.2% 788 A.O. Smith Corp. 35,815 746 American Woodmark Corp. (a) 63,298 484 Apogee Enterprises, Inc. 19,631 5,085 Builders FirstSource, Inc. (a) 87,360 10,821 Cornerstone Building Brands, Inc. (a) 62,978 521 Gibraltar Industries, Inc. (a) 21,590 2,019 JELD-WEN Holding, Inc. (a) 44,236 5,325 Johnson Controls International PLC 225,993 1,869 Masco Corp. 76,199 3,192 Owens Corning 185,136 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BUILDING PRODUCTS (CONTINUED) 1,743 Patrick Industries, Inc. (a) $ 79,952 1,658 Universal Forest Products, Inc. 67,033 --------------- 969,221 --------------- CAPITAL MARKETS -- 3.4% 764 Artisan Partners Asset Management, Inc., Class A 22,607 6,823 Bank of New York Mellon (The) Corp. 320,135 12,062 BGC Partners, Inc., Class A 66,462 3,377 E*TRADE Financial Corp. 164,764 1,723 Eaton Vance Corp. 76,673 1,143 Federated Investors, Inc., Class B 39,719 8,656 Franklin Resources, Inc. 282,445 1,472 Goldman Sachs Group (The), Inc. 324,031 5,447 Invesco Ltd. 104,528 3,241 Lazard Ltd., Class A 125,459 602 Moelis & Co., Class A 21,937 6,876 Morgan Stanley 306,395 577 Piper Jaffray Cos. 44,602 1,781 Raymond James Financial, Inc. 143,673 662 SEI Investments Co. 39,449 5,373 State Street Corp. 312,118 1,887 Stifel Financial Corp. 112,861 2,005 T. Rowe Price Group, Inc. 227,347 6,429 Waddell & Reed Financial, Inc., Class A 112,508 --------------- 2,847,713 --------------- CHEMICALS -- 4.1% 4,387 AdvanSix, Inc. (a) 112,483 324 Air Products & Chemicals, Inc. 73,959 2,111 Albemarle Corp. 154,019 3,115 Cabot Corp. 139,303 2,794 Celanese Corp. 313,403 5,016 DuPont de Nemours, Inc. 361,955 4,838 Eastman Chemical Co. 364,543 1,360 H.B. Fuller Co. 65,022 9,088 Huntsman Corp. 186,758 230 Innospec, Inc. 21,477 5,596 Kronos Worldwide, Inc. 75,042 4,372 LyondellBasell Industries N.V., Class A 365,893 2,003 Minerals Technologies, Inc. 106,660 15,043 Mosaic (The) Co. 378,933 8,478 Olin Corp. 170,153 1,366 PolyOne Corp. 44,764 506 Sensient Technologies Corp. 34,494 686 Stepan Co. 68,017 2,025 Trinseo S.A. 78,590 5,421 Westlake Chemical Corp. 366,297 --------------- 3,481,765 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.0% 526 ABM Industries, Inc. 22,139 13,617 ACCO Brands Corp. 133,174 Page 62 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 24,281 ADT, Inc. (b) $ 154,184 2,109 Deluxe Corp. 94,104 959 Herman Miller, Inc. 43,481 1,783 HNI Corp. 61,050 1,372 Interface, Inc. 19,016 1,865 Knoll, Inc. 45,226 2,460 Matthews International Corp., Class A 84,009 10,015 Pitney Bowes, Inc. 40,561 3,689 Steelcase, Inc., Class A 62,381 335 UniFirst Corp. 65,952 --------------- 825,277 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 1,340 Cisco Systems, Inc. 74,236 7,085 CommScope Holding Co., Inc. (a) 101,174 1,423 EchoStar Corp., Class A (a) 64,775 8,260 Juniper Networks, Inc. 223,185 --------------- 463,370 --------------- CONSTRUCTION & ENGINEERING -- 0.7% 1,963 AECOM (a) 70,570 728 Dycom Industries, Inc. (a) 40,156 843 EMCOR Group, Inc. 71,141 1,103 Fluor Corp. 35,859 2,884 MasTec, Inc. (a) 148,007 4,096 Primoris Services Corp. 85,852 3,891 Quanta Services, Inc. 145,601 --------------- 597,186 --------------- CONSTRUCTION MATERIALS -- 0.0% 1,092 Summit Materials, Inc., Class A (a) 20,136 --------------- CONSUMER FINANCE -- 2.5% 12,150 Ally Financial, Inc. 399,857 4,149 Capital One Financial Corp. 383,451 1,941 Discover Financial Services 174,185 2,531 Encore Capital Group, Inc. (a) 91,065 10,887 Navient Corp. 154,051 1,065 Nelnet, Inc., Class A 66,626 5,494 OneMain Holdings, Inc. 227,726 1,523 PRA Group, Inc. (a) 47,411 6,202 Santander Consumer USA Holdings, Inc. 166,896 11,466 SLM Corp. 104,455 8,688 Synchrony Financial 311,726 --------------- 2,127,449 --------------- CONTAINERS & PACKAGING -- 1.6% 1,413 Berry Global Group, Inc. (a) 63,656 7,972 Graphic Packaging Holding Co. 118,464 2,634 Greif, Inc., Class A 92,085 6,953 International Paper Co. 305,306 6,453 Owens-Illinois, Inc. 109,507 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONTAINERS & PACKAGING (CONTINUED) 1,559 Packaging Corp. of America $ 157,412 868 Sealed Air Corp. 36,274 2,428 Silgan Holdings, Inc. 72,986 569 Sonoco Products Co. 34,157 10,324 WestRock Co. 372,180 --------------- 1,362,027 --------------- DISTRIBUTORS -- 0.1% 2,792 LKQ Corp. (a) 75,189 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 1,649 Adtalem Global Education, Inc. (a) 78,113 269 Graham Holdings Co., Class B 199,795 4,016 Laureate Education, Inc., Class A (a) 65,822 --------------- 343,730 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.8% 14,412 AXA Equitable Holdings, Inc. 323,982 706 Berkshire Hathaway, Inc., Class B (a) 145,034 2,503 FGL Holdings 20,399 5,796 Jefferies Financial Group, Inc. 123,629 672 Voya Financial, Inc. 37,746 --------------- 650,790 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 11,236 AT&T, Inc. 382,586 3,850 Verizon Communications, Inc. 212,789 --------------- 595,375 --------------- ELECTRIC UTILITIES -- 2.1% 893 ALLETE, Inc. 77,646 2,493 Duke Energy Corp. 216,193 1,988 Eversource Energy 150,810 6,283 Exelon Corp. 283,112 1,713 FirstEnergy Corp. 75,321 853 Hawaiian Electric Industries, Inc. 38,214 2,338 Pinnacle West Capital Corp. 213,272 2,057 Portland General Electric Co. 112,827 9,714 PPL Corp. 287,826 3,979 Southern (The) Co. 223,620 1,233 Xcel Energy, Inc. 73,499 --------------- 1,752,340 --------------- ELECTRICAL EQUIPMENT -- 1.0% 539 Acuity Brands, Inc. 72,344 931 AZZ, Inc. 43,366 2,641 Eaton Corp. PLC 217,064 2,257 Emerson Electric Co. 146,434 1,463 Encore Wire Corp. 80,348 542 EnerSys 36,916 285 Hubbell, Inc. 37,016 1,819 Regal Beloit Corp. 144,829 448 Rockwell Automation, Inc. 72,029 --------------- 850,346 --------------- See Notes to Financial Statements Page 63 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.1% 1,436 Anixter International, Inc. (a) $ 92,421 2,606 Arrow Electronics, Inc. (a) 189,222 3,283 Avnet, Inc. 149,114 11,190 AVX Corp. 170,424 1,439 Belden, Inc. 65,417 3,413 Benchmark Electronics, Inc. 92,356 817 Coherent, Inc. (a) 113,440 9,065 Corning, Inc. 278,749 915 ePlus, Inc. (a) 69,448 1,084 Insight Enterprises, Inc. (a) 59,642 241 IPG Photonics Corp. (a) 31,573 2,351 Jabil, Inc. 72,599 5,697 KEMET Corp. 114,624 3,445 Knowles Corp. (a) 70,106 3,751 Methode Electronics, Inc. 112,342 1,469 Plexus Corp. (a) 87,714 122 Rogers Corp. (a) 19,357 2,083 Sanmina Corp. (a) 66,135 2,633 ScanSource, Inc. (a) 89,390 1,510 SYNNEX Corp. 148,795 3,145 TE Connectivity Ltd. 290,598 1,421 Tech Data Corp. (a) 144,004 10,506 TTM Technologies, Inc. (a) 109,893 --------------- 2,637,363 --------------- ENERGY EQUIPMENT & SERVICES -- 1.6% 5,951 Archrock, Inc. 65,342 2,371 Diamond Offshore Drilling, Inc. (a) (b) 21,434 16,558 Halliburton Co. 380,834 9,934 Helix Energy Solutions Group, Inc. (a) 87,022 2,202 Helmerich & Payne, Inc. 109,395 15,576 Mammoth Energy Services, Inc. 100,933 29,563 Nabors Industries Ltd. 87,506 6,775 National Oilwell Varco, Inc. 161,381 3,447 Oil States International, Inc. (a) 51,429 14,863 RPC, Inc. 91,853 5,535 Schlumberger Ltd. 221,234 --------------- 1,378,363 --------------- ENTERTAINMENT -- 0.9% 3,191 Activision Blizzard, Inc. 155,529 2,058 Cinemark Holdings, Inc. 82,155 12,605 Viacom, Inc., Class B 382,562 1,079 Walt Disney (The) Co. 154,308 --------------- 774,554 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.4% 11,712 Apple Hospitality REIT, Inc. 183,996 8,311 Brixmor Property Group, Inc. 157,743 3,343 Chatham Lodging Trust 59,706 3,039 CoreCivic, Inc. 51,572 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 6,101 DiamondRock Hospitality Co. $ 61,437 4,570 Equity Commonwealth 153,461 3,536 GEO Group (The), Inc. 62,976 2,185 Global Net Lease, Inc. 42,651 7,430 Hospitality Properties Trust 183,595 20,665 Host Hotels & Resorts, Inc. 359,364 3,030 Industrial Logistics Properties Trust 64,781 2,833 Kite Realty Group Trust 45,073 4,601 Mack-Cali Realty Corp. 109,412 3,263 Office Properties Income Trust 91,919 2,652 Paramount Group, Inc. 36,677 6,740 Park Hotels & Resorts, Inc. 178,003 10,471 RLJ Lodging Trust 180,939 3,540 RPT Realty 43,365 17,969 Senior Housing Properties Trust 147,346 1,588 SITE Centers Corp. 22,629 462 SL Green Realty Corp. 37,459 9,343 Summit Hotel Properties, Inc. 103,801 13,549 Sunstone Hotel Investors, Inc. 178,982 2,644 Tanger Factory Outlet Centers, Inc. (b) 41,987 1,144 Vornado Realty Trust 73,582 28,054 Washington Prime Group, Inc. (b) 101,836 4,112 Xenia Hotels & Resorts, Inc. 88,120 --------------- 2,862,412 --------------- FOOD & STAPLES RETAILING -- 1.4% 3,147 Andersons (The), Inc. 84,497 17,343 Kroger (The) Co. 366,978 839 PriceSmart, Inc. 51,179 5,900 Sprouts Farmers Market, Inc. (a) 99,887 2,078 US Foods Holding Corp. (a) 73,499 6,887 Walgreens Boots Alliance, Inc. 375,273 2,943 Weis Markets, Inc. 107,272 --------------- 1,158,585 --------------- FOOD PRODUCTS -- 1.6% 7,383 Archer-Daniels-Midland Co. 303,294 4,122 B&G Foods, Inc. (b) 75,350 2,001 Bunge Ltd. 116,918 5,679 Conagra Brands, Inc. 163,953 1,868 Darling Ingredients, Inc. (a) 37,977 780 Fresh Del Monte Produce, Inc. 23,657 1,801 Ingredion, Inc. 139,199 1,307 J.M. Smucker (The) Co. 145,325 1,369 Kellogg Co. 79,703 3,731 Tyson Foods, Inc., Class A 296,615 --------------- 1,381,991 --------------- GAS UTILITIES -- 0.3% 695 Atmos Energy Corp. 75,783 829 Southwest Gas Holdings, Inc. 73,706 885 Spire, Inc. 72,933 1,373 UGI Corp. 70,147 --------------- 292,569 --------------- Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES -- 1.9% 685 AMN Healthcare Services, Inc. (a) $ 36,565 260 Anthem, Inc. 76,599 4,670 Cardinal Health, Inc. 213,559 2,872 Centene Corp. (a) 149,602 956 Cigna Corp. 162,444 1,049 Henry Schein, Inc. (a) 69,800 871 Laboratory Corp. of America Holdings (a) 145,910 283 Magellan Health, Inc. (a) 19,906 1,056 National HealthCare Corp. 92,506 918 Patterson Cos., Inc. 18,176 1,479 Quest Diagnostics, Inc. 150,976 2,701 Select Medical Holdings Corp. (a) 45,215 5,215 Tivity Health, Inc. (a) 91,002 2,310 Universal Health Services, Inc., Class B 348,487 --------------- 1,620,747 --------------- HEALTH CARE TECHNOLOGY -- 0.1% 1,000 Cerner Corp. 71,650 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 3,091 Aramark 111,863 2,758 Boyd Gaming Corp. 73,059 8,089 Carnival Corp. 382,044 980 Cheesecake Factory (The), Inc. 42,218 218 Cracker Barrel Old Country Store, Inc. 37,869 3,503 Hilton Grand Vacations, Inc. (a) 114,548 976 Hyatt Hotels Corp., Class A 75,494 2,566 MGM Resorts International 77,031 5,617 Norwegian Cruise Line Holdings Ltd. (a) 277,705 7,716 Penn National Gaming, Inc. (a) 150,616 979 Red Rock Resorts, Inc., Class A 20,402 2,485 Royal Caribbean Cruises Ltd. 289,105 1,587 Yum China Holdings, Inc. 72,209 --------------- 1,724,163 --------------- HOUSEHOLD DURABLES -- 3.1% 133 Cavco Industries, Inc. (a) 23,587 8,730 D.R. Horton, Inc. 400,969 1,887 Garmin Ltd. 148,299 355 Installed Building Products, Inc. (a) 18,914 4,165 KB Home 109,414 1,398 La-Z-Boy, Inc. 46,120 968 Leggett & Platt, Inc. 38,691 7,770 Lennar Corp., Class A 369,619 883 LGI Homes, Inc. (a) 62,066 3,269 M.D.C. Holdings, Inc. 118,142 2,087 Meritage Homes Corp. (a) 131,084 2,553 Mohawk Industries, Inc. (a) 318,334 45 NVR, Inc. (a) 150,486 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOUSEHOLD DURABLES (CONTINUED) 5,874 PulteGroup, Inc. $ 185,090 4,090 Taylor Morrison Home Corp. (a) 92,107 5,072 Toll Brothers, Inc. 182,440 254 TopBuild Corp. (a) 20,607 8,953 TRI Pointe Group, Inc. (a) 122,567 4,505 Tupperware Brands Corp. 68,972 --------------- 2,607,508 --------------- HOUSEHOLD PRODUCTS -- 0.1% 3,479 Central Garden & Pet Co., Class A (a) 95,846 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.0% 1,247 Clearway Energy, Inc., Class C 22,471 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 423 3M Co. 73,906 265 Carlisle Cos., Inc. 38,216 420 Honeywell International, Inc. 72,433 --------------- 184,555 --------------- INSURANCE -- 5.7% 2,748 Aflac, Inc. 144,655 108 Alleghany Corp. (a) 74,059 1,481 Allstate (The) Corp. 159,060 4,104 American Equity Investment Life Holding Co. 105,883 363 American Financial Group, Inc. 37,164 4,129 American International Group, Inc. 231,183 1,595 American National Insurance Co. 193,027 330 AMERISAFE, Inc. 21,470 4,062 Arch Capital Group Ltd. (a) 157,159 284 Argo Group International Holdings Ltd. 19,437 3,531 Assured Guaranty Ltd. 154,269 4,314 Athene Holding Ltd., Class A (a) 176,270 1,013 Brighthouse Financial, Inc. (a) 39,679 498 Chubb Ltd. 76,114 707 Cincinnati Financial Corp. 75,882 2,028 Employers Holdings, Inc. 89,029 640 Enstar Group Ltd. (a) 113,376 330 FBL Financial Group, Inc., Class A 20,691 5,458 Fidelity National Financial, Inc. 234,039 2,767 First American Financial Corp. 159,988 3,948 Hartford Financial Services Group (The), Inc. 227,523 4,674 Lincoln National Corp. 305,399 1,341 Loews Corp. 71,797 4,429 MetLife, Inc. 218,881 6,478 National General Holdings Corp. 160,201 334 National Western Life Group, Inc., Class A 89,846 6,640 Old Republic International Corp. 151,459 3,798 Principal Financial Group, Inc. 220,436 582 ProAssurance Corp. 22,750 See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 2,178 Prudential Financial, Inc. $ 220,653 1,410 Reinsurance Group of America, Inc. 219,847 451 Safety Insurance Group, Inc. 44,496 1,684 Torchmark Corp. 153,783 1,007 Travelers (The) Cos., Inc. 147,646 2,215 Unum Group 70,769 1,112 W.R. Berkley Corp. 77,162 145 White Mountains Insurance Group Ltd. 156,020 --------------- 4,841,102 --------------- INTERACTIVE MEDIA & SERVICES -- 0.1% 3,199 Cars.com, Inc. (a) 60,781 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.7% 3,813 eBay, Inc. 157,058 30,389 Qurate Retail, Inc., Series A (a) 429,700 --------------- 586,758 --------------- IT SERVICES -- 1.7% 397 Accenture PLC, Class A 76,454 1,570 Alliance Data Systems Corp. 246,364 182 CACI International, Inc., Class A (a) 39,157 3,470 Cognizant Technology Solutions Corp., Class A 226,036 431 CSG Systems International, Inc. 22,084 6,827 DXC Technology Co. 380,742 1,092 International Business Machines Corp. 161,878 843 KBR, Inc. 22,238 465 Leidos Holdings, Inc. 38,177 319 ManTech International Corp., Class A 21,941 512 MAXIMUS, Inc. 37,637 1,311 NIC, Inc. 23,782 1,587 Perspecta, Inc. 37,025 1,538 Presidio, Inc. 21,532 2,297 Sykes Enterprises, Inc. (a) 64,982 --------------- 1,420,029 --------------- LEISURE PRODUCTS -- 0.3% 801 Acushnet Holdings Corp. 20,474 810 Brunswick Corp. 39,820 2,498 Callaway Golf Co. 45,813 814 Polaris Industries, Inc. 77,061 1,158 Sturm Ruger & Co., Inc. 65,427 --------------- 248,595 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.1% 982 Agilent Technologies, Inc. 68,160 916 Cambrex Corp. (a) 40,121 --------------- 108,281 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY -- 3.5% 1,437 AGCO Corp. $ 110,649 631 Alamo Group, Inc. 61,769 1,195 Altra Industrial Motion Corp. 34,332 1,978 Barnes Group, Inc. 102,935 1,614 Caterpillar, Inc. 212,515 1,325 Colfax Corp. (a) 36,676 1,336 Crane Co. 111,823 1,758 Cummins, Inc. 288,312 329 EnPro Industries, Inc. 23,372 3,525 Greenbrier (The) Cos., Inc. 101,908 1,878 Hillenbrand, Inc. 63,270 486 Illinois Tool Works, Inc. 74,956 579 Ingersoll-Rand PLC 71,599 567 ITT, Inc. 35,392 174 John Bean Technologies Corp. 20,647 5,022 Kennametal, Inc. 173,661 3,535 Meritor, Inc. (a) 87,420 3,106 Milacron Holdings Corp. (a) 52,305 1,464 Mueller Industries, Inc. 44,198 1,780 Oshkosh Corp. 148,755 4,203 PACCAR, Inc. 294,798 1,294 Parker-Hannifin Corp. 226,553 1,819 Snap-on, Inc. 277,598 344 Tennant Co. 26,182 2,894 Timken (The) Co. 132,285 7,162 Trinity Industries, Inc. 140,375 226 Watts Water Technologies, Inc., Class A 20,980 --------------- 2,975,265 --------------- MARINE -- 0.1% 1,624 Matson, Inc. 66,438 --------------- MEDIA -- 2.1% 7,546 CBS Corp., Class B 388,695 186 Charter Communications, Inc., Class A (a) 71,681 5,203 Comcast Corp., Class A 224,614 9,812 Discovery, Inc., Class A (a) 297,402 3,869 DISH Network Corp., Class A (a) 131,004 2,804 E.W. Scripps (The) Co., Class A 42,985 10,506 Gannett Co., Inc. 107,687 1,645 Interpublic Group of Cos. (The), Inc. 37,703 1,376 John Wiley & Sons, Inc., Class A 62,622 6,483 Liberty Latin America Ltd., Class C (a) 106,321 5,508 News Corp., Class A 72,485 2,579 Scholastic Corp. 88,124 1,176 Sinclair Broadcast Group, Inc., Class A 59,094 5,659 TEGNA, Inc. 85,960 --------------- 1,776,377 --------------- METALS & MINING -- 2.7% 26,618 AK Steel Holding Corp. (a) 75,063 6,348 Alcoa Corp. (a) 142,766 Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 4,423 Allegheny Technologies, Inc. (a) $ 96,289 1,787 Carpenter Technology Corp. 80,433 13,927 Cleveland-Cliffs, Inc. (b) 148,462 4,845 Coeur Mining, Inc. (a) 22,287 4,803 Commercial Metals Co. 84,100 383 Compass Minerals International, Inc. 21,391 32,431 Freeport-McMoRan, Inc. 358,687 35,047 Hecla Mining Co. 64,837 646 Kaiser Aluminum Corp. 62,190 6,833 Nucor Corp. 371,578 1,963 Reliance Steel & Aluminum Co. 196,202 6,151 Steel Dynamics, Inc. 193,818 12,133 United States Steel Corp. 182,359 4,103 Warrior Met Coal, Inc. 101,508 1,567 Worthington Industries, Inc. 63,025 --------------- 2,264,995 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.5% 4,662 Apollo Commercial Real Estate Finance, Inc. 87,739 3,938 Chimera Investment Corp. 75,925 20,697 MFA Financial, Inc. 148,604 4,828 New Residential Investment Corp. 75,751 --------------- 388,019 --------------- MULTILINE RETAIL -- 1.5% 3,746 Big Lots, Inc. 95,898 1,721 Dillard's, Inc., Class A (b) 125,254 542 Dollar General Corp. 72,639 7,918 Kohl's Corp. 426,463 8,656 Macy's, Inc. 196,751 3,498 Nordstrom, Inc. 115,819 2,540 Target Corp. 219,456 --------------- 1,252,280 --------------- MULTI-UTILITIES -- 0.9% 3,332 Avista Corp. 153,372 5,261 CenterPoint Energy, Inc. 152,622 2,509 Consolidated Edison, Inc. 213,165 1,178 DTE Energy Co. 149,735 1,545 NorthWestern Corp. 108,026 --------------- 776,920 --------------- OIL, GAS & CONSUMABLE FUELS -- 7.8% 33,590 Antero Resources Corp. (a) 154,850 7,593 Apache Corp. 185,421 1,137 Arch Coal, Inc., Class A 101,375 16,262 Callon Petroleum Co. (a) 80,009 10,695 Carrizo Oil & Gas, Inc. (a) 101,923 95,257 Chesapeake Energy Corp. (a) (b) 172,415 3,026 Chevron Corp. 372,531 3,131 Cimarex Energy Co. 158,648 14,660 CNX Resources Corp. (a) 120,505 2,919 Concho Resources, Inc. 285,128 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 2,065 Contura Energy, Inc. (a) $ 73,989 4,584 Delek US Holdings, Inc. 197,479 86,423 Denbury Resources, Inc. (a) 97,658 13,202 Devon Energy Corp. 356,454 9,399 EQT Corp. 142,019 3,931 Exxon Mobil Corp. 292,309 21,826 Gulfport Energy Corp. (a) 82,502 8,136 HollyFrontier Corp. 404,929 7,213 Kinder Morgan, Inc. 148,732 26,497 Marathon Oil Corp. 372,813 6,738 Marathon Petroleum Corp. 379,956 7,536 Murphy Oil Corp. 181,165 6,724 Noble Energy, Inc. 148,466 15,094 Oasis Petroleum, Inc. (a) 73,508 5,935 PBF Energy, Inc., Class A 165,765 7,708 Peabody Energy Corp. 162,330 4,025 Phillips 66 412,804 7,144 SemGroup Corp., Class A 90,514 8,559 SM Energy Co. 85,333 33,913 Southwestern Energy Co. (a) 74,609 21,606 SRC Energy, Inc. (a) 88,152 4,456 Talos Energy, Inc. (a) 91,704 1,868 Targa Resources Corp. 72,684 4,398 Valero Energy Corp. 374,930 9,944 Whiting Petroleum Corp. (a) 175,810 1,754 World Fuel Services Corp. 68,476 --------------- 6,547,895 --------------- PAPER & FOREST PRODUCTS -- 0.6% 1,525 Boise Cascade Co. 41,175 4,171 Domtar Corp. 177,059 7,084 Louisiana-Pacific Corp. 185,176 2,584 Schweitzer-Mauduit International, Inc. 88,967 --------------- 492,377 --------------- PERSONAL PRODUCTS -- 0.2% 3,181 Edgewell Personal Care Co. (a) 96,798 753 Nu Skin Enterprises, Inc., Class A 30,105 --------------- 126,903 --------------- PHARMACEUTICALS -- 0.8% 4,850 Bristol-Myers Squibb Co. 215,388 19,775 Mylan N.V. (a) 413,298 780 Perrigo Co. PLC 42,128 --------------- 670,814 --------------- PROFESSIONAL SERVICES -- 0.5% 1,226 ASGN, Inc. (a) 77,299 2,188 CBIZ, Inc. (a) 51,134 289 ICF International, Inc. 24,620 1,154 ManpowerGroup, Inc. 105,418 907 Navigant Consulting, Inc. 22,095 652 Robert Half International, Inc. 39,387 3,886 TrueBlue, Inc. (a) 76,826 --------------- 396,779 --------------- See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 2,936 CBRE Group, Inc., Class A (a) $ 155,637 792 Jones Lang LaSalle, Inc. 115,387 14,802 Realogy Holdings Corp. 77,118 --------------- 348,142 --------------- ROAD & RAIL -- 1.9% 294 AMERCO 113,778 3,812 ArcBest Corp. 114,093 598 Avis Budget Group, Inc. (a) 21,761 371 Genesee & Wyoming, Inc., Class A (a) 40,740 4,744 Heartland Express, Inc. 94,121 2,406 J.B. Hunt Transport Services, Inc. 246,302 1,236 Kansas City Southern 152,943 5,656 Knight-Swift Transportation Holdings, Inc. 202,711 5,904 Marten Transport Ltd. 118,493 3,186 Ryder System, Inc. 169,686 1,326 Saia, Inc. (a) 101,174 5,875 Schneider National, Inc., Class B 113,388 3,448 Werner Enterprises, Inc. 114,301 --------------- 1,603,491 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.8% 374 Advanced Energy Industries, Inc. (a) 21,842 14,365 Amkor Technology, Inc. (a) 132,589 4,898 Applied Materials, Inc. 241,814 981 Cirrus Logic, Inc. (a) 48,118 9,757 Micron Technology, Inc. (a) 437,992 1,431 MKS Instruments, Inc. 121,821 1,115 Qorvo, Inc. (a) 81,718 3,898 Skyworks Solutions, Inc. 332,421 2,165 Synaptics, Inc. (a) 69,670 775 Teradyne, Inc. 43,191 --------------- 1,531,176 --------------- SOFTWARE -- 0.2% 8,998 Avaya Holdings Corp. (a) 108,336 419 Ebix, Inc. 19,287 1,287 Oracle Corp. 72,458 --------------- 200,081 --------------- SPECIALTY RETAIL -- 3.8% 1,210 Aaron's, Inc. 76,290 6,681 Abercrombie & Fitch Co., Class A 126,471 10,991 American Eagle Outfitters, Inc. 194,431 748 Asbury Automotive Group, Inc. (a) 68,876 16,091 At Home Group, Inc. (a) 96,385 3,543 AutoNation, Inc. (a) 172,473 5,429 Bed Bath & Beyond, Inc. (b) 52,716 3,155 Best Buy Co., Inc. 241,452 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 449 Children's Place (The), Inc. $ 43,854 5,364 Dick's Sporting Goods, Inc. 199,380 4,431 Foot Locker, Inc. 181,937 20,953 Gap (The), Inc. 408,583 2,534 Genesco, Inc. (a) 99,789 1,047 Group 1 Automotive, Inc. 87,906 4,270 L Brands, Inc. 110,807 531 Lithia Motors, Inc., Class A 70,028 9,854 Michaels Cos. (The), Inc. (a) 67,697 751 Murphy USA, Inc. (a) 66,358 52,022 Office Depot, Inc. 106,125 14,620 Party City Holdco, Inc. (a) (b) 93,276 3,142 Penske Automotive Group, Inc. 144,438 1,608 Tiffany & Co. 151,023 8,165 Urban Outfitters, Inc. (a) 194,409 1,715 Williams-Sonoma, Inc. 114,356 --------------- 3,169,060 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 20,148 Hewlett Packard Enterprise Co. 289,527 10,581 HP, Inc. 222,624 3,196 Seagate Technology PLC 148,007 3,147 Xerox Corp. 101,018 --------------- 761,176 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 762 Carter's, Inc. 70,881 3,643 G-III Apparel Group Ltd. (a) 104,408 4,315 Hanesbrands, Inc. 69,428 832 Oxford Industries, Inc. 60,894 1,963 PVH Corp. 174,550 654 Ralph Lauren Corp. 68,167 3,539 Skechers U.S.A., Inc., Class A (a) 134,270 1,094 Steven Madden Ltd. 37,754 4,747 Tapestry, Inc. 146,825 --------------- 867,177 --------------- THRIFTS & MORTGAGE FINANCE -- 1.2% 1,573 Axos Financial, Inc. (a) 46,105 3,162 Essent Group Ltd. (a) 145,958 1,904 Flagstar Bancorp, Inc. 65,650 1,528 Meta Financial Group, Inc. 47,169 14,136 MGIC Investment Corp. (a) 181,648 11,167 New York Community Bancorp, Inc. 128,755 1,933 PennyMac Financial Services, Inc. 46,411 1,768 Provident Financial Services, Inc. 42,750 8,129 Radian Group, Inc. 185,341 1,611 Walker & Dunlop, Inc. 93,986 1,227 Washington Federal, Inc. 44,884 509 WSFS Financial Corp. 21,566 --------------- 1,050,223 --------------- Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TOBACCO -- 0.2% 1,549 Altria Group, Inc. $ 72,911 1,411 Universal Corp. 83,955 --------------- 156,866 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.7% 4,493 Air Lease Corp. 187,763 5,041 Aircastle Ltd. 104,802 1,167 Beacon Roofing Supply, Inc. (a) 42,280 5,055 BMC Stock Holdings, Inc. (a) 106,913 1,874 GATX Corp. 144,036 2,169 H&E Equipment Services, Inc. 66,393 922 HD Supply Holdings, Inc. (a) 37,350 1,377 Herc Holdings, Inc. (a) 62,158 2,504 MRC Global, Inc. (a) 39,163 1,501 MSC Industrial Direct Co., Inc., Class A 106,646 4,274 NOW, Inc. (a) 52,357 2,934 Rush Enterprises, Inc., Class A 110,494 2,271 United Rentals, Inc. (a) 287,395 2,116 WESCO International, Inc. (a) 107,366 --------------- 1,455,116 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.2% 3,666 Macquarie Infrastructure Corp. 151,919 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.2% 6,110 Telephone & Data Systems, Inc. 197,597 --------------- TOTAL COMMON STOCKS -- 99.8% 84,135,179 (Cost $84,375,815) --------------- MONEY MARKET FUNDS -- 0.3% 81,790 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 81,790 198,975 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 2.15% (c) 198,975 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 280,765 (Cost $280,765) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.8% $ 669,564 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $669,611. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $683,191. (d) $ 669,564 (Cost $669,564) --------------- TOTAL INVESTMENTS -- 100.9% 85,085,508 (Cost $85,326,144) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (784,819) --------------- NET ASSETS -- 100.0% $ 84,300,689 =============== (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 $727,209 and the total value of the collateral held by the Fund is $751,354. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $85,795,578. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,090,347 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,800,417. The net unrealized depreciation was $710,070. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 84,135,179 $ -- $ -- Money Market Funds 280,765 -- -- Repurchase Agreements -- 669,564 -- -------------------------------------------- Total Investments $ 84,415,944 $ 669,564 $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 --------------------------------- 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) $ 727,209 Non-cash Collateral(2) (727,209) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 669,564 Non-cash Collateral(4) (669,564) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 2.0% 7,249 Aerojet Rocketdyne Holdings, Inc. (a) $ 309,677 3,790 Axon Enterprise, Inc. (a) 266,134 440 Boeing (The) Co. 150,119 2,137 Cubic Corp. 141,469 6,145 HEICO Corp. 840,329 10,224 Kratos Defense & Security Solutions, Inc. (a) 252,022 5,766 Mercury Systems, Inc. (a) 470,044 1,481 Teledyne Technologies, Inc. (a) 431,386 1,700 TransDigm Group, Inc. (a) 825,248 --------------- 3,686,428 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 5,646 Air Transport Services Group, Inc. (a) 131,608 4,336 Expeditors International of Washington, Inc. 331,054 2,329 Forward Air Corp. 146,727 --------------- 609,389 --------------- AIRLINES -- 0.1% 5,099 Spirit Airlines, Inc. (a) 216,351 --------------- AUTO COMPONENTS -- 0.2% 1,862 Dorman Products, Inc. (a) 133,840 2,836 Fox Factory Holding Corp. (a) 227,107 --------------- 360,947 --------------- AUTOMOBILES -- 0.1% 717 Tesla, Inc. (a) (b) 173,234 --------------- BANKS -- 1.8% 2,475 BancFirst Corp. 144,391 848 Banner Corp. 50,252 4,065 CenterState Bank Corp. 98,861 1,228 City Holding Co. 95,109 1,360 Commerce Bancshares, Inc. 82,729 2,465 Community Bank System, Inc. 162,665 1,104 Enterprise Financial Services Corp. 46,015 3,783 First Bancorp 139,744 16,959 First BanCorp 182,479 1,896 First Financial Bancorp. 48,329 5,270 First Financial Bankshares, Inc. 172,592 2,470 First Merchants Corp. 97,343 1,640 First Republic Bank 162,950 4,002 Glacier Bancorp, Inc. 167,724 1,555 Heritage Financial Corp. 44,349 603 Independent Bank Corp. 46,889 2,942 Lakeland Financial Corp. 135,303 5,158 National Bank Holdings Corp., Class A 187,132 5,368 Sandy Spring Bancorp, Inc. 195,610 2,732 ServisFirst Bancshares, Inc. 93,052 2,891 Southside Bancshares, Inc. 100,086 15,250 Sterling Bancorp 333,213 1,465 SVB Financial Group (a) 339,836 1,688 Tompkins Financial Corp. 138,365 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 1,770 Veritex Holdings, Inc. $ 45,294 745 Westamerica Bancorporation 47,755 --------------- 3,358,067 --------------- BEVERAGES -- 1.0% 620 Boston Beer (The) Co., Inc., Class A (a) 243,238 782 Coca-Cola Consolidated, Inc. 229,541 1,670 Constellation Brands, Inc., Class A 328,689 10,306 Monster Beverage Corp. (a) 664,428 2,508 PepsiCo, Inc. 320,548 --------------- 1,786,444 --------------- BIOTECHNOLOGY -- 3.5% 12,141 ACADIA Pharmaceuticals, Inc. (a) 298,426 7,501 Amicus Therapeutics, Inc. (a) 93,012 3,992 Arena Pharmaceuticals, Inc. (a) 250,219 8,831 Arrowhead Pharmaceuticals, Inc. (a) 256,629 4,300 Blueprint Medicines Corp. (a) 430,645 6,503 CareDx, Inc. (a) 213,103 10,589 Coherus Biosciences, Inc. (a) 178,107 1,988 CRISPR Therapeutics AG (a) (b) 100,772 4,509 Denali Therapeutics, Inc. (a) 96,267 1,856 Editas Medicine, Inc. (a) 46,864 1,679 Emergent BioSolutions, Inc. (a) 74,111 544 Enanta Pharmaceuticals, Inc. (a) 40,811 6,966 Exact Sciences Corp. (a) 801,856 3,797 Exelixis, Inc. (a) 80,762 11,528 Fate Therapeutics, Inc. (a) 254,192 1,395 Genomic Health, Inc. (a) 101,793 2,673 Halozyme Therapeutics, Inc. (a) 45,414 5,654 Incyte Corp. (a) 480,138 5,995 Intrexon Corp. (a) (b) 47,900 7,967 Invitae Corp. (a) 214,233 2,525 Ionis Pharmaceuticals, Inc. (a) 166,297 4,198 Ironwood Pharmaceuticals, Inc. (a) 44,625 2,567 Medicines (The) Co. (a) 92,001 1,818 Mirati Therapeutics, Inc. (a) 192,344 961 Neurocrine Biosciences, Inc. (a) 92,631 1,693 Portola Pharmaceuticals, Inc. (a) 45,169 3,061 PTC Therapeutics, Inc. (a) 147,448 2,723 Repligen Corp. (a) 257,024 8,692 Sangamo Therapeutics, Inc. (a) 104,391 4,329 Sarepta Therapeutics, Inc. (a) 644,372 2,314 Seattle Genetics, Inc. (a) 175,193 1,474 Ultragenyx Pharmaceutical, Inc. (a) 88,823 2,396 uniQure N.V. (a) 140,525 4,574 Xencor, Inc. (a) 201,348 --------------- 6,497,445 --------------- BUILDING PRODUCTS -- 1.4% 3,731 AAON, Inc. 189,535 7,137 Advanced Drainage Systems, Inc. 235,021 3,669 Allegion PLC 379,888 See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BUILDING PRODUCTS (CONTINUED) 3,339 Armstrong World Industries, Inc. $ 326,254 5,185 Continental Building Products, Inc. (a) 127,447 1,747 Lennox International, Inc. 448,071 11,198 PGT Innovations, Inc. (a) 180,512 4,883 Simpson Manufacturing Co., Inc. 301,574 4,526 Trex Co., Inc. (a) 370,000 --------------- 2,558,302 --------------- CAPITAL MARKETS -- 2.9% 3,082 Blucora, Inc. (a) 92,275 825 CME Group, Inc. 160,396 3,640 Cohen & Steers, Inc. 190,627 2,748 Evercore, Inc., Class A 237,345 1,132 FactSet Research Systems, Inc. 313,904 2,414 Hamilton Lane, Inc., Class A 141,702 3,094 Houlihan Lokey, Inc. 142,324 3,827 Intercontinental Exchange, Inc. 336,240 13,016 KKR & Co., Inc., Class A 348,178 4,973 LPL Financial Holdings, Inc. 417,086 1,010 MarketAxess Holdings, Inc. 340,410 1,684 Moody's Corp. 360,949 2,244 Morningstar, Inc. 341,043 3,443 MSCI, Inc. 782,387 3,420 Nasdaq, Inc. 329,585 1,779 Northern Trust Corp. 174,342 1,133 PJT Partners, Inc., Class A 47,767 1,444 S&P Global, Inc. 353,708 12,285 TCG BDC, Inc. 185,749 3,208 TD Ameritrade Holding Corp. 163,929 --------------- 5,459,946 --------------- CHEMICALS -- 2.8% 10,901 Axalta Coating Systems Ltd. (a) 322,997 1,623 Balchem Corp. 166,585 10,284 CF Industries Holdings, Inc. 509,675 1,280 Chase Corp. 132,582 4,165 Ecolab, Inc. 840,206 2,906 Ferro Corp. (a) 42,805 9,913 FMC Corp. 856,682 3,086 Ingevity Corp. (a) 304,094 202 NewMarket Corp. 85,165 2,818 PPG Industries, Inc. 330,805 8,692 PQ Group Holdings, Inc. (a) 135,508 1,200 Quaker Chemical Corp. 224,868 3,983 RPM International, Inc. 270,167 1,048 Sherwin-Williams (The) Co. 537,666 8,308 Valvoline, Inc. 167,739 3,198 WR Grace & Co. 216,856 --------------- 5,144,400 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.7% 2,793 Brady Corp., Class A 144,482 5,905 Casella Waste Systems, Inc., Class A (a) 257,458 1,030 Cimpress N.V. (a) 99,344 3,465 Cintas Corp. 902,425 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 5,705 Clean Harbors, Inc. (a) $ 443,906 11,002 Copart, Inc. (a) 852,985 10,453 Covanta Holding Corp. 180,001 16,226 KAR Auction Services, Inc. 433,883 3,013 McGrath RentCorp 205,215 1,540 MSA Safety, Inc. 162,239 5,545 Republic Services, Inc. 491,564 2,314 US Ecology, Inc. 147,240 5,702 Waste Management, Inc. 667,134 --------------- 4,987,876 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 617 Arista Networks, Inc. (a) 168,719 9,863 Ciena Corp. (a) 446,005 1,519 Lumentum Holdings, Inc. (a) 86,021 4,932 Motorola Solutions, Inc. 818,515 617 Ubiquiti Networks, Inc. 79,426 17,609 Viavi Solutions, Inc. (a) 258,324 --------------- 1,857,010 --------------- CONSTRUCTION & ENGINEERING -- 0.2% 3,672 Comfort Systems USA, Inc. 154,224 15,560 WillScot Corp. (a) 247,715 --------------- 401,939 --------------- CONSUMER FINANCE -- 0.8% 6,661 American Express Co. 828,429 671 Credit Acceptance Corp. (a) 320,758 3,245 FirstCash, Inc. 326,577 --------------- 1,475,764 --------------- CONTAINERS & PACKAGING -- 0.7% 3,262 AptarGroup, Inc. 394,767 11,748 Ball Corp. 839,747 --------------- 1,234,514 --------------- DISTRIBUTORS -- 0.2% 2,124 Pool Corp. 402,222 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 2,689 Bright Horizons Family Solutions, Inc. (a) 408,916 6,307 Chegg, Inc. (a) 283,310 693 Grand Canyon Education, Inc. (a) 75,378 11,076 H&R Block, Inc. 306,694 6,157 K12, Inc. (a) 183,787 6,937 Service Corp. International 320,073 1,052 Strategic Education, Inc. 187,246 --------------- 1,765,404 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 1,622 ATN International, Inc. 91,270 3,154 Cogent Communications Holdings, Inc. 198,734 Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 5,923 Iridium Communications, Inc. (a) $ 150,681 12,160 Vonage Holdings Corp. (a) 150,784 --------------- 591,469 --------------- ELECTRIC UTILITIES -- 1.0% 3,263 Alliant Energy Corp. 161,649 5,458 American Electric Power Co., Inc. 479,267 4,667 Entergy Corp. 492,929 2,662 Evergy, Inc. 161,024 808 IDACORP, Inc. 82,464 1,885 MGE Energy, Inc. 139,773 782 NextEra Energy, Inc. 162,007 1,906 OGE Energy Corp. 81,863 2,609 Otter Tail Corp. 139,268 --------------- 1,900,244 --------------- ELECTRICAL EQUIPMENT -- 1.0% 9,052 AMETEK, Inc. 811,150 9,046 Atkore International Group, Inc. (a) 246,865 5,844 Generac Holdings, Inc. (a) 422,521 7,055 GrafTech International Ltd. 80,780 12,475 Sunrun, Inc. (a) 237,649 1,479 Vicor Corp. (a) 43,719 --------------- 1,842,684 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.5% 3,428 Amphenol Corp., Class A 319,901 3,137 Badger Meter, Inc. 167,798 7,408 CDW Corp. 875,329 1,691 Cognex Corp. 74,421 3,394 CTS Corp. 106,979 1,256 Dolby Laboratories, Inc., Class A 85,533 2,774 Fabrinet (a) 148,908 2,999 FLIR Systems, Inc. 148,930 3,768 II-VI, Inc. (a) 149,590 9,156 Keysight Technologies, Inc. (a) 819,645 459 Littelfuse, Inc. 77,553 2,078 OSI Systems, Inc. (a) 233,900 18,228 Trimble, Inc. (a) 770,315 2,780 Vishay Intertechnology, Inc. 47,260 3,140 Zebra Technologies Corp., Class A (a) 662,195 --------------- 4,688,257 --------------- ENERGY EQUIPMENT & SERVICES -- 0.4% 1,387 Cactus, Inc., Class A (a) 40,736 8,411 Frank's International N.V. (a) 47,943 14,464 Liberty Oilfield Services, Inc., Class A 204,665 24,227 McDermott International, Inc. (a) 155,537 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 7,049 Patterson-UTI Energy, Inc. $ 81,980 11,306 ProPetro Holding Corp. (a) 204,978 --------------- 735,839 --------------- ENTERTAINMENT -- 1.1% 6,396 Glu Mobile, Inc. (a) 47,714 12,412 Live Nation Entertainment, Inc. (a) 894,409 895 Netflix, Inc. (a) 289,076 4,231 Take-Two Interactive Software, Inc. (a) 518,382 52,940 Zynga, Inc., Class A (a) 337,757 --------------- 2,087,338 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.2% 3,420 Acadia Realty Trust 95,999 717 Agree Realty Corp. 47,931 124 Alexander's, Inc. 46,438 1,987 American Assets Trust, Inc. 92,197 1,758 American Campus Communities, Inc. 82,186 6,675 American Homes 4 Rent, Class A 161,602 2,350 American Tower Corp. 497,307 7,507 Americold Realty Trust 251,710 1,619 Apartment Investment & Management Co., Class A 80,205 3,937 CareTrust REIT, Inc. 91,456 1,409 CoreSite Realty Corp. 147,677 2,523 Crown Castle International Corp. 336,215 2,426 CubeSmart 82,363 2,036 Douglas Emmett, Inc. 83,109 5,066 Duke Realty Corp. 168,850 1,399 EastGroup Properties, Inc. 168,552 2,175 EPR Properties 161,885 953 Equinix, Inc. 478,501 2,711 Equity LifeStyle Properties, Inc. 336,842 2,208 First Industrial Realty Trust, Inc. 84,324 4,163 Gaming and Leisure Properties, Inc. 156,987 1,493 Getty Realty Corp. 44,760 6,644 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 182,378 16,182 Independence Realty Trust, Inc. 199,848 24,609 Invitation Homes, Inc. 676,009 4,390 Kimco Realty Corp. 84,332 2,010 Lamar Advertising Co., Class A 162,649 9,948 Lexington Realty Trust 98,187 1,621 Liberty Property Trust 84,778 1,006 LTC Properties, Inc. 46,367 1,360 Mid-America Apartment Communities, Inc. 160,262 1,587 National Storage Affiliates Trust 48,070 4,652 Physicians Realty Trust 80,061 2,304 Piedmont Office Realty Trust, Inc., Class A 47,946 3,534 PotlatchDeltic Corp. 130,122 See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 4,106 Prologis, Inc. $ 330,985 1,444 PS Business Parks, Inc. 252,700 2,027 QTS Realty Trust, Inc., Class A 93,810 2,681 Retail Opportunity Investments Corp. 48,633 6,029 Rexford Industrial Realty, Inc. 249,601 2,001 Ryman Hospitality Properties, Inc. 150,075 8,241 Sabra Health Care REIT, Inc. 170,094 1,668 Saul Centers, Inc. 91,390 2,926 SBA Communications Corp. (a) 718,070 1,069 Seritage Growth Properties, Class A 44,652 1,902 Spirit Realty Capital, Inc. 83,916 2,683 STAG Industrial, Inc. 79,739 2,444 STORE Capital Corp. 83,609 2,566 Sun Communities, Inc. 340,790 2,809 Terreno Realty Corp. 137,248 2,204 Universal Health Realty Income Trust 203,121 2,343 Ventas, Inc. 157,660 27,013 VEREIT, Inc. 246,359 11,043 VICI Properties, Inc. 235,658 4,034 Welltower, Inc. 335,306 --------------- 9,751,521 --------------- FOOD & STAPLES RETAILING -- 0.2% 6,146 BJ's Wholesale Club Holdings, Inc. (a) 144,800 6,673 Chefs' Warehouse (The), Inc. (a) 243,364 --------------- 388,164 --------------- FOOD PRODUCTS -- 1.1% 2,244 Cal-Maine Foods, Inc. 89,244 5,142 Freshpet, Inc. (a) 232,161 4,908 Hershey (The) Co. 744,740 504 J&J Snack Foods Corp. 93,663 2,122 McCormick & Co., Inc. 336,422 1,561 Post Holdings, Inc. (a) 167,371 7,775 Simply Good Foods (The) Co. (a) 211,713 2,535 Tootsie Roll Industries, Inc. 94,708 --------------- 1,970,022 --------------- GAS UTILITIES -- 0.4% 1,970 Chesapeake Utilities Corp. 184,116 1,538 National Fuel Gas Co. 73,424 3,260 New Jersey Resources Corp. 162,576 1,982 Northwest Natural Holding Co. 141,554 1,797 ONE Gas, Inc. 163,851 --------------- 725,521 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.8% 5,712 Abbott Laboratories 497,515 585 Align Technology, Inc. (a) 122,312 3,137 AtriCure, Inc. (a) 100,635 110 Atrion Corp. 84,645 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 11,177 Boston Scientific Corp. (a) $ 474,575 2,012 Cantel Medical Corp. 185,667 4,361 Cardiovascular Systems, Inc. (a) 199,865 2,188 CONMED Corp. 191,122 2,441 Cooper (The) Cos., Inc. 823,593 4,603 CryoLife, Inc. (a) 132,658 4,603 Danaher Corp. 646,721 5,488 DexCom, Inc. (a) 860,903 867 Edwards Lifesciences Corp. (a) 184,541 1,827 Glaukos Corp. (a) 149,229 2,697 Haemonetics Corp. (a) 329,250 1,551 Hill-Rom Holdings, Inc. 165,399 3,335 Hologic, Inc. (a) 170,919 322 ICU Medical, Inc. (a) 81,930 2,389 IDEXX Laboratories, Inc. (a) 673,817 3,398 Insulet Corp. (a) 417,750 2,900 Integer Holdings Corp. (a) 253,837 2,905 Integra LifeSciences Holdings Corp. (a) 184,148 1,742 iRhythm Technologies, Inc. (a) 144,830 1,635 Masimo Corp. (a) 258,085 2,724 Merit Medical Systems, Inc. (a) 107,489 1,788 Natus Medical, Inc. (a) 55,553 2,125 Nevro Corp. (a) 142,077 6,415 Novocure Ltd. (a) 533,856 868 Orthofix Medical, Inc. (a) 46,395 2,028 Penumbra, Inc. (a) 339,893 1,578 Quidel Corp. (a) 93,149 2,695 ResMed, Inc. 346,847 2,337 Stryker Corp. 490,256 3,289 Tactile Systems Technology, Inc. (a) 189,907 3,627 Tandem Diabetes Care, Inc. (a) 230,061 1,451 Teleflex, Inc. 492,963 2,593 West Pharmaceutical Services, Inc. 355,941 --------------- 10,758,333 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.8% 2,005 Amedisys, Inc. (a) 276,470 954 BioTelemetry, Inc. (a) 44,790 12,984 Brookdale Senior Living, Inc. (a) 101,145 899 Chemed Corp. 364,446 2,690 CorVel Corp. (a) 229,188 3,841 Encompass Health Corp. 245,209 4,112 Ensign Group (The), Inc. 247,789 3,554 HCA Healthcare, Inc. 474,495 603 Humana, Inc. 178,940 2,714 LHC Group, Inc. (a) 343,538 2,267 Molina Healthcare, Inc. (a) 301,012 2,394 Premier, Inc., Class A (a) 92,768 2,223 Tenet Healthcare Corp. (a) 52,396 656 UnitedHealth Group, Inc. 163,351 1,528 US Physical Therapy, Inc. 197,234 --------------- 3,312,771 --------------- Page 74 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY -- 1.2% 5,776 Evolent Health, Inc., Class A (a) $ 39,392 5,780 HMS Holdings Corp. (a) 201,722 12,903 Inovalon Holdings, Inc., Class A (a) 193,545 3,859 Inspire Medical Systems, Inc. (a) 260,984 9,408 NextGen Healthcare, Inc. (a) 153,915 2,176 Omnicell, Inc. (a) 163,657 4,887 Teladoc Health, Inc. (a) 333,489 5,072 Veeva Systems, Inc., Class A (a) 841,445 --------------- 2,188,149 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.9% 1,045 BJ's Restaurants, Inc. 41,487 4,950 Bloomin' Brands, Inc. 84,299 2,379 Brinker International, Inc. 94,803 1,122 Chipotle Mexican Grill, Inc. (a) 892,585 2,797 Choice Hotels International, Inc. 240,011 2,820 Churchill Downs, Inc. 337,413 3,946 Darden Restaurants, Inc. 479,676 2,313 Dave & Buster's Entertainment, Inc. 94,023 11,399 Denny's Corp. (a) 257,503 2,451 Dine Brands Global, Inc. 201,203 1,726 Domino's Pizza, Inc. 422,059 4,074 Dunkin' Brands Group, Inc. 326,572 8,805 Eldorado Resorts, Inc. (a) 397,282 8,413 Hilton Worldwide Holdings, Inc. 812,275 564 Jack in the Box, Inc. 40,512 3,424 Marriott International, Inc., Class A 476,141 1,584 McDonald's Corp. 333,781 5,600 Planet Fitness, Inc., Class A (a) 440,496 4,723 Scientific Games Corp. (a) 96,585 7,549 SeaWorld Entertainment, Inc. (a) 230,773 3,241 Shake Shack, Inc., Class A (a) 241,973 9,809 Starbucks Corp. 928,814 363 Vail Resorts, Inc. 89,487 20,718 Wendy's (The) Co. 376,860 2,470 Wingstop, Inc. 236,107 5,822 Wyndham Hotels & Resorts, Inc. 329,234 1,291 Wynn Resorts Ltd. 167,920 4,341 Yum! Brands, Inc. 488,449 --------------- 9,158,323 --------------- HOUSEHOLD DURABLES -- 0.4% 1,864 Helen of Troy Ltd. (a) 276,394 1,503 iRobot Corp. (a) 109,869 4,478 Roku, Inc. (a) 462,712 --------------- 848,975 --------------- HOUSEHOLD PRODUCTS -- 0.5% 4,502 Church & Dwight Co., Inc. 339,631 2,234 Colgate-Palmolive Co. 160,267 3,000 Procter & Gamble (The) Co. 354,120 289 WD-40 Co. 52,471 --------------- 906,489 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5% 9,554 AES Corp. $ 160,412 8,108 Pattern Energy Group, Inc., Class A 185,916 13,093 TerraForm Power, Inc., Class A 201,763 14,528 Vistra Energy Corp. 311,771 --------------- 859,862 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 1,796 Roper Technologies, Inc. 653,115 --------------- INSURANCE -- 1.9% 7,510 Arthur J. Gallagher & Co. 679,129 9,687 Brown & Brown, Inc. 348,054 2,718 eHealth, Inc. (a) 281,993 1,595 Erie Indemnity Co., Class A 355,318 4,701 Kemper Corp. 413,782 2,558 Kinsale Capital Group, Inc. 229,862 2,705 Primerica, Inc. 331,877 10,287 Progressive (The) Corp. 833,041 1,646 Universal Insurance Holdings, Inc. 40,837 --------------- 3,513,893 --------------- INTERACTIVE MEDIA & SERVICES -- 1.8% 3,530 ANGI Homeservices, Inc., Class A (a) 48,891 2,247 Cargurus, Inc. (a) 83,746 3,408 Facebook, Inc., Class A (a) 661,936 3,024 IAC/InterActiveCorp (a) 722,887 6,030 Match Group, Inc. 453,999 11,812 QuinStreet, Inc. (a) 192,417 22,694 Snap, Inc., Class A (a) 381,259 9,424 Twitter, Inc. (a) 398,729 2,374 Yelp, Inc. (a) 83,209 6,995 Zillow Group, Inc., Class C (a) 349,470 --------------- 3,376,543 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.4% 347 Amazon.com, Inc. (a) 647,773 85 Booking Holdings, Inc. (a) 160,362 3,966 Etsy, Inc. (a) 265,801 4,945 Expedia Group, Inc. 656,399 2,080 GrubHub, Inc. (a) 140,670 12,828 Quotient Technology, Inc. (a) 134,951 1,172 Shutterstock, Inc. 44,970 7,316 Stitch Fix, Inc., Class A (a) (b) 190,801 2,778 Wayfair, Inc., Class A (a) 364,363 --------------- 2,606,090 --------------- IT SERVICES -- 6.3% 2,906 Automatic Data Processing, Inc. 483,907 4,046 Black Knight, Inc. (a) 256,193 6,127 Booz Allen Hamilton Holding Corp. 421,231 6,440 Broadridge Financial Solutions, Inc. 818,653 3,595 Carbonite, Inc. (a) 64,458 See Notes to Financial Statements Page 75 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 2,343 EPAM Systems, Inc. (a) $ 454,050 2,411 Euronet Worldwide, Inc. (a) 375,899 5,725 EVERTEC, Inc. 183,315 2,681 Fidelity National Information Services, Inc. 357,243 3,608 Fiserv, Inc. (a) 380,391 2,342 FleetCor Technologies, Inc. (a) 665,526 4,087 Gartner, Inc. (a) 569,442 4,108 Global Payments, Inc. 689,815 2,609 GTT Communications, Inc. (a) 31,569 1,674 LiveRamp Holdings, Inc. (a) 88,203 2,487 Mastercard, Inc., Class A 677,135 2,667 MongoDB, Inc. (a) 381,968 3,284 Okta, Inc. (a) 429,646 3,997 Paychex, Inc. 331,951 7,184 PayPal Holdings, Inc. (a) 793,114 7,309 Sabre Corp. 171,835 6,623 Square, Inc., Class A (a) 532,555 6,030 Twilio, Inc., Class A (a) 838,833 2,297 VeriSign, Inc. (a) 484,874 3,790 Visa, Inc., Class A 674,620 12,237 Western Union (The) Co. 256,977 1,559 WEX, Inc. (a) 339,971 --------------- 11,753,374 --------------- LIFE SCIENCES TOOLS & SERVICES -- 3.1% 8,183 Accelerate Diagnostics, Inc. (a) (b) 152,858 779 Bio-Rad Laboratories, Inc., Class A (a) 245,307 1,167 Bio-Techne Corp. 245,245 8,121 Bruker Corp. 388,590 2,287 Charles River Laboratories International, Inc. (a) 307,693 1,787 Illumina, Inc. (a) 534,992 5,110 IQVIA Holdings, Inc. (a) 813,359 3,577 Medpace Holdings, Inc. (a) 281,724 979 Mettler-Toledo International, Inc. (a) 740,858 8,534 NeoGenomics, Inc. (a) 207,974 6,828 PerkinElmer, Inc. 588,027 1,636 PRA Health Sciences, Inc. (a) 163,453 7,940 Syneos Health, Inc. (a) 405,655 2,240 Thermo Fisher Scientific, Inc. 622,003 --------------- 5,697,738 --------------- MACHINERY -- 3.5% 5,553 Actuant Corp., Class A 127,164 2,823 Albany International Corp., Class A 242,750 7,002 Allison Transmission Holdings, Inc. 321,742 1,792 Chart Industries, Inc. (a) 135,350 3,970 Deere & Co. 657,630 4,786 Donaldson Co., Inc. 239,061 2,833 ESCO Technologies, Inc. 236,725 8,749 Federal Signal Corp. 272,531 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 1,964 Fortive Corp. $ 149,362 2,900 Franklin Electric Co., Inc. 135,894 3,234 Graco, Inc. 155,491 8,529 Harsco Corp. (a) 200,090 4,034 Helios Technologies, Inc. 189,437 3,821 IDEX Corp. 642,769 2,062 Kadant, Inc. 192,714 1,971 Lincoln Electric Holdings, Inc. 166,589 11,775 Navistar International Corp. (a) 367,851 1,148 Nordson Corp. 162,626 1,399 Proto Labs, Inc. (a) 145,636 1,946 RBC Bearings, Inc. (a) 316,595 3,638 Toro (The) Co. 264,919 4,448 TriMas Corp. (a) 133,395 3,585 Woodward, Inc. 401,663 7,865 Xylem, Inc. 631,481 --------------- 6,489,465 --------------- MEDIA -- 1.3% 33,769 Altice USA, Inc., Class A (a) 871,578 1,489 AMC Networks, Inc., Class A (a) 79,483 346 Cable One, Inc. 421,013 32,280 Entercom Communications Corp., Class A 183,350 8,406 Gray Television, Inc. (a) 149,207 1,700 Meredith Corp. 93,262 2,214 MSG Networks, Inc., Class A (a) 42,044 7,461 New York Times (The) Co., Class A 266,208 3,213 Nexstar Media Group, Inc., Class A 326,987 --------------- 2,433,132 --------------- METALS & MINING -- 0.1% 1,583 Royal Gold, Inc. 181,174 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.7% 7,724 Arbor Realty Trust, Inc. 94,156 6,841 Blackstone Mortgage Trust, Inc., Class A 242,992 6,916 KKR Real Estate Finance Trust, Inc. 138,527 2,765 Ladder Capital Corp. 46,535 15,099 New York Mortgage Trust, Inc. 92,255 10,721 PennyMac Mortgage Investment Trust 236,184 8,334 Redwood Trust, Inc. 141,011 7,142 Starwood Property Trust, Inc. 165,909 4,853 TPG RE Finance Trust, Inc. 95,847 --------------- 1,253,416 --------------- MULTILINE RETAIL -- 0.2% 3,725 Ollie's Bargain Outlet Holdings, Inc. (a) 315,470 --------------- MULTI-UTILITIES -- 1.0% 4,379 Ameren Corp. 331,447 3,114 Black Hills Corp. 246,473 5,680 CMS Energy Corp. 330,690 Page 76 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 3,145 MDU Resources Group, Inc. $ 84,097 5,560 NiSource, Inc. 165,076 2,722 Public Service Enterprise Group, Inc. 155,562 5,762 WEC Energy Group, Inc. 492,421 --------------- 1,805,766 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.8% 8,831 Berry Petroleum Corp. 86,544 4,757 California Resources Corp. (a) 72,830 10,689 Centennial Resource Development, Inc., Class A (a) 63,599 4,805 Cheniere Energy, Inc. (a) 313,046 2,625 ConocoPhillips 155,085 3,804 Continental Resources, Inc. (a) 141,395 8,115 CVR Energy, Inc. 430,663 1,719 EOG Resources, Inc. 147,576 10,348 Hess Corp. 670,964 5,553 Jagged Peak Energy, Inc. (a) 40,759 29,860 Kosmos Energy Ltd. 179,459 6,930 Matador Resources Co. (a) 122,176 2,327 ONEOK, Inc. 163,076 12,803 Parsley Energy, Inc., Class A (a) 212,402 3,820 PDC Energy, Inc. (a) 109,749 2,138 Pioneer Natural Resources Co. 295,129 19,055 QEP Resources, Inc. (a) 94,322 11,623 Range Resources Corp. 66,135 7,049 WPX Energy, Inc. (a) 73,591 --------------- 3,438,500 --------------- PERSONAL PRODUCTS -- 0.6% 3,592 Estee Lauder (The) Cos., Inc., Class A 661,611 3,745 Herbalife Nutrition Ltd. (a) 153,620 1,408 Inter Parfums, Inc. 97,546 1,074 Medifast, Inc. 119,912 1,021 USANA Health Sciences, Inc. (a) 69,479 --------------- 1,102,168 --------------- PHARMACEUTICALS -- 1.4% 6,405 Amneal Pharmaceuticals, Inc. (a) 23,442 8,869 Amphastar Pharmaceuticals, Inc. (a) 178,710 4,119 Corcept Therapeutics, Inc. (a) 46,380 1,445 Eli Lilly and Co. 157,433 10,116 Horizon Therapeutics PLC (a) 251,787 6,429 Innoviva, Inc. (a) 76,377 1,138 Jazz Pharmaceuticals PLC (a) 158,614 3,922 Merck & Co., Inc. 325,487 4,560 Nektar Therapeutics (a) 129,778 4,305 Pacira BioSciences, Inc. (a) 188,946 3,696 Pfizer, Inc. 143,553 1,460 Reata Pharmaceuticals, Inc., Class A (a) 132,349 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 1,388 Supernus Pharmaceuticals, Inc. (a) $ 46,318 5,796 Zoetis, Inc. 665,902 --------------- 2,525,076 --------------- PROFESSIONAL SERVICES -- 2.0% 1,484 CoStar Group, Inc. (a) 913,254 2,772 Exponent, Inc. 190,714 4,838 FTI Consulting, Inc. (a) 505,329 3,321 Insperity, Inc. 353,188 1,146 Korn Ferry 45,015 6,535 TransUnion 541,033 5,983 TriNet Group, Inc. (a) 439,990 4,491 Verisk Analytics, Inc. 681,374 --------------- 3,669,897 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 5,206 Redfin Corp. (a) (b) 93,916 978 RMR Group (The), Inc., Class A 48,157 7,973 St Joe (The) Co. (a) 153,400 --------------- 295,473 --------------- ROAD & RAIL -- 1.3% 6,209 CSX Corp. 437,113 14,663 Hertz Global Holdings, Inc. (a) 227,570 2,254 Landstar System, Inc. 250,802 3,300 Norfolk Southern Corp. 630,696 3,218 Old Dominion Freight Line, Inc. 537,342 1,945 Union Pacific Corp. 350,003 --------------- 2,433,526 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.6% 27,075 Advanced Micro Devices, Inc. (a) 824,434 2,914 Analog Devices, Inc. 342,278 1,143 Broadcom, Inc. 331,458 4,832 Brooks Automation, Inc. 187,482 2,211 Cabot Microelectronics Corp. 268,968 4,332 Cree, Inc. (a) 269,364 5,148 Diodes, Inc. (a) 219,305 8,696 Entegris, Inc. 378,363 5,974 FormFactor, Inc. (a) 100,244 3,737 Inphi Corp. (a) 225,005 1,355 KLA Corp. 184,714 2,557 Lam Research Corp. 533,416 16,040 Lattice Semiconductor Corp. (a) 310,214 5,541 Microchip Technology, Inc. 523,181 597 Monolithic Power Systems, Inc. 88,451 12,043 ON Semiconductor Corp. (a) 259,045 1,718 Power Integrations, Inc. 156,458 2,354 Silicon Laboratories, Inc. (a) 264,142 1,395 Texas Instruments, Inc. 174,389 1,294 Universal Display Corp. 273,137 5,579 Xilinx, Inc. 637,178 6,691 Xperi Corp. 142,853 --------------- 6,694,079 --------------- See Notes to Financial Statements Page 77 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE -- 10.0% 7,769 8x8, Inc. (a) $ 187,777 2,232 Adobe, Inc. (a) 667,056 1,516 Alarm.com Holdings, Inc. (a) 75,664 4,635 Altair Engineering, Inc., Class A (a) 192,862 3,717 Alteryx, Inc., Class A (a) 436,896 3,212 ANSYS, Inc. (a) 652,421 2,288 Appfolio, Inc., Class A (a) 220,906 2,611 Aspen Technology, Inc. (a) 344,313 2,949 Autodesk, Inc. (a) 460,545 5,618 Avalara, Inc. (a) 457,755 1,943 Blackbaud, Inc. 176,813 6,065 Blackline, Inc. (a) 270,499 11,612 Cadence Design Systems, Inc. (a) 858,243 8,240 Carbon Black, Inc. (a) 153,346 3,232 Ceridian HCM Holding, Inc. (a) 172,298 2,801 Cornerstone OnDemand, Inc. (a) 165,819 3,204 Coupa Software, Inc. (a) 434,815 1,632 DocuSign, Inc. (a) 84,407 9,716 Dropbox, Inc., Class A (a) 228,909 2,738 Envestnet, Inc. (a) 195,521 2,617 Everbridge, Inc. (a) 267,719 1,292 Fair Isaac Corp. (a) 448,867 4,745 Five9, Inc. (a) 234,261 2,765 ForeScout Technologies, Inc. (a) 103,300 2,084 Fortinet, Inc. (a) 167,366 2,401 Guidewire Software, Inc. (a) 245,094 1,903 HubSpot, Inc. (a) 340,104 2,203 Instructure, Inc. (a) 87,437 1,838 Intuit, Inc. 509,696 2,738 j2 Global, Inc. 243,928 4,913 LivePerson, Inc. (a) 163,063 4,681 Manhattan Associates, Inc. (a) 397,838 3,586 Microsoft Corp. 488,664 2,950 Mimecast Ltd. (a) 140,420 1,789 Paycom Software, Inc. (a) 430,702 3,459 Paylocity Holding Corp. (a) 353,129 2,146 Progress Software Corp. 92,900 2,024 Proofpoint, Inc. (a) 255,429 3,699 PROS Holdings, Inc. (a) 267,660 3,065 Q2 Holdings, Inc. (a) 244,802 1,863 Qualys, Inc. (a) 161,261 4,046 Rapid7, Inc. (a) 245,390 2,757 RealPage, Inc. (a) 172,257 2,824 RingCentral, Inc., Class A (a) 400,952 2,995 ServiceNow, Inc. (a) 830,783 4,835 Smartsheet, Inc., Class A (a) 241,315 3,820 Splunk, Inc. (a) 516,884 1,348 SPS Commerce, Inc. (a) 150,747 8,338 SS&C Technologies Holdings, Inc. 399,807 6,390 Synopsys, Inc. (a) 848,336 1,781 Trade Desk (The), Inc., Class A (a) 468,955 375 Tyler Technologies, Inc. (a) 87,506 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 1,511 Varonis Systems, Inc. (a) $ 108,656 3,017 Verint Systems, Inc. (a) 174,594 958 VMware, Inc., Class A 167,161 3,200 Workday, Inc., Class A (a) 639,936 4,029 Workiva, Inc. (a) 231,627 4,660 Yext, Inc. (a) 96,975 3,645 Zendesk, Inc. (a) 304,576 5,293 Zscaler, Inc. (a) 446,041 --------------- 18,613,003 --------------- SPECIALTY RETAIL -- 3.7% 748 AutoZone, Inc. (a) 840,034 2,823 Burlington Stores, Inc. (a) 510,257 2,991 Carvana Co. (a) 190,108 2,028 Five Below, Inc. (a) 238,209 7,745 Floor & Decor Holdings, Inc., Class A (a) 303,217 3,163 Home Depot (The), Inc. 675,901 1,587 Lowe's Cos., Inc. 160,922 2,195 Monro, Inc. 184,841 3,046 National Vision Holdings, Inc. (a) 96,223 891 O'Reilly Automotive, Inc. (a) 339,257 8,788 Rent-A-Center, Inc. (a) 237,540 2,105 RH (a) 293,437 4,846 Ross Stores, Inc. 513,821 5,794 Sleep Number Corp. (a) 284,891 6,220 TJX (The) Cos., Inc. 339,363 7,558 Tractor Supply Co. 822,386 2,370 Ulta Beauty, Inc. (a) 827,723 --------------- 6,858,130 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 2,427 Apple, Inc. 517,048 3,194 Dell Technologies, Inc., Class C (a) 184,422 --------------- 701,470 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 2,430 Columbia Sportswear Co. 257,532 2,325 Crocs, Inc. (a) 53,126 2,305 Deckers Outdoor Corp. (a) 360,225 --------------- 670,883 --------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 3,335 Capitol Federal Financial, Inc. 45,556 3,041 Columbia Financial, Inc. (a) 46,497 3,455 Kearny Financial Corp. 46,124 966 LendingTree, Inc. (a) 311,574 11,687 Mr Cooper Group, Inc. (a) 88,938 8,243 NMI Holdings, Inc., Class A (a) 205,086 5,316 Northwest Bancshares, Inc. 91,169 5,544 OceanFirst Financial Corp. 135,274 --------------- 970,218 --------------- Page 78 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS -- 0.6% 2,239 Applied Industrial Technologies, Inc. $ 136,221 20,184 Fastenal Co. 621,667 2,702 SiteOne Landscape Supply, Inc. (a) 199,597 7,429 Triton International Ltd. 245,751 --------------- 1,203,236 --------------- WATER UTILITIES -- 0.5% 1,831 American States Water Co. 141,847 4,141 American Water Works Co., Inc. 475,304 3,922 Aqua America, Inc. 164,528 1,849 California Water Service Group 98,718 2,325 Middlesex Water Co. 145,615 --------------- 1,026,012 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 1,192 Shenandoah Telecommunications Co. 46,917 6,479 T-Mobile US, Inc. (a) 516,571 1,816 United States Cellular Corp. (a) 86,968 --------------- 650,456 --------------- TOTAL COMMON STOCKS -- 99.8% 185,620,946 (Cost $156,313,052) --------------- MONEY MARKET FUNDS -- 0.3% 58,563 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 58,563 481,235 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.15% (c) 481,235 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 539,798 (Cost $539,798) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 479,418 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $479,452. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $489,175. (d) 479,418 (Cost $479,418) --------------- DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 100.4% $ 186,640,162 (Cost $157,332,268) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (684,682) --------------- NET ASSETS -- 100.0% $ 185,955,480 =============== (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 $519,408 and the total value of the collateral held by the Fund is $537,981. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $157,528,313. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $32,128,199 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,016,350. The net unrealized appreciation was $29,111,849. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 185,620,946 $ -- $ -- Money Market Funds 539,798 -- -- Repurchase Agreements -- 479,418 -- -------------------------------------------- Total Investments $ 186,160,744 $ 479,418 $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 79 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 --------------------------------- 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) $ 519,408 Non-cash Collateral(2) (519,408) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 479,418 Non-cash Collateral(4) (479,418) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 80 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 1.0% 644 Curtiss-Wright Corp. $ 81,730 1,092 Huntington Ingalls Industries, Inc. 249,304 874 Moog, Inc., Class A 71,196 2,011 Spirit AeroSystems Holdings, Inc., Class A 154,525 --------------- 556,755 --------------- AIR FREIGHT & LOGISTICS -- 0.7% 5,662 XPO Logistics, Inc. (a) 382,072 --------------- AIRLINES -- 1.6% 3,841 Alaska Air Group, Inc. 243,366 13,276 JetBlue Airways Corp. (a) 255,297 6,744 SkyWest, Inc. 409,428 --------------- 908,091 --------------- AUTO COMPONENTS -- 1.8% 9,746 BorgWarner, Inc. 368,399 9,975 Gentex Corp. 273,514 26,741 Goodyear Tire & Rubber (The) Co. 367,154 --------------- 1,009,067 --------------- AUTOMOBILES -- 0.7% 6,851 Harley-Davidson, Inc. 245,129 2,800 Thor Industries, Inc. 166,880 --------------- 412,009 --------------- BANKS -- 12.9% 15,483 Associated Banc-Corp. 335,517 2,818 BancorpSouth Bank 84,230 10,878 Bank OZK 332,649 4,850 BankUnited, Inc. 166,888 2,168 BOK Financial Corp. 181,418 4,557 Cathay General Bancorp 169,612 6,230 CIT Group, Inc. 314,926 2,262 Columbia Banking System, Inc. 85,300 874 Cullen/Frost Bankers, Inc. 82,978 5,249 East West Bancorp, Inc. 252,004 27,809 F.N.B. Corp. 335,098 363 First Citizens BancShares, Inc., Class A 169,528 6,326 First Hawaiian, Inc. 169,284 21,923 First Horizon National Corp. 359,537 4,999 Fulton Financial Corp. 84,983 6,128 Hancock Whitney Corp. 254,435 8,497 Home BancShares, Inc. 167,136 3,236 IBERIABANK Corp. 254,253 7,339 Investors Bancorp, Inc. 83,371 9,865 Old National Bancorp 173,723 8,429 PacWest Bancorp 325,612 4,876 People's United Financial, Inc. 80,064 2,847 Pinnacle Financial Partners, Inc. 172,927 6,034 Popular, Inc. 347,317 2,478 Prosperity Bancshares, Inc. 171,948 1,354 Signature Bank 172,581 4,676 Synovus Financial Corp. 178,483 5,971 TCF Financial Corp. 251,021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 2,667 Texas Capital Bancshares, Inc. (a) $ 167,834 14,797 Umpqua Holdings Corp. 258,356 2,206 United Bankshares, Inc. 82,924 22,772 Valley National Bancorp 254,136 3,660 Western Alliance Bancorp (a) 180,950 2,237 Wintrust Financial Corp. 160,035 7,118 Zions Bancorp N.A. 320,808 --------------- 7,181,866 --------------- BUILDING PRODUCTS -- 0.9% 1,735 A.O. Smith Corp. 78,856 7,030 Owens Corning 407,740 --------------- 486,596 --------------- CAPITAL MARKETS -- 2.0% 3,794 Eaton Vance Corp. 168,833 2,518 Federated Investors, Inc., Class B 87,500 11,998 Invesco Ltd. 230,242 7,138 Lazard Ltd., Class A 276,312 1,459 SEI Investments Co. 86,942 4,156 Stifel Financial Corp. 248,570 --------------- 1,098,399 --------------- CHEMICALS -- 2.7% 4,649 Albemarle Corp. 339,191 6,860 Cabot Corp. 306,779 20,016 Huntsman Corp. 411,329 18,673 Olin Corp. 374,767 1,114 Sensient Technologies Corp. 75,942 --------------- 1,508,008 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.6% 53,482 ADT, Inc. (b) 339,611 --------------- COMMUNICATIONS EQUIPMENT -- 0.4% 15,606 CommScope Holding Co., Inc. (a) 222,854 --------------- CONSTRUCTION & ENGINEERING -- 1.9% 4,324 AECOM (a) 155,448 1,858 EMCOR Group, Inc. 156,796 2,429 Fluor Corp. 78,967 6,352 MasTec, Inc. (a) 325,985 8,571 Quanta Services, Inc. 320,727 --------------- 1,037,923 --------------- CONSUMER FINANCE -- 2.6% 23,979 Navient Corp. 339,303 12,101 OneMain Holdings, Inc. 501,586 13,661 Santander Consumer USA Holdings, Inc. 367,618 25,255 SLM Corp. 230,073 --------------- 1,438,580 --------------- CONTAINERS & PACKAGING -- 2.4% 3,112 Berry Global Group, Inc. (a) 140,196 17,559 Graphic Packaging Holding Co. 260,927 See Notes to Financial Statements Page 81 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING (CONTINUED) 14,214 Owens-Illinois, Inc. $ 241,212 3,434 Packaging Corp. of America 346,731 1,913 Sealed Air Corp. 79,944 5,348 Silgan Holdings, Inc. 160,761 1,252 Sonoco Products Co. 75,157 --------------- 1,304,928 --------------- DISTRIBUTORS -- 0.3% 6,150 LKQ Corp. (a) 165,620 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.1% 3,633 Adtalem Global Education, Inc. (a) 172,095 593 Graham Holdings Co., Class B 440,439 --------------- 612,534 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 12,765 Jefferies Financial Group, Inc. 272,277 1,480 Voya Financial, Inc. 83,132 --------------- 355,409 --------------- ELECTRIC UTILITIES -- 0.9% 1,967 ALLETE, Inc. 171,031 1,879 Hawaiian Electric Industries, Inc. 84,179 4,532 Portland General Electric Co. 248,580 --------------- 503,790 --------------- ELECTRICAL EQUIPMENT -- 1.2% 1,187 Acuity Brands, Inc. 159,319 1,195 EnerSys 81,391 628 Hubbell, Inc. 81,565 4,006 Regal Beloit Corp. 318,958 --------------- 641,233 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.0% 5,741 Arrow Electronics, Inc. (a) 416,854 7,230 Avnet, Inc. 328,387 24,647 AVX Corp. 375,374 1,800 Coherent, Inc. (a) 249,930 530 IPG Photonics Corp. (a) 69,435 5,179 Jabil, Inc. 159,927 3,326 SYNNEX Corp. 327,744 3,129 Tech Data Corp. (a) 317,093 --------------- 2,244,744 --------------- ENERGY EQUIPMENT & SERVICES -- 0.4% 4,849 Helmerich & Payne, Inc. 240,898 --------------- ENTERTAINMENT -- 0.3% 4,533 Cinemark Holdings, Inc. 180,957 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.0% 25,797 Apple Hospitality REIT, Inc. 405,271 18,306 Brixmor Property Group, Inc. 347,448 10,065 Equity Commonwealth 337,983 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 7,789 GEO Group (The), Inc. $ 138,722 16,365 Hospitality Properties Trust 404,379 5,841 Paramount Group, Inc. 80,781 14,845 Park Hotels & Resorts, Inc. 392,056 23,063 RLJ Lodging Trust 398,529 39,578 Senior Housing Properties Trust 324,540 1,018 SL Green Realty Corp. 82,539 29,842 Sunstone Hotel Investors, Inc. 394,213 --------------- 3,306,461 --------------- FOOD & STAPLES RETAILING -- 0.7% 12,995 Sprouts Farmers Market, Inc. (a) 220,005 4,576 US Foods Holding Corp. (a) 161,853 --------------- 381,858 --------------- FOOD PRODUCTS -- 1.2% 4,406 Bunge Ltd. 257,442 4,114 Darling Ingredients, Inc. (a) 83,638 3,968 Ingredion, Inc. 306,687 --------------- 647,767 --------------- GAS UTILITIES -- 0.6% 1,826 Southwest Gas Holdings, Inc. 162,350 1,950 Spire, Inc. 160,699 --------------- 323,049 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.1% 1,508 AMN Healthcare Services, Inc. (a) 80,497 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.2% 6,808 Aramark 246,382 6,075 Boyd Gaming Corp. 160,927 479 Cracker Barrel Old Country Store, Inc. 83,207 7,715 Hilton Grand Vacations, Inc. (a) 252,280 2,150 Hyatt Hotels Corp., Class A 166,302 16,994 Penn National Gaming, Inc. (a) 331,723 --------------- 1,240,821 --------------- HOUSEHOLD DURABLES -- 1.6% 2,133 Leggett & Platt, Inc. 85,256 12,939 PulteGroup, Inc. 407,708 11,172 Toll Brothers, Inc. 401,857 --------------- 894,821 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 583 Carlisle Cos., Inc. 84,074 --------------- INSURANCE -- 6.0% 9,038 American Equity Investment Life Holding Co. 233,180 799 American Financial Group, Inc. 81,802 3,513 American National Insurance Co. 425,143 7,778 Assured Guaranty Ltd. 339,821 9,501 Athene Holding Ltd., Class A (a) 388,211 2,230 Brighthouse Financial, Inc. (a) 87,349 1,409 Enstar Group Ltd. (a) 249,604 6,095 First American Financial Corp. 352,413 Page 82 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 14,268 National General Holdings Corp. $ 352,848 14,625 Old Republic International Corp. 333,596 4,878 Unum Group 155,852 320 White Mountains Insurance Group Ltd. 344,320 --------------- 3,344,139 --------------- IT SERVICES -- 0.6% 400 CACI International, Inc., Class A (a) 86,060 1,025 Leidos Holdings, Inc. 84,153 1,128 MAXIMUS, Inc. 82,919 3,495 Perspecta, Inc. 81,538 --------------- 334,670 --------------- LEISURE PRODUCTS -- 0.5% 1,783 Brunswick Corp. 87,652 1,794 Polaris Industries, Inc. 169,838 --------------- 257,490 --------------- MACHINERY -- 4.2% 3,165 AGCO Corp. 243,705 4,357 Barnes Group, Inc. 226,738 2,919 Colfax Corp. (a) 80,798 2,942 Crane Co. 246,246 4,136 Hillenbrand, Inc. 139,342 1,250 ITT, Inc. 78,025 11,061 Kennametal, Inc. 382,489 3,920 Oshkosh Corp. 327,595 6,375 Timken (The) Co. 291,401 15,774 Trinity Industries, Inc. 309,170 --------------- 2,325,509 --------------- MEDIA -- 1.4% 8,521 DISH Network Corp., Class A (a) 288,521 3,622 Interpublic Group of Cos. (The), Inc. 83,016 14,280 Liberty Latin America Ltd., Class C (a) 234,192 12,131 News Corp., Class A 159,644 --------------- 765,373 --------------- METALS & MINING -- 3.8% 13,982 Alcoa Corp. (a) 314,455 9,741 Allegheny Technologies, Inc. (a) 212,062 30,675 Cleveland-Cliffs, Inc. (b) 326,995 4,324 Reliance Steel & Aluminum Co. 432,184 13,547 Steel Dynamics, Inc. 426,866 26,723 United States Steel Corp. 401,647 --------------- 2,114,209 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.2% 8,673 Chimera Investment Corp. 167,215 45,586 MFA Financial, Inc. 327,308 10,634 New Residential Investment Corp. 166,847 --------------- 661,370 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MULTILINE RETAIL -- 1.2% 19,065 Macy's, Inc. $ 433,347 7,705 Nordstrom, Inc. 255,113 --------------- 688,460 --------------- MULTI-UTILITIES -- 1.0% 7,339 Avista Corp. 337,814 3,402 NorthWestern Corp. 237,868 --------------- 575,682 --------------- OIL, GAS & CONSUMABLE FUELS -- 6.0% 73,984 Antero Resources Corp. (a) 341,066 209,812 Chesapeake Energy Corp. (a) (b) 379,760 6,896 Cimarex Energy Co. 349,420 10,097 Delek US Holdings, Inc. 434,979 20,703 EQT Corp. 312,822 16,598 Murphy Oil Corp. 399,016 13,071 PBF Energy, Inc., Class A 365,073 16,976 Peabody Energy Corp. 357,515 21,902 Whiting Petroleum Corp. (a) 387,227 --------------- 3,326,878 --------------- PAPER & FOREST PRODUCTS -- 1.4% 9,188 Domtar Corp. 390,031 15,604 Louisiana-Pacific Corp. 407,888 --------------- 797,919 --------------- PERSONAL PRODUCTS -- 0.1% 1,659 Nu Skin Enterprises, Inc., Class A 66,327 --------------- PHARMACEUTICALS -- 0.2% 1,718 Perrigo Co. PLC 92,789 --------------- PROFESSIONAL SERVICES -- 0.9% 2,701 ASGN, Inc. (a) 170,298 2,541 ManpowerGroup, Inc. 232,121 1,435 Robert Half International, Inc. 86,688 --------------- 489,107 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 1,745 Jones Lang LaSalle, Inc. 254,229 --------------- ROAD & RAIL -- 2.1% 648 AMERCO 250,776 818 Genesee & Wyoming, Inc., Class A (a) 89,824 12,458 Knight-Swift Transportation Holdings, Inc. 446,495 7,018 Ryder System, Inc. 373,779 --------------- 1,160,874 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.0% 3,152 MKS Instruments, Inc. 268,330 2,457 Qorvo, Inc. (a) 180,073 1,708 Teradyne, Inc. 95,187 --------------- 543,590 --------------- SPECIALTY RETAIL -- 5.5% 2,665 Aaron's, Inc. 168,028 See Notes to Financial Statements Page 83 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 24,209 American Eagle Outfitters, Inc. $ 428,257 7,804 AutoNation, Inc. (a) 379,899 11,814 Dick's Sporting Goods, Inc. 439,126 9,760 Foot Locker, Inc. 400,746 9,405 L Brands, Inc. 244,060 6,920 Penske Automotive Group, Inc. 318,113 17,984 Urban Outfitters, Inc. (a) 428,199 3,777 Williams-Sonoma, Inc. 251,850 --------------- 3,058,278 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 6,933 Xerox Corp. 222,549 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.2% 1,678 Carter's, Inc. 156,088 9,504 Hanesbrands, Inc. 152,919 4,323 PVH Corp. 384,401 1,441 Ralph Lauren Corp. 150,196 7,795 Skechers U.S.A., Inc., Class A (a) 295,742 2,410 Steven Madden Ltd. 83,169 --------------- 1,222,515 --------------- THRIFTS & MORTGAGE FINANCE -- 2.6% 6,965 Essent Group Ltd. (a) 321,504 31,137 MGIC Investment Corp. (a) 400,111 24,597 New York Community Bancorp, Inc. 283,603 17,905 Radian Group, Inc. 408,234 --------------- 1,413,452 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.9% 9,897 Air Lease Corp. 413,596 4,128 GATX Corp. 317,278 2,031 HD Supply Holdings, Inc. (a) 82,276 3,306 MSC Industrial Direct Co., Inc., Class A 234,891 --------------- 1,048,041 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.6% 8,074 Macquarie Infrastructure Corp. 334,587 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 13,458 Telephone & Data Systems, Inc. 435,232 --------------- TOTAL COMMON STOCKS -- 99.7% 55,324,561 (Cost $56,577,925) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.2% 92,395 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) $ 92,395 (Cost $92,395) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.4% $ 756,376 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $756,429. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $771,770. (d) 756,376 (Cost $756,376) --------------- TOTAL INVESTMENTS -- 101.3% 56,173,332 (Cost $57,426,696) (e) NET OTHER ASSETS AND LIABILITIES -- (1.3)% (700,261) --------------- NET ASSETS -- 100.0% $ 55,473,071 =============== (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 $784,769 and the total value of the collateral held by the Fund is $848,771. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $57,741,855. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,982,833 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,551,356. The net unrealized depreciation was $1,568,523. Page 84 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 55,324,561 $ -- $ -- Money Market Funds 92,395 -- -- Repurchase Agreements -- 756,376 -- -------------------------------------------- Total Investments $ 55,416,956 $ 756,376 $ -- ============================================ * 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) $ 784,769 Non-cash Collateral(2) (784,769) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 756,376 Non-cash Collateral(4) (756,376) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 85 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.6% 39,997 Aerojet Rocketdyne Holdings, Inc. (a) $ 1,708,672 20,914 Axon Enterprise, Inc. (a) 1,468,581 31,816 Mercury Systems, Inc. (a) 2,593,640 8,170 Teledyne Technologies, Inc. (a) 2,379,758 --------------- 8,150,651 --------------- AIRLINES -- 0.4% 28,139 Spirit Airlines, Inc. (a) 1,193,938 --------------- AUTO COMPONENTS -- 0.2% 10,273 Dorman Products, Inc. (a) 738,423 --------------- BANKS -- 1.6% 7,501 Commerce Bancshares, Inc. 456,286 13,597 Community Bank System, Inc. 897,266 29,079 First Financial Bankshares, Inc. 952,337 22,079 Glacier Bancorp., Inc. 925,331 84,147 Sterling Bancorp 1,838,612 --------------- 5,069,832 --------------- BIOTECHNOLOGY -- 2.2% 66,991 ACADIA Pharmaceuticals, Inc. (a) 1,646,639 23,726 Blueprint Medicines Corp. (a) 2,376,159 9,268 Emergent BioSolutions, Inc. (a) 409,089 20,945 Exelixis, Inc. (a) 445,500 7,697 Genomic Health, Inc. (a) 561,650 13,932 Ionis Pharmaceuticals, Inc. (a) 917,562 5,303 Neurocrine Biosciences, Inc. (a) 511,156 --------------- 6,867,755 --------------- BUILDING PRODUCTS -- 2.5% 20,246 Allegion PLC 2,096,271 18,424 Armstrong World Industries, Inc. 1,800,209 26,945 Simpson Manufacturing Co., Inc. 1,664,123 24,975 Trex Co., Inc. (a) 2,041,706 --------------- 7,602,309 --------------- CAPITAL MARKETS -- 2.9% 15,163 Evercore, Inc., Class A 1,309,628 6,249 FactSet Research Systems, Inc. 1,732,848 27,438 LPL Financial Holdings, Inc. 2,301,225 5,572 MarketAxess Holdings, Inc. 1,877,987 12,379 Morningstar, Inc. 1,881,360 --------------- 9,103,048 --------------- CHEMICALS -- 3.1% 60,147 Axalta Coating Systems Ltd. (a) 1,782,156 8,954 Balchem Corp. 919,039 17,026 Ingevity Corp. (a) 1,677,742 1,114 NewMarket Corp. 469,674 6,621 Quaker Chemical Corp. 1,240,709 21,975 RPM International, Inc. 1,490,564 45,844 Valvoline, Inc. 925,590 17,646 WR Grace & Co. 1,196,575 --------------- 9,702,049 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 1.9% 31,482 Clean Harbors, Inc. (a) $ 2,449,614 89,530 KAR Auction Services, Inc. 2,394,032 8,496 MSA Safety, Inc. 895,054 --------------- 5,738,700 --------------- COMMUNICATIONS EQUIPMENT -- 1.1% 54,418 Ciena Corp. (a) 2,460,782 8,382 Lumentum Holdings, Inc. (a) 474,673 3,407 Ubiquiti Networks, Inc. 438,583 --------------- 3,374,038 --------------- CONSUMER FINANCE -- 1.2% 3,702 Credit Acceptance Corp. (a) 1,769,667 17,904 FirstCash, Inc. 1,801,859 --------------- 3,571,526 --------------- CONTAINERS & PACKAGING -- 0.7% 17,999 AptarGroup, Inc. 2,178,239 --------------- DISTRIBUTORS -- 0.7% 11,718 Pool Corp. 2,219,038 --------------- DIVERSIFIED CONSUMER SERVICES -- 2.5% 14,838 Bright Horizons Family Solutions, Inc. (a) 2,256,414 34,802 Chegg, Inc. (a) 1,563,306 3,827 Grand Canyon Education, Inc. (a) 416,263 61,110 H&R Block, Inc. 1,692,136 38,278 Service Corp. International 1,766,147 --------------- 7,694,266 --------------- ELECTRIC UTILITIES -- 0.3% 4,459 IDACORP, Inc. 455,086 10,518 OGE Energy Corp. 451,748 --------------- 906,834 --------------- ELECTRICAL EQUIPMENT -- 0.9% 32,245 Generac Holdings, Inc. (a) 2,331,313 38,928 GrafTech International Ltd. 445,726 --------------- 2,777,039 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7% 9,329 Cognex Corp. 410,569 6,929 Dolby Laboratories, Inc., Class A 471,865 16,547 FLIR Systems, Inc. 821,724 2,530 Littelfuse, Inc. 427,469 --------------- 2,131,627 --------------- ENERGY EQUIPMENT & SERVICES -- 0.1% 38,891 Patterson-UTI Energy, Inc. 452,302 --------------- ENTERTAINMENT -- 0.6% 292,106 Zynga, Inc., Class A (a) 1,863,636 --------------- Page 86 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.1% 9,698 American Campus Communities, Inc. $ 453,382 36,829 American Homes 4 Rent, Class A 891,630 41,422 Americold Realty Trust 1,388,880 8,931 Apartment Investment & Management Co., Class A 442,442 7,771 CoreSite Realty Corp. 814,479 13,388 CubeSmart 454,523 11,234 Douglas Emmett, Inc. 458,572 7,719 EastGroup Properties, Inc. 929,985 12,002 EPR Properties 893,309 12,186 First Industrial Realty Trust, Inc. 465,383 22,969 Gaming and Leisure Properties, Inc. 866,161 24,223 Kimco Realty Corp. 465,324 11,091 Lamar Advertising Co., Class A 897,484 8,945 Liberty Property Trust 467,824 25,669 Physicians Realty Trust 441,763 7,969 PS Business Parks, Inc. 1,394,575 33,266 Rexford Industrial Realty, Inc. 1,377,212 11,041 Ryman Hospitality Properties, Inc. 828,075 45,471 Sabra Health Care REIT, Inc. 938,521 10,494 Spirit Realty Capital, Inc. 462,995 14,802 STAG Industrial, Inc. 439,915 13,485 STORE Capital Corp. 461,322 149,054 VEREIT, Inc. 1,359,372 60,932 VICI Properties, Inc. 1,300,289 --------------- 18,893,417 --------------- FOOD & STAPLES RETAILING -- 0.3% 33,913 BJ's Wholesale Club Holdings, Inc. (a) 798,990 --------------- FOOD PRODUCTS -- 0.5% 2,782 J&J Snack Foods Corp. 517,007 8,613 Post Holdings, Inc. (a) 923,486 --------------- 1,440,493 --------------- GAS UTILITIES -- 0.7% 8,488 National Fuel Gas Co. 405,217 17,988 New Jersey Resources Corp. 897,062 9,917 ONE Gas, Inc. 904,232 --------------- 2,206,511 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.7% 11,100 Cantel Medical Corp. 1,024,308 14,881 Haemonetics Corp. (a) 1,816,672 8,556 Hill-Rom Holdings, Inc. 912,412 1,775 ICU Medical, Inc. (a) 451,631 18,750 Insulet Corp. (a) 2,305,125 16,001 Integer Holdings Corp. (a) 1,400,567 16,033 Integra LifeSciences Holdings Corp. (a) 1,016,332 9,025 Masimo Corp. (a) 1,424,596 15,032 Merit Medical Systems, Inc. (a) 593,163 35,398 Novocure Ltd. (a) 2,945,822 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 11,191 Penumbra, Inc. (a) $ 1,875,612 14,310 West Pharmaceutical Services, Inc. 1,964,334 --------------- 17,730,574 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.7% 11,061 Amedisys, Inc. (a) 1,525,201 4,961 Chemed Corp. 2,011,140 21,194 Encompass Health Corp. 1,353,025 14,976 LHC Group, Inc. (a) 1,895,662 12,510 Molina Healthcare, Inc. (a) 1,661,078 --------------- 8,446,106 --------------- HEALTH CARE TECHNOLOGY -- 0.6% 26,964 Teladoc Health, Inc. (a) (b) 1,840,023 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.5% 15,435 Choice Hotels International, Inc. 1,324,477 15,561 Churchill Downs, Inc. 1,861,874 22,478 Dunkin' Brands Group, Inc. 1,801,836 48,582 Eldorado Resorts, Inc. (a) 2,192,020 30,897 Planet Fitness, Inc., Class A (a) 2,430,358 2,005 Vail Resorts, Inc. 494,273 114,317 Wendy's (The) Co. 2,079,426 32,127 Wyndham Hotels & Resorts, Inc. 1,816,782 --------------- 14,001,046 --------------- HOUSEHOLD DURABLES -- 1.3% 10,282 Helen of Troy Ltd. (a) 1,524,615 24,711 Roku, Inc. (a) 2,553,388 --------------- 4,078,003 --------------- INSURANCE -- 2.6% 53,452 Brown & Brown, Inc. 1,920,530 8,801 Erie Indemnity Co., Class A 1,960,599 25,939 Kemper Corp. 2,283,151 14,927 Primerica, Inc. 1,831,394 --------------- 7,995,674 --------------- INTERACTIVE MEDIA & SERVICES -- 2.4% 12,396 Cargurus, Inc. (a) 461,999 33,273 Match Group, Inc. 2,505,124 125,215 Snap, Inc., Class A (a) 2,103,612 13,094 Yelp, Inc. (a) 458,945 38,598 Zillow Group, Inc., Class C (a) 1,928,356 --------------- 7,458,036 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.4% 21,885 Etsy, Inc. (a) 1,466,733 11,478 GrubHub, Inc. (a) 776,257 15,329 Wayfair, Inc., Class A (a) 2,010,551 --------------- 4,253,541 --------------- IT SERVICES -- 5.7% 22,328 Black Knight, Inc. (a) 1,413,809 33,805 Booz Allen Hamilton Holding Corp. 2,324,094 See Notes to Financial Statements Page 87 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 12,929 EPAM Systems, Inc. (a) $ 2,505,511 13,304 Euronet Worldwide, Inc. (a) 2,074,227 9,231 LiveRamp Holdings, Inc. (a) 486,381 14,718 MongoDB, Inc. (a) 2,107,912 18,121 Okta, Inc. (a) 2,370,770 40,329 Sabre Corp. 948,135 67,521 Western Union (The) Co. 1,417,941 8,606 WEX, Inc. (a) 1,876,710 --------------- 17,525,490 --------------- LIFE SCIENCES TOOLS & SERVICES -- 3.1% 4,294 Bio-Rad Laboratories, Inc., Class A (a) 1,352,181 6,439 Bio-Techne Corp. 1,353,156 44,810 Bruker Corp. 2,144,158 12,620 Charles River Laboratories International, Inc. (a) 1,697,895 9,031 PRA Health Sciences, Inc. (a) 902,287 43,809 Syneos Health, Inc. (a) 2,238,202 --------------- 9,687,879 --------------- MACHINERY -- 4.5% 38,630 Allison Transmission Holdings, Inc. 1,775,048 26,407 Donaldson Co., Inc. 1,319,030 17,841 Graco, Inc. 857,795 10,877 Lincoln Electric Holdings, Inc. 919,324 64,974 Navistar International Corp. (a) 2,029,788 6,338 Nordson Corp. 897,841 7,717 Proto Labs, Inc. (a) 803,340 10,736 RBC Bearings, Inc. (a) 1,746,640 20,075 Toro (The) Co. 1,461,862 19,781 Woodward, Inc. 2,216,263 --------------- 14,026,931 --------------- MEDIA -- 1.9% 8,217 AMC Networks, Inc., Class A (a) 438,623 1,909 Cable One, Inc. 2,322,871 41,172 New York Times (The) Co., Class A 1,469,017 17,727 Nexstar Media Group, Inc., Class A 1,804,077 --------------- 6,034,588 --------------- METALS & MINING -- 0.3% 8,738 Royal Gold, Inc. 1,000,064 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.7% 37,746 Blackstone Mortgage Trust, Inc., Class A 1,340,738 39,405 Starwood Property Trust, Inc. 915,378 --------------- 2,256,116 --------------- MULTILINE RETAIL -- 0.6% 20,558 Ollie's Bargain Outlet Holdings, Inc. (a) 1,741,057 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MULTI-UTILITIES -- 0.6% 17,179 Black Hills Corp. $ 1,359,718 17,349 MDU Resources Group, Inc. 463,912 --------------- 1,823,630 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.5% 58,977 Centennial Resource Development, Inc., Class A (a) 350,913 44,776 CVR Energy, Inc. 2,376,262 70,644 Parsley Energy, Inc., Class A (a) 1,171,984 64,133 Range Resources Corp. 364,917 38,891 WPX Energy, Inc. (a) 406,022 --------------- 4,670,098 --------------- PERSONAL PRODUCTS -- 0.1% 5,634 USANA Health Sciences, Inc. (a) 383,394 --------------- PHARMACEUTICALS -- 1.0% 55,819 Horizon Therapeutics PLC (a) 1,389,335 6,279 Jazz Pharmaceuticals PLC (a) 875,167 25,162 Nektar Therapeutics (a) 716,110 --------------- 2,980,612 --------------- PROFESSIONAL SERVICES -- 2.7% 15,294 Exponent, Inc. 1,052,227 26,698 FTI Consulting, Inc. (a) 2,788,606 18,326 Insperity, Inc. 1,948,970 33,012 TriNet Group, Inc. (a) 2,427,703 --------------- 8,217,506 --------------- ROAD & RAIL -- 0.4% 12,433 Landstar System, Inc. 1,383,420 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.2% 12,202 Cabot Microelectronics Corp. 1,484,373 23,906 Cree, Inc. (a) 1,486,475 47,981 Entegris, Inc. 2,087,653 3,298 Monolithic Power Systems, Inc. 488,632 66,453 ON Semiconductor Corp. (a) 1,429,404 12,989 Silicon Laboratories, Inc. (a) 1,457,496 7,143 Universal Display Corp. 1,507,744 --------------- 9,941,777 --------------- SOFTWARE -- 14.3% 8,368 Alarm.com Holdings, Inc. (a) 417,647 20,511 Alteryx, Inc., Class A (a) 2,410,863 14,406 Aspen Technology, Inc. (a) 1,899,719 31,001 Avalara, Inc. (a) 2,525,962 10,724 Blackbaud, Inc. 975,884 33,465 Blackline, Inc. (a) 1,492,539 17,834 Ceridian HCM Holding, Inc. (a) 950,731 15,454 Cornerstone OnDemand, Inc. (a) 914,877 17,679 Coupa Software, Inc. (a) 2,399,217 9,007 DocuSign, Inc. (a) 465,842 53,611 Dropbox, Inc., Class A (a) 1,263,075 7,129 Fair Isaac Corp. (a) 2,476,757 26,184 Five9, Inc. (a) 1,292,704 13,248 Guidewire Software, Inc. (a) 1,352,356 10,501 HubSpot, Inc. (a) 1,876,739 Page 88 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 15,110 j2 Global, Inc. $ 1,346,150 25,827 Manhattan Associates, Inc. (a) 2,195,037 9,871 Paycom Software, Inc. (a) 2,376,443 19,083 Paylocity Holding Corp. (a) 1,948,183 11,168 Proofpoint, Inc. (a) 1,409,402 10,280 Qualys, Inc. (a) 889,837 15,211 RealPage, Inc. (a) 950,383 15,581 RingCentral, Inc., Class A (a) 2,212,190 9,827 Trade Desk (The), Inc., Class A (a) 2,587,547 2,075 Tyler Technologies, Inc. (a) 484,201 16,647 Verint Systems, Inc. (a) 963,362 20,111 Zendesk, Inc. (a) 1,680,475 29,207 Zscaler, Inc. (a) 2,461,274 --------------- 44,219,396 --------------- SPECIALTY RETAIL -- 1.5% 11,189 Five Below, Inc. (a) 1,314,260 42,734 Floor & Decor Holdings, Inc., Class A (a) 1,673,036 11,615 RH (a) 1,619,131 --------------- 4,606,427 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 17,626 Dell Technologies, Inc., Class C (a) 1,017,725 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.1% 13,409 Columbia Sportswear Co. 1,421,086 12,721 Deckers Outdoor Corp. (a) 1,988,038 --------------- 3,409,124 --------------- THRIFTS & MORTGAGE FINANCE -- 0.6% 5,328 LendingTree, Inc. (a) 1,718,493 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.4% 40,993 Triton International Ltd. 1,356,048 --------------- WATER UTILITIES -- 0.3% 21,643 Aqua America, Inc. 907,924 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.2% 10,019 United States Cellular Corp. (a) 479,810 --------------- TOTAL COMMON STOCKS -- 100.0% 309,865,173 (Cost $272,691,597) --------------- MONEY MARKET FUNDS -- 0.1% 157,512 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 157,512 (Cost $157,512) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.4% $ 1,289,444 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $1,289,534. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $1,315,687. (d) $ 1,289,444 (Cost $1,289,444) --------------- TOTAL INVESTMENTS -- 100.5% 311,312,129 (Cost $274,138,553) (e) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (1,486,452) --------------- NET ASSETS -- 100.0% $ 309,825,677 =============== (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 $1,380,018 and the total value of the collateral held by the Fund is $1,446,956. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $275,837,115. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $40,543,463 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,068,449. The net unrealized appreciation was $35,475,014. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 309,865,173 $ -- $ -- Money Market Funds 157,512 -- -- Repurchase Agreements -- 1,289,444 -- -------------------------------------------- Total Investments $ 310,022,685 $ 1,289,444 $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 89 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 --------------------------------- 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) $ 1,380,018 Non-cash Collateral(2) (1,380,018) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 1,289,444 Non-cash Collateral(4) (1,289,444) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 90 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AIR FREIGHT & LOGISTICS -- 1.2% 8,676 Atlas Air Worldwide Holdings, Inc. (a) $ 396,059 7,380 Hub Group, Inc., Class A (a) 334,683 --------------- 730,742 --------------- AIRLINES -- 1.0% 1,589 Allegiant Travel Co. 238,111 14,119 Hawaiian Holdings, Inc. 366,953 --------------- 605,064 --------------- AUTO COMPONENTS -- 3.4% 24,282 American Axle & Manufacturing Holdings, Inc. (a) 293,084 9,820 Cooper Tire & Rubber Co. 264,354 8,452 Cooper-Standard Holdings, Inc. (a) 418,205 15,538 Dana, Inc. 259,640 2,533 LCI Industries 232,099 1,676 Standard Motor Products, Inc. 77,113 27,938 Tenneco, Inc., Class A 252,559 3,892 Visteon Corp. (a) 256,405 --------------- 2,053,459 --------------- AUTOMOBILES -- 0.5% 8,016 Winnebago Industries, Inc. 323,045 --------------- BANKS -- 7.4% 3,339 1st Source Corp. 156,766 3,953 Ameris Bancorp 157,211 2,151 Atlantic Union Bankshares Corp. 81,803 4,935 Berkshire Hills Bancorp, Inc. 161,868 12,835 Boston Private Financial Holdings, Inc. 148,116 4,941 Brookline Bancorp, Inc. 73,275 7,448 Cadence BanCorp 127,659 1,404 Eagle Bancorp, Inc. 56,595 2,076 FB Financial Corp. 78,909 5,866 First Busey Corp. 158,558 11,501 First Commonwealth Financial Corp. 158,369 1,919 First Interstate BancSystem, Inc., Class A 76,818 7,568 First Midwest Bancorp, Inc. 163,696 6,383 Great Western Bancorp, Inc. 215,873 3,463 Heartland Financial USA, Inc. 166,536 7,283 Hilltop Holdings, Inc. 165,178 16,545 Hope Bancorp, Inc. 244,039 1,383 Independent Bank Group, Inc. 78,568 6,046 International Bancshares Corp. 227,511 2,026 NBT Bancorp, Inc. 78,406 6,517 OFG Bancorp 147,480 7,383 Pacific Premier Bancorp, Inc. 233,524 4,310 Renasant Corp. 154,686 4,133 S&T Bancorp, Inc. 157,343 9,802 Simmons First National Corp., Class A 252,401 2,103 South State Corp. 168,387 5,679 TowneBank 159,807 2,011 TriCo Bancshares 75,915 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 2,286 Trustmark Corp. $ 81,244 5,424 United Community Banks, Inc. 155,669 4,019 WesBanco, Inc. 147,015 --------------- 4,509,225 --------------- BEVERAGES -- 0.1% 1,146 MGP Ingredients, Inc. 57,288 --------------- BUILDING PRODUCTS -- 2.7% 2,694 American Woodmark Corp. (a) 228,586 1,749 Apogee Enterprises, Inc. 70,939 18,377 Builders FirstSource, Inc. (a) 315,717 39,106 Cornerstone Building Brands, Inc. (a) 227,597 1,883 Gibraltar Industries, Inc. (a) 78,032 7,297 JELD-WEN Holding, Inc. (a) 159,877 6,299 Patrick Industries, Inc. (a) 288,935 5,990 Universal Forest Products, Inc. 242,176 --------------- 1,611,859 --------------- CAPITAL MARKETS -- 1.6% 2,762 Artisan Partners Asset Management, Inc., Class A 81,728 43,593 BGC Partners, Inc., Class A 240,197 2,174 Moelis & Co., Class A 79,221 2,086 Piper Jaffray Cos. 161,248 23,233 Waddell & Reed Financial, Inc., Class A 406,577 --------------- 968,971 --------------- CHEMICALS -- 3.4% 15,853 AdvanSix, Inc. (a) 406,471 4,914 H.B. Fuller Co. 234,938 833 Innospec, Inc. 77,786 20,224 Kronos Worldwide, Inc. 271,204 7,238 Minerals Technologies, Inc. 385,423 4,935 PolyOne Corp. 161,720 2,481 Stepan Co. 245,991 7,318 Trinseo S.A. 284,012 --------------- 2,067,545 --------------- COMMERCIAL SERVICES & SUPPLIES -- 4.0% 1,900 ABM Industries, Inc. 79,971 49,211 ACCO Brands Corp. 481,284 7,620 Deluxe Corp. 340,004 3,466 Herman Miller, Inc. 157,148 6,444 HNI Corp. 220,643 4,957 Interface, Inc. 68,704 6,741 Knoll, Inc. 163,469 8,890 Matthews International Corp., Class A 303,593 36,195 Pitney Bowes, Inc. 146,590 13,333 Steelcase, Inc., Class A 225,461 1,209 UniFirst Corp. 238,016 --------------- 2,424,883 --------------- COMMUNICATIONS EQUIPMENT -- 0.4% 5,144 EchoStar Corp., Class A (a) 234,155 --------------- See Notes to Financial Statements Page 91 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING -- 0.8% 2,631 Dycom Industries, Inc. (a) $ 145,126 14,803 Primoris Services Corp. 310,271 --------------- 455,397 --------------- CONSTRUCTION MATERIALS -- 0.1% 3,948 Summit Materials, Inc., Class A (a) 72,801 --------------- CONSUMER FINANCE -- 1.2% 9,148 Encore Capital Group, Inc. (a) 329,145 3,850 Nelnet, Inc., Class A 240,856 5,505 PRA Group, Inc. (a) 171,371 --------------- 741,372 --------------- CONTAINERS & PACKAGING -- 0.6% 9,519 Greif, Inc., Class A 332,784 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 14,512 Laureate Education, Inc., Class A (a) 237,852 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.1% 9,047 FGL Holdings 73,733 --------------- ELECTRICAL EQUIPMENT -- 0.7% 3,366 AZZ, Inc. 156,788 5,289 Encore Wire Corp. 290,472 --------------- 447,260 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.3% 5,189 Anixter International, Inc. (a) 333,964 5,201 Belden, Inc. 236,438 12,334 Benchmark Electronics, Inc. 333,758 3,307 ePlus, Inc. (a) 251,001 3,917 Insight Enterprises, Inc. (a) 215,513 20,590 KEMET Corp. 414,271 12,452 Knowles Corp. (a) 253,398 13,556 Methode Electronics, Inc. 406,002 5,308 Plexus Corp. (a) 316,941 440 Rogers Corp. (a) 69,811 7,529 Sanmina Corp. (a) 239,046 9,516 ScanSource, Inc. (a) 323,068 37,970 TTM Technologies, Inc. (a) 397,166 --------------- 3,790,377 --------------- ENERGY EQUIPMENT & SERVICES -- 3.0% 21,509 Archrock, Inc. 236,169 8,568 Diamond Offshore Drilling, Inc. (a) (b) 77,455 35,902 Helix Energy Solutions Group, Inc. (a) 314,502 56,292 Mammoth Energy Services, Inc. 364,772 106,839 Nabors Industries Ltd. 316,243 12,459 Oil States International, Inc. (a) 185,888 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 53,716 RPC, Inc. $ 331,965 --------------- 1,826,994 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.5% 12,082 Chatham Lodging Trust 215,785 10,982 CoreCivic, Inc. 186,365 22,049 DiamondRock Hospitality Co. 222,033 7,896 Global Net Lease, Inc. 154,130 10,951 Industrial Logistics Properties Trust 234,132 10,239 Kite Realty Group Trust 162,902 16,629 Mack-Cali Realty Corp. 395,438 11,794 Office Properties Income Trust 332,237 12,792 RPT Realty 156,702 5,740 SITE Centers Corp. 81,795 33,766 Summit Hotel Properties, Inc. 375,140 9,557 Tanger Factory Outlet Centers, Inc. (b) 151,765 101,385 Washington Prime Group, Inc. (b) 368,028 14,860 Xenia Hotels & Resorts, Inc. 318,450 --------------- 3,354,902 --------------- FOOD & STAPLES RETAILING -- 1.4% 11,374 Andersons (The), Inc. 305,392 3,030 PriceSmart, Inc. 184,830 10,637 Weis Markets, Inc. 387,718 --------------- 877,940 --------------- FOOD PRODUCTS -- 0.6% 14,896 B&G Foods, Inc. (b) 272,299 2,820 Fresh Del Monte Produce, Inc. 85,530 --------------- 357,829 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.6% 1,024 Magellan Health, Inc. (a) 72,028 3,818 National HealthCare Corp. 334,457 3,319 Patterson Cos., Inc. 65,716 9,762 Select Medical Holdings Corp. (a) 163,416 18,846 Tivity Health, Inc. (a) 328,863 --------------- 964,480 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.4% 3,543 Cheesecake Factory (The), Inc. 152,632 3,538 Red Rock Resorts, Inc., Class A 73,732 --------------- 226,364 --------------- HOUSEHOLD DURABLES -- 4.9% 482 Cavco Industries, Inc. (a) 85,483 1,283 Installed Building Products, Inc. (a) 68,358 15,052 KB Home 395,416 5,053 La-Z-Boy, Inc. 166,698 3,192 LGI Homes, Inc. (a) 224,366 11,815 M.D.C. Holdings, Inc. 426,994 7,544 Meritage Homes Corp. (a) 473,839 Page 92 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 14,782 Taylor Morrison Home Corp. (a) $ 332,891 918 TopBuild Corp. (a) 74,477 32,355 TRI Pointe Group, Inc. (a) 442,940 16,281 Tupperware Brands Corp. 249,262 --------------- 2,940,724 --------------- HOUSEHOLD PRODUCTS -- 0.6% 12,574 Central Garden & Pet Co., Class A (a) 346,414 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 4,508 Clearway Energy, Inc., Class C 81,234 --------------- INSURANCE -- 1.8% 1,192 AMERISAFE, Inc. 77,552 1,026 Argo Group International Holdings Ltd. 70,219 7,330 Employers Holdings, Inc. 321,787 1,191 FBL Financial Group, Inc., Class A 74,676 1,206 National Western Life Group, Inc., Class A 324,414 2,105 ProAssurance Corp. 82,284 1,628 Safety Insurance Group, Inc. 160,619 --------------- 1,111,551 --------------- INTERACTIVE MEDIA & SERVICES -- 0.4% 11,561 Cars.com, Inc. (a) 219,659 --------------- IT SERVICES -- 1.1% 1,556 CSG Systems International, Inc. 79,730 3,047 KBR, Inc. 80,380 1,154 ManTech International Corp., Class A 79,372 4,738 NIC, Inc. 85,947 5,559 Presidio, Inc. 77,826 8,303 Sykes Enterprises, Inc. (a) 234,892 --------------- 638,147 --------------- LEISURE PRODUCTS -- 0.8% 2,894 Acushnet Holdings Corp. 73,971 9,028 Callaway Golf Co. 165,574 4,185 Sturm Ruger & Co., Inc. 236,452 --------------- 475,997 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 3,309 Cambrex Corp. (a) 144,934 --------------- MACHINERY -- 2.8% 2,281 Alamo Group, Inc. 223,287 4,318 Altra Industrial Motion Corp. 124,056 1,190 EnPro Industries, Inc. 84,538 12,740 Greenbrier (The) Cos., Inc. 368,313 627 John Bean Technologies Corp. 74,400 12,777 Meritor, Inc. (a) 315,975 11,226 Milacron Holdings Corp. (a) 189,046 5,293 Mueller Industries, Inc. 159,796 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 1,242 Tennant Co. $ 94,529 816 Watts Water Technologies, Inc., Class A 75,749 --------------- 1,709,689 --------------- MARINE -- 0.4% 5,868 Matson, Inc. 240,060 --------------- MEDIA -- 2.7% 10,132 EW Scripps (The) Co., Class A 155,323 37,970 Gannett Co., Inc. 389,192 4,971 John Wiley & Sons, Inc., Class A 226,230 9,321 Scholastic Corp. 318,499 4,251 Sinclair Broadcast Group, Inc., Class A 213,613 20,451 TEGNA, Inc. 310,651 --------------- 1,613,508 --------------- METALS & MINING -- 3.4% 96,199 AK Steel Holding Corp. (a) 271,281 6,458 Carpenter Technology Corp. 290,674 17,511 Coeur Mining, Inc. (a) 80,551 17,358 Commercial Metals Co. 303,939 1,383 Compass Minerals International, Inc. 77,240 126,661 Hecla Mining Co. 234,323 2,336 Kaiser Aluminum Corp. 224,887 14,827 Warrior Met Coal, Inc. 366,820 5,663 Worthington Industries, Inc. 227,766 --------------- 2,077,481 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.5% 16,848 Apollo Commercial Real Estate Finance, Inc. 317,079 --------------- MULTILINE RETAIL -- 1.3% 13,537 Big Lots, Inc. 346,547 6,219 Dillard's, Inc., Class A (b) 452,619 --------------- 799,166 --------------- OIL, GAS & CONSUMABLE FUELS -- 7.3% 4,111 Arch Coal, Inc., Class A 366,537 58,770 Callon Petroleum Co. (a) 289,148 38,652 Carrizo Oil & Gas, Inc. (a) 368,353 52,981 CNX Resources Corp. (a) 435,504 7,462 Contura Energy, Inc. (a) 267,363 312,332 Denbury Resources, Inc. (a) 352,935 78,878 Gulfport Energy Corp. (a) 298,159 54,548 Oasis Petroleum, Inc. (a) 265,649 25,819 SemGroup Corp., Class A 327,127 30,934 SM Energy Co. 308,412 122,561 Southwestern Energy Co. (a) 269,634 78,083 SRC Energy, Inc. (a) 318,579 16,104 Talos Energy, Inc. (a) 331,420 6,340 World Fuel Services Corp. 247,514 --------------- 4,446,334 --------------- See Notes to Financial Statements Page 93 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PAPER & FOREST PRODUCTS -- 0.8% 5,511 Boise Cascade Co. $ 148,797 9,338 Schweitzer-Mauduit International, Inc. 321,507 --------------- 470,304 --------------- PERSONAL PRODUCTS -- 0.6% 11,497 Edgewell Personal Care Co. (a) 349,854 --------------- PROFESSIONAL SERVICES -- 1.0% 7,908 CBIZ, Inc. (a) 184,810 1,044 ICF International, Inc. 88,938 3,277 Navigant Consulting, Inc. 79,828 14,045 TrueBlue, Inc. (a) 277,670 --------------- 631,246 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 53,493 Realogy Holdings Corp. 278,698 --------------- ROAD & RAIL -- 4.0% 13,778 ArcBest Corp. 412,375 2,161 Avis Budget Group, Inc. (a) 78,639 17,146 Heartland Express, Inc. 340,177 21,338 Marten Transport Ltd. 428,254 4,791 Saia, Inc. (a) 365,553 21,233 Schneider National, Inc., Class B 409,797 12,461 Werner Enterprises, Inc. 413,082 --------------- 2,447,877 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6% 1,351 Advanced Energy Industries, Inc. (a) 78,899 51,916 Amkor Technology, Inc. (a) 479,185 3,545 Cirrus Logic, Inc. (a) 173,882 7,824 Synaptics, Inc. (a) 251,776 --------------- 983,742 --------------- SOFTWARE -- 0.8% 32,518 Avaya Holdings Corp. (a) 391,517 1,513 Ebix, Inc. 69,643 --------------- 461,160 --------------- SPECIALTY RETAIL -- 5.8% 24,145 Abercrombie & Fitch Co., Class A 457,065 2,703 Asbury Automotive Group, Inc. (a) 248,892 58,152 At Home Group, Inc. (a) 348,330 19,621 Bed Bath & Beyond, Inc. (b) 190,520 1,624 Children's Place (The), Inc. 158,616 9,158 Genesco, Inc. (a) 360,642 3,784 Group 1 Automotive, Inc. 317,705 1,919 Lithia Motors, Inc., Class A 253,078 35,613 Michaels Cos. (The), Inc. (a) 244,661 2,713 Murphy USA, Inc. (a) 239,721 188,006 Office Depot, Inc. 383,532 52,837 Party City Holdco, Inc. (a) (b) 337,100 --------------- 3,539,862 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 13,164 G-III Apparel Group Ltd. (a) $ 377,280 3,008 Oxford Industries, Inc. 220,156 --------------- 597,436 --------------- THRIFTS & MORTGAGE FINANCE -- 2.4% 5,685 Axos Financial, Inc. (a) 166,627 6,880 Flagstar Bancorp, Inc. 237,222 5,523 Meta Financial Group, Inc. 170,495 6,985 PennyMac Financial Services, Inc. 167,710 6,388 Provident Financial Services, Inc. 154,462 5,823 Walker & Dunlop, Inc. 339,714 4,435 Washington Federal, Inc. 162,232 1,840 WSFS Financial Corp. 77,961 --------------- 1,476,423 --------------- TOBACCO -- 0.5% 5,098 Universal Corp. 303,331 --------------- TRADING COMPANIES & DISTRIBUTORS -- 4.1% 18,217 Aircastle Ltd. 378,732 4,219 Beacon Roofing Supply, Inc. (a) 152,854 18,269 BMC Stock Holdings, Inc. (a) 386,389 7,837 H&E Equipment Services, Inc. 239,891 4,975 Herc Holdings, Inc. (a) 224,572 9,049 MRC Global, Inc. (a) 141,526 15,447 NOW, Inc. (a) 189,226 10,605 Rush Enterprises, Inc., Class A 399,384 7,646 WESCO International, Inc. (a) 387,958 --------------- 2,500,532 --------------- TOTAL COMMON STOCKS -- 99.8% 60,548,763 (Cost $64,993,452) --------------- MONEY MARKET FUNDS -- 0.2% 153,325 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) 153,325 (Cost $153,325) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.1% $ 1,255,172 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $1,255,260. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $1,280,717. (d) 1,255,172 (Cost $1,255,172) --------------- Page 94 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 102.1% $ 61,957,260 (Cost $66,401,949) (e) NET OTHER ASSETS AND LIABILITIES -- (2.1)% (1,298,190) --------------- NET ASSETS -- 100.0% $ 60,659,070 =============== (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 $1,385,905 and the total value of the collateral held by the Fund is $1,408,497. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $66,704,478. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,511,821 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $8,259,039. The net unrealized depreciation was $4,747,218. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 60,548,763 $ -- $ -- Money Market Funds 153,325 -- -- Repurchase Agreements -- 1,255,172 -- -------------------------------------------- Total Investments $ 60,702,088 $ 1,255,172 $ -- ============================================ * 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) $ 1,385,905 Non-cash Collateral(2) (1,385,905) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 1,255,172 Non-cash Collateral(4) (1,255,172) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 95 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.1% 16,135 Cubic Corp. $ 1,068,137 77,217 Kratos Defense & Security Solutions, Inc. (a) 1,903,399 --------------- 2,971,536 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 42,645 Air Transport Services Group, Inc. (a) 994,055 17,590 Forward Air Corp. 1,108,170 --------------- 2,102,225 --------------- AUTO COMPONENTS -- 0.6% 21,422 Fox Factory Holding Corp. (a) 1,715,474 --------------- BANKS -- 5.2% 18,694 BancFirst Corp. 1,090,608 6,404 Banner Corp. 379,501 30,699 CenterState Bank Corp. 746,600 9,270 City Holding Co. 717,961 8,338 Enterprise Financial Services Corp. 347,528 28,570 First Bancorp 1,055,376 128,082 First BanCorp 1,378,162 14,322 First Financial Bancorp. 365,068 18,653 First Merchants Corp. 735,115 11,740 Heritage Financial Corp. 334,825 4,556 Independent Bank Corp. 354,275 22,217 Lakeland Financial Corp. 1,021,760 38,955 National Bank Holdings Corp., Class A 1,413,287 40,537 Sandy Spring Bancorp, Inc. 1,477,168 20,638 ServisFirst Bancshares, Inc. 702,930 21,837 Southside Bancshares, Inc. 755,997 12,752 Tompkins Financial Corp. 1,045,281 13,367 Veritex Holdings, Inc. 342,062 5,631 Westamerica Bancorporation 360,947 --------------- 14,624,451 --------------- BEVERAGES -- 1.3% 4,680 Boston Beer (The) Co., Inc., Class A (a) 1,836,057 5,905 Coca-Cola Consolidated, Inc. 1,733,295 --------------- 3,569,352 --------------- BIOTECHNOLOGY -- 8.5% 56,651 Amicus Therapeutics, Inc. (a) 702,472 30,148 Arena Pharmaceuticals, Inc. (a) 1,889,677 66,700 Arrowhead Pharmaceuticals, Inc. (a) 1,938,302 49,109 CareDx, Inc. (a) 1,609,302 79,978 Coherus Biosciences, Inc. (a) 1,345,230 15,012 CRISPR Therapeutics AG (a) (b) 760,958 34,057 Denali Therapeutics, Inc. (a) 727,117 14,018 Editas Medicine, Inc. (a) 353,955 4,108 Enanta Pharmaceuticals, Inc. (a) 308,182 87,068 Fate Therapeutics, Inc. (a) 1,919,849 20,186 Halozyme Therapeutics, Inc. (a) 342,960 45,280 Intrexon Corp. (a) (b) 361,787 60,168 Invitae Corp. (a) 1,617,918 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 31,705 Ironwood Pharmaceuticals, Inc. (a) $ 337,024 19,385 Medicines (The) Co. (a) 694,758 13,730 Mirati Therapeutics, Inc. (a) 1,452,634 12,786 Portola Pharmaceuticals, Inc. (a) 341,131 23,123 PTC Therapeutics, Inc. (a) 1,113,835 20,563 Repligen Corp. (a) 1,940,942 65,644 Sangamo Therapeutics, Inc. (a) 788,384 11,132 Ultragenyx Pharmaceutical, Inc. (a) 670,814 18,094 uniQure N.V. (a) 1,061,213 34,548 Xencor, Inc. (a) 1,520,803 --------------- 23,799,247 --------------- BUILDING PRODUCTS -- 2.0% 28,178 AAON, Inc. 1,431,443 53,904 Advanced Drainage Systems, Inc. 1,775,059 39,161 Continental Building Products, Inc. (a) 962,577 84,568 PGT Innovations, Inc. (a) 1,363,236 --------------- 5,532,315 --------------- CAPITAL MARKETS -- 2.2% 23,278 Blucora, Inc. (a) 696,943 27,488 Cohen & Steers, Inc. 1,439,547 18,236 Hamilton Lane, Inc., Class A 1,070,453 23,368 Houlihan Lokey, Inc. 1,074,928 8,559 PJT Partners, Inc., Class A 360,847 92,781 TCG BDC, Inc. 1,402,849 --------------- 6,045,567 --------------- CHEMICALS -- 0.8% 9,667 Chase Corp. 1,001,308 21,954 Ferro Corp. (a) 323,382 65,645 PQ Group Holdings, Inc. (a) 1,023,406 --------------- 2,348,096 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.8% 21,098 Brady Corp., Class A 1,091,400 44,599 Casella Waste Systems, Inc., Class A (a) 1,944,516 7,780 Cimpress N.V. (a) 750,381 78,953 Covanta Holding Corp. 1,359,571 22,752 McGrath RentCorp 1,549,639 17,475 US Ecology, Inc. 1,111,934 --------------- 7,807,441 --------------- COMMUNICATIONS EQUIPMENT -- 0.7% 132,993 Viavi Solutions, Inc. (a) 1,951,007 --------------- CONSTRUCTION & ENGINEERING -- 1.1% 27,731 Comfort Systems USA, Inc. 1,164,702 117,518 WillScot Corp. (a) 1,870,886 --------------- 3,035,588 --------------- Page 96 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES -- 1.0% 46,497 K12, Inc. (a) $ 1,387,935 7,943 Strategic Education, Inc. 1,413,775 --------------- 2,801,710 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.6% 12,246 ATN International, Inc. 689,082 23,822 Cogent Communications Holdings, Inc. 1,501,024 44,733 Iridium Communications, Inc. (a) 1,138,008 91,834 Vonage Holdings Corp. (a) 1,138,742 --------------- 4,466,856 --------------- ELECTRIC UTILITIES -- 0.8% 14,236 MGE Energy, Inc. 1,055,599 19,700 Otter Tail Corp. 1,051,586 --------------- 2,107,185 --------------- ELECTRICAL EQUIPMENT -- 1.4% 68,323 Atkore International Group, Inc. (a) 1,864,535 94,215 Sunrun, Inc. (a) 1,794,796 11,169 Vicor Corp. (a) 330,155 --------------- 3,989,486 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.3% 23,690 Badger Meter, Inc. 1,267,178 25,637 CTS Corp. 808,078 20,948 Fabrinet (a) 1,124,489 28,461 II-VI, Inc. (a) 1,129,902 15,692 OSI Systems, Inc. (a) 1,766,291 20,997 Vishay Intertechnology, Inc. 356,949 --------------- 6,452,887 --------------- ENERGY EQUIPMENT & SERVICES -- 1.8% 10,472 Cactus, Inc., Class A (a) 307,563 63,521 Frank's International N.V. (a) 362,070 109,240 Liberty Oilfield Services, Inc., Class A 1,545,746 182,970 McDermott International, Inc. (a) 1,174,667 85,384 ProPetro Holding Corp. (a) 1,548,012 --------------- 4,938,058 --------------- ENTERTAINMENT -- 0.1% 48,305 Glu Mobile, Inc. (a) 360,355 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.8% 25,832 Acadia Realty Trust 725,104 5,415 Agree Realty Corp. 361,993 936 Alexander's, Inc. 350,532 15,005 American Assets Trust, Inc. 696,232 29,730 CareTrust REIT, Inc. 690,628 11,274 Getty Realty Corp. 337,995 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 50,176 Hannon Armstrong Sustainable Infrastructure Capital, Inc. $ 1,377,331 122,213 Independence Realty Trust, Inc. 1,509,331 75,135 Lexington Realty Trust 741,582 7,595 LTC Properties, Inc. 350,054 11,983 National Storage Affiliates Trust 362,965 17,404 Piedmont Office Realty Trust, Inc., Class A 362,177 26,695 PotlatchDeltic Corp. 982,910 15,308 QTS Realty Trust, Inc., Class A 708,454 20,248 Retail Opportunity Investments Corp. 367,299 12,595 Saul Centers, Inc. 690,080 8,073 Seritage Growth Properties, Class A 337,209 21,219 Terreno Realty Corp. 1,036,760 16,649 Universal Health Realty Income Trust 1,534,372 --------------- 13,523,008 --------------- FOOD & STAPLES RETAILING -- 0.7% 50,397 Chefs' Warehouse (The), Inc. (a) 1,837,979 --------------- FOOD PRODUCTS -- 1.7% 16,948 Cal-Maine Foods, Inc. 674,022 38,840 Freshpet, Inc. (a) 1,753,626 58,723 Simply Good Foods (The) Co. (a) 1,599,027 19,144 Tootsie Roll Industries, Inc. 715,220 --------------- 4,741,895 --------------- GAS UTILITIES -- 0.9% 14,881 Chesapeake Utilities Corp. 1,390,778 14,970 Northwest Natural Holding Co. 1,069,158 --------------- 2,459,936 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.8% 23,694 AtriCure, Inc. (a) 760,104 829 Atrion Corp. 637,915 32,936 Cardiovascular Systems, Inc. (a) 1,509,457 16,524 CONMED Corp. 1,443,371 34,765 CryoLife, Inc. (a) 1,001,927 13,800 Glaukos Corp. (a) 1,127,184 13,155 iRhythm Technologies, Inc. (a) 1,093,707 13,503 Natus Medical, Inc. (a) 419,538 16,049 Nevro Corp. (a) 1,073,036 6,559 Orthofix Medical, Inc. (a) 350,579 11,919 Quidel Corp. (a) 703,579 24,841 Tactile Systems Technology, Inc. (a) 1,434,319 27,396 Tandem Diabetes Care, Inc. (a) 1,737,728 --------------- 13,292,444 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.6% 7,201 BioTelemetry, Inc. (a) 338,087 98,059 Brookdale Senior Living, Inc. (a) 763,880 20,312 CorVel Corp. (a) 1,730,582 See Notes to Financial Statements Page 97 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 31,052 Ensign Group (The), Inc. $ 1,871,193 18,077 Premier, Inc., Class A (a) 700,484 16,788 Tenet Healthcare Corp. (a) 395,693 11,536 US Physical Therapy, Inc. 1,489,067 --------------- 7,288,986 --------------- HEALTH CARE TECHNOLOGY -- 2.7% 43,625 Evolent Health, Inc., Class A (a) 297,522 43,655 HMS Holdings Corp. (a) 1,523,560 97,450 Inovalon Holdings, Inc., Class A (a) 1,461,750 29,142 Inspire Medical Systems, Inc. (a) 1,970,873 71,056 NextGen Healthcare, Inc. (a) 1,162,476 16,437 Omnicell, Inc. (a) 1,236,227 --------------- 7,652,408 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.4% 7,895 BJ's Restaurants, Inc. 313,431 37,389 Bloomin' Brands, Inc. 636,735 17,967 Brinker International, Inc. 715,985 17,469 Dave & Buster's Entertainment, Inc. 710,115 86,096 Denny's Corp. (a) 1,944,909 18,512 Dine Brands Global, Inc. 1,519,650 4,260 Jack in the Box, Inc. 305,996 35,670 Scientific Games Corp. (a) 729,451 57,017 SeaWorld Entertainment, Inc. (a) 1,743,010 24,479 Shake Shack, Inc., Class A (a) 1,827,602 18,653 Wingstop, Inc. 1,783,040 --------------- 12,229,924 --------------- HOUSEHOLD DURABLES -- 0.3% 11,356 iRobot Corp. (a) 830,124 --------------- HOUSEHOLD PRODUCTS -- 0.1% 2,182 WD-40 Co. 396,164 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 1.1% 61,237 Pattern Energy Group, Inc., Class A 1,404,165 98,881 TerraForm Power, Inc., Class A 1,523,756 --------------- 2,927,921 --------------- INSURANCE -- 1.5% 20,528 eHealth, Inc. (a) 2,129,780 19,323 Kinsale Capital Group, Inc. 1,736,365 12,434 Universal Insurance Holdings, Inc. 308,487 --------------- 4,174,632 --------------- INTERACTIVE MEDIA & SERVICES -- 0.7% 26,659 ANGI Homeservices, Inc., Class A (a) 369,227 89,210 QuinStreet, Inc. (a) 1,453,231 --------------- 1,822,458 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INTERNET & DIRECT MARKETING RETAIL -- 1.0% 96,881 Quotient Technology, Inc. (a) $ 1,019,188 8,852 Shutterstock, Inc. 339,652 55,253 Stitch Fix, Inc., Class A (a) (b) 1,440,998 --------------- 2,799,838 --------------- IT SERVICES -- 0.8% 27,151 Carbonite, Inc. (a) 486,818 43,244 EVERTEC, Inc. 1,384,673 19,704 GTT Communications, Inc. (a) (b) 238,418 --------------- 2,109,909 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.7% 61,803 Accelerate Diagnostics, Inc. (a) (b) 1,154,480 27,018 Medpace Holdings, Inc. (a) 2,127,938 64,447 NeoGenomics, Inc. (a) 1,570,573 --------------- 4,852,991 --------------- MACHINERY -- 5.1% 41,941 Actuant Corp., Class A 960,449 21,319 Albany International Corp., Class A 1,833,221 13,533 Chart Industries, Inc. (a) 1,022,148 21,392 ESCO Technologies, Inc. 1,787,516 66,076 Federal Signal Corp. 2,058,267 21,906 Franklin Electric Co., Inc. 1,026,515 64,415 Harsco Corp. (a) 1,511,176 30,468 Helios Technologies, Inc. 1,430,777 15,570 Kadant, Inc. 1,455,172 33,598 TriMas Corp. (a) 1,007,604 --------------- 14,092,845 --------------- MEDIA -- 1.3% 243,792 Entercom Communications Corp., Class A 1,384,739 63,486 Gray Television, Inc. (a) 1,126,876 12,840 Meredith Corp. 704,402 16,720 MSG Networks, Inc., Class A (a) 317,513 --------------- 3,533,530 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.3% 58,335 Arbor Realty Trust, Inc. 711,104 52,233 KKR Real Estate Finance Trust, Inc. 1,046,227 20,883 Ladder Capital Corp. 351,461 114,034 New York Mortgage Trust, Inc. 696,748 80,969 PennyMac Mortgage Investment Trust 1,783,747 62,946 Redwood Trust, Inc. 1,065,046 36,651 TPG RE Finance Trust, Inc. 723,857 --------------- 6,378,190 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.9% 66,700 Berry Petroleum Corp. 653,660 35,924 California Resources Corp. (a) 549,996 41,941 Jagged Peak Energy, Inc. (a) 307,847 Page 98 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 225,520 Kosmos Energy Ltd. $ 1,355,375 52,338 Matador Resources Co. (a) 922,719 28,857 PDC Energy, Inc. (a) 829,062 143,915 QEP Resources, Inc. (a) 712,379 --------------- 5,331,038 --------------- PERSONAL PRODUCTS -- 0.6% 10,635 Inter Parfums, Inc. 736,793 8,111 Medifast, Inc. 905,593 --------------- 1,642,386 --------------- PHARMACEUTICALS -- 1.9% 48,374 Amneal Pharmaceuticals, Inc. (a) 177,049 66,982 Amphastar Pharmaceuticals, Inc. (a) 1,349,687 31,108 Corcept Therapeutics, Inc. (a) 350,276 48,558 Innoviva, Inc. (a) 576,869 32,514 Pacira BioSciences, Inc. (a) 1,427,040 11,027 Reata Pharmaceuticals, Inc., Class A (a) 999,598 10,482 Supernus Pharmaceuticals, Inc. (a) 349,784 --------------- 5,230,303 --------------- PROFESSIONAL SERVICES -- 0.1% 8,654 Korn Ferry 339,929 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 39,324 Redfin Corp. (a) (b) 709,405 7,383 RMR Group (The), Inc., Class A 363,539 60,214 St Joe (The) Co. (a) 1,158,517 --------------- 2,231,461 --------------- ROAD & RAIL -- 0.6% 110,744 Hertz Global Holdings, Inc. (a) 1,718,747 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.6% 36,489 Brooks Automation, Inc. 1,415,773 38,877 Diodes, Inc. (a) 1,656,160 45,119 FormFactor, Inc. (a) 757,097 28,224 Inphi Corp. (a) 1,699,367 121,145 Lattice Semiconductor Corp. (a) 2,342,944 12,977 Power Integrations, Inc. 1,181,816 50,532 Xperi Corp. 1,078,858 --------------- 10,132,015 --------------- SOFTWARE -- 9.2% 58,673 8x8, Inc. (a) 1,418,127 35,010 Altair Engineering, Inc., Class A (a) 1,456,766 17,284 Appfolio, Inc., Class A (a) 1,668,770 62,230 Carbon Black, Inc. (a) 1,158,100 20,681 Envestnet, Inc. (a) 1,476,830 19,767 Everbridge, Inc. (a) 2,022,164 20,883 ForeScout Technologies, Inc. (a) 780,189 16,634 Instructure, Inc. (a) 660,204 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 37,107 LivePerson, Inc. (a) $ 1,231,581 22,277 Mimecast Ltd. (a) 1,060,385 16,209 Progress Software Corp. 701,688 27,939 PROS Holdings, Inc. (a) 2,021,666 23,146 Q2 Holdings, Inc. (a) 1,848,671 30,557 Rapid7, Inc. (a) 1,853,282 36,518 Smartsheet, Inc., Class A (a) 1,822,613 10,178 SPS Commerce, Inc. (a) 1,138,206 11,414 Varonis Systems, Inc. (a) 820,781 30,425 Workiva, Inc. (a) 1,749,133 35,190 Yext, Inc. (a) 732,304 --------------- 25,621,460 --------------- SPECIALTY RETAIL -- 2.7% 22,591 Carvana Co. (a) 1,435,884 16,578 Monro, Inc. 1,396,034 23,009 National Vision Holdings, Inc. (a) 726,854 66,372 Rent-A-Center, Inc. (a) 1,794,035 43,760 Sleep Number Corp. (a) 2,151,679 --------------- 7,504,486 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.1% 17,559 Crocs, Inc. (a) 401,223 --------------- THRIFTS & MORTGAGE FINANCE -- 1.8% 25,186 Capitol Federal Financial, Inc. 344,041 22,969 Columbia Financial, Inc. (a) 351,196 26,099 Kearny Financial Corp. 348,422 88,264 Mr Cooper Group, Inc. (a) 671,689 62,259 NMI Holdings, Inc., Class A (a) 1,549,004 40,150 Northwest Bancshares, Inc. 688,572 41,870 OceanFirst Financial Corp. 1,021,628 --------------- 4,974,552 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 16,911 Applied Industrial Technologies, Inc. 1,028,865 20,406 SiteOne Landscape Supply, Inc. (a) 1,507,391 --------------- 2,536,256 --------------- WATER UTILITIES -- 1.0% 13,830 American States Water Co. 1,071,410 13,966 California Water Service Group 745,645 17,559 Middlesex Water Co. 1,099,720 --------------- 2,916,775 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.1% 9,002 Shenandoah Telecommunications Co. 354,319 --------------- TOTAL COMMON STOCKS -- 99.9% 278,498,968 (Cost $256,568,946) --------------- See Notes to Financial Statements Page 99 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.1% 333,221 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.25% (c) (d) $ 333,221 (Cost $333,221) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.0% $ 2,727,852 BNP Paribas S.A., 2.53% (c), dated 07/31/19, due 08/01/19, with a maturity value of $2,728,044. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 08/15/26. The value of the collateral including accrued interest is $2,783,370. (d) 2,727,852 (Cost $2,727,852) --------------- TOTAL INVESTMENTS -- 101.0% 281,560,041 (Cost $259,630,019) (e) NET OTHER ASSETS AND LIABILITIES -- (1.0)% (2,708,711) --------------- NET ASSETS -- 100.0% $ 278,851,330 =============== (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 $2,938,490 and the total value of the collateral held by the Fund is $3,061,073. (c) Rate shown reflects yield as of July 31, 2019. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $260,253,437. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $33,566,086 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $12,259,482. The net unrealized appreciation was $21,306,604. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 278,498,968 $ -- $ -- Money Market Funds 333,221 -- -- Repurchase Agreements -- 2,727,852 -- -------------------------------------------- Total Investments $ 278,832,189 $ 2,727,852 $ -- ============================================ * See Portfolio of Investments for industry breakout. Page 100 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 --------------------------------- 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) $ 2,938,490 Non-cash Collateral(2) (2,938,490) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At July 31, 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) $ 2,727,852 Non-cash Collateral(4) (2,727,852) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2019, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 101 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 3.3% 2,133 Lockheed Martin Corp. $ 772,509 --------------- BANKS -- 7.5% 10,696 Bank of America Corp. 328,153 8,859 Citigroup, Inc. 630,406 1,387 JPMorgan Chase & Co. 160,892 1,130 PNC Financial Services Group (The), Inc. 161,477 9,833 Wells Fargo & Co. 476,016 --------------- 1,756,944 --------------- BEVERAGES -- 0.6% 1,183 PepsiCo, Inc. 151,199 --------------- BIOTECHNOLOGY -- 2.6% 9,183 Gilead Sciences, Inc. 601,670 --------------- CAPITAL MARKETS -- 4.9% 3,032 Goldman Sachs Group (The), Inc. 667,434 10,621 Morgan Stanley 473,272 --------------- 1,140,706 --------------- CHEMICALS -- 5.2% 10,330 DuPont de Nemours, Inc. 745,413 2,357 Ecolab, Inc. 475,477 --------------- 1,220,890 --------------- COMMUNICATIONS EQUIPMENT -- 0.7% 2,834 Cisco Systems, Inc. 157,004 --------------- CONSUMER FINANCE -- 3.3% 6,282 American Express Co. 781,292 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.3% 23,142 AT&T, Inc. 787,985 8,145 Verizon Communications, Inc. 450,174 --------------- 1,238,159 --------------- ELECTRIC UTILITIES -- 2.0% 1,758 Duke Energy Corp. 152,454 5,611 Southern (The) Co. 315,338 --------------- 467,792 --------------- ENTERTAINMENT -- 2.0% 3,332 Walt Disney (The) Co. 476,509 --------------- FOOD & STAPLES RETAILING -- 5.4% 2,348 Costco Wholesale Corp. 647,179 5,615 Walmart, Inc. 619,784 --------------- 1,266,963 --------------- FOOD PRODUCTS -- 2.0% 8,633 Mondelez International, Inc., Class A 461,779 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 2,170 Danaher Corp. 304,885 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 0.7% 984 Cigna Corp. $ 167,201 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.7% 9,251 Starbucks Corp. 875,977 --------------- INDUSTRIAL CONGLOMERATES -- 0.6% 888 Honeywell International, Inc. 153,144 --------------- INTERACTIVE MEDIA & SERVICES -- 2.0% 2,411 Facebook, Inc., Class A (a) 468,289 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.3% 164 Amazon.com, Inc. (a) 306,152 --------------- IT SERVICES -- 5.9% 1,759 Mastercard, Inc., Class A 478,923 5,420 PayPal Holdings, Inc. (a) 598,368 1,787 Visa, Inc., Class A 318,086 --------------- 1,395,377 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.9% 1,584 Thermo Fisher Scientific, Inc. 439,845 --------------- MACHINERY -- 1.3% 2,276 Caterpillar, Inc. 299,681 --------------- MEDIA -- 5.9% 1,962 Charter Communications, Inc., Class A (a) 756,116 14,673 Comcast Corp., Class A 633,433 --------------- 1,389,549 --------------- OIL, GAS & CONSUMABLE FUELS -- 9.0% 6,232 Chevron Corp. 767,221 12,713 ConocoPhillips 751,084 8,096 Exxon Mobil Corp. 602,019 --------------- 2,120,324 --------------- PERSONAL PRODUCTS -- 0.7% 847 Estee Lauder (The) Cos., Inc., Class A 156,009 --------------- PHARMACEUTICALS -- 3.2% 13,680 Bristol-Myers Squibb Co. 607,529 3,580 Pfizer, Inc. 139,047 --------------- 746,576 --------------- ROAD & RAIL -- 1.2% 4,009 CSX Corp. 282,234 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.7% 16,200 Intel Corp. 818,910 10,194 QUALCOMM, Inc. 745,793 --------------- 1,564,703 --------------- SOFTWARE -- 3.3% 1,579 Adobe, Inc. (a) 471,900 5,445 Oracle Corp. 306,553 --------------- 778,453 --------------- Page 102 See Notes to Financial Statements FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2019 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL -- 0.7% 746 Home Depot (The), Inc. $ 159,413 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.4% 1,567 Apple, Inc. 333,834 --------------- TOBACCO -- 1.3% 6,551 Altria Group, Inc. 308,356 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 2.8% 8,368 T-Mobile US, Inc. (a) 667,181 --------------- TOTAL INVESTMENTS -- 99.7% 23,410,599 (Cost $22,298,589) (b) NET OTHER ASSETS AND LIABILITIES -- 0.3% 70,524 --------------- NET ASSETS -- 100.0% $ 23,481,123 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $22,439,133. As of July 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,318,192 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $346,726. The net unrealized appreciation was $971,466. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2019 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS -------------------------------------------- Common Stocks* $ 23,410,599 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 103 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2019
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............................................... $ 1,433,033,381 $ 898,282,113 $ 613,404,995 Cash................................................................ 1,701,148 -- -- Receivables: Dividends..................................................... 1,039,617 395,226 272,748 Securities lending income..................................... 256 5,669 41,500 Prepaid expenses.................................................... 8,817 7,458 7,090 ---------------- ---------------- ---------------- Total Assets.................................................. 1,435,783,219 898,690,466 613,726,333 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... -- -- 8,742 Payables: Collateral for securities on loan............................. -- 10,788,000 10,293,235 Investment advisory fees...................................... 614,843 379,110 254,174 Licensing fees................................................ 72,495 46,289 31,220 Shareholder reporting fees.................................... 62,780 49,370 36,544 Audit and tax fees............................................ 22,925 22,925 22,925 Trustees' fees................................................ 941 824 755 Other liabilities................................................... 330,346 227,571 160,575 ---------------- ---------------- ---------------- Total Liabilities............................................. 1,104,330 11,514,089 10,808,170 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,434,678,889 $ 887,176,377 $ 602,918,163 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,551,717,691 $ 1,019,739,802 $ 790,443,469 Par value........................................................... 231,000 127,000 97,500 Accumulated distributable earnings (loss)........................... (117,269,802) (132,690,425) (187,622,806) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,434,678,889 $ 887,176,377 $ 602,918,163 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 62.11 $ 69.86 $ 61.84 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 23,100,002 12,700,002 9,750,002 ================ ================ ================ Investments, at cost................................................ $ 1,306,303,224 $ 835,054,278 $ 597,827,769 ================ ================ ================ Securities on loan, at value........................................ $ -- $ 10,288,809 $ 10,041,772 ================ ================ ================
Page 104 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,166,209,928 $ 1,043,697,900 $ 85,085,508 $ 186,640,162 $ 56,173,332 $ 311,312,129 -- -- -- -- 140,212 111,401 1,263,813 324,121 76,637 39,566 40,640 23,579 112 724 1,164 3,470 476 782 8,063 7,589 5,698 5,909 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,167,481,916 1,044,030,334 85,169,007 186,689,107 56,354,660 311,447,891 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- -- -- 9 -- -- -- -- 1,492,045 751,354 537,981 848,771 1,446,956 495,260 442,823 37,860 79,075 32,818 175,258 60,040 51,582 4,380 9,649 -- -- 54,459 44,864 8,338 12,942 -- -- 22,925 22,925 22,925 22,925 -- -- 887 839 632 654 -- -- 279,517 249,520 42,820 70,401 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 913,088 2,304,598 868,318 733,627 881,589 1,622,214 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,166,568,828 $ 1,041,725,736 $ 84,300,689 $ 185,955,480 $ 55,473,071 $ 309,825,677 ================ ================ ================ ================ ================ ================ $ 1,354,893,298 $ 1,057,036,515 $ 116,575,642 $ 182,005,180 $ 73,579,513 $ 321,789,376 221,000 146,000 15,500 24,500 16,000 66,500 (188,545,470) (15,456,779) (32,290,453) 3,925,800 (18,122,442) (12,030,199) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,166,568,828 $ 1,041,725,736 $ 84,300,689 $ 185,955,480 $ 55,473,071 $ 309,825,677 ================ ================ ================ ================ ================ ================ $ 52.79 $ 71.35 $ 54.39 $ 75.90 $ 34.67 $ 46.59 ================ ================ ================ ================ ================ ================ 22,100,002 14,600,002 1,550,002 2,450,002 1,600,002 6,650,002 ================ ================ ================ ================ ================ ================ $ 1,144,387,237 $ 900,545,213 $ 85,326,144 $ 157,332,268 $ 57,426,696 $ 274,138,553 ================ ================ ================ ================ ================ ================ $ -- $ 1,458,600 $ 727,209 $ 519,408 $ 784,769 $ 1,380,018 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 105 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JULY 31, 2019
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............................................... $ 61,957,260 $ 281,560,041 $ 23,410,599 Cash................................................................ 98,850 452,657 46,691 Receivables: Dividends..................................................... 43,832 42,814 38,141 Securities lending income..................................... 3,099 26,605 -- Prepaid expenses.................................................... -- -- -- ---------------- ---------------- ---------------- Total Assets.................................................. 62,103,041 282,082,117 23,495,431 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... -- -- -- Payables: Collateral for securities on loan............................. 1,408,497 3,061,073 -- Investment advisory fees...................................... 35,474 169,714 14,308 Licensing fees................................................ -- -- -- Shareholder reporting fees.................................... -- -- -- Audit and tax fees............................................ -- -- -- Trustees' fees................................................ -- -- -- Other liabilities................................................... -- -- -- ---------------- ---------------- ---------------- Total Liabilities............................................. 1,443,971 3,230,787 14,308 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 60,659,070 $ 278,851,330 $ 23,481,123 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 92,853,923 $ 344,962,173 $ 26,936,457 Par value........................................................... 17,500 59,500 6,500 Accumulated distributable earnings (loss)........................... (32,212,353) (66,170,343) (3,461,834) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 60,659,070 $ 278,851,330 $ 23,481,123 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 34.66 $ 46.87 $ 36.12 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 1,750,002 5,950,002 650,002 ================ ================ ================ Investments, at cost................................................ $ 66,401,949 $ 259,630,019 $ 22,298,589 ================ ================ ================ Securities on loan, at value........................................ $ 1,385,905 $ 2,938,490 $ -- ================ ================ ================
Page 106 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2019
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........................................................... $ 26,052,779 $ 13,531,663 $ 9,718,353 Securities lending income (net of fees)............................. 807,846 78,743 340,693 Foreign withholding tax............................................. -- (3,637) (1,281) ---------------- ---------------- ---------------- Total investment income....................................... 26,860,625 13,606,769 10,057,765 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 7,091,255 4,386,861 3,186,204 Accounting and administration fees.................................. 669,452 441,617 322,641 Licensing fees...................................................... 269,054 169,143 125,865 Custodian fees...................................................... 185,021 145,658 137,600 Shareholder reporting fees.......................................... 130,716 109,138 86,492 Transfer agent fees................................................. 60,455 43,868 31,862 Legal fees.......................................................... 52,426 32,565 24,974 Audit and tax fees.................................................. 15,331 15,331 15,331 Trustees' fees and expenses......................................... 8,917 8,255 7,921 Listing fees........................................................ 4,997 4,761 3,710 Registration and filing fees........................................ -- (10,028) (13,070) Other expenses...................................................... 32,238 19,009 15,355 ---------------- ---------------- ---------------- Total expenses................................................ 8,519,862 5,366,178 3,944,885 Less fees waived and expenses reimbursed by the investment advisor......................................... -- -- -- ---------------- ---------------- ---------------- Net expenses.................................................. 8,519,862 5,366,178 3,944,885 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 18,340,763 8,240,591 6,112,880 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (28,793,101) (32,061,733) (57,804,322) In-kind redemptions........................................... 98,224,567 57,499,829 60,663,551 ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 69,431,466 25,438,096 2,859,229 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. (51,939,570) (28,927,358) (66,349,033) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 17,491,896 (3,489,262) (63,489,804) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 35,832,659 $ 4,751,329 $ (57,376,924) ================ ================ ================
See Notes to Financial Statements Page 107 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE YEAR ENDED JULY 31, 2019
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........................................................... $ 29,510,301 $ 9,889,047 $ 2,065,913 Securities lending income (net of fees)............................. 9,866 1,129,773 7,817 Foreign withholding tax............................................. -- -- (237) ---------------- ---------------- ---------------- Total investment income....................................... 29,520,167 11,018,820 2,073,493 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 5,696,421 4,718,974 433,777 Accounting and administration fees.................................. 557,384 473,175 47,316 Licensing fees...................................................... 217,869 180,794 23,498 Custodian fees...................................................... 158,518 146,600 65,858 Shareholder reporting fees.......................................... 117,030 102,339 19,937 Transfer agent fees................................................. 53,481 47,089 4,338 Legal fees.......................................................... 41,816 34,612 3,131 Audit and tax fees.................................................. 15,331 15,331 15,331 Trustees' fees and expenses......................................... 8,595 8,323 7,187 Listing fees........................................................ 4,936 4,780 6,560 Registration and filing fees........................................ (7,764) (9,148) -- Other expenses...................................................... 24,399 19,000 3,647 ---------------- ---------------- ---------------- Total expenses................................................ 6,888,016 5,741,869 630,580 Less fees waived and expenses reimbursed by the investment advisor......................................... -- -- (23,214) ---------------- ---------------- ---------------- Net expenses.................................................. 6,888,016 5,741,869 607,366 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 22,632,151 5,276,951 1,466,127 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... 8,659,919 (76,603,628) 571,584 In-kind redemptions........................................... 5,594,642 116,289,917 722,508 ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 14,254,561 39,686,289 1,294,092 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. (47,887,065) 12,785,024 (5,847,344) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (33,632,504) 52,471,313 (4,553,252) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ (11,000,353) $ 57,748,264 $ (3,087,125) ================ ================ ================
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). Page 108 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP FIRST TRUST GROWTH VALUE GROWTH VALUE GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) (FNY) (FYT) (FYC) (FMK) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,641,988 $ 1,145,470 $ 1,855,444 $ 1,394,236 $ 2,244,871 $ 441,945 151,258 2,842 24,263 25,510 269,870 -- (60) (397) -- (155) (976) -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,793,186 1,147,915 1,879,707 1,419,591 2,513,765 441,945 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 930,522 367,545 (a) 1,673,916 (a) 435,255 (a) 2,392,448 (a) 152,639 (a) 97,355 -- -- -- -- -- 42,026 -- -- -- -- -- 71,580 -- -- -- -- -- 32,776 -- -- -- -- -- 9,305 -- -- -- -- -- 7,397 -- -- -- -- -- 15,331 -- -- -- -- -- 7,330 -- -- -- -- -- 6,522 -- -- -- -- -- (3,854) -- -- -- -- -- 5,113 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,221,403 367,545 1,673,916 435,255 2,392,448 152,639 -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,221,403 367,545 1,673,916 435,255 2,392,448 152,639 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 571,783 780,370 205,791 984,336 121,317 289,306 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (6,682,738) (713,424) (22,621,083) (1,390,436) (58,258,052) (720,252) 8,853,798 80,844 17,162,588 803,133 27,480,297 1,518,709 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 2,171,060 (632,580) (5,458,495) (587,303) (30,777,755) 798,457 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 622,734 (2,569,766) 16,316,990 (7,220,590) (8,010,419) 296,932 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 2,793,794 (3,202,346) 10,858,495 (7,807,893) (38,788,174) 1,095,389 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 3,365,577 $ (2,421,976) $ 11,064,286 $ (6,823,557) $ (38,666,857) $ 1,384,695 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 109 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2019 7/31/2018 7/31/2019 7/31/2018 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)............................ $ 18,340,763 $ 17,463,068 $ 8,240,591 $ 7,266,460 Net realized gain (loss)................................ 69,431,466 170,169,065 25,438,096 92,051,574 Net change in unrealized appreciation (depreciation).... (51,939,570) 2,749,559 (28,927,358) 17,631,177 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 35,832,659 190,381,692 4,751,329 116,949,211 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (17,636,192) (7,372,456) --------------- --------------- Net investment income................................... (16,891,666) (7,074,436) --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 389,384,895 678,795,675 287,753,879 480,574,743 Cost of shares redeemed................................. (513,826,091) (865,809,200) (299,688,790) (386,711,821) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (124,441,196) (187,013,525) (11,934,911) 93,862,922 --------------- --------------- --------------- --------------- Payment from the Advisor................................ -- -- -- -- --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. (106,244,729) (13,523,499) (14,556,038) 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........................................... $ 1,434,678,889 $ 1,540,923,618 $ 887,176,377 $ 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............................................. 6,400,000 11,700,000 4,150,000 7,300,000 Shares redeemed......................................... (8,650,000) (15,100,000) (4,400,000) (6,000,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 23,100,002 25,350,002 12,700,002 12,950,002 =============== =============== =============== ===============
Page 110 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYX) (FTA) (FTC) (FAB) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2019 7/31/2018 7/31/2019 7/31/2018 7/31/2019 7/31/2018 7/31/2019 7/31/2018 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 6,112,880 $ 4,832,166 $ 22,632,151 $ 20,527,581 $ 5,276,951 $ 2,737,003 $ 1,466,127 $ 1,666,170 2,859,229 58,086,878 14,254,561 80,006,931 39,686,289 85,736,876 1,294,092 10,569,329 (66,349,033) 32,068,741 (47,887,065) (15,921,913) 12,785,024 45,613,827 (5,847,344) (2,388,322) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (57,376,924) 94,987,785 (11,000,353) 84,612,599 57,748,264 134,087,706 (3,087,125) 9,847,177 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (5,893,001) (19,337,442) (4,584,530) (1,340,962) -------------- -------------- -------------- -------------- (4,463,156) (19,621,362) (2,780,516) (1,582,542) -------------- -------------- -------------- -------------- 262,073,225 342,228,917 127,487,293 495,692,611 726,158,507 516,532,534 2,412,023 13,593,728 (323,986,860) (200,105,675) (76,934,193) (471,327,725) (637,594,289) (398,790,450) (5,449,388) (41,051,232) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (61,913,635) 142,123,242 50,553,100 24,364,886 88,564,218 117,742,084 (3,037,365) (27,457,504) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -- 3,456,678 -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (125,183,560) 236,104,549 20,215,305 89,356,123 141,727,952 249,049,274 (7,465,452) (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 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 602,918,163 $ 728,101,723 $1,166,568,828 $1,146,353,523 $1,041,725,736 $ 899,997,784 $ 84,300,689 $ 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 3,950,000 5,500,000 2,450,000 9,300,000 10,750,000 8,350,000 50,000 250,000 (5,100,000) (3,350,000) (1,550,000) (8,850,000) (9,600,000) (6,550,000) (100,000) (750,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 9,750,002 10,900,002 22,100,002 21,200,002 14,600,002 13,450,002 1,550,002 1,600,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 111 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST MULTI CAP GROWTH MID CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2019 7/31/2018 7/31/2019 7/31/2018 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)............................ $ 571,783 $ 237,431 $ 780,370 $ 813,339 Net realized gain (loss)................................ 2,171,060 11,522,148 (632,580) 3,643,568 Net change in unrealized appreciation (depreciation).... 622,734 13,754,135 (2,569,766) 528,908 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 3,365,577 25,513,714 (2,421,976) 4,985,815 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (458,046) (675,721) --------------- --------------- Net investment income................................... (285,705) (792,136) --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 45,995,046 105,028,519 15,447,959 30,054,698 Cost of shares redeemed................................. (55,632,416) (41,400,652) (6,442,277) (41,884,419) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (9,637,370) 63,627,867 9,005,682 (11,829,721) --------------- --------------- --------------- --------------- Payment from the Advisor................................ -- -- -- -- --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. (6,729,839) 88,855,876 5,907,985 (7,636,042) NET ASSETS: Beginning of period..................................... 192,685,319 103,829,443 49,565,086 57,201,128 --------------- --------------- --------------- --------------- End of period........................................... $ 185,955,480 $ 192,685,319 $ 55,473,071 $ 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............................................. 650,000 1,550,000 450,000 850,000 Shares redeemed......................................... (850,000) (650,000) (200,000) (1,200,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 2,450,002 2,650,002 1,600,002 1,350,002 =============== =============== =============== ===============
Page 112 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FNY) (FYT) (FYC) (FMK) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2019 7/31/2018 7/31/2019 7/31/2018 7/31/2019 7/31/2018 7/31/2019 7/31/2018 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 205,791 $ 32,769 $ 984,336 $ 896,363 $ 121,317 $ 192,452 $ 289,306 $ 204,767 (5,458,495) 18,724,432 (587,303) 3,146,060 (30,777,755) 19,411,766 798,457 2,470,720 16,316,990 8,584,431 (7,220,590) 3,566,680 (8,010,419) 17,177,486 296,932 (254,556) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 11,064,286 27,341,632 (6,823,557) 7,609,103 (38,666,857) 36,781,704 1,384,695 2,420,931 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (115,920) (917,901) (105,410) (250,051) -------------- -------------- -------------- -------------- (158,280) (796,501) (266,415) (199,431) -------------- -------------- -------------- -------------- 202,282,798 201,971,586 10,488,596 66,084,125 259,177,575 364,025,842 23,625,038 16,863,212 (118,044,854) (109,215,958) (18,091,538) (59,215,518) (302,564,084) (157,067,136) (17,209,998) (18,649,362) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 84,237,944 92,755,628 (7,602,942) 6,868,607 (43,386,509) 206,958,706 6,415,040 (1,786,150) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -- -- -- 519,907 -- 1,053,251 -- -- -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 95,186,310 119,938,980 (15,344,400) 14,201,116 (82,158,776) 244,527,246 7,549,684 435,350 214,639,367 94,700,387 76,003,470 61,802,354 361,010,106 116,482,860 15,931,439 15,496,089 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 309,825,677 $ 214,639,367 $ 60,659,070 $ 76,003,470 $ 278,851,330 $ 361,010,106 $ 23,481,123 $ 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 4,550,000 5,000,000 300,000 1,800,000 5,200,000 8,100,000 700,000 500,000 (2,800,000) (2,800,000) (500,000) (1,650,000) (6,650,000) (3,700,000) (500,000) (550,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 6,650,002 4,900,002 1,750,002 1,950,002 5,950,002 7,400,002 650,002 450,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 113 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 60.79 $ 54.07 $ 46.93 $ 45.96 $ 43.21 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.77 0.69 0.61 0.64 0.57 Net realized and unrealized gain (loss) 1.28 6.69 7.16 0.95 2.75 ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.05 7.38 7.77 1.59 3.32 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.73) (0.66) (0.63) (0.62) (0.57) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 62.11 $ 60.79 $ 54.07 $ 46.93 $ 45.96 ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.48% 13.72% 16.68% 3.59% 7.67% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,434,679 $1,540,924 $1,554,447 $1,506,341 $1,932,424 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% 0.61% 0.61% 0.61% 0.61% Ratio of net expenses to average net assets 0.60% 0.61% 0.61% 0.61% 0.61% Ratio of net investment income (loss) to average net assets 1.29% 1.17% 1.21% 1.43% 1.25% Portfolio turnover rate (b) 102% 87% 90% 109% 91%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 69.63 $ 59.91 $ 52.80 $ 52.97 $ 50.65 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.63 0.61 0.56 0.56 0.51 Net realized and unrealized gain (loss) 0.16 9.71 7.12 (0.21) 2.31 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.79 10.32 7.68 0.35 2.82 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.56) (0.60) (0.57) (0.52) (0.50) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 69.86 $ 69.63 $ 59.91 $ 52.80 $ 52.97 ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.22% 17.30% 14.61% 0.76% 5.55% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 887,176 $ 901,732 $ 697,995 $ 644,144 $1,016,952 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.62% 0.63% 0.63% 0.62% Ratio of net expenses to average net assets 0.61% 0.62% 0.63% 0.63% 0.62% Ratio of net investment income (loss) to average net assets 0.94% 0.94% 1.00% 1.10% 0.97% Portfolio turnover rate (b) 114% 101% 103% 126% 102%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 114 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 CORE ALPHADEX(R) FUND (FYX)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 66.80 $ 56.23 $ 48.91 $ 48.24 $ 46.07 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.60 0.52 0.41 0.39 0.35 Net realized and unrealized gain (loss) (4.98) 10.53 7.40 0.64 2.17 ---------- ---------- ---------- ---------- ---------- Total from investment operations (4.38) 11.05 7.81 1.03 2.52 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.58) (0.48) (0.49) (0.36) (0.35) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 61.84 $ 66.80 $ 56.23 $ 48.91 $ 48.24 ========== ========== ========== ========== ========== TOTAL RETURN (a) (6.52)% 19.72%(c) 16.03% 2.20% 5.45% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 602,918 $ 728,102 $ 491,997 $ 442,627 $ 701,882 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.63% 0.63% 0.64% 0.63% Ratio of net expenses to average net assets 0.62% 0.63% 0.63% 0.64% 0.63% Ratio of net investment income (loss) to average net assets 0.96% 0.87% 0.78% 0.86% 0.73% Portfolio turnover rate (b) 117% 116% 111% 126% 97%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 54.07 $ 50.94 $ 41.98 $ 41.61 $ 42.48 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.02 1.02 0.77 0.78 (d) 0.77 Net realized and unrealized gain (loss) (1.43) 3.08 8.96 0.38 (0.87) ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.41) 4.10 9.73 1.16 (0.10) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.87) (0.97) (0.77) (0.79) (0.77) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 52.79 $ 54.07 $ 50.94 $ 41.98 $ 41.61 ========== ========== ========== ========== ========== TOTAL RETURN (a) (0.65)% 8.12% 23.35% 2.94% (0.29)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,166,569 $1,146,354 $1,056,997 $ 831,256 $1,181,747 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% 0.61% 0.62% 0.62% 0.62% Ratio of net expenses to average net assets 0.60% 0.61% 0.62% 0.62% 0.62% Ratio of net investment income (loss) to average net assets 1.99% 1.92% 1.63% 2.00% 1.77% Portfolio turnover rate (b) 96% 82% 72% 94% 78%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (c) 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. (d) Based on average shares outstanding. See Notes to Financial Statements Page 115 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 66.91 $ 55.88 $ 51.56 $ 49.95 $ 42.86 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.37 0.23 0.33 0.35 0.32 Net realized and unrealized gain (loss) 4.39 11.03 4.33 1.60 7.09 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.76 11.26 4.66 1.95 7.41 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.32) (0.23) (0.34) (0.34) (0.32) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 71.35 $ 66.91 $ 55.88 $ 51.56 $ 49.95 ========== ========== ========== ========== ========== TOTAL RETURN (a) 7.16% 20.19% 9.10% 3.96% 17.32% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,041,726 $ 899,998 $ 650,949 $ 618,698 $ 681,765 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.61% 0.62% 0.62% 0.63% Ratio of net expenses to average net assets 0.61% 0.61% 0.62% 0.62% 0.63% Ratio of net investment income (loss) to average net assets 0.56% 0.36% 0.63% 0.73% 0.68% Portfolio turnover rate (b) 132% 119% 148% 149% 143%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 57.35 $ 52.84 $ 44.91 $ 44.75 $ 45.71 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.92 0.96 0.73 0.70 0.64 Net realized and unrealized gain (loss) (3.04) 4.45 7.96 0.13 (0.96) ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.12) 5.41 8.69 0.83 (0.32) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.84) (0.90) (0.76) (0.67) (0.64) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 54.39 $ 57.35 $ 52.84 $ 44.91 $ 44.75 ========== ========== ========== ========== ========== TOTAL RETURN (a) (3.62)% 10.30% 19.46% 1.98% (0.74)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 84,301 $ 91,766 $ 110,959 $ 103,296 $ 196,887 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.73% 0.70% 0.66% 0.68% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.66% 0.68% 0.70% Ratio of net investment income (loss) to average net assets 1.69% 1.67% 1.45% 1.61% 1.36% Portfolio turnover rate (b) 96% 89% 81% 96% 82%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 116 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 72.71 $ 59.33 $ 53.31 $ 52.16 $ 45.23 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.22 0.12 0.25 0.24 0.23 Net realized and unrealized gain (loss) 3.14 13.40 6.04 1.13 6.94 ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.36 13.52 6.29 1.37 7.17 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.14) (0.27) (0.22) (0.24) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 75.90 $ 72.71 $ 59.33 $ 53.31 $ 52.16 ========== ========== ========== ========== ========== TOTAL RETURN (a) 4.65% 22.82% 11.85% 2.66% 15.89% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 185,955 $ 192,685 $ 103,829 $ 85,293 $ 91,279 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.66% 0.69% 0.70% 0.70% 0.72% Ratio of net expenses to average net assets 0.66% 0.69% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.31% 0.18% 0.44% 0.50% 0.48% Portfolio turnover rate (b) 130% 118% 142% 160% 135%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 117 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 36.71 $ 33.65 $ 29.47 $ 29.56 $ 30.20 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.51 0.58 0.44 0.43 0.39 Net realized and unrealized gain (loss) (2.10) 3.04 4.17 (0.10) (0.64) ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.59) 3.62 4.61 0.33 (0.25) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.45) (0.56) (0.43) (0.42) (0.39) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.67 $ 36.71 $ 33.65 $ 29.47 $ 29.56 ========== ========== ========== ========== ========== TOTAL RETURN (a) (4.26)% 10.80% 15.72% 1.22% (0.87)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 55,473 $ 49,565 $ 57,201 $ 47,156 $ 75,389 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.49% 1.61% 1.31% 1.49% 1.27% Portfolio turnover rate (b) 113% 94% 95% 114% 88%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 43.80 $ 35.07 $ 31.22 $ 31.31 $ 27.61 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.04 0.03 0.15 0.11 0.13 Net realized and unrealized gain (loss) 2.77 8.75 3.87 (0.11) 3.71 ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.81 8.78 4.02 0.00 3.84 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.02) (0.05) (0.17) (0.09) (0.14) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 46.59 $ 43.80 $ 35.07 $ 31.22 $ 31.31 ========== ========== ========== ========== ========== TOTAL RETURN (a) 6.43% 25.06% 12.94% 0.03% 13.91% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 309,826 $ 214,639 $ 94,700 $ 82,725 $ 114,273 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.09% 0.02% 0.48% 0.35% 0.42% Portfolio turnover rate (b) 144% 124% 153% 193% 159%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 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 TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 38.98 $ 34.33 $ 30.19 $ 30.20 $ 31.06 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.57 0.48 0.41 0.26 0.28 Net realized and unrealized gain (loss) (4.36) 4.60 4.23 (0.04) (0.85) ---------- ---------- ---------- ---------- ---------- Total from investment operations (3.79) 5.08 4.64 0.22 (0.57) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.53) (0.43) (0.50) (0.23) (0.29) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.66 $ 38.98 $ 34.33 $ 30.19 $ 30.20 ========== ========== ========== ========== ========== TOTAL RETURN (a) (9.69)% 14.86%(c) 15.41% 0.79% (1.89)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 60,659 $ 76,003 $ 61,802 $ 54,341 $ 72,491 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.58% 1.28% 1.22% 0.89% 0.86% Portfolio turnover rate (b) 120% 123% 110% 125% 96%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 48.79 $ 38.83 $ 33.24 $ 32.18 $ 27.96 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.02 0.06 0.05 0.09 0.04 Net realized and unrealized gain (loss) (1.93) 9.97 5.63 1.04 4.20 ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.91) 10.03 5.68 1.13 4.24 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.01) (0.07) (0.09) (0.07) (0.02) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 46.87 $ 48.79 $ 38.83 $ 33.24 $ 32.18 ========== ========== ========== ========== ========== TOTAL RETURN (a) (3.90)% 25.85%(d) 17.12% 3.54% 15.17% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 278,851 $ 361,010 $ 116,483 $ 56,502 $ 88,492 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.04% 0.11% 0.12% 0.32% 0.09% Portfolio turnover rate (b) 152% 141% 162% 161% 153%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (c) 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. (d) 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 119 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2019 2018 2017 2016 2015 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 35.40 $ 30.99 $ 27.09 $ 27.48 $ 26.23 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.45 0.40 0.40 0.45 0.37 Net realized and unrealized gain (loss) 0.68 4.40 3.92 (0.42) 1.27 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.13 4.80 4.32 0.03 1.64 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.41) (0.39) (0.42) (0.42) (0.39) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 36.12 $ 35.40 $ 30.99 $ 27.09 $ 27.48 ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.24% 15.57% 16.10% 0.19% 6.29% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 23,481 $ 15,931 $ 15,496 $ 14,897 $ 17,864 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.33% 1.21% 1.38% 1.69% 1.40% Portfolio turnover rate (b) 156% 136% 128% 145% 134%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 120 See Notes to Financial Statements -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 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 121 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 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 122 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of July 31, 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 Page 123 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 the same manner as other dividend and interest income. At July 31, 2019, all the Funds except FEX, FTA, and FMK had securities in the securities lending program. During the fiscal year ended July 31, 2019, all the Funds except FMK 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. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 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, 2019, 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 $ 17,636,192 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 7,372,456 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 5,893,001 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 19,337,442 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 4,584,530 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 1,340,962 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 458,046 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 675,721 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 115,920 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 917,901 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 105,410 -- -- First Trust Mega Cap AlphaDEX(R) Fund 250,051 -- --
Page 124 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 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 -- --
As of July 31, 2019, 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 $ 2,038,765 $ (238,316,356) $119,007,789 First Trust Mid Cap Core AlphaDEX(R) Fund 1,685,411 (193,329,921) 58,954,085 First Trust Small Cap Core AlphaDEX(R) Fund 633,695 (199,969,605) 11,713,104 First Trust Large Cap Value AlphaDEX(R) Fund 5,107,472 (207,550,849) 13,897,907 First Trust Large Cap Growth AlphaDEX(R) Fund 739,645 (156,645,434) 140,449,010 First Trust Multi Cap Value AlphaDEX(R) Fund 280,604 (31,860,987) (710,070) First Trust Multi Cap Growth AlphaDEX(R) Fund 124,079 (25,310,128) 29,111,849 First Trust Mid Cap Value AlphaDEX(R) Fund 209,390 (16,763,309) (1,568,523) First Trust Mid Cap Growth AlphaDEX(R) Fund 63,690 (47,568,903) 35,475,014 First Trust Small Cap Value AlphaDEX(R) Fund 170,969 (27,636,104) (4,747,218) First Trust Small Cap Growth AlphaDEX(R) Fund 74,492 (87,551,439) 21,306,604 First Trust Mega Cap AlphaDEX(R) Fund 57,699 (4,490,999) 971,466
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 2016, 2017, 2018, and 2019 remain open to federal and state audit. As of July 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, 2019, the Funds had post-enactment net capital losses for federal income tax purposes as shown in the following table. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to Fund shareholders. The Funds are subject to certain limitations, under U.S. tax rules, on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. Page 125 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019
Post Enactment - No Expiration ------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 238,316,356 First Trust Mid Cap Core AlphaDEX(R) Fund 193,329,921 First Trust Small Cap Core AlphaDEX(R) Fund 199,969,605 First Trust Large Cap Value AlphaDEX(R) Fund 207,550,849 First Trust Large Cap Growth AlphaDEX(R) Fund 156,645,434 First Trust Multi Cap Value AlphaDEX(R) Fund 31,860,987 First Trust Multi Cap Growth AlphaDEX(R) Fund 25,310,128 First Trust Mid Cap Value AlphaDEX(R) Fund 16,763,309 First Trust Mid Cap Growth AlphaDEX(R) Fund 47,568,903 First Trust Small Cap Value AlphaDEX(R) Fund 27,636,104 First Trust Small Cap Growth AlphaDEX(R) Fund 87,551,439 First Trust Mega Cap AlphaDEX(R) Fund 4,490,999
At the taxable year ended July 31, 2019, the following Funds' capital loss carryforwards expired in the following amounts:
Capital Loss Carryforward Expired ------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 1,020,863 First Trust Mid Cap Core AlphaDEX(R) Fund 1,502,304 First Trust Small Cap Core AlphaDEX(R) Fund 1,258,833 First Trust Large Cap Value AlphaDEX(R) Fund 298,768 First Trust Large Cap Growth AlphaDEX(R) Fund 1,803,151 First Trust Multi Cap Value AlphaDEX(R) Fund 322,362 First Trust Multi Cap Growth AlphaDEX(R) Fund 345,171
During the taxable year ended July 31, 2019, the following Funds utilized post-enactment capital loss carryforwards in the following amounts:
Capital Loss Carryforward Utilized ------------- First Trust Large Cap Value AlphaDEX(R) Fund $ 3,542,373 First Trust Multi Cap Value AlphaDEX(R) Fund 347,191
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, 2019, the Funds had no net late year ordinary or capital losses. In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2019, the adjustments for each Fund were as follows: Page 126 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ---------------- ---------------- ---------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 373,536 $ (92,478,619) $ 92,105,083 First Trust Mid Cap Core AlphaDEX(R) Fund 317,337 (53,585,658) 53,268,321 First Trust Small Cap Core AlphaDEX(R) Fund (47,787) (54,726,688) 54,774,475 First Trust Large Cap Value AlphaDEX(R) Fund 728,567 (4,661,847) 3,933,280 First Trust Large Cap Growth AlphaDEX(R) Fund (177,165) (112,159,261) 112,336,426 First Trust Multi Cap Value AlphaDEX(R) Fund 60,465 (245,068) 184,603 First Trust Multi Cap Growth AlphaDEX(R) Fund 10,342 (8,300,634) 8,290,292 First Trust Mid Cap Value AlphaDEX(R) Fund 42,375 31,439 (73,814) First Trust Mid Cap Growth AlphaDEX(R) Fund 3,554 (16,280,715) 16,277,161 First Trust Small Cap Value AlphaDEX(R) Fund (14,579) (517,852) 532,431 First Trust Small Cap Growth AlphaDEX(R) Fund 58,585 (23,200,346) 23,141,761 First Trust Mega Cap AlphaDEX(R) Fund -- (1,390,051) 1,390,051
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 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, 2020. Page 127 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 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 fiscal year ended July 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 Expenses Borne by First Trust Subject to Recovery ----------------------------------------------------- Advisory Expense Year Ended Year Ended Year Ended Fee Waivers Reimbursements 7/31/2017 7/31/2018 7/31/2019 Total ----------- -------------- ----------- ----------- ----------- ----------- First Trust Multi Cap Value AlphaDEX(R) Fund $ 23,214 $ -- $ -- $ -- $ 23,214 $ 23,214
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 fiscal year ended July 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 $ 1,445,196,089 $ 1,444,435,526 First Trust Mid Cap Core AlphaDEX(R) Fund 1,002,621,872 999,394,138 First Trust Small Cap Core AlphaDEX(R) Fund 746,070,772 744,932,707 First Trust Large Cap Value AlphaDEX(R) Fund 1,098,767,552 1,094,272,329 First Trust Large Cap Growth AlphaDEX(R) Fund 1,246,120,569 1,245,558,610 First Trust Multi Cap Value AlphaDEX(R) Fund 83,355,334 83,077,991 First Trust Multi Cap Growth AlphaDEX(R) Fund 242,912,522 242,687,388 First Trust Mid Cap Value AlphaDEX(R) Fund 59,101,775 58,848,760 First Trust Mid Cap Growth AlphaDEX(R) Fund 347,710,991 346,606,352 First Trust Small Cap Value AlphaDEX(R) Fund 75,134,494 75,007,486 First Trust Small Cap Growth AlphaDEX(R) Fund 519,799,543 519,050,900 First Trust Mega Cap AlphaDEX(R) Fund 34,817,826 34,800,001
Page 128 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 For the fiscal year ended July 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 $ 389,157,806 $ 513,745,210 First Trust Mid Cap Core AlphaDEX(R) Fund 286,681,032 299,696,036 First Trust Small Cap Core AlphaDEX(R) Fund 261,832,594 323,358,778 First Trust Large Cap Value AlphaDEX(R) Fund 127,030,476 76,761,019 First Trust Large Cap Growth AlphaDEX(R) Fund 725,668,130 637,659,808 First Trust Multi Cap Value AlphaDEX(R) Fund 2,405,554 5,444,627 First Trust Multi Cap Growth AlphaDEX(R) Fund 45,809,298 55,554,671 First Trust Mid Cap Value AlphaDEX(R) Fund 15,400,223 6,428,784 First Trust Mid Cap Growth AlphaDEX(R) Fund 201,785,449 117,992,598 First Trust Small Cap Value AlphaDEX(R) Fund 10,470,035 18,060,137 First Trust Small Cap Growth AlphaDEX(R) Fund 258,550,187 302,213,022 First Trust Mega Cap AlphaDEX(R) Fund 23,298,813 16,899,186
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 129 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 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, 2020. 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 130 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statements of assets and liabilities of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund (the "Funds"), each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the portfolios of investments, as of July 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the twelve portfolios included within the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2019, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America. BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2019, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois September 24, 2019 We have served as the auditor of one or more First Trust investment companies since 2001. Page 131 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 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 Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended July 31, 2019, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations:
Dividends Received Deduction --------------------- First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 93.59% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 91.28% First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00% First Trust Small Cap Value AlphaDEX(R) Fund 82.21% First Trust Small Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mega Cap AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2019, the following percentages of income dividend paid by the Funds is hereby designated as qualified dividend income:
Qualified Dividend Income --------------------- First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 94.48% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 92.35% First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00% First Trust Small Cap Value AlphaDEX(R) Fund 83.04% First Trust Small Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mega Cap AlphaDEX(R) Fund 100.00%
A portion of each of the First Trust Exchange-Traded AlphaDEX Style Funds' 2019 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2019, may be eligible for the Qualified Business Income Deduction (QBI) under Code Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trust (REIT) these Funds invest in. Page 132 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 (UNAUDITED) 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. 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. Page 133 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 (UNAUDITED) 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 REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Fund funds it manages (the "Funds") in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2018, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $2,633,004. This figure is comprised of $115,378 paid (or to be paid) in fixed compensation and $2,517,626 paid (or to be paid) in variable compensation. There were a total of 14 beneficiaries of the remuneration described above. Those amounts include $1,672,097 paid (or to be paid) to senior management of First Trust Advisors L.P. and $960,907 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Page 134 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 (UNAUDITED) Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees (the "Board") of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreements (as applicable to a specific Fund, the "Agreement" and collectively, the "Agreements") with First Trust Advisors L.P. (the "Advisor") on behalf of the following twelve series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Mega Cap AlphaDEX(R) Fund (FMK) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2020 at a meeting held on June 2, 2019. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2019 and June 2, 2019, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the Page 135 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 (UNAUDITED) advisory or unitary fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2019, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and independent legal counsel held prior to the June 2, 2019 meeting, as well as at the meeting held that day. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory or unitary fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2019 meeting, described to the Board the scope of its ongoing investment in additional infrastructure and personnel to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreements have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. For FEX, FNX, FYX, FAD, FAB, FTC and FTA (the "Non-Unitary Fee Funds"), the Board considered the advisory fee rate payable by each Non-Unitary Fee Fund under the applicable Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Non-Unitary Fee Fund through November 30, 2020. For each Non-Unitary Fee Fund, the Board noted that expenses borne or fees waived by the Advisor are to be subject to reimbursement by the Non-Unitary Fee Fund for up to three years from the date the expense was incurred or fee was waived, but no reimbursement payment would be made by the Non-Unitary Fee Fund if it would result in the Non-Unitary Fee Fund exceeding an expense ratio equal to the expense cap in place at the time the expenses were borne or fees were waived by the Advisor. For FNY, FNK, FYC, FYT and FMK (the "Unitary Fee Funds"), the Board considered the unitary fee rate payable by each Unitary Fee Fund under the applicable Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Unitary Fee Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the applicable Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group included peer funds that pay a unitary fee and because each Unitary Fee Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of FTC was below the median total (net) expense ratio of the peer funds in its Expense Group and that the total (net) expense ratio of each other Non-Unitary Fee Fund and the unitary fee for each Unitary Fee Fund were above the median total (net) expense ratio of the peer funds in each Fund's respective Expense Group. With respect to the Expense Groups, the Board, at the April 18, 2019 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business Page 136 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2019 (UNAUDITED) models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory and unitary fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's description of its long-term commitment to each Fund. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2018 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board noted that, effective April 8, 2016, each Fund changed its underlying index to an index developed and maintained by Nasdaq, Inc. using the AlphaDEX(R) stock selection methodology and that the performance information included a blend of the old and new indexes. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund's performance to that of its respective Performance Universe and to that of a broad-based benchmark index, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory or unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreements. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes its expenses will likely increase over the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Funds. For the Unitary Fee Funds, the Board noted that any reduction in fixed costs associated with the management of the Unitary Fee Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Unitary Fee Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2018 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of each Fund. No single factor was determinative in the Board's analysis. Page 137 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2019 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 E. Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton 162 None (1951) Orthopedics; Limited Partner, o Since Inception Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 162 Director of ADM (1957) (Futures Commission Merchant) Investor Services, o Since Inception Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial and 162 Director of Trust (1956) Management Consulting) Company of o Since Inception Illinois Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 162 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 162 None Chairman of the Board Advisors L.P. and First Trust (1955) o Since Inception Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)
----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 138 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2019 (UNAUDITED)
POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ James M. Dykas President and Chief Executive o Indefinite Term Managing Director and Chief Financial Officer (1966) Officer (January 2016 to Present), Controller (January 2011 o Since January 2016 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice (1972) Officer and Chief President (April 2012 to July 2016), First Trust Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and (1960) Legal Officer First Trust Portfolios L.P.; Secretary and General o Since Inception Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Chief Compliance Officer Since January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. (1966) and First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. (1970) and First Trust Portfolios L.P. o Since Inception
----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 139 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2019 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2019 Page 140 -------------------------------------------------------------------------------- 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. (a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. (c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. (d) The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item's instructions. (e) Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. As of the end of the period covered by the report, the registrant's board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $420,000 for 2018 and $420,000 for 2019. (b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2018 and $0 for 2019. Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2018 and $0 for 2019. (c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $45,675 for 2018 and $61,425 for 2019. These fees were for tax consultation. Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant's adviser and distributor were $0 for 2018 and $0 for 2019. (d) All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2018 and $0 for 2019. All Other Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant's investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2018 and $0 for 2019 for the Adviser and $0 for 2018 and $0 for 2019 for the Distributor. (e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X. Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the "Committee") is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee. The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence. (e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment adviser and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: Registrant: Adviser and Distributor: ----------- ------------------------ (b) 0% (b) 0% (c) 0% (c) 0% (d) 0% (d) 0% (f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. (g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for 2018 were $45,675 for the registrant, $43,390 for the registrant's investment adviser and $68,710 for the registrant's distributor, and for 2019 were $61,425 for the registrant, $33,300 for the registrant's investment adviser and $46,000 for the registrant's distributor. (h) The registrant's audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson. ITEM 6. INVESTMENTS. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 13. EXHIBITS. (a) (1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. (a) (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a) (3) Not Applicable (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (registrant) First Trust Exchange-Traded AlphaDEX(R) Fund ---------------------------------------------------- By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) Date: October 4, 2019 ----------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) Date: October 4, 2019 ----------------- By (Signature and Title)* /s/ Donald P. Swade ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: October 4, 2019 ----------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 cert_302.txt 302 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James M. Dykas, certify that: 1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the 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: October 4, 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 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: October 4, 2019 /s/ Donald P. Swade ----------------- ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) EX-99.906CERT 3 cert_906.txt 906 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(B) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT I, James M. Dykas, President and Chief Executive Officer of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: October 4, 2019 /s/ James M. Dykas ----------------- ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) I, Donald P. Swade, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: October 4, 2019 /s/ Donald P. Swade ----------------- ---------------------------------------- Donald P. Swade, President and Chief Executive Officer (principal executive officer) EX-99.CODE ETH 4 ethics.txt CODE OF ETHICS SENIOR FINANCIAL OFFICER CODE OF CONDUCT I. INTRODUCTION This code of conduct is being adopted by the investment companies advised by First Trust Advisors L.P., from time to time, (the "Funds"). The reputation and integrity of the Funds are valuable assets that are vital to the Funds' success. Each officer of the Funds, and officers and employees of the investment adviser to the Funds who work on Fund matters, including each of the Funds' senior financial officers ("SFOs"), is responsible for conducting each Fund's business in a manner that demonstrates a commitment to the highest standards of integrity. SFOs include the Principal Executive Officer (who is the President), the Controller (who is the principal accounting officer), and the Treasurer (who is the principal financial officer), and any person who performs a similar function. The Funds, First Trust Advisors L.P. and First Trust Portfolios have adopted Codes of Ethics under Rule 17j-1 under the Investment Company Act of 1940 (the "Rule 17j-1 Code"). These Codes of Ethics are designed to prevent certain conflicts of interest that may arise when officers, employees, or directors of the Funds and the foregoing entities know about present or future Fund transactions and/or have the power to influence those transactions, and engage in transactions with respect to those same securities in their personal account(s) or otherwise take advantage of their position and knowledge with respect to those securities. In an effort to prevent these conflicts and in accordance with Rule 17j-1, the Funds adopted their Rule 17j-1 Code to prohibit transactions and conduct that create conflicts of interest, and to establish compliance procedures. The Sarbanes-Oxley Act of 2002 was designed to address corporate malfeasance and to help assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under Section 406 of the Act, all public companies (including the Funds) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to prevent future situations (such as occurred in well-reported situations involving such companies as Enron and WorldCom) where a company creates an environment in which employees are afraid to express their opinions or to question unethical and potentially illegal business practices. The Funds have chosen to adopt a senior financial officer Code of Conduct to encourage their SFOs, and other Fund officers and employees of First Trust Advisors or First Trust Portfolios to act ethically and to question potentially unethical or illegal practices, and to strive to ensure that the Funds' financial disclosures are complete, accurate, and understandable. II. PURPOSES OF THIS CODE OF CONDUCT The purposes of this Code are: A. To promote honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; B. To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Funds file with, or submits to, the SEC and in other public communications the Funds make; C. To promote compliance with applicable governmental laws, rules and regulations; D. To encourage the prompt internal reporting to an appropriate person of violations of the Code; and E. To establish accountability for adherence to the Code. III. QUESTIONS ABOUT THIS CODE The Funds' Boards of Trustees have designated W. Scott Jardine or other appropriate officer designated by the President of the respective Funds to be the Compliance Coordinator for the implementation and administration of the Code. IV. HANDLING OF FINANCIAL INFORMATION The Funds have adopted guidelines under which its SFOs perform their duties. However, the Funds expect that all officers or employees of the adviser or distributor who participate in the preparation of any part of any Fund's financial statements follow these guidelines with respect to each Fund: A. Act with honesty and integrity and avoid violations of this Code, including actual or apparent conflicts of interest with the Fund in personal and professional relationships. B. Disclose to the Fund's Compliance Coordinator any material transaction or relationship that reasonably could be expected to give rise to any violations of the Code, including actual or apparent conflicts of interest with the Fund. You should disclose these transactions or relationships whether you are involved or have only observed the transaction or relationship. If it is not possible to disclose the matter to the Compliance Coordinator, it should be disclosed to the Fund's Principal Financial Officer or Principal Executive Officer. C. Provide information to the Fund's other officers and appropriate employees of service providers (adviser, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete, objective, relevant, timely, and understandable. D. Endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Fund's periodic reports. E. Comply with the federal securities laws and other applicable laws and rules, such as the Internal Revenue Code. F. Act in good faith, responsibly, and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated. G. Respect the confidentiality of information acquired in the course of your work except when you have Fund approval to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage. H. Share and maintain skills important and relevant to the Fund's needs. I. Proactively promote ethical behavior among peers in your work environment. J. Responsibly use and control all assets and resources employed or entrusted to you. K. Record or participate in the recording of entries in the Fund's books and records that are accurate to the best of your knowledge. V. WAIVERS OF THIS CODE SFOs and other parties subject to this Code may request a waiver of a provision of this Code (or certain provisions of the Fund's Rule 17j-1 Code) by submitting their request in writing to the Compliance Coordinator for appropriate review. An executive officer of the Fund or the Audit Committee will decide whether to grant a waiver. All waivers of this Code must be disclosed to the Fund's shareholders to the extent required by SEC rules. A good faith interpretation of the provisions of this Code, however, shall not constitute a waiver. VI. ANNUAL CERTIFICATION Each SFO will be asked to certify on an annual basis that he/she is in full compliance with the Code and any related policy statements. VII. REPORTING SUSPECTED VIOLATIONS A. SFOs or other officers of the Funds or employees of the First Trust group who work on Fund matters who observe, learn of, or, in good faith, suspect a violation of the Code must immediately report the violation to the Compliance Coordinator, another member of the Funds' or First Trust's senior management, or to the Audit Committee of the Fund Board. An example of a possible Code violation is the preparation and filing of financial disclosure that omits material facts, or that is accurate but is written in a way that obscures its meaning. B. Because service providers such as an administrator, outside accounting firm, and custodian provide much of the work relating to the Funds' financial statements, you should be alert for actions by service providers that may be illegal, or that could be viewed as dishonest or unethical conduct. You should report these actions to the Compliance Coordinator even if you know, or think, that the service provider has its own code of ethics for its SFOs or employees. C. SFOs or other officers or employees who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated confidentially to the extent possible. VIII. VIOLATIONS OF THE CODE A. Dishonest, unethical or illegal conduct will constitute a violation of this Code, regardless of whether this Code specifically refers to that particular conduct. A violation of this Code may result in disciplinary action, up to and including termination of employment. A variety of laws apply to the Funds and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Fund directors and officers, and criminal laws. The federal securities laws generally prohibit the Funds from making material misstatements in its prospectus and other documents filed with the SEC, or from omitting to state a material fact. These material misstatements and omissions include financial statements that are misleading or omit materials facts. B. Examples of criminal violations of the law include stealing, embezzling, misapplying corporate or bank funds, making a payment for an expressed purpose on a Fund's behalf to an individual who intends to use it for a different purpose; or making payments, whether corporate or personal, of cash or other items of value that are intended to influence the judgment or actions of political candidates, government officials or businesses in connection with any of the Funds' activities. The Funds must and will report all suspected criminal violations to the appropriate authorities for possible prosecution, and will investigate, address and report, as appropriate, non-criminal violations. Amended: June 1, 2009