0001445546-20-004941.txt : 20201009 0001445546-20-004941.hdr.sgml : 20201009 20201009140832 ACCESSION NUMBER: 0001445546-20-004941 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20200731 FILED AS OF DATE: 20201009 DATE AS OF CHANGE: 20201009 EFFECTIVENESS DATE: 20201009 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: 201232882 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, 2020 --------------- 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, 2020 -------------------------------------------------------------------------------- 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, 2020 Shareholder Letter........................................................... 2 Market Overview.............................................................. 3 Fund Performance Overview First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 4 First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 6 First Trust Energy AlphaDEX(R) Fund (FXN).............................. 8 First Trust Financials AlphaDEX(R) Fund (FXO).......................... 10 First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 12 First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 14 First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 16 First Trust Technology AlphaDEX(R) Fund (FXL).......................... 18 First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 20 Notes to Fund Performance Overview........................................... 22 Understanding Your Fund Expenses............................................. 23 Portfolio of Investments First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 25 First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 28 First Trust Energy AlphaDEX(R) Fund (FXN).............................. 30 First Trust Financials AlphaDEX(R) Fund (FXO).......................... 32 First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 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............................................... 73 Privacy Policy............................................................... 75 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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's 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, 2020 Dear Shareholders: First Trust is pleased to provide you with the annual report for the Sector Funds of the First Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which contains detailed information about the Funds for the 12-month period ended July 31, 2020. When I think back to the direction the U.S. economy was headed midway through 2018, the first thought that comes to mind is normalization. At that time, it was a welcome notion. If you recall, the Trump Administration signed the Tax Cuts & Jobs Act of 2017 on December 22, 2017. Perhaps the most exciting part of the new tax law was the slashing of the federal corporate tax rate from 35%, which was among the highest of any country in the world, to 21%. This was well received, in our opinion. U.S. economic activity was rising even before the ink was dry on the tax bill. Real U.S. gross domestic product grew at an annualized rate of 3.9% in the fourth quarter of 2017, and then rose an annualized 3.8% in the first quarter of 2018, according to the Bureau of Economic Analysis. The last time U.S. economic growth had exceeded the 3.0% mark was in the first quarter of 2015. Over the two terms of the Obama Administration (2009-2016), U.S. economic growth averaged just 2.0%, which was modest by historical standards. Brian Wesbury, Chief Economist at First Trust Advisors L.P., referred to it as the "Plow Horse Economy." The main takeaway here is that the Trump Administration's tax cuts were helping to drive economic growth to more normalized levels. The process had begun. As economic growth was normalizing in 2018, so were interest rates and bond yields. The Federal Reserve (the "Fed") raised the federal funds target rate (upper bound) from 1.50% at the start of 2018 to 2.50% at year-end, or an increase of 100 basis points ("bps"). The yield on the 10-Year Treasury Note ("T-Note"), which the Fed does not control, rose 83 bps from the start of 2018 to its calendar year peak of 3.24% on November 8, 2018. The point here is that while interest rates and bond yields were well into the process of normalizing, they were still below their historical norms. For the 30-year period ended December 31, 2018, the federal funds target rate (upper bound) averaged 3.18%, while the 10-Year T-Note's average yield was 4.71%, according to Bloomberg. If you recall, industry pundits had been characterizing the persistent low-rate, low-growth climate as the "new normal." While the concept of getting back to normal in the economy and markets looked achievable, in the end, it was not meant to be. What derailed the momentum? In a word: tariffs. In March 2018, less than three months after enacting its tax reform legislation, the Trump Administration initiated a tariff program targeting imported goods and services from the major trading partners of the U.S. In February 2020, the White House acknowledged that the Trump Administration's trade policies "depressed economic growth and business investment," according to Bloomberg. President Trump was pressuring the Fed to lower interest rates months before the coronavirus ("COVID-19") showed itself. The tariffs are still in play today. Let us fast forward to today's climate. For all intents and purposes, from a monetary policy standpoint, we are back to where we were following the 2008-2009 financial crisis. The federal funds target rate (upper bound) stood at 0.25% on July 31, 2020. That is where it sat from December 2008 to December 2015. That puts us farther away from normalcy than we were leading up to 2018. While the COVID-19 pandemic was what drove the U.S. economy into a recession and what pushed the stock market into bear market territory, at least for a few months, we know that there are other headwinds to be navigated, such as government trade policies and elections. There are always going to be headwinds to be navigated. As of July 31, 2020, the yield on the 10-Year T-Note was 0.53%, which was about 150 bps below where it stood at the close of December 2008. The Fed has stated that it is in no rush to raise interest rates. Inflation levels are subdued. By keeping interest rates artificially low, the Fed is incentivizing investors to assume more risk to potentially earn a higher return on their capital. With the help of the Fed, the stock and bond markets have proved their resiliency once again, despite how destructive COVID-19 has been to date. Investors should take solace in that fact. Maybe the new normal will work as well for investors as what we deemed normal in the past. Stay the course! Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 31, 2020 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 27 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 A year ago, we were laser focused on the Trump Administration's trade war with China. Little did we know back then that we would be swapping anxiety over tariffs for a virus pandemic. The coronavirus ("COVID-19") has been front and center since its onset early in the first quarter of 2020. Its arrival ended the bull market in stocks and temporarily shuttered a major chunk of not only the U.S. economy, but economies around the globe. The U.S. economy contracted by an annualized 5.0% in the first quarter of 2020 and then plunged an annualized 32.9% in the second quarter of 2020, according to the Bureau of Economic Analysis. The National Bureau of Economic Research, the organization that determines the beginning and end of business cycles in the U.S., reported on June 8, 2020, that U.S. economic activity peaked in February of this year. That marked the end of a 128-month economic expansion, the longest in this nation's history. We now know that the U.S. economy is in a recession. While the trillions of dollars of stimulus that has been appropriated by government leaders and central bankers throughout the globe is helping to prop up economies decimated (financial cost and human toll) by COVID-19, we believe that its primary objective is to simply buy time so that health care companies can develop therapeutics and vaccines to combat the virus. There are indicators we can cite that show just how rough it is in the business world despite the stimulus efforts. One of our go to barometers is the default rate on lower-quality, high yield corporate bonds. As of July 31, 2020, the trailing 12-month global speculative-grade default rate was 6.1%, according to Moody's Investors Service. It now stands above its historical average of 4.1%. Moody's estimates that it will climb to 8.8% by the end of 2020. That happens to coincide with the target date for when some pundits believe we could see the first FDA-approved vaccines for COVID-19. This is something we plan to monitor closely. The International Monetary Fund ("IMF") is forecasting year-over-year global growth rate estimates of -4.9% for 2020 and 5.4% for 2021, compared to 3.6% in 2018 and 2.9% in 2019. With respect to the U.S., it sees gross domestic product growth declining by an estimated 8.0% in 2020 and then rebounding 4.5% in 2021. That is in line with the -8.0% and 4.8% estimates for 2020 and 2021 for all Advanced Economies. Emerging Market and Developing Economies are expected to hold up better than their developed nation counterparts. The IMF puts their growth rate targets at -3.0% for 2020 and 5.9% for 2021. 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 $6.66 trillion in July 2020, up from $5.74 trillion a year ago, according to its own release. Total assets of U.S. listed ETFs/ETPs stood at an all-time high of $4.61 trillion, up from $4.02 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, 2020, U.S. Equity funds/ETFs reported estimated net outflows totaling $177.64 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 $62.14 billion, compared to estimated net outflows totaling $239.78 billion for actively managed U.S. Equity funds/ETFs. Investors were net buyers of sector funds and ETFs over the past year. For the 12-month period ended July 31, 2020, Sector Equity funds/ETFs reported estimated net inflows totaling $5.30 billion. Passive Sector Equity funds/ETFs reported estimated net inflows totaling $23.44 billion, compared to estimated net outflows totaling $18.14 billion for actively managed Sector Equity funds/ETFs for the same period. For the 12-month period ended July 31, 2020, eight of the 11 major sectors that comprise the S&P 500(R) Index (the "Index") generated positive total returns, according to Bloomberg. The Index posted a total return of 11.96% over the period. Four of the 11 sectors outperformed the broader index. Those four sectors were as follows: Information Technology (+38.91%); Consumer Discretionary (+21.57%); Health Care (+18.77%); and Communication Services (+14.76%), according to Bloomberg. The three sectors that posted negative total returns for the period were Energy, Financials and Industrials, down 38.26%, 12.81% and 5.70%, respectively. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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 Industry Classification Benchmark ("ICB") 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -7.39% 2.28% 10.53% 6.17% 11.92% 172.19% 120.70% Market Price -7.37% 2.28% 10.53% 6.17% 11.92% 172.25% 120.75% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index -6.89% 2.91% 11.27% 6.91% 15.40% 190.95% 142.04% Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26% S&P 500(R) Consumer Discretionary Index 21.57% 14.10% 18.31% 12.08% 93.36% 437.52% 352.00% Russell 1000(R) Consumer Discretionary Index(1) 20.48% 13.68% 17.80% N/A 89.86% 414.51% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a net asset value ("NAV") return of -7.39% during the period covered by this report. During the same period, the S&P 500(R) Consumer Discretionary Index (the "Benchmark") generated a return of 21.57%. The Specialty Retail industry was the industry with the greatest allocation in the Fund during the period. This industry had an average weight of 17.2% in the Fund but contributed -0.2% to the Fund's performance. The industry with the greatest contribution to the Fund's return was the Entertainment industry. Investments in this industry received an allocation of 5.1% and contributed 2.2% to the Fund's total return. Meanwhile, investments in the Hotels, Restaurants, & Leisure industry were the most significant drag on the Fund's performance, contributing -4.1%. On a relative basis, the Fund underperformed the Benchmark. The underperformance in the Fund during the period came primarily from the Fund's underweight of Amazon.com, Inc. ("Amazon"). Amazon had a 0.6% allocation in the Fund and a 33.9% weight in the Benchmark. This security alone accounted for -15.0% of underperformance for the Fund versus the Benchmark. The Internet & Direct Marketing Retail industry, overall, caused -13.9% of underperformance for the Fund. There was some outperformance for the Fund which came from investments in the Automobiles industry, with 3.2% of outperformance earned for the Fund. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 70.94% Communication Services 13.20 Industrials 10.02 Information Technology 3.61 Consumer Staples 2.23 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Wayfair, Inc., Class A 1.84% Tesla, Inc. 1.81 Carvana Co. 1.76 PulteGroup, Inc. 1.75 Chegg, Inc. 1.64 Toll Brothers, Inc. 1.60 Graham Holdings Co., Class B 1.59 Floor & Decor Holdings, Inc., Class A 1.56 Etsy, Inc. 1.52 Trade Desk (The), Inc., Class A 1.51 ------- Total 16.58% ======= ----------------------------- (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 Russell Global Sectors ("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. StrataQuant(R) and StrataQuant(R) Consumer Discretionary Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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, 2010 - JULY 31, 2020 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 7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/11 12,314 12,358 11,876 11,952 12,066 7/31/11 13,475 13,585 12,068 12,850 12,849 1/31/12 13,196 13,366 12,345 13,523 13,479 7/31/12 13,063 13,251 13,029 14,378 14,457 1/31/13 15,612 15,900 14,447 16,723 16,883 7/31/13 18,572 18,982 16,446 19,942 19,956 1/31/14 19,658 20,172 17,659 21,298 21,331 7/31/14 20,869 21,487 19,252 22,473 22,440 1/31/15 22,495 23,239 20,090 24,069 23,970 7/31/15 24,321 25,214 21,415 27,795 27,096 1/31/16 21,145 21,986 19,726 25,941 24,942 7/31/16 23,754 24,772 22,452 28,776 27,858 1/31/17 23,761 24,861 23,830 30,215 29,033 7/31/17 24,964 26,204 26,032 32,777 31,707 1/31/18 29,432 30,997 29,987 38,975 37,706 7/31/18 28,502 30,107 30,245 40,480 38,393 1/31/19 27,530 29,162 29,334 39,642 37,970 7/31/19 29,394 31,250 32,666 44,219 42,702 1/31/20 29,685 31,675 35,609 46,284 45,132 7/31/20 27,219 29,095 36,596 53,752 51,451
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 136 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 117 0 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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 ICB 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV 8.46% 3.03% 11.66% 8.52% 16.07% 201.18% 194.82% Market Price 8.35% 3.00% 11.65% 8.51% 15.93% 201.09% 194.57% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index 9.25% 3.72% 12.48% 9.31% 20.02% 224.19% 224.75% Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26% S&P 500(R) Consumer Staples Index 8.14% 7.51% 11.89% 9.55% 43.66% 207.51% 234.15% Russell 1000(R) Consumer Staples Index(1) 6.53% 5.45% 11.23% N/A 30.39% 189.88% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 8.46% during the period covered by this report. During the same period, the S&P 500(R) Consumer Staples Index (the "Benchmark") generated a return of 8.14%. The Food Products industry received the greatest allocation in the Fund during the period, with an average weight of 43.9%. However, this industry was a relative non-performer for the Fund and contributed -0.4% to the Fund's overall return. The industry with the greatest contribution to the Fund's return was the Personal Products industry. These investments carried an allocation in the Fund of 4.4% and resulted in a 2.7% contribution to Fund return. Investments in the Chemicals industry caused the most drag on Fund performance. Fortunately, these investments received an allocation of only 0.6%, limiting the drag to the Fund's return to only -0.4%. On a relative basis, the Fund outperformed the Benchmark during the period. The greatest source of outperformance for the Fund versus the Benchmark during the period covered by this report came from investments in the Personal Products industry. The Fund was overweight in this industry and also benefitted from the selection effect, which resulted in 2.1% of outperformance for the Fund. The investments in the Food Products industry, meanwhile, earned significant underperformance for the Fund versus the Benchmark. The Fund maintained a significant overweight in this industry compared to the Benchmark and investments in the Food Products industry led to -3.1% of underperformance for the Fund. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Staples 85.14% Health Care 9.25 Consumer Discretionary 3.93 Materials 1.68 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Boston Beer (The) Co., Inc., Class A 5.94% Grocery Outlet Holding Corp. 4.24 Energizer Holdings, Inc. 4.15 Sprouts Farmers Market, Inc. 4.05 Tyson Foods, Inc., Class A 4.05 Dollar General Corp. 3.93 Walgreens Boots Alliance, Inc. 3.78 Nu Skin Enterprises, Inc., Class A 3.69 Pilgrim's Pride Corp. 3.57 Archer-Daniels-Midland Co. 3.38 ------- Total 40.78% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Consumer Staples Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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, 2010 - JULY 31, 2020 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 7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/11 11,194 11,244 11,876 10,897 10,888 7/31/11 13,120 13,227 12,068 11,771 12,005 1/31/12 12,677 12,831 12,345 12,429 12,509 7/31/12 12,723 12,967 13,029 14,086 14,007 1/31/13 14,821 15,159 14,447 14,793 14,874 7/31/13 18,306 18,810 16,446 16,751 16,901 1/31/14 18,971 19,562 17,659 16,725 16,967 7/31/14 21,079 21,819 19,252 17,944 18,387 1/31/15 23,844 24,741 20,090 20,221 20,660 7/31/15 25,947 27,010 21,415 21,406 22,234 1/31/16 24,850 25,935 19,726 21,937 22,683 7/31/16 28,334 29,669 22,452 23,904 24,781 1/31/17 26,523 27,863 23,830 23,347 24,281 7/31/17 27,396 28,874 26,032 24,956 25,689 1/31/18 29,705 31,412 29,987 26,481 26,493 7/31/18 27,543 29,238 30,245 24,810 24,710 1/31/19 27,069 28,814 29,334 25,125 24,876 7/31/19 27,770 29,673 32,666 28,442 27,211 1/31/20 29,231 31,348 35,609 30,589 29,361 7/31/20 30,118 32,419 36,596 30,751 28,988
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 83 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 170 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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 ICB 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -38.32% -16.10% -7.44% -7.15% -58.44% -53.85% -62.53% Market Price -38.27% -16.10% -7.45% -7.15% -58.44% -53.91% -62.53% INDEX PERFORMANCE StrataQuant(R) Energy Index -38.14% -15.70% -6.93% -6.61% -57.42% -51.24% -59.52% Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26% S&P 500(R) Energy Index -38.26% -8.69% -1.09% -1.95% -36.53% -10.38% -22.93% Russell 1000(R) Energy Index(1) -37.58% -9.28% -1.59% N/A -38.56% -14.82% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -38.32% during the period covered by this report. During the same period, the S&P 500(R) Energy Index (the "Benchmark") generated a return of -38.26%. During the period covered by this report, the Fund invested 88.8% in the Oil, Gas & Consumable Fuels industry. Investments in this industry generated a -38.8% contribution to the Fund's total return. The Fund also allocated 1.1% to the Semiconductors & Semiconductor Equipment industry, which contributed 2.4% to the Fund's total return. The Fund's and the Benchmark's return were very nearly the same during the period covered by this report. The Fund's performance was 6 basis points (0.06%) worse than that of the Benchmark's, with returns of -38.32% and -38.26%, respectively. The investments in the most heavily weighted industry, Oil, Gas & Consumable Fuels, earned 3.8% of outperformance for the Fund versus the Benchmark. Investments in the Chemicals industry as well as the Energy Equipment & Services industry each caused -0.7% of underperformance for the Fund versus the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Energy 83.79% Information Technology 13.56 Materials 2.65 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Enphase Energy, Inc. 5.29% SolarEdge Technologies, Inc. 5.26 Continental Resources, Inc. 4.11 Exxon Mobil Corp. 3.92 WPX Energy, Inc. 3.90 EOG Resources, Inc. 3.85 Marathon Oil Corp. 3.74 ConocoPhillips 3.71 Cabot Oil & Gas Corp. 3.63 Pioneer Natural Resources Co. 3.31 ------- Total 40.72% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Energy Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 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 7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/11 14,067 14,118 11,876 13,625 13,666 7/31/11 14,869 14,982 12,068 14,241 14,276 1/31/12 12,451 12,592 12,345 13,495 13,388 7/31/12 11,672 11,851 13,029 13,526 13,325 1/31/13 13,890 14,160 14,447 14,969 14,785 7/31/13 14,428 14,749 16,446 16,044 15,838 1/31/14 15,271 15,667 17,659 16,300 16,170 7/31/14 18,077 18,604 19,252 19,001 18,926 1/31/15 13,005 13,403 20,090 15,269 14,999 7/31/15 11,101 11,451 21,415 14,120 13,863 1/31/16 8,558 8,829 19,726 12,271 11,795 7/31/16 9,694 10,018 22,452 14,408 13,773 1/31/17 10,740 11,142 23,830 15,536 14,883 7/31/17 9,211 9,591 26,032 14,434 13,709 1/31/18 10,290 10,760 29,987 16,561 15,722 7/31/18 11,648 12,223 30,245 17,281 16,556 1/31/19 9,065 9,520 29,334 14,518 13,819 7/31/19 7,481 7,885 32,666 14,518 13,648 1/31/20 6,163 6,525 35,609 12,992 12,196 7/31/20 4,615 4,876 36,596 8,962 8,518
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 107 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% 8/1/15 - 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 8/1/19 - 7/31/20 143 0 0 1 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 the common stocks and real estate investment trusts ("REITs") 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 ICB 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -17.56% 3.23% 9.11% 3.81% 17.22% 139.18% 63.97% Market Price -17.56% 3.22% 9.11% 3.81% 17.17% 139.18% 63.96% INDEX PERFORMANCE StrataQuant(R) Financials Index -16.94% 3.93% 9.91% 4.64% 21.28% 157.31% 82.33% Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26% S&P 500(R) Financials Index -12.81% 5.55% 9.38% 0.31% 30.99% 145.12% 4.25% Russell 1000(R) Financial Services Index(1) -5.99% 7.91% 11.07% N/A 46.36% 185.75% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -17.56% during the period covered by this report. During the same period, the S&P 500(R) Financials Index (the "Benchmark") generated a return of -12.81%. During the period covered by this report, the Fund invested 25.2% into both the Banking and Insurance industries. The Banking industry selections contributed -5.5% to the Fund's return, while the Insurance industry contributed -2.6% to the Fund's return. Investments in the Mortgage Real Estate Investment industry caused the greatest contribution to the Fund's return, with a 2.3% contribution to return. Meanwhile, investments in the Equity Real Estate industry caused the most drag on the Fund with a contribution to the Fund's return of -6.1%. On a relative basis, the Fund underperformed the Benchmark. The greatest source of relative underperformance were investments in the Capital Markets industry, which caused -2.9% of underperformance for the Fund versus the Benchmark. The Fund made up for some of this underperformance with 1.9% of outperformance for the Fund coming from investments in the Mortgage Real Estate Investment industry. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- OneMain Holdings, Inc. 1.85% Hartford Financial Services Group (The), Inc. 1.73 First American Financial Corp. 1.68 Equitable Holdings, Inc. 1.68 Fidelity National Financial, Inc. 1.67 Virtu Financial, Inc., Class A 1.66 Jefferies Financial Group, Inc. 1.65 Unum Group 1.64 MetLife, Inc. 1.64 MarketAxess Holdings, Inc. 1.63 ------- Total 16.83% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) 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. StrataQuant(R) and StrataQuant(R) Financials Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 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 7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/11 11,520 11,570 11,876 11,222 11,241 7/31/11 11,025 11,118 12,068 10,196 10,465 1/31/12 11,116 11,260 12,345 9,786 10,208 7/31/12 11,529 11,723 13,029 10,310 10,861 1/31/13 13,662 13,951 14,447 12,355 12,839 7/31/13 16,076 16,476 16,446 14,685 15,045 1/31/14 16,987 17,476 17,659 15,241 15,761 7/31/14 17,837 18,417 19,252 16,360 16,839 1/31/15 18,598 19,271 20,090 16,960 17,710 7/31/15 20,402 21,216 21,415 18,716 19,525 1/31/16 17,995 18,763 19,726 16,352 17,311 7/31/16 20,448 21,401 22,452 18,010 19,253 1/31/17 23,325 24,496 23,830 22,080 22,122 7/31/17 25,354 26,708 26,032 23,950 24,179 1/31/18 28,100 29,707 29,987 28,659 28,067 7/31/18 28,159 29,871 30,245 27,177 27,682 1/31/19 26,635 28,338 29,334 25,479 26,808 7/31/19 29,012 30,978 32,666 28,115 30,395 1/31/20 29,949 32,094 35,609 30,128 32,724 7/31/20 23,918 25,731 36,596 24,512 28,575
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 123 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 130 0 0 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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 ICB 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV 22.75% 6.47% 16.10% 12.58% 36.84% 344.88% 379.58% Market Price 22.74% 6.46% 16.10% 12.58% 36.76% 344.84% 379.53% INDEX PERFORMANCE StrataQuant(R) Health Care Index 23.61% 7.18% 16.90% 13.39% 41.41% 376.49% 427.40% Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26% S&P 500(R) Health Care Index 18.77% 8.68% 16.18% 10.45% 51.60% 347.88% 272.50% Russell 1000(R) Health Care Index(1) 20.38% 9.08% 16.80% N/A 54.41% 372.66% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 22.75% during the period covered by this report. During the same period, the S&P 500(R) Health Care Index (the "Benchmark") generated a return of 18.77%. During the period covered by this report, the Fund allocated a similar weighting to three industries. The Health Care Equipment & Supplies industry received an allocation of 25.8%; the Health Care Providers & Services industry received an allocation of 25.1%; and the Biotechnology industry received a 21.1% allocation. The industry with the greatest contribution to the Fund's performance was the Health Care Equipment & Supplies industry. This industry's 25.8% allocation caused a 7.7% contribution to the Fund's return. The only industry with a negative contribution to the Fund's return was investments in the Health Care Technology industry. This industry received a weight of only 1.8% in the Fund and contributed -0.2% to the Fund's return. On a relative basis, the Fund outperformed the Benchmark. Outperformance of 3.8% came from the Health Care Equipment & Supplies industry, which was the industry with the greatest allocation. Multiple industries caused minimal underperformance, with the most significant coming from the Health Care Technology industry, which caused -0.5% of underperformance for the Fund versus the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Quidel Corp. 2.34% West Pharmaceutical Services, Inc. 2.19 Universal Health Services, Inc., Class B 2.19 Bio-Rad Laboratories, Inc., Class A 2.15 Charles River Laboratories International, Inc. 2.11 Horizon Therapeutics PLC 2.04 DexCom, Inc. 1.99 Tandem Diabetes Care, Inc. 1.95 Biogen, Inc. 1.90 Regeneron Pharmaceuticals, Inc. 1.88 ------- Total 20.74% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Health Care Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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, 2010 - JULY 31, 2020 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 7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/11 12,236 12,289 11,876 11,188 11,326 7/31/11 13,267 13,377 12,068 12,193 12,316 1/31/12 13,305 13,470 12,345 12,939 13,011 7/31/12 13,954 14,156 13,029 14,074 14,188 1/31/13 16,574 16,879 14,447 15,900 16,132 7/31/13 19,883 20,333 16,446 19,088 19,453 1/31/14 23,348 23,958 17,659 21,125 21,648 7/31/14 24,810 25,532 19,252 23,178 23,678 1/31/15 28,574 29,500 20,090 26,551 27,282 7/31/15 32,514 33,695 21,415 29,542 30,610 1/31/16 25,039 26,019 19,726 25,908 26,355 7/31/16 28,742 29,961 22,452 29,545 30,174 1/31/17 27,799 29,059 23,830 27,894 28,645 7/31/17 31,249 32,776 26,032 31,911 32,718 1/31/18 34,621 36,431 29,987 35,520 36,363 7/31/18 35,864 37,870 30,245 36,159 37,301 1/31/19 34,885 36,953 29,334 37,175 38,323 7/31/19 36,242 38,550 32,666 37,707 39,262 1/31/20 38,609 41,206 35,609 41,673 43,066 7/31/20 44,488 47,649 36,596 44,788 47,266
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 133 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 120 0 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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 sectors 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 ICB 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -6.30% 6.82% 10.77% 6.08% 39.10% 178.01% 118.37% Market Price -6.28% 6.81% 10.78% 6.08% 39.02% 178.30% 118.32% INDEX PERFORMANCE StrataQuant(R) Industrials Index -5.67% 7.56% 11.55% 6.85% 43.95% 198.37% 140.13% Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26% S&P 500(R) Industrials Index -5.70% 7.60% 11.14% 6.76% 44.24% 187.46% 137.53% Russell 1000(R) Producer Durables Index(1) -5.57% 8.19% 11.75% N/A 48.25% 203.83% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -6.30% during the period covered by this report. During the same period, the S&P 500(R) Industrials Index (the "Benchmark") generated a return of -5.70%. During the period covered by this report, the Machinery and the Aerospace & Defense industries received the largest allocations of the Fund's portfolio with weights of 19.1% and 11.0%, respectively. The Fund's allocation to the IT Services industry generated the largest contribution to the Fund's return at 5.0%. The allocation to the Airlines industry generated the largest negative contribution to the Fund's return at -7.7%. On a relative basis, the Fund underperformed the Benchmark. The greatest source of the Fund's underperformance came from the Airlines industry which caused -2.5% of underperformance for the Fund versus the Benchmark. The Fund's allocation to the IT Services industry partially offset the negative performance by adding 2.4% of outperformance for the Fund relative to the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 71.35% Information Technology 15.79 Materials 9.47 Financials 2.12 Utilities 1.27 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Generac Holdings, Inc. 1.73% Square, Inc., Class A 1.66 PACCAR, Inc. 1.52 Berry Global Group, Inc. 1.51 PayPal Holdings, Inc. 1.51 Oshkosh Corp. 1.47 J.B. Hunt Transport Services, Inc. 1.44 Trex Co., Inc. 1.44 Textron, Inc. 1.42 Snap-on, Inc. 1.41 ------- Total 15.11% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. 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. StrataQuant(R) and StrataQuant(R) Industrials Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. 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, 2010 - JULY 31, 2020 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 7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/11 12,318 12,368 11,876 12,080 12,205 7/31/11 11,769 11,856 12,068 11,639 11,771 1/31/12 12,158 12,306 12,345 12,316 12,377 7/31/12 11,684 11,868 13,029 12,413 12,405 1/31/13 13,948 14,222 14,447 14,031 14,225 7/31/13 16,114 16,489 16,446 15,972 16,261 1/31/14 18,586 19,096 17,659 17,847 18,226 7/31/14 19,730 20,347 19,252 18,643 19,027 1/31/15 19,797 20,485 20,090 19,774 20,151 7/31/15 19,987 20,729 21,415 19,931 20,496 1/31/16 16,589 17,252 19,726 18,852 19,141 7/31/16 19,820 20,691 22,452 22,016 22,276 1/31/17 23,166 24,320 23,830 24,107 24,604 7/31/17 24,341 25,638 26,032 26,045 26,695 1/31/18 28,990 30,638 29,987 30,296 31,378 7/31/18 28,619 30,340 30,245 29,430 30,662 1/31/19 26,681 28,347 29,334 27,796 29,074 7/31/19 29,669 31,630 32,666 30,484 32,176 1/31/20 30,922 33,075 35,609 32,130 33,840 7/31/20 27,801 29,837 36,596 28,746 30,383
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 102 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 151 0 0 0 Page 15 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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 ICB 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -4.78% 4.63% 7.58% 5.97% 25.41% 107.59% 115.28% Market Price -4.70% 4.64% 7.58% 5.97% 25.45% 107.59% 115.28% INDEX PERFORMANCE StrataQuant(R) Materials Index -4.06% 5.37% 8.38% 6.75% 29.90% 123.58% 137.40% Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26% S&P 500(R) Materials Index 6.28% 7.99% 9.33% 5.62% 46.90% 143.92% 106.09% Russell 1000(R) Materials and Processing Index(1) 5.70% 8.40% 9.95% N/A 49.64% 158.14% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -4.78% during the period covered by this report. During the same period, the S&P 500(R) Materials Index (the "Benchmark") generated a return of 6.28%. During the period covered by this report, the Chemicals industry received the largest allocation in the Fund with a weight of 42.6%. The largest contribution to the Fund's return was generated by the 20.4% allocation to the Metals & Mining industry, which provided a 4.2% contribution to the Fund's return. The Fund's allocation to the Containers & Packaging industry provided a -4.5% contribution to the Fund's return, which was the largest negative contribution to the Fund. On a relative basis, the Fund underperformed the Benchmark. The largest source of this underperformance was due to the Fund's allocation to the Metals & Mining industry where the Fund's 3.5% contribution from allocation effect was more than offset by the Fund's security selection effect within the industry, resulting in -3.4% of underperformance for the Fund compared to the Benchmark. The Fund's relative underperformance was partially offset by the allocation to the Containers & Packaging industry which resulted in 2.0% of relative outperformance. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Materials 84.51% Industrials 15.49 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Scotts Miracle-Gro (The) Co. 5.44% Eastman Chemical Co. 4.94 Steel Dynamics, Inc. 4.84 Reliance Steel & Aluminum Co. 4.77 Westlake Chemical Corp. 4.68 Timken (The) Co. 4.63 LyondellBasell Industries N.V., Class A 4.38 Newmont Corp. 4.13 CF Industries Holdings, Inc. 4.11 Fastenal Co. 4.05 ------- Total 45.97% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) 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. StrataQuant(R) and StrataQuant(R) Materials Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 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 7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/11 12,281 12,329 11,876 12,478 12,528 7/31/11 12,313 12,414 12,068 12,510 12,705 1/31/12 12,165 12,330 12,345 12,527 12,852 7/31/12 11,725 11,929 13,029 11,859 12,218 1/31/13 14,243 14,556 14,447 13,454 14,088 7/31/13 14,703 15,080 16,446 14,081 14,816 1/31/14 16,489 16,978 17,659 15,526 16,279 7/31/14 17,310 17,883 19,252 17,336 17,766 1/31/15 16,069 16,646 20,090 17,064 17,439 7/31/15 16,554 17,212 21,415 16,601 17,249 1/31/16 14,172 14,778 19,726 14,251 15,062 7/31/16 18,785 19,662 22,452 17,996 19,150 1/31/17 20,780 21,821 23,830 19,455 20,833 7/31/17 21,418 22,569 26,032 20,619 22,044 1/31/18 25,252 26,709 29,987 23,979 25,522 7/31/18 24,244 25,734 30,245 22,977 24,583 1/3/119 21,000 22,355 29,334 20,718 22,105 7/31/19 21,803 23,300 32,667 22,944 24,419 1/31/20 21,188 22,734 35,610 22,957 24,532 7/31/20 20,759 22,358 36,596 24,392 25,814
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 82 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 171 0 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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 ICB 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV 29.33% 21.30% 17.79% 12.33% 162.58% 414.06% 365.74% Market Price 29.28% 21.28% 17.78% 12.33% 162.37% 413.66% 365.63% INDEX PERFORMANCE StrataQuant(R) Technology Index 30.27% 21.94% 18.56% 13.14% 169.65% 448.59% 411.89% Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26% S&P 500(R) Information Technology Index 38.91% 24.03% 20.31% 14.62% 193.54% 535.21% 507.87% Russell 1000(R) Technology Index(1) 39.99% 23.51% 19.50% N/A 187.44% 493.61% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 29.33% during the period covered by this report. During the same period, the S&P 500(R) Information Technology Index (the "Benchmark") generated a return of 38.91%. During the period covered by this report, the Software industry received the largest allocation to the Fund's portfolio with a 36.7% weight. This industry also made the largest contribution to the Fund's return at 20.9%. The allocation to the Communications Equipment industry caused a -1.0% contribution to the Fund's return, which was the largest negative contribution to the Fund during the period. On a relative basis, the Fund underperformed the Benchmark. The largest source of underperformance came from the Technology Hardware, Storage & Peripherals industry which generated a -10.8% drag on performance compared to the Benchmark. This underperformance was partially offset by the Fund's allocation to the IT Services industry which generated 4.2% of outperformance relative to the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 90.38% Communication Services 6.95 Health Care 1.40 Consumer Discretionary 1.27 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- IAC/InterActiveCorp 1.99% Twilio, Inc., Class A 1.96 DocuSign, Inc. 1.95 Zscaler, Inc. 1.84 Globant S.A. 1.79 Fastly, Inc., Class A 1.76 Crowdstrike Holdings, Inc., Class A 1.75 Inphi Corp. 1.72 Coupa Software, Inc. 1.72 Okta, Inc. 1.71 ------- Total 18.19% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Technology Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 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 7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/11 13,099 13,154 11,876 11,981 12,062 7/31/11 12,039 12,141 12,068 11,920 11,879 1/31/12 12,193 12,350 12,345 12,670 12,604 7/31/12 11,581 11,774 13,029 13,475 13,131 1/31/13 12,679 12,944 14,447 13,700 13,218 7/31/13 14,424 14,782 16,446 14,976 14,423 1/31/14 16,607 17,089 17,659 16,923 16,385 7/31/14 17,682 18,258 19,252 19,187 18,641 1/31/15 18,670 19,339 20,090 20,049 19,359 7/31/15 19,578 20,344 21,415 21,639 20,654 1/31/16 16,997 17,722 19,726 21,020 19,811 7/31/16 19,659 20,566 22,452 23,754 22,541 1/31/17 22,368 23,390 23,830 26,256 25,037 7/31/17 25,699 26,955 26,032 30,756 29,153 1/31/18 31,669 33,330 29,987 37,574 35,493 7/31/18 32,264 34,070 30,245 39,513 37,261 1/31/19 33,777 35,671 29,334 37,233 35,581 7/31/19 39,749 42,113 32,667 45,726 42,409 1/31/20 42,146 44,829 35,610 54,391 50,025 7/31/20 51,406 54,859 36,596 63,521 59,361
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 129 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 124 0 0 0 Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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 ICB 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -0.70% 6.87% 9.20% 5.68% 39.38% 141.16% 107.78% Market Price -0.67% 6.87% 9.19% 5.68% 39.38% 141.00% 107.76% INDEX PERFORMANCE StrataQuant(R) Utilities Index -0.25% 7.54% 10.03% 6.51% 43.85% 159.98% 130.40% Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26% S&P 500(R) Utilities Index 5.83% 10.54% 11.34% 6.81% 65.01% 192.75% 139.16% Russell 1000(R) Utilities Index(1) 3.30% 8.56% 10.29% N/A 50.78% 166.34% N/A ------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -0.70% during the period covered by this report. During the same period, the benchmark S&P 500(R) Utilities Index (the "Benchmark") generated a return of 5.83%. During the period covered by this report, the Electric Utilities industry received the largest allocation to the Fund's portfolio with a 43.8% weight. The Fund's allocation to the Commercial Services & Supplies industry provided a 2.0% contribution to the Fund's return, which was the largest contributor to the Fund's return. The Fund's allocation to the Wireless Telecommunication Services industry provided the largest negative contribution to the Fund's return at -5.0%. On a relative basis, the Fund underperformed the Benchmark. The Fund's allocation to the Electric Utilities industry generated -3.2% of relative underperformance which was the largest source of relative underperformance during the period covered by this report. The Fund's allocation to the Multi-Utilities industry reduced some of the Fund's relative underperformance by generating 0.8% of outperformance compared to the Benchmark. ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Utilities 94.40% Industrials 5.60 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Avangrid, Inc. 4.63% Pinnacle West Capital Corp. 4.42 Exelon Corp. 4.15 Duke Energy Corp. 4.14 UGI Corp. 4.09 NRG Energy, Inc. 4.05 PPL Corp. 4.02 Vistra Corp. 3.91 Public Service Enterprise Group, Inc. 3.55 Entergy Corp. 3.50 ------- Total 40.46% ======= ----------------------------- (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. StrataQuant(R) and StrataQuant(R) Utilities Index ("Index") are service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use by First Trust in connection with the Fund. The Fund is not sponsored, endorsed, sold or promoted by IDI and IDI makes no representations or warranties 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. IDI and its third party suppliers accept no liability in connection with use of the Index or the Fund. See the prospectus for a full copy of the disclaimer. Page 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 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 7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000 1/31/11 11,139 11,183 11,876 10,681 11,108 7/31/11 11,703 11,797 12,068 11,409 11,748 1/31/12 11,616 11,757 12,345 12,202 12,139 7/31/12 12,480 12,688 13,029 13,611 14,233 1/31/13 12,996 13,258 14,447 13,451 14,122 7/31/13 14,466 14,888 16,446 14,701 15,466 1/31/14 14,877 15,377 17,659 14,957 15,568 7/31/14 16,359 16,976 19,252 16,062 16,977 1/31/15 18,461 19,217 20,090 19,173 18,235 7/31/15 17,301 18,069 21,415 17,741 17,667 1/31/16 17,481 18,326 19,726 18,699 18,704 7/31/16 21,221 22,338 22,452 21,840 22,025 1/31/17 21,378 22,581 23,830 20,982 21,325 7/31/17 21,978 23,290 26,032 23,086 22,221 1/31/18 20,774 22,084 29,987 22,518 22,318 7/31/18 21,738 23,201 30,245 23,739 22,475 1/31/19 23,110 24,753 29,334 25,013 23,513 7/31/19 24,284 26,060 32,667 27,662 25,789 1/31/20 25,381 27,322 35,610 32,592 29,502 7/31/20 24,116 25,998 36,596 29,275 26,634
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, 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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 122 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 131 0 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, 2020 (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 (12b-1) 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, 2020. 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, 2020 JULY 31, 2020 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) Actual $1,000.00 $ 917.00 0.62% $2.96 Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) Actual $1,000.00 $1,030.50 0.64% $3.23 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.64% $3.22 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) Actual $1,000.00 $ 748.50 0.63% $2.74 Hypothetical (5% return before expenses) $1,000.00 $1,021.73 0.63% $3.17 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) Actual $1,000.00 $ 798.70 0.63% $2.82 Hypothetical (5% return before expenses) $1,000.00 $1,021.73 0.63% $3.17 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) Actual $1,000.00 $1,152.30 0.61% $3.26 Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07
Page 23 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2020 (UNAUDITED)
----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2020 JULY 31, 2020 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) Actual $1,000.00 $ 899.00 0.65% $3.07 Hypothetical (5% return before expenses) $1,000.00 $1,021.63 0.65% $3.27 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) Actual $1,000.00 $ 979.80 0.68% $3.35 Hypothetical (5% return before expenses) $1,000.00 $1,021.48 0.68% $3.42 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) Actual $1,000.00 $1,219.70 0.61% $3.37 Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) Actual $1,000.00 $ 950.00 0.62% $3.01 Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12
(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, 2020 through July 31, 2020), multiplied by 182/366 (to reflect the six-month period). Page 24 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AIRLINES -- 6.5% 356,849 Alaska Air Group, Inc. $ 12,289,880 255,910 Copa Holdings S.A., Class A 10,604,910 461,287 Delta Air Lines, Inc. 11,518,336 910,090 JetBlue Airways Corp. (a) 9,410,331 290,225 Southwest Airlines Co. 8,965,050 286,627 United Airlines Holdings, Inc. (a) 8,994,355 --------------- 61,782,862 --------------- AUTO COMPONENTS -- 4.4% 127,305 Aptiv PLC 9,897,964 366,549 BorgWarner, Inc. 13,415,693 301,256 Gentex Corp. 8,130,900 90,987 Lear Corp. 10,043,145 --------------- 41,487,702 --------------- AUTOMOBILES -- 4.6% 815,792 Ford Motor Co. 5,392,385 392,090 General Motors Co. 9,759,120 326,603 Harley-Davidson, Inc. 8,501,476 11,982 Tesla, Inc. (a) 17,143,367 23,284 Thor Industries, Inc. 2,654,143 --------------- 43,450,491 --------------- BUILDING PRODUCTS -- 0.6% 77,580 Fortune Brands Home & Security, Inc. 5,934,870 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 59,571 Copart, Inc. (a) 5,554,995 64,305 IAA, Inc. (a) 2,787,622 117,012 Rollins, Inc. 6,131,429 --------------- 14,474,046 --------------- DISTRIBUTORS -- 2.4% 28,523 Genuine Parts Co. 2,571,349 296,317 LKQ Corp. (a) 8,353,176 36,483 Pool Corp. 11,554,166 --------------- 22,478,691 --------------- DIVERSIFIED CONSUMER SERVICES -- 4.8% 192,368 Chegg, Inc. (a) 15,576,037 111,887 frontdoor, Inc. (a) 4,698,695 37,760 Graham Holdings Co., Class B 15,042,451 85,750 Grand Canyon Education, Inc. (a) 7,609,455 63,764 Service Corp. International 2,764,807 --------------- 45,691,445 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.5% 75,306 Dolby Laboratories, Inc., Class A 5,241,297 --------------- ENTERTAINMENT -- 6.0% 32,670 Activision Blizzard, Inc. 2,699,522 58,792 Electronic Arts, Inc. (a) 8,326,123 17,065 Netflix, Inc. (a) 8,342,737 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENTERTAINMENT (CONTINUED) 50,117 Spotify Technology S.A. (a) $ 12,921,165 55,619 Take-Two Interactive Software, Inc. (a) 9,122,629 22,247 Walt Disney (The) Co. 2,601,564 1,356,294 Zynga, Inc., Class A (a) 13,332,370 --------------- 57,346,110 --------------- FOOD & STAPLES RETAILING -- 1.4% 25,611 Costco Wholesale Corp. 8,337,149 41,414 Walmart, Inc. 5,358,971 --------------- 13,696,120 --------------- HOTELS, RESTAURANTS & LEISURE -- 11.0% 219,764 Aramark 4,641,416 788,015 Carnival Corp. (b) 10,937,648 9,430 Chipotle Mexican Grill, Inc. (a) 10,893,159 31,435 Choice Hotels International, Inc. 2,641,797 65,462 Darden Restaurants, Inc. 4,968,566 13,424 Domino's Pizza, Inc. 5,189,853 693,780 Extended Stay America, Inc. 7,916,030 257,286 Hyatt Hotels Corp., Class A 12,349,728 108,917 Las Vegas Sands Corp. 4,753,138 770,181 MGM Resorts International 12,392,212 40,949 Planet Fitness, Inc., Class A (a) 2,137,538 98,604 Royal Caribbean Cruises Ltd. 4,803,001 129,098 Six Flags Entertainment Corp. 2,245,014 33,707 Starbucks Corp. 2,579,597 356,453 Wendy's (The) Co. 8,262,580 88,004 Wyndham Destinations, Inc. 2,340,906 58,192 Wyndham Hotels & Resorts, Inc. 2,569,759 51,593 Yum China Holdings, Inc. 2,643,625 --------------- 104,265,567 --------------- HOUSEHOLD DURABLES -- 11.2% 178,896 D.R. Horton, Inc. 11,835,759 50,866 Garmin Ltd. 5,014,879 141,106 Leggett & Platt, Inc. 5,656,940 160,989 Lennar Corp., Class A 11,647,554 127,153 Mohawk Industries, Inc. (a) 10,153,167 2,382 NVR, Inc. (a) 9,361,617 380,220 PulteGroup, Inc. 16,577,592 137,867 Tempur Sealy International, Inc. (a) 11,160,334 397,032 Toll Brothers, Inc. 15,166,622 59,930 Whirlpool Corp. 9,775,782 --------------- 106,350,246 --------------- HOUSEHOLD PRODUCTS -- 0.5% 142,779 Reynolds Consumer Products, Inc. 4,863,053 --------------- INTERACTIVE MEDIA & SERVICES -- 0.6% 260,917 TripAdvisor, Inc. 5,278,351 --------------- INTERNET & DIRECT MARKETING RETAIL -- 5.7% 3,603 Amazon.com, Inc. (a) 11,402,342 148,021 eBay, Inc. 8,182,601 See Notes to Financial Statements Page 25 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & DIRECT MARKETING RETAIL (CONTINUED) 121,805 Etsy, Inc. (a) $ 14,419,276 30,169 Expedia Group, Inc. 2,443,990 65,478 Wayfair, Inc., Class A (a) 17,423,041 --------------- 53,871,250 --------------- IT SERVICES -- 0.2% 307,696 Sabre Corp. 2,326,182 --------------- LEISURE PRODUCTS -- 1.4% 33,086 Hasbro, Inc. 2,407,337 107,182 Polaris, Inc. 11,107,271 --------------- 13,514,608 --------------- MEDIA -- 6.6% 613,229 Discovery, Inc., Class A (a) 12,939,132 289,471 Fox Corp., Class A 7,459,668 289,048 Interpublic Group of (The) Cos., Inc. 5,217,316 225,348 Liberty Media Corp.-Liberty SiriusXM, Class C (a) 7,884,926 92,763 Nexstar Media Group, Inc., Class A 8,130,677 90,842 Omnicom Group, Inc. 4,880,941 844,977 SiriusXM Holdings, Inc. 4,968,465 425,386 ViacomCBS, Inc., Class B 11,089,813 --------------- 62,570,938 --------------- MULTILINE RETAIL -- 3.4% 53,518 Dollar Tree, Inc. (a) 4,995,905 477,608 Kohl's Corp. 9,093,656 160,104 Nordstrom, Inc. (b) 2,191,824 101,594 Ollie's Bargain Outlet Holdings, Inc. (a) 10,677,530 41,364 Target Corp. 5,206,900 --------------- 32,165,815 --------------- PERSONAL PRODUCTS -- 0.3% 13,137 Estee Lauder (The) Cos., Inc., Class A 2,595,083 --------------- ROAD & RAIL -- 1.4% 32,831 AMERCO 10,431,393 79,795 Uber Technologies, Inc. (a) 2,414,597 --------------- 12,845,990 --------------- SOFTWARE -- 2.8% 261,331 2U, Inc. (a) 12,307,383 31,836 Trade Desk (The), Inc., Class A (a) 14,368,224 --------------- 26,675,607 --------------- SPECIALTY RETAIL -- 15.8% 17,404 Advance Auto Parts, Inc. 2,613,037 131,983 AutoNation, Inc. (a) 6,776,007 6,876 AutoZone, Inc. (a) 8,302,220 113,673 Best Buy Co., Inc. 11,320,694 12,588 Burlington Stores, Inc. (a) 2,366,544 144,486 CarMax, Inc. (a) 14,010,807 107,643 Carvana Co. (a) 16,679,283 23,203 Five Below, Inc. (a) 2,527,039 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 224,449 Floor & Decor Holdings, Inc., Class A (a) $ 14,791,189 266,237 Foot Locker, Inc. 7,824,705 30,993 Home Depot (The), Inc. 8,228,332 73,422 Lowe's Cos., Inc. 10,933,270 18,418 O'Reilly Automotive, Inc. (a) 8,792,385 256,262 Penske Automotive Group, Inc. 11,485,663 75,265 Tractor Supply Co. 10,743,326 12,198 Ulta Beauty, Inc. (a) 2,354,092 120,960 Williams-Sonoma, Inc. 10,538,035 --------------- 150,286,628 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 6.3% 827,839 Capri Holdings Ltd. (a) 12,401,028 30,727 Carter's, Inc. 2,418,830 61,557 Columbia Sportswear Co. 4,668,483 687,647 Hanesbrands, Inc. 9,716,452 31,801 Lululemon Athletica, Inc. (a) 10,354,088 50,589 NIKE, Inc., Class B 4,937,992 107,053 Ralph Lauren Corp. 7,632,879 247,408 Skechers U.S.A., Inc., Class A (a) 7,244,106 --------------- 59,373,858 --------------- TOTAL COMMON STOCKS -- 99.9% 948,566,810 (Cost $916,109,084) --------------- MONEY MARKET FUNDS -- 1.4% 12,456,346 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 12,456,346 665,775 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 665,775 --------------- TOTAL MONEY MARKET FUNDS -- 1.4% 13,122,121 (Cost $13,122,121) --------------- TOTAL INVESTMENTS -- 101.3% 961,688,931 (Cost $929,231,205) (e) NET OTHER ASSETS AND LIABILITIES -- (1.3)% (12,740,928) --------------- NET ASSETS -- 100.0% $ 948,948,003 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $11,810,851 and the total value of the collateral held by the Fund is $12,456,346. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. Page 26 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 (e) Aggregate cost for federal income tax purposes is $945,778,182. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $74,097,514 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $58,186,765. The net unrealized appreciation was $15,910,749. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 948,566,810 $ -- $ -- Money Market Funds 13,122,121 -- -- -------------------------------------------- Total Investments $ 961,688,931 $ -- $ -- ============================================ * 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) $ 11,810,851 Non-cash Collateral(2) (11,810,851) --------------- 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, 2020, 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. See Notes to Financial Statements Page 27 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% BEVERAGES -- 12.8% 18,898 Boston Beer (The) Co., Inc., Class A (a) $ 15,315,695 45,397 Coca-Cola (The) Co. 2,144,554 177,100 Molson Coors Beverage Co., Class B 6,644,792 87,783 Monster Beverage Corp. (a) 6,889,210 15,336 PepsiCo, Inc. 2,111,154 --------------- 33,105,405 --------------- CHEMICALS -- 1.7% 151,428 Corteva, Inc. 4,324,784 --------------- FOOD & STAPLES RETAILING -- 20.2% 40,698 Casey's General Stores, Inc. 6,478,714 248,576 Grocery Outlet Holding Corp. (a) 10,934,858 179,767 Kroger (The) Co. 6,254,094 396,323 Sprouts Farmers Market, Inc. (a) 10,455,001 37,109 Sysco Corp. 1,961,211 308,577 US Foods Holding Corp. (a) 6,264,113 239,252 Walgreens Boots Alliance, Inc. 9,739,949 --------------- 52,087,940 --------------- FOOD PRODUCTS -- 34.4% 203,346 Archer-Daniels-Midland Co. 8,709,309 60,557 Beyond Meat, Inc. (a) 7,624,126 81,740 Campbell Soup Co. 4,051,852 115,347 Conagra Brands, Inc. 4,319,745 65,804 General Mills, Inc. 4,163,419 84,044 Hormel Foods Corp. 4,274,478 97,753 Ingredion, Inc. 8,455,635 76,679 J.M. Smucker (The) Co. 8,384,849 30,706 Kellogg Co. 2,118,407 190,817 Kraft Heinz (The) Co. 6,560,288 31,728 Lamb Weston Holdings, Inc. 1,906,218 22,611 McCormick & Co., Inc. 4,406,884 79,342 Mondelez International, Inc., Class A 4,402,688 600,468 Pilgrim's Pride Corp. (a) 9,217,184 169,852 Tyson Foods, Inc., Class A 10,437,405 --------------- 89,032,487 --------------- HEALTH CARE PROVIDERS & SERVICES -- 9.2% 80,516 AmerisourceBergen Corp. 8,066,898 124,881 CVS Health Corp. 7,860,010 52,884 McKesson Corp. 7,941,062 --------------- 23,867,970 --------------- HOUSEHOLD PRODUCTS -- 10.3% 52,481 Church & Dwight Co., Inc. 5,055,495 27,740 Clorox (The) Co. 6,560,787 213,559 Energizer Holdings, Inc. 10,705,712 14,350 Kimberly-Clark Corp. 2,181,774 16,964 Procter & Gamble (The) Co. 2,224,320 --------------- 26,728,088 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MULTILINE RETAIL -- 3.9% 53,235 Dollar General Corp. $ 10,135,944 --------------- PERSONAL PRODUCTS -- 6.4% 135,285 Herbalife Nutrition Ltd. (a) (b) 6,932,003 212,228 Nu Skin Enterprises, Inc., Class A 9,518,426 --------------- 16,450,429 --------------- TOBACCO -- 0.9% 28,952 Philip Morris International, Inc. 2,223,803 --------------- TOTAL COMMON STOCKS -- 99.8% 257,956,850 (Cost $238,696,374) --------------- MONEY MARKET FUNDS -- 2.7% 6,340,570 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 6,340,570 504,895 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 504,895 --------------- TOTAL MONEY MARKET FUNDS -- 2.7% 6,845,465 (Cost $6,845,465) --------------- TOTAL INVESTMENTS -- 102.5% 264,802,315 (Cost $245,541,839) (e) NET OTHER ASSETS AND LIABILITIES -- (2.5)% (6,373,453) --------------- NET ASSETS -- 100.0% $ 258,428,862 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $6,235,908 and the total value of the collateral held by the Fund is $6,340,570. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $246,924,564. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $34,322,403 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $16,444,652. The net unrealized appreciation was $17,877,751. Page 28 See Notes to Financial Statements FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 257,956,850 $ -- $ -- Money Market Funds 6,845,465 -- -- -------------------------------------------- Total Investments $ 264,802,315 $ -- $ -- ============================================ * 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) $ 6,235,908 Non-cash Collateral(2) (6,235,908) --------------- 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, 2020, 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. See Notes to Financial Statements Page 29 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.6% CHEMICALS -- 2.6% 794,334 Valvoline, Inc. $ 16,299,734 --------------- ENERGY EQUIPMENT & SERVICES -- 6.5% 665,124 Baker Hughes Co. 10,302,771 394,312 Halliburton Co. 5,650,491 524,672 Helmerich & Payne, Inc. 9,354,902 835,619 National Oilwell Varco, Inc. 9,617,974 278,307 Schlumberger Ltd. 5,048,489 --------------- 39,974,627 --------------- OIL, GAS & CONSUMABLE FUELS -- 77.0% 2,007,120 Antero Midstream Corp. 11,380,370 379,123 Apache Corp. 5,819,538 1,191,653 Cabot Oil & Gas Corp. 22,283,911 317,771 Cheniere Energy, Inc. (a) 15,723,309 229,434 Chevron Corp. 19,258,690 372,368 Cimarex Energy Co. 9,108,121 99,380 Concho Resources, Inc. 5,221,425 609,013 ConocoPhillips 22,770,996 1,459,825 Continental Resources, Inc. (b) 25,240,374 1,354,008 Devon Energy Corp. 14,203,544 489,546 Diamondback Energy, Inc. 19,513,304 505,145 EOG Resources, Inc. 23,666,043 860,194 EQT Corp. 12,490,017 1,847,713 Equitrans Midstream Corp. 17,830,430 572,247 Exxon Mobil Corp. 24,080,154 98,790 Hess Corp. 4,861,456 701,115 HollyFrontier Corp. 19,280,663 1,349,551 Kinder Morgan, Inc. 19,028,669 4,181,496 Marathon Oil Corp. 22,956,413 273,847 Marathon Petroleum Corp. 10,460,955 1,483,526 Murphy Oil Corp. 19,597,379 571,222 Noble Energy, Inc. 5,706,508 1,118,724 Occidental Petroleum Corp. 17,608,716 462,205 ONEOK, Inc. 12,900,142 479,229 Parsley Energy, Inc., Class A 5,261,934 142,373 Phillips 66 8,829,973 209,546 Pioneer Natural Resources Co. 20,309,198 255,018 Targa Resources Corp. 4,661,729 261,046 Valero Energy Corp. 14,678,617 807,281 Williams (The) Cos., Inc. 15,443,286 4,011,096 WPX Energy, Inc. (a) 23,946,243 --------------- 474,122,107 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 13.5% 537,963 Enphase Energy, Inc. (a) 32,471,447 310,196 First Solar, Inc. (a) 18,472,172 184,396 SolarEdge Technologies, Inc. (a) 32,287,739 --------------- 83,231,358 --------------- TOTAL COMMON STOCKS -- 99.6% 613,627,826 (Cost $660,407,830) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- WARRANTS -- 0.1% OIL, GAS & CONSUMABLE FUELS -- 0.1% 69,845 Occidental Petroleum Corp., expiring 08/03/27 (a) $ 391,132 (Cost $0) --------------- MONEY MARKET FUNDS -- 3.9% 23,299,954 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 23,299,954 404,449 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 404,449 --------------- TOTAL MONEY MARKET FUNDS -- 3.9% 23,704,403 (Cost $23,704,403) --------------- TOTAL INVESTMENTS -- 103.6% 637,723,361 (Cost $684,112,233) (e) NET OTHER ASSETS AND LIABILITIES -- (3.6)% (21,928,314) --------------- NET ASSETS -- 100.0% $ 615,795,047 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $22,716,329 and the total value of the collateral held by the Fund is $23,299,954. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $706,634,960. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $16,291,470 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $85,203,069. The net unrealized depreciation was $68,911,599. Page 30 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 613,627,826 $ -- $ -- Warrants* 391,132 -- -- Money Market Funds 23,704,403 -- -- -------------------------------------------- Total Investments $ 637,723,361 $ -- $ -- ============================================ * 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) $ 22,716,329 Non-cash Collateral(2) (22,716,329) --------------- 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, 2020, 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. See Notes to Financial Statements Page 31 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% BANKS -- 33.2% 496,209 Associated Banc-Corp. $ 6,371,324 142,908 Bank of America Corp. 3,555,551 289,226 Bank OZK 6,955,885 120,272 BOK Financial Corp. 6,699,150 132,840 Citigroup, Inc. 6,643,328 201,708 Citizens Financial Group, Inc. 5,004,376 178,166 Comerica, Inc. 6,862,954 22,715 Cullen/Frost Bankers, Inc. 1,636,843 187,311 East West Bancorp, Inc. 6,492,199 905,086 F.N.B. Corp. 6,706,687 352,082 Fifth Third Bancorp 6,992,349 8,380 First Citizens BancShares, Inc., Class A 3,568,791 295,308 First Hawaiian, Inc. 5,132,453 511,155 First Horizon National Corp. 4,738,407 751,316 Huntington Bancshares, Inc. 6,964,699 36,084 JPMorgan Chase & Co. 3,487,158 417,989 KeyCorp 5,020,048 65,290 M&T Bank Corp. 6,917,476 440,026 People's United Financial, Inc. 4,747,881 80,830 Pinnacle Financial Partners, Inc. 3,202,485 48,390 PNC Financial Services Group (The), Inc. 5,161,761 228,280 Popular, Inc. 8,471,471 28,579 Prosperity Bancshares, Inc. 1,587,849 457,833 Regions Financial Corp. 4,972,066 15,872 Signature Bank 1,627,356 723,991 Sterling Bancorp 8,144,899 7,874 SVB Financial Group (a) 1,765,902 330,645 Synovus Financial Corp. 6,662,497 115,366 TCF Financial Corp. 3,171,411 45,194 Truist Financial Corp. 1,692,967 92,180 U.S. Bancorp 3,395,911 177,949 Webster Financial Corp. 4,852,669 265,162 Wells Fargo & Co. 6,432,830 89,624 Western Alliance Bancorp 3,221,983 116,715 Wintrust Financial Corp. 4,995,402 149,739 Zions Bancorp N.A. 4,862,025 --------------- 178,719,043 --------------- CAPITAL MARKETS -- 23.9% 45,521 Affiliated Managers Group, Inc. 3,131,390 22,621 Ameriprise Financial, Inc. 3,475,264 170,986 Ares Management Corp., Class A 6,829,181 175,631 Bank of New York Mellon (The) Corp. 6,296,371 18,193 Cboe Global Markets, Inc. 1,595,526 131,894 Eaton Vance Corp. 4,766,649 144,012 Evercore, Inc., Class A 7,963,864 5,167 FactSet Research Systems, Inc. 1,789,332 404,634 Franklin Resources, Inc. 8,517,546 25,762 Goldman Sachs Group (The), Inc. 5,099,846 788,585 Invesco Ltd. 7,917,393 64,938 LPL Financial Holdings, Inc. 5,131,401 16,939 MarketAxess Holdings, Inc. 8,752,381 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 18,531 Moody's Corp. $ 5,212,770 105,406 Morgan Stanley 5,152,245 12,038 Morningstar, Inc. 2,022,866 5,084 MSCI, Inc. 1,911,482 21,390 Northern Trust Corp. 1,675,906 49,311 Raymond James Financial, Inc. 3,426,128 20,603 S&P Global, Inc. 7,216,201 61,733 SEI Investments Co. 3,230,488 53,408 State Street Corp. 3,406,896 41,223 T. Rowe Price Group, Inc. 5,692,896 93,295 TD Ameritrade Holding Corp. 3,348,358 116,755 Tradeweb Markets, Inc., Class A 6,312,943 359,541 Virtu Financial, Inc., Class A 8,916,617 --------------- 128,791,940 --------------- CONSUMER FINANCE -- 8.6% 427,896 Ally Financial, Inc. 8,600,709 8,100 Credit Acceptance Corp. (a) (b) 3,790,314 101,639 Discover Financial Services 5,024,016 11,723 LendingTree, Inc. (a) (b) 4,059,558 345,769 OneMain Holdings, Inc. 9,923,570 460,900 Santander Consumer USA Holdings, Inc. (b) 8,462,124 965,596 SLM Corp. 6,537,085 --------------- 46,397,376 --------------- DIVERSIFIED FINANCIAL SERVICES -- 3.7% 439,875 Equitable Holdings, Inc. 8,999,843 545,670 Jefferies Financial Group, Inc. 8,839,854 36,378 Voya Financial, Inc. 1,797,073 --------------- 19,636,770 --------------- INSURANCE -- 28.2% 141,302 Aflac, Inc. 5,026,112 69,988 Allstate (The) Corp. 6,606,167 26,742 American Financial Group, Inc. 1,625,111 272,135 American International Group, Inc. 8,746,419 236,933 Arch Capital Group Ltd. (a) 7,285,690 347,611 Assured Guaranty Ltd. 7,588,348 54,410 Athene Holding Ltd., Class A (a) 1,754,723 305,003 Brighthouse Financial, Inc. (a) 8,643,785 41,635 Brown & Brown, Inc. 1,893,143 13,403 Chubb Ltd. 1,705,398 52,785 CNA Financial Corp. 1,757,740 16,460 Everest Re Group Ltd. 3,601,283 276,751 Fidelity National Financial, Inc. 8,955,662 176,701 First American Financial Corp. 9,013,518 45,724 Globe Life, Inc. 3,639,630 16,748 Hanover Insurance Group (The), Inc. 1,706,286 220,109 Hartford Financial Services Group (The), Inc. 9,315,013 70,203 Kemper Corp. 5,512,340 46,128 Lincoln National Corp. 1,719,191 31,611 Marsh & McLennan Cos., Inc. 3,685,843 232,343 MetLife, Inc. 8,794,183 14,554 Primerica, Inc. 1,741,532 Page 32 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 81,706 Principal Financial Group, Inc. $ 3,466,786 63,552 Progressive (The) Corp. 5,741,288 111,464 Prudential Financial, Inc. 7,063,474 86,539 Reinsurance Group of America, Inc. 7,377,450 19,845 RenaissanceRe Holdings Ltd. 3,579,641 44,639 Travelers (The) Cos., Inc. 5,107,594 511,463 Unum Group 8,812,507 --------------- 151,465,857 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.3% 113,438 Starwood Property Trust, Inc. 1,695,898 --------------- THRIFTS & MORTGAGE FINANCE -- 1.9% 1,036,041 MGIC Investment Corp. 8,568,059 166,376 New York Community Bancorp, Inc. 1,751,939 --------------- 10,319,998 --------------- TOTAL COMMON STOCKS -- 99.8% 537,026,882 (Cost $606,194,916) --------------- MONEY MARKET FUNDS -- 1.4% 6,921,703 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 6,921,703 949,461 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 949,461 --------------- TOTAL MONEY MARKET FUNDS -- 1.4% 7,871,164 (Cost $7,871,164) --------------- TOTAL INVESTMENTS -- 101.2% 544,898,046 (Cost $614,066,080) (e) NET OTHER ASSETS AND LIABILITIES -- (1.2)% (6,726,017) --------------- NET ASSETS -- 100.0% $ 538,172,029 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $6,644,839 and the total value of the collateral held by the Fund is $6,921,703. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $620,811,459. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $18,818,528 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $94,731,941. The net unrealized depreciation was $75,913,413. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 537,026,882 $ -- $ -- Money Market Funds 7,871,164 -- -- -------------------------------------------- Total Investments $ 544,898,046 $ -- $ -- ============================================ * 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) $ 6,644,839 Non-cash Collateral(2) (6,644,839) --------------- 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, 2020, 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. See Notes to Financial Statements Page 33 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 28.1% 152,524 AbbVie, Inc. $ 14,476,053 308,950 ACADIA Pharmaceuticals, Inc. (a) 12,843,051 157,184 Acceleron Pharma, Inc. (a) 15,587,937 373,344 Agios Pharmaceuticals, Inc. (a) 16,919,950 222,362 Alexion Pharmaceuticals, Inc. (a) 22,789,881 168,511 Alnylam Pharmaceuticals, Inc. (a) 24,562,163 93,283 Biogen, Inc. (a) 25,623,907 202,352 BioMarin Pharmaceutical, Inc. (a) 24,243,793 114,829 Exact Sciences Corp. (a) 10,880,048 841,046 Exelixis, Inc. (a) 19,419,752 64,877 Gilead Sciences, Inc. 4,510,898 281,694 Immunomedics, Inc. (a) 11,895,938 192,039 Incyte Corp. (a) 18,965,772 169,323 Ionis Pharmaceuticals, Inc. (a) 9,746,232 155,479 Moderna, Inc. (a) 11,520,994 204,574 Neurocrine Biosciences, Inc. (a) 24,622,527 40,020 Regeneron Pharmaceuticals, Inc. (a) 25,295,441 124,525 Sarepta Therapeutics, Inc. (a) 19,117,078 146,881 Seattle Genetics, Inc. (a) 24,421,904 206,265 United Therapeutics Corp. (a) 22,992,360 68,777 Vertex Pharmaceuticals, Inc. (a) 18,707,344 --------------- 379,143,023 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 24.0% 54,595 Abbott Laboratories 5,494,441 61,992 ABIOMED, Inc. (a) 18,593,880 54,565 Align Technology, Inc. (a) 16,032,288 568,683 Boston Scientific Corp. (a) 21,934,103 61,563 DexCom, Inc. (a) 26,813,149 72,227 Edwards Lifesciences Corp. (a) 5,663,319 710,044 Envista Holdings Corp. (a) 15,528,662 104,623 Globus Medical, Inc., Class A (a) 5,040,736 262,717 Hologic, Inc. (a) 18,332,392 45,357 IDEXX Laboratories, Inc. (a) 18,040,747 77,087 Insulet Corp. (a) 15,676,412 8,759 Intuitive Surgical, Inc. (a) 6,003,769 65,682 Masimo Corp. (a) 14,457,922 54,435 Medtronic PLC 5,251,889 27,913 Penumbra, Inc. (a) 6,194,174 111,550 Quidel Corp. (a) 31,509,528 103,993 ResMed, Inc. 21,059,622 32,531 STERIS PLC 5,192,924 252,304 Tandem Diabetes Care, Inc. (a) 26,355,676 13,715 Teleflex, Inc. 5,117,067 40,741 Varian Medical Systems, Inc. (a) 5,814,556 109,865 West Pharmaceutical Services, Inc. 29,539,403 --------------- 323,646,659 --------------- HEALTH CARE PROVIDERS & SERVICES -- 20.9% 596,132 Acadia Healthcare Co., Inc. (a) 17,770,695 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 75,424 Amedisys, Inc. (a) $ 17,661,284 56,943 Anthem, Inc. 15,590,993 286,929 Cardinal Health, Inc. 15,672,062 314,185 Centene Corp. (a) 20,500,571 22,133 Chemed Corp. 10,893,641 106,403 Cigna Corp. 18,374,734 126,146 DaVita, Inc. (a) 11,023,899 80,600 Encompass Health Corp. 5,487,248 61,527 Guardant Health, Inc. (a) 5,240,870 51,428 HCA Healthcare, Inc. 6,512,842 341,950 Henry Schein, Inc. (a) 23,502,224 64,367 Humana, Inc. 25,260,829 60,101 Laboratory Corp. of America Holdings (a) 11,594,685 112,184 Molina Healthcare, Inc. (a) 20,720,385 87,602 Quest Diagnostics, Inc. 11,131,586 50,772 UnitedHealth Group, Inc. 15,372,746 268,685 Universal Health Services, Inc., Class B 29,528,482 --------------- 281,839,776 --------------- HEALTH CARE TECHNOLOGY -- 1.8% 104,623 Teladoc Health, Inc. (a) 24,861,563 --------------- LIFE SCIENCES TOOLS & SERVICES -- 15.5% 412,701 Adaptive Biotechnologies Corp. (a) 15,402,001 112,971 Agilent Technologies, Inc. 10,882,496 587,248 Avantor, Inc. (a) 12,966,436 55,280 Bio-Rad Laboratories, Inc., Class A (a) 29,015,919 56,709 Bio-Techne Corp. 15,604,048 143,148 Charles River Laboratories International, Inc. (a) 28,485,021 26,957 Illumina, Inc. (a) 10,301,887 70,363 IQVIA Holdings, Inc. (a) 11,144,796 101,775 PerkinElmer, Inc. 12,102,065 51,307 PRA Health Sciences, Inc. (a) 5,467,274 161,527 Repligen Corp. (a) 24,376,040 342,772 Syneos Health, Inc. (a) 21,385,545 27,553 Thermo Fisher Scientific, Inc. 11,405,564 --------------- 208,539,092 --------------- PHARMACEUTICALS -- 9.7% 169,783 Bristol-Myers Squibb Co. 9,959,471 60,807 Eli Lilly and Co. 9,138,684 449,047 Horizon Therapeutics PLC (a) 27,477,186 135,715 Jazz Pharmaceuticals PLC (a) 14,691,149 35,496 Johnson & Johnson 5,173,897 64,550 Merck & Co., Inc. 5,179,492 1,241,693 Mylan N.V. (a) 20,003,674 180,627 Perrigo Co. PLC 9,576,844 610,594 Pfizer, Inc. 23,495,657 36,424 Zoetis, Inc. 5,524,792 --------------- 130,220,846 --------------- TOTAL COMMON STOCKS -- 100.0% 1,348,250,959 (Cost $1,211,252,237) --------------- Page 34 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.0% 687,875 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (b) $ 687,875 (Cost $687,875) --------------- TOTAL INVESTMENTS -- 100.0% 1,348,938,834 (Cost $1,211,940,112) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (630,081) --------------- NET ASSETS -- 100.0% $ 1,348,308,753 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2020. (c) Aggregate cost for federal income tax purposes is $1,231,732,470. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $152,307,856 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $35,101,492. The net unrealized appreciation was $117,206,364. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $1,348,250,959 $ -- $ -- Money Market Funds 687,875 -- -- -------------------------------------------- Total Investments $1,348,938,834 $ -- $ -- ============================================ * 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, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 10.7% 24,573 Axon Enterprise, Inc. (a) $ 2,042,753 24,519 BWX Technologies, Inc. 1,336,776 27,006 Curtiss-Wright Corp. 2,406,775 9,293 General Dynamics Corp. 1,363,655 116,836 Howmet Aerospace, Inc. 1,726,836 10,615 Huntington Ingalls Industries, Inc. 1,843,932 1,268 Lockheed Martin Corp. 480,534 11,771 Mercury Systems, Inc. (a) 911,428 30,051 Raytheon Technologies Corp. 1,703,291 77,353 Spirit AeroSystems Holdings, Inc., Class A 1,513,798 1,490 Teledyne Technologies, Inc. (a) 456,983 73,271 Textron, Inc. 2,560,089 2,093 TransDigm Group, Inc. 903,297 --------------- 19,250,147 --------------- AIR FREIGHT & LOGISTICS -- 2.9% 5,854 C.H. Robinson Worldwide, Inc. 548,637 6,089 Expeditors International of Washington, Inc. 514,582 12,491 United Parcel Service, Inc., Class B 1,783,215 31,215 XPO Logistics, Inc. (a) 2,341,749 --------------- 5,188,183 --------------- BUILDING PRODUCTS -- 4.2% 9,824 A.O. Smith Corp. 472,927 83,341 Carrier Global Corp. 2,270,209 27,120 Johnson Controls International PLC 1,043,578 10,407 Trane Technologies PLC 1,164,231 18,538 Trex Co., Inc. (a) 2,582,899 --------------- 7,533,844 --------------- CHEMICALS -- 2.2% 20,531 Axalta Coating Systems Ltd. (a) 455,788 4,367 PPG Industries, Inc. 470,108 18,504 RPM International, Inc. 1,509,741 2,404 Sherwin-Williams (The) Co. 1,557,600 --------------- 3,993,237 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 58,014 ADT, Inc. (b) 499,501 6,950 Cintas Corp. 2,097,996 --------------- 2,597,497 --------------- CONSTRUCTION & ENGINEERING -- 2.1% 47,206 Quanta Services, Inc. 1,886,824 16,299 Valmont Industries, Inc. 1,975,439 --------------- 3,862,263 --------------- CONSTRUCTION MATERIALS -- 1.0% 4,481 Martin Marietta Materials, Inc. 928,373 7,992 Vulcan Materials Co. 938,421 --------------- 1,866,794 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONSUMER FINANCE -- 2.1% 22,191 Capital One Financial Corp. $ 1,415,786 108,810 Synchrony Financial 2,407,965 --------------- 3,823,751 --------------- CONTAINERS & PACKAGING -- 6.2% 4,134 AptarGroup, Inc. 476,237 54,408 Berry Global Group, Inc. (a) 2,719,856 7,110 Crown Holdings, Inc. (a) 508,934 66,187 Graphic Packaging Holding Co. 922,647 18,554 Packaging Corp. of America 1,783,410 28,586 Silgan Holdings, Inc. 1,093,415 26,560 Sonoco Products Co. 1,374,214 85,327 WestRock Co. 2,291,883 --------------- 11,170,596 --------------- ELECTRICAL EQUIPMENT -- 9.2% 25,184 Acuity Brands, Inc. 2,495,734 10,359 AMETEK, Inc. 965,977 15,874 Eaton Corp. PLC 1,478,346 14,928 Emerson Electric Co. 925,685 19,776 Generac Holdings, Inc. (a) 3,116,302 11,081 Hubbell, Inc. 1,495,603 98,869 nVent Electric PLC 1,795,461 21,206 Regal Beloit Corp. 1,950,316 8,694 Rockwell Automation, Inc. 1,896,509 12,436 Sensata Technologies Holding PLC (a) 472,319 --------------- 16,592,252 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.2% 35,879 National Instruments Corp. 1,273,704 21,439 Trimble, Inc. (a) 954,250 --------------- 2,227,954 --------------- INDUSTRIAL CONGLOMERATES -- 2.6% 2,969 3M Co. 446,745 15,476 Carlisle Cos., Inc. 1,842,882 135,566 General Electric Co. 822,886 6,402 Honeywell International, Inc. 956,267 1,192 Roper Technologies, Inc. 515,480 --------------- 4,584,260 --------------- IT SERVICES -- 11.3% 8,623 Accenture PLC, Class A 1,938,278 30,780 Alliance Data Systems Corp. 1,365,401 23,805 Booz Allen Hamilton Holding Corp. 1,946,297 3,668 Broadridge Financial Solutions, Inc. 492,759 9,663 Euronet Worldwide, Inc. (a) 929,001 1,841 FleetCor Technologies, Inc. (a) 476,027 38,033 Genpact Ltd. 1,514,474 7,547 Jack Henry & Associates, Inc. 1,345,630 1,566 Mastercard, Inc., Class A 483,158 13,842 PayPal Holdings, Inc. (a) 2,714,001 22,976 Square, Inc., Class A (a) 2,983,434 47,779 StoneCo., Ltd., Class A (a) 2,279,536 2,397 Visa, Inc., Class A 456,389 Page 36 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 42,826 Western Union (The) Co. $ 1,039,815 2,806 WEX, Inc. (a) 444,386 --------------- 20,408,586 --------------- MACHINERY -- 18.7% 16,698 AGCO Corp. 1,095,890 65,557 Allison Transmission Holdings, Inc. 2,449,209 10,981 Caterpillar, Inc. 1,459,155 33,186 Colfax Corp. (a) 965,049 10,689 Cummins, Inc. 2,065,756 2,946 Deere & Co. 519,409 9,953 Donaldson Co., Inc. 481,128 9,590 Dover Corp. 987,099 32,465 Flowserve Corp. 904,800 9,646 Graco, Inc. 513,553 31,525 ITT, Inc. 1,819,938 10,994 Lincoln Electric Holdings, Inc. 993,748 23,459 Middleby (The) Corp. (a) 1,948,505 7,319 Nordson Corp. 1,417,178 33,667 Oshkosh Corp. 2,650,266 32,215 PACCAR, Inc. 2,740,852 5,052 Parker-Hannifin Corp. 903,904 36,561 Pentair PLC 1,566,639 17,410 Snap-on, Inc. 2,539,597 3,322 Stanley Black & Decker, Inc. 509,329 113,259 Trinity Industries, Inc. 2,211,948 24,126 Westinghouse Air Brake Technologies Corp. 1,500,396 17,908 Woodward, Inc. 1,342,025 --------------- 33,585,373 --------------- MULTI-UTILITIES -- 1.3% 108,712 MDU Resources Group, Inc. 2,280,778 --------------- PROFESSIONAL SERVICES -- 6.6% 35,871 CoreLogic, Inc. 2,444,967 10,775 Equifax, Inc. 1,751,584 8,083 FTI Consulting, Inc. (a) 965,434 35,074 ManpowerGroup, Inc. 2,412,741 26,289 Robert Half International, Inc. 1,337,321 21,277 TransUnion 1,905,781 5,441 Verisk Analytics, Inc. 1,026,771 --------------- 11,844,599 --------------- ROAD & RAIL -- 7.1% 13,278 CSX Corp. 947,252 20,036 J.B. Hunt Transport Services, Inc. 2,592,658 3,100 Kansas City Southern 532,735 44,396 Knight-Swift Transportation Holdings, Inc. 1,930,782 4,121 Landstar System, Inc. 501,855 5,275 Norfolk Southern Corp. 1,013,908 8,190 Old Dominion Freight Line, Inc. 1,497,296 49,368 Ryder System, Inc. 1,808,350 56,298 Schneider National, Inc., Class B 1,414,769 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ROAD & RAIL (CONTINUED) 2,737 Union Pacific Corp. $ 474,459 --------------- 12,714,064 --------------- SOFTWARE -- 3.2% 4,431 Fair Isaac Corp. (a) 1,946,051 16,526 Paylocity Holding Corp. (a) 2,201,263 76,949 Pluralsight, Inc., Class A (a) 1,629,010 --------------- 5,776,324 --------------- TRADING COMPANIES & DISTRIBUTORS -- 5.2% 82,323 Air Lease Corp. 2,158,509 40,082 HD Supply Holdings, Inc. (a) 1,406,878 25,436 MSC Industrial Direct Co., Inc., Class A 1,679,031 16,178 United Rentals, Inc. (a) 2,513,576 4,421 W.W. Grainger, Inc. 1,509,904 --------------- 9,267,898 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.8% 45,255 Macquarie Infrastructure Corp. 1,355,840 --------------- TOTAL COMMON STOCKS -- 100.0% 179,924,240 (Cost $172,477,179) --------------- MONEY MARKET FUNDS -- 0.3% 461,970 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 461,970 140,855 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 140,855 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 602,825 (Cost $602,825) --------------- TOTAL INVESTMENTS -- 100.3% 180,527,065 (Cost $173,080,004) (e) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (547,948) --------------- NET ASSETS -- 100.0% $ 179,979,117 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $449,442 and the total value of the collateral held by the Fund is $461,970. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. See Notes to Financial Statements Page 37 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 (e) Aggregate cost for federal income tax purposes is $175,951,689. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $20,797,006 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $16,221,630. The net unrealized appreciation was $4,575,376. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 179,924,240 $ -- $ -- Money Market Funds 602,825 -- -- -------------------------------------------- Total Investments $ 180,527,065 $ -- $ -- ============================================ * 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) $ 449,442 Non-cash Collateral(2) (449,442) --------------- 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, 2020, 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. Page 38 See Notes to Financial Statements FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 3.0% 78,838 Hexcel Corp. $ 2,940,657 --------------- CHEMICALS -- 57.1% 7,383 Air Products and Chemicals, Inc. 2,116,189 30,301 Albemarle Corp. 2,498,620 11,286 Ashland Global Holdings, Inc. 851,867 63,145 Cabot Corp. 2,303,530 27,098 Celanese Corp. 2,633,926 126,690 CF Industries Holdings, Inc. 3,969,198 50,805 Chemours (The) Co. 941,417 19,132 Dow, Inc. 785,560 14,679 DuPont de Nemours, Inc. 785,033 63,991 Eastman Chemical Co. 4,775,648 8,960 Ecolab, Inc. 1,676,237 164,288 Element Solutions, Inc. (a) 1,784,168 23,485 FMC Corp. 2,490,584 198,390 Huntsman Corp. 3,670,215 14,557 International Flavors & Fragrances, Inc. (b) 1,833,454 3,676 Linde PLC 901,024 67,808 LyondellBasell Industries N.V., Class A 4,239,356 62,338 Mosaic (The) Co. 839,693 5,842 NewMarket Corp. 2,189,640 310,275 Olin Corp. 3,487,491 33,140 Scotts Miracle-Gro (The) Co. 5,255,010 15,348 W.R. Grace & Co. 708,003 83,062 Westlake Chemical Corp. 4,526,879 --------------- 55,262,742 --------------- CONTAINERS & PACKAGING -- 4.2% 15,623 Avery Dennison Corp. 1,770,711 66,445 International Paper Co. 2,311,621 --------------- 4,082,332 --------------- ELECTRICAL EQUIPMENT -- 1.9% 293,178 GrafTech International Ltd. 1,779,591 --------------- MACHINERY -- 4.6% 97,962 Timken (The) Co. 4,472,945 --------------- METALS & MINING -- 23.1% 67,403 Freeport-McMoRan, Inc. 870,847 57,742 Newmont Corp. 3,995,746 86,091 Nucor Corp. 3,611,517 46,943 Reliance Steel & Aluminum Co. 4,612,619 18,818 Royal Gold, Inc. 2,633,203 44,821 Southern Copper Corp. 1,959,126 170,806 Steel Dynamics, Inc. 4,681,793 --------------- 22,364,851 --------------- TRADING COMPANIES & DISTRIBUTORS -- 6.0% 83,218 Fastenal Co. 3,914,575 105,726 Univar Solutions, Inc. (a) 1,868,178 --------------- 5,782,753 --------------- TOTAL COMMON STOCKS -- 99.9% 96,685,871 (Cost $97,977,628) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.6% 463,804 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) $ 463,804 122,177 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 122,177 --------------- TOTAL MONEY MARKET FUNDS -- 0.6% 585,981 (Cost $585,981) --------------- TOTAL INVESTMENTS -- 100.5% 97,271,852 (Cost $98,563,609) (e) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (477,118) --------------- NET ASSETS -- 100.0% $ 96,794,734 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $459,969 and the total value of the collateral held by the Fund is $463,804. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $99,729,728. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $8,428,743 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $10,886,619. The net unrealized depreciation was $2,457,876. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 96,685,871 $ -- $ -- Money Market Funds 585,981 -- -- -------------------------------------------- Total Investments $ 97,271,852 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 39 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 --------------------------------- 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) $ 459,969 Non-cash Collateral(2) (459,969) --------------- 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, 2020, 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. Page 40 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% COMMUNICATIONS EQUIPMENT -- 0.4% 32,539 Arista Networks, Inc. (a) $ 8,452,656 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.9% 117,647 CDW Corp. 13,676,464 639,110 Jabil, Inc. 22,279,375 228,244 SYNNEX Corp. 28,471,157 80,106 Zebra Technologies Corp., Class A (a) 22,489,759 --------------- 86,916,755 --------------- HEALTH CARE TECHNOLOGY -- 1.4% 116,617 Veeva Systems, Inc., Class A (a) 30,853,360 --------------- INTERACTIVE MEDIA & SERVICES -- 6.9% 14,459 Alphabet, Inc., Class A (a) 21,514,269 90,292 Facebook, Inc., Class A (a) 22,904,372 331,080 IAC/InterActiveCorp (a) 43,841,614 263,695 Match Group, Inc. (a) 27,081,476 616,529 Pinterest, Inc., Class A (a) 21,140,779 458,828 Twitter, Inc. (a) 16,701,339 --------------- 153,183,849 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.3% 388,858 GrubHub, Inc. (a) 28,091,102 --------------- IT SERVICES -- 14.5% 127,634 Akamai Technologies, Inc. (a) 14,351,167 336,771 Amdocs Ltd. 20,913,479 94,187 Black Knight, Inc. (a) 7,056,490 31,511 CACI International, Inc., Class A (a) 6,548,616 240,556 Cognizant Technology Solutions Corp., Class A 16,434,786 108,475 EPAM Systems, Inc. (a) 31,466,428 401,399 Fastly, Inc., Class A (a) 38,730,990 186,396 GoDaddy, Inc., Class A (a) 13,099,911 113,176 International Business Machines Corp. 13,913,857 145,921 Leidos Holdings, Inc. 13,885,842 150,973 MongoDB, Inc. (a) 34,584,895 170,659 Okta, Inc. (a) 37,712,226 87,980 Science Applications International Corp. 7,036,640 1,150,541 Switch, Inc., Class A 20,698,233 155,733 Twilio, Inc., Class A (a) 43,203,449 --------------- 319,637,009 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 17.7% 389,711 Advanced Micro Devices, Inc. (a) 30,175,323 226,109 Applied Materials, Inc. 14,545,592 21,653 Broadcom, Inc. 6,858,588 221,242 Cirrus Logic, Inc. (a) 15,161,714 347,208 Entegris, Inc. 24,967,727 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 290,817 Inphi Corp. (a) $ 37,998,149 571,137 Intel Corp. 27,260,369 140,564 KLA Corp. 28,088,904 21,128 Lam Research Corp. 7,968,637 779,717 Marvell Technology Group Ltd. 28,436,279 112,756 Maxim Integrated Products, Inc. 7,677,556 64,895 Microchip Technology, Inc. 6,601,768 530,607 Micron Technology, Inc. (a) 26,559,534 120,702 MKS Instruments, Inc. 15,382,263 86,510 Monolithic Power Systems, Inc. 22,926,015 71,956 NVIDIA Corp. 30,551,798 61,833 Qorvo, Inc. (a) 7,923,899 74,928 QUALCOMM, Inc. 7,913,146 53,452 Skyworks Solutions, Inc. 7,781,542 404,343 Teradyne, Inc. 35,970,353 --------------- 390,749,156 --------------- SOFTWARE -- 45.2% 47,097 Adobe, Inc. (a) 20,926,139 208,004 Alteryx, Inc., Class A (a) 36,502,622 150,832 Anaplan, Inc. (a) 6,849,281 46,853 ANSYS, Inc. (a) 14,552,542 113,731 Atlassian Corp. PLC, Class A (a) 20,090,581 114,288 Autodesk, Inc. (a) 27,021,112 256,750 Avalara, Inc. (a) 34,520,037 213,659 Cadence Design Systems, Inc. (a) 23,342,246 344,859 Ceridian HCM Holding, Inc. (a) 26,999,011 46,204 Citrix Systems, Inc. 6,596,083 123,344 Coupa Software, Inc. (a) 37,798,769 340,723 Crowdstrike Holdings, Inc., Class A (a) 38,569,844 198,428 DocuSign, Inc. (a) 43,025,143 313,926 Dropbox, Inc., Class A (a) 7,141,816 296,464 Elastic N.V. (a) 28,516,872 197,576 Everbridge, Inc. (a) 28,213,853 308,766 Five9, Inc. (a) 37,305,108 199,146 Fortinet, Inc. (a) 27,541,892 228,037 Globant S.A. (a) 39,436,719 152,311 HubSpot, Inc. (a) 35,733,684 23,073 Intuit, Inc. 7,068,875 217,651 Manhattan Associates, Inc. (a) 20,848,789 100,746 Microsoft Corp. 20,653,937 198,382 New Relic, Inc. (a) 14,067,268 477,581 PagerDuty, Inc. (a) 14,556,669 89,270 Palo Alto Networks, Inc. (a) 22,845,978 88,260 Paycom Software, Inc. (a) 25,098,496 270,207 Pegasystems, Inc. 31,584,496 87,856 PTC, Inc. (a) 7,516,959 210,252 RealPage, Inc. (a) 13,247,979 95,913 RingCentral, Inc., Class A (a) 27,840,667 109,446 salesforce.com, Inc. (a) 21,325,553 67,488 ServiceNow, Inc. (a) 29,640,730 219,820 Slack Technologies, Inc., Class A (a) 6,495,681 268,431 Smartsheet, Inc., Class A (a) 12,814,896 171,972 Splunk, Inc. (a) 36,083,165 See Notes to Financial Statements Page 41 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 242,004 SS&C Technologies Holdings, Inc. $ 13,915,230 105,142 Synopsys, Inc. (a) 20,946,389 657,134 Teradata Corp. (a) 13,799,814 39,404 Tyler Technologies, Inc. (a) 14,077,079 44,132 VMware, Inc., Class A (a) (b) 6,187,748 72,952 Workday, Inc., Class A (a) 13,198,476 231,588 Zendesk, Inc. (a) 21,109,246 312,064 Zscaler, Inc. (a) 40,521,510 --------------- 996,128,984 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 8.6% 56,203 Apple, Inc. 23,888,523 497,577 Dell Technologies, Inc., Class C (a) 29,770,032 2,107,157 Hewlett Packard Enterprise Co. 20,797,639 392,096 HP, Inc. 6,893,048 1,972,924 NCR Corp. (a) 36,360,989 154,029 NetApp, Inc. 6,823,485 1,577,428 Pure Storage, Inc., Class A (a) 28,172,864 2,234,863 Xerox Holdings Corp. 37,210,469 --------------- 189,917,049 --------------- TOTAL COMMON STOCKS -- 99.9% 2,203,929,920 (Cost $1,696,752,101) --------------- MONEY MARKET FUNDS -- 0.4% 5,393,455 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 5,393,455 2,747,311 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 2,747,311 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 8,140,766 (Cost $8,140,766) --------------- TOTAL INVESTMENTS -- 100.3% 2,212,070,686 (Cost $1,704,892,867) (e) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (6,961,231) --------------- NET ASSETS -- 100.0% $ 2,205,109,455 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $5,336,392 and the total value of the collateral held by the Fund is $5,393,455. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,716,174,123. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $516,000,101 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $20,103,538. The net unrealized appreciation was $495,896,563. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $2,203,929,920 $ -- $ -- Money Market Funds 8,140,766 -- -- -------------------------------------------- Total Investments $2,212,070,686 $ -- $ -- ============================================ * 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) $ 5,336,392 Non-cash Collateral(2) (5,336,392) --------------- 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, 2020, 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. Page 42 See Notes to Financial Statements FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% COMMERCIAL SERVICES & SUPPLIES -- 5.6% 89,606 Clean Harbors, Inc. (a) $ 5,340,517 43,671 Republic Services, Inc. 3,810,295 33,828 Waste Management, Inc. 3,707,549 --------------- 12,858,361 --------------- ELECTRIC UTILITIES -- 56.2% 112,347 Alliant Energy Corp. 6,049,886 67,490 American Electric Power Co., Inc. 5,863,531 213,386 Avangrid, Inc. 10,624,489 112,134 Duke Energy Corp. 9,502,235 131,955 Edison International 7,345,935 76,397 Entergy Corp. 8,031,617 120,868 Evergy, Inc. 7,835,872 43,028 Eversource Energy 3,875,532 246,847 Exelon Corp. 9,530,763 46,196 FirstEnergy Corp. 1,339,684 149,047 Hawaiian Electric Industries, Inc. 5,404,444 82,025 IDACORP, Inc. 7,648,831 7,456 NextEra Energy, Inc. 2,092,899 275,128 NRG Energy, Inc. 9,302,078 59,016 OGE Energy Corp. 1,941,626 201,987 PG&E Corp. (a) 1,888,579 122,226 Pinnacle West Capital Corp. 10,154,536 346,671 PPL Corp. 9,228,382 138,211 Southern (The) Co. 7,547,703 57,334 Xcel Energy, Inc. 3,958,339 --------------- 129,166,961 --------------- GAS UTILITIES -- 8.8% 53,977 Atmos Energy Corp. 5,721,022 128,181 National Fuel Gas Co. 5,200,303 281,697 UGI Corp. 9,391,778 --------------- 20,313,103 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 5.6% 247,286 AES (The) Corp. 3,766,166 481,095 Vistra Corp. 8,977,233 --------------- 12,743,399 --------------- MULTI-UTILITIES -- 22.0% 76,394 Ameren Corp. 6,129,854 95,958 CenterPoint Energy, Inc. 1,824,162 61,338 CMS Energy Corp. 3,936,673 99,626 Consolidated Edison, Inc. 7,654,266 22,071 Dominion Energy, Inc. 1,788,413 66,666 DTE Energy Co. 7,708,590 157,568 NiSource, Inc. 3,852,538 145,777 Public Service Enterprise Group, Inc. 8,154,765 45,844 Sempra Energy 5,705,744 40,879 WEC Energy Group, Inc. 3,894,133 --------------- 50,649,138 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- WATER UTILITIES -- 1.7% 13,929 American Water Works Co., Inc. $ 2,051,324 42,415 Essential Utilities, Inc. 1,923,520 --------------- 3,974,844 --------------- TOTAL INVESTMENTS -- 99.9% 229,705,806 (Cost $246,510,503) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 282,283 --------------- NET ASSETS -- 100.0% $ 229,988,089 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $248,679,606. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $4,084,817 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $23,058,617. The net unrealized depreciation was $18,973,800. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 229,705,806 $ -- $ -- ============================================ * 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, 2020
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............................................... $ 961,688,931 $ 264,802,315 $ 637,723,361 Receivables: Capital shares sold........................................... -- -- -- Investment securities sold.................................... -- -- -- Dividends..................................................... 193,336 199,320 1,694,226 Securities lending income..................................... 101,791 96 70,159 Prepaid expenses.................................................... 3,095 3,194 2,638 ---------------- ---------------- ---------------- Total Assets.................................................. 961,987,153 265,004,925 639,490,384 ---------------- ---------------- ---------------- LIABILITIES: Due to custodian.................................................... -- -- -- Payables: Investment securities purchased............................... -- -- -- Capital shares redeemed....................................... -- -- -- Collateral for securities on loan............................. 12,456,346 6,340,570 23,299,954 Investment advisory fees...................................... 386,032 105,867 260,592 Licensing fees................................................ 59,985 32,949 38,832 Audit and tax fees............................................ 22,374 22,418 22,418 Shareholder reporting fees.................................... 16,407 17,665 10,424 Trustees' fees................................................ 2,391 2,390 2,327 Other liabilities................................................... 95,615 54,204 60,790 ---------------- ---------------- ---------------- Total Liabilities............................................. 13,039,150 6,576,063 23,695,337 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 948,948,003 $ 258,428,862 $ 615,795,047 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,399,001,754 $ 514,373,783 $ 1,151,276,884 Par value........................................................... 239,000 53,000 941,500 Accumulated distributable earnings (loss)........................... (450,292,751) (255,997,921) (536,423,337) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 948,948,003 $ 258,428,862 $ 615,795,047 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 39.70 $ 48.76 $ 6.54 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 23,900,002 5,300,002 94,150,002 ================ ================ ================ Investments, at cost................................................ $ 929,231,205 $ 245,541,839 $ 684,112,233 ================ ================ ================ Securities on loan, at value........................................ $ 11,810,851 $ 6,235,908 $ 22,716,329 ================ ================ ================
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) ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- $ 544,898,046 $ 1,348,938,834 $ 180,527,065 $ 97,271,852 $ 2,212,070,686 $ 229,705,806 -- -- -- 3,603,561 -- -- 3,387,769 -- -- -- -- 2,751,125 740,009 616,352 89,861 82,323 27,772 737,940 2,921 -- 79 218 27,275 -- 8,550 4,590 3,061 2,679 7,792 5,927 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 549,037,295 1,349,559,776 180,620,066 100,960,633 2,212,133,525 233,200,798 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- -- -- -- -- -- 82,536 3,426,064 -- -- 3,599,273 -- -- -- -- -- -- -- 2,754,243 6,921,703 -- 461,970 463,804 5,393,455 -- 230,410 564,305 76,481 39,179 907,877 100,272 75,195 300,962 19,239 10,327 254,853 79,910 22,330 22,374 22,367 22,396 22,403 22,425 63,409 42,948 15,723 10,318 70,219 38,616 2,841 2,631 2,392 2,336 2,988 2,673 123,314 317,803 42,777 18,266 372,275 132,034 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 10,865,266 1,251,023 640,949 4,165,899 7,024,070 3,212,709 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- $ 538,172,029 $ 1,348,308,753 $ 179,979,117 $ 96,794,734 $ 2,205,109,455 $ 229,988,089 ================ ================ ================= ================ ================ ================ $ 876,291,834 $ 1,906,450,067 $ 386,524,267 $ 242,952,467 $ 2,207,695,367 $ 439,646,715 208,000 141,500 46,000 27,000 246,550 83,500 (338,327,805) (558,282,814) (206,591,150) (146,184,733) (2,832,462) (209,742,126) ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- $ 538,172,029 $ 1,348,308,753 $ 179,979,117 $ 96,794,734 $ 2,205,109,455 $ 229,988,089 ================ ================ ================= ================ ================ ================ $ 25.87 $ 95.29 $ 39.13 $ 35.85 $ 89.44 $ 27.54 ================ ================ ================= ================ ================ ================ 20,800,002 14,150,002 4,600,002 2,700,002 24,655,000 8,350,002 ================ ================ ================= ================ ================ ================ $ 614,066,080 $ 1,211,940,112 $ 173,080,004 $ 98,563,609 $ 1,704,892,867 $ 246,510,503 ================ ================ ================= ================ ================ ================ $ 6,644,839 $ -- $ 449,442 $ 459,969 $ 5,336,392 $ -- ================ ================ ================= ================ ================ ================
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, 2020
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........................................................... $ 4,850,539 $ 7,060,183 $ 4,179,626 Securities lending income (net of fees)............................. 246,318 97 434,242 Foreign withholding tax............................................. -- -- -- ---------------- ---------------- ---------------- Total investment income....................................... 5,096,857 7,060,280 4,613,868 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 1,819,618 1,499,905 759,661 Accounting and administration fees.................................. 182,645 151,271 76,492 Licensing fees...................................................... 145,569 119,992 60,773 Shareholder reporting fees.......................................... 37,660 36,611 18,066 Custodian fees...................................................... 32,518 26,172 12,894 Audit and tax fees.................................................. 22,939 22,939 22,939 Transfer agent fees................................................. 18,102 14,999 7,522 Listing fees........................................................ 9,243 9,243 9,244 Trustees' fees and expenses......................................... 7,269 7,271 7,067 Legal fees.......................................................... 5,208 6,554 (1,403) Other expenses...................................................... 6,774 6,939 3,848 ---------------- ---------------- ---------------- Total expenses................................................ 2,287,545 1,901,896 977,103 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 2,809,312 5,158,384 3,636,765 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (77,538,638) (27,553,122) (103,543,346) In-kind redemptions........................................... 45,045,856 21,790,127 12,183,994 ---------------- ---------------- ---------------- Net realized gain (loss)............................................ (32,492,782) (5,762,995) (91,359,352) ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. 15,417,991 23,646,253 (11,197,032) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (17,074,791) 17,883,258 (102,556,384) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ (14,265,479) $ 23,041,642 $ (98,919,619) ================ ================ ================
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) ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- $ 37,599,406 $ 7,858,559 $ 5,186,148 $ 2,792,248 $ 15,391,626 $ 31,234,918 29,079 82,400 23,612 19,520 1,122,034 1,800 (22,730) -- -- -- (22,153) -- ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 37,605,755 7,940,959 5,209,760 2,811,768 16,491,507 31,236,718 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 6,318,471 6,363,890 1,342,978 537,755 10,661,994 5,136,877 591,920 611,026 135,766 55,070 953,972 499,204 505,477 509,111 107,438 43,020 852,960 410,950 128,859 66,957 33,500 23,019 158,109 102,415 111,237 91,053 27,331 10,269 152,478 84,038 22,939 22,939 22,939 22,939 22,939 22,939 52,743 56,848 13,427 5,375 78,280 47,316 13,673 10,291 9,243 9,243 11,418 10,371 8,446 7,780 7,261 7,110 8,859 8,171 27,560 29,241 (1,032) 1,293 53,176 33,766 23,581 21,372 6,831 3,639 34,657 19,124 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 7,804,906 7,790,508 1,705,682 718,732 12,988,842 6,375,171 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- 29,800,849 150,451 3,504,078 2,093,036 3,502,665 24,861,547 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- (166,723,291) (94,346,084) (37,688,803) (24,658,559) (215,168,601) (82,041,509) (150,014,532) 315,202,545 1,521,783 3,374,441 406,993,694 21,428,363 ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- (316,737,823) 220,856,461 (36,167,020) (21,284,118) 191,825,093 (60,613,146) ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- (148,910,367) 116,645,310 (2,899,601) 10,549,321 215,549,299 (34,693,552) ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- (465,648,190) 337,501,771 (39,066,621) (10,734,797) 407,374,392 (95,306,698) ---------------- ---------------- ----------------- ---------------- ---------------- ---------------- $ (435,847,341) $ 337,652,222 $ (35,562,543) $ (8,641,761) $ 410,877,057 $ (70,445,151) ================ ================ ================= ================ ================ ================
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 7/31/2020 7/31/2019 7/31/2020 7/31/2019 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)............................ $ 2,809,312 $ 3,231,559 $ 5,158,384 $ 5,043,876 Net realized gain (loss)................................ (32,492,782) 3,394,989 (5,762,995) (16,244,507) Net change in unrealized appreciation (depreciation).... 15,417,991 (4,579,483) 23,646,253 12,583,208 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... (14,265,479) 2,047,065 23,041,642 1,382,577 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (3,533,221) (2,816,656) (5,348,032) (8,074,707) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 938,313,476 118,936,453 104,301,401 124,804,864 Cost of shares redeemed................................. (355,683,320) (143,392,949) (193,358,328) (157,963,843) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 582,630,156 (24,456,496) (89,056,927) (33,158,979) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. 564,831,456 (25,226,087) (71,363,317) (39,851,109) NET ASSETS: Beginning of period..................................... 384,116,547 409,342,634 329,792,179 369,643,288 --------------- --------------- --------------- --------------- End of period........................................... $ 948,948,003 $ 384,116,547 $ 258,428,862 $ 329,792,179 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 8,850,002 9,650,002 7,200,002 7,950,002 Shares sold............................................. 24,300,000 2,800,000 2,200,000 2,700,000 Shares redeemed......................................... (9,250,000) (3,600,000) (4,100,000) (3,450,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 23,900,002 8,850,002 5,300,002 7,200,002 =============== =============== =============== ===============
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 7/31/2020 7/31/2019 7/31/2020 7/31/2019 7/31/2020 7/31/2019 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- $ 3,636,765 $ 3,078,942 $ 29,800,849 $ 21,435,515 $ 150,451 $ (1,754,398) (91,359,352) (69,838,515) (316,737,823) 19,615,164 220,856,461 63,840,386 (11,197,032) (64,441,284) (148,910,367) (26,430,170) 116,645,310 (151,566,044) --------------- --------------- --------------- --------------- --------------- --------------- (98,919,619) (131,200,857) (435,847,341) 14,620,509 337,652,222 (89,480,056) --------------- --------------- --------------- --------------- --------------- --------------- (2,332,625) (2,654,300) (34,034,992) (20,256,006) -- -- --------------- --------------- --------------- --------------- --------------- --------------- 750,311,311 156,076,566 1,178,265,404 74,828,025 1,479,716,526 1,723,952,631 (155,637,525) (337,620,739) (1,158,563,694) (333,749,514) (1,652,799,967) (1,514,477,381) --------------- --------------- --------------- --------------- --------------- --------------- 594,673,786 (181,544,173) 19,701,710 (258,921,489) (173,083,441) 209,475,250 --------------- --------------- --------------- --------------- --------------- --------------- 493,421,542 (315,399,330) (450,180,623) (264,556,986) 164,568,781 119,995,194 122,373,505 437,772,835 988,352,652 1,252,909,638 1,183,739,972 1,063,744,778 --------------- --------------- --------------- --------------- --------------- --------------- $ 615,795,047 $ 122,373,505 $ 538,172,029 $ 988,352,652 $ 1,348,308,753 $ 1,183,739,972 =============== =============== =============== =============== =============== =============== 11,250,002 25,600,002 30,550,002 39,100,002 15,250,002 13,850,002 104,100,000 10,400,000 36,650,000 2,450,000 18,650,000 22,250,000 (21,200,000) (24,750,000) (46,400,000) (11,000,000) (19,750,000) (20,850,000) --------------- --------------- --------------- --------------- --------------- --------------- 94,150,002 11,250,002 20,800,002 30,550,002 14,150,002 15,250,002 =============== =============== =============== =============== =============== ===============
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 7/31/2020 7/31/2019 7/31/2020 7/31/2019 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)............................ $ 3,504,078 $ 5,164,553 $ 2,093,036 $ 2,267,112 Net realized gain (loss)................................ (36,167,020) 21,656,111 (21,284,118) (9,024,903) Net change in unrealized appreciation (depreciation).... (2,899,601) (132,608,865) 10,549,321 (29,969,693) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... (35,562,543) (105,788,201) (8,641,761) (36,727,484) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (4,258,336) (4,745,501) (2,392,541) (2,117,421) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 68,228,226 706,888,586 55,372,219 64,963,487 Cost of shares redeemed................................. (226,600,830) (1,797,275,535) (114,912,380) (172,775,616) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (158,372,604) (1,090,386,949) (59,540,161) (107,812,129) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. (198,193,483) (1,200,920,651) (70,574,463) (146,657,034) NET ASSETS: Beginning of period..................................... 378,172,600 1,579,093,251 167,369,197 314,026,231 --------------- --------------- --------------- --------------- End of period........................................... $ 179,979,117 $ 378,172,600 $ 96,794,734 $ 167,369,197 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 8,900,002 38,250,002 4,350,002 7,250,002 Shares sold............................................. 1,650,000 17,350,000 1,500,000 1,650,000 Shares redeemed......................................... (5,950,000) (46,700,000) (3,150,000) (4,550,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 4,600,002 8,900,002 2,700,002 4,350,002 =============== =============== =============== ===============
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 7/31/2020 7/31/2019 7/31/2020 7/31/2019 ----------------- ----------------- ----------------- ----------------- $ 3,502,665 $ 10,428,716 $ 24,861,547 $ 13,712,237 191,825,093 243,984,837 (60,613,146) 26,261,291 215,549,299 157,909,622 (34,693,552) 25,589,904 --------------- --------------- --------------- --------------- 410,877,057 412,323,175 (70,445,151) 65,563,432 --------------- --------------- --------------- --------------- (4,987,541) (9,561,020) (30,455,522) (10,275,866) --------------- --------------- --------------- --------------- 1,227,962,041 1,756,769,650 1,502,286,878 1,503,287,322 (1,824,089,056) (1,760,385,574) (2,520,939,542) (517,573,676) --------------- --------------- --------------- --------------- (596,127,015) (3,615,924) (1,018,652,664) 985,713,646 --------------- --------------- --------------- --------------- (190,237,499) 399,146,231 (1,119,553,337) 1,041,001,212 2,395,346,954 1,996,200,723 1,349,541,426 308,540,214 --------------- --------------- --------------- --------------- $ 2,205,109,455 $ 2,395,346,954 $ 229,988,089 $ 1,349,541,426 =============== =============== =============== =============== 34,555,000 35,305,000 46,750,002 11,700,002 15,700,000 27,100,000 55,350,000 53,150,000 (25,600,000) (27,850,000) (93,750,000) (18,100,000) --------------- --------------- --------------- --------------- 24,655,000 34,555,000 8,350,002 46,750,002 =============== =============== =============== ===============
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, -------------------------------------------------------------- 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 43.40 $ 42.42 $ 37.53 $ 36.06 $ 37.29 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.36 0.37 0.43 0.34 0.53 Net realized and unrealized gain (loss) (3.61) 0.93 4.88 1.48 (1.43) ---------- ---------- ---------- ---------- ---------- Total from investment operations (3.25) 1.30 5.31 1.82 (0.90) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.45) (0.32) (0.42) (0.35) (0.33) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 39.70 $ 43.40 $ 42.42 $ 37.53 $ 36.06 ========== ========== ========== ========== ========== TOTAL RETURN (a) (7.39)% 3.13% 14.17% 5.10% (2.34)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 948,948 $ 384,117 $ 409,343 $ 407,197 $1,766,902 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.64% 0.64% 0.63% 0.61% Ratio of net expenses to average net assets 0.63% 0.64% 0.64% 0.63% 0.61% Ratio of net investment income (loss) to average net assets 0.77% 0.90% 1.03% 0.79% 1.39% Portfolio turnover rate (b) 115% 97% 101% 93% 103%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 45.80 $ 46.50 $ 46.84 $ 49.06 $ 45.69 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.84 0.70 1.00 0.56 0.76 Net realized and unrealized gain (loss) 2.98 (0.32) (0.74) (2.20) 3.38 ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.82 0.38 0.26 (1.64) 4.14 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.86) (1.08) (0.60) (0.58) (0.77) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 48.76 $ 45.80 $ 46.50 $ 46.84 $ 49.06 ========== ========== ========== ========== ========== TOTAL RETURN (a) 8.46% 0.83% 0.53% (3.31)% 9.19% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 258,429 $ 329,792 $ 369,643 $ 461,376 $2,558,300 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.64% 0.64% 0.62% 0.61% Ratio of net expenses to average net assets 0.63% 0.64% 0.64% 0.62% 0.61% Ratio of net investment income (loss) to average net assets 1.72% 1.51% 2.09% 0.94% 1.60% Portfolio turnover rate (b) 113% 90% 107% 100% 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 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, -------------------------------------------------------------- 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 10.88 $ 17.10 $ 13.66 $ 14.54 $ 16.93 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.16 0.16 0.12 0.14 0.22 Net realized and unrealized gain (loss) (4.31) (6.25) 3.47 (0.85) (2.37) ---------- ---------- ---------- ---------- ---------- Total from investment operations (4.15) (6.09) 3.59 (0.71) (2.15) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.19) (0.13) (0.15) (0.17) (0.24) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 6.54 $ 10.88 $ 17.10 $ 13.66 $ 14.54 ========== ========== ========== ========== ========== TOTAL RETURN (a) (38.32)% (35.77)% 26.45% (4.99)% (12.67)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 615,795 $ 122,374 $ 437,773 $ 249,296 $1,458,077 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.65% 0.63% 0.63% 0.62% Ratio of net expenses to average net assets 0.64% 0.65% 0.63% 0.63% 0.62% Ratio of net investment income (loss) to average net assets 2.39% 1.17% 0.68% 1.03% 1.40% Portfolio turnover rate (b) 165% 99% 108% 55% 112%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 32.35 $ 32.04 $ 29.39 $ 24.09 $ 24.43 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.72 0.65 0.62 0.44 0.39 Net realized and unrealized gain (loss) (6.37) 0.25 2.61 5.30 (0.36) ---------- ---------- ---------- ---------- ---------- Total from investment operations (5.65) 0.90 3.23 5.74 0.03 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.83) (0.59) (0.58) (0.44) (0.37) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 25.87 $ 32.35 $ 32.04 $ 29.39 $ 24.09 ========== ========== ========== ========== ========== TOTAL RETURN (a) (17.56)% 3.03% 11.06% 24.00% 0.22% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 538,172 $ 988,353 $1,252,910 $1,121,234 $ 710,692 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.63% 0.63% 0.63% 0.64% Ratio of net expenses to average net assets 0.62% 0.63% 0.63% 0.63% 0.64% Ratio of net investment income (loss) to average net assets 2.36% 2.06% 1.99% 1.72% 1.72% Portfolio turnover rate (b) 90% 81% 70% 80% 75%
(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, -------------------------------------------------------------- 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 77.62 $ 76.80 $ 66.92 $ 61.55 $ 69.63 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.01 (0.11) (0.02) (0.03) 0.00 (a) (b) Net realized and unrealized gain (loss) 17.66 0.93 9.90 5.40 (8.08) ---------- ---------- ---------- ---------- ---------- Total from investment operations 17.67 0.82 9.88 5.37 (8.08) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 95.29 $ 77.62 $ 76.80 $ 66.92 $ 61.55 ========== ========== ========== ========== ========== TOTAL RETURN (c) 22.75% 1.07% 14.76% 8.72% (11.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,348,309 $1,183,740 $1,063,745 $1,067,382 $1,147,893 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.62% 0.63% 0.62% 0.61% Ratio of net expenses to average net assets 0.61% 0.62% 0.63% 0.62% 0.61% Ratio of net investment income (loss) to average net assets 0.01% (0.11)% (0.03)% (0.05)% 0.01% Portfolio turnover rate (d) 107% 123% 107% 112% 118%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 42.49 $ 41.28 $ 35.36 $ 28.94 $ 29.46 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.58 0.30 0.28 0.17 0.24 Net realized and unrealized gain (loss) (3.29) 1.17 5.92 6.42 (0.51) ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.71) 1.47 6.20 6.59 (0.27) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.65) (0.26) (0.28) (0.17) (0.25) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 39.13 $ 42.49 $ 41.28 $ 35.36 $ 28.94 ========== ========== ========== ========== ========== TOTAL RETURN (c) (6.30)% 3.67% 17.57% 22.81% (0.82)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 179,979 $ 378,173 $1,579,093 $1,444,369 $ 159,169 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% 0.63% 0.62% 0.63% 0.66% Ratio of net expenses to average net assets 0.64% 0.63% 0.62% 0.63% 0.66% Ratio of net investment income (loss) to average net assets 1.30% 0.71% 0.70% 0.53% 0.93% Portfolio turnover rate (d) 97% 79% 91% 101% 103%
(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, -------------------------------------------------------------- 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 38.48 $ 43.31 $ 38.63 $ 34.32 $ 30.68 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.71 0.50 0.40 0.48 0.41 Net realized and unrealized gain (loss) (2.57) (4.88) 4.69 4.30 3.65 ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.86) (4.38) 5.09 4.78 4.06 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.77) (0.45) (0.41) (0.47) (0.42) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 35.85 $ 38.48 $ 43.31 $ 38.63 $ 34.32 ========== ========== ========== ========== ========== TOTAL RETURN (a) (4.78)% (10.08)% 13.20% 14.01% 13.48% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 96,795 $ 167,369 $ 314,026 $ 260,726 $ 250,558 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.67% 0.65% 0.64% 0.65% 0.66% Ratio of net expenses to average net assets 0.67% 0.65% 0.64% 0.65% 0.66% Ratio of net investment income (loss) to average net assets 1.95% 1.27% 0.92% 1.40% 1.26% Portfolio turnover rate (b) 84% 82% 92% 84% 113%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
YEAR ENDED JULY 31, -------------------------------------------------------------- 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 69.32 $ 56.54 $ 45.12 $ 34.84 $ 34.98 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.11 0.31 0.09 0.32 0.27 Net realized and unrealized gain (loss) 20.17 12.75 11.43 10.32 (0.14) ---------- ---------- ---------- ---------- ---------- Total from investment operations 20.28 13.06 11.52 10.64 0.13 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.16) (0.28) (0.10) (0.36) (0.27) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 89.44 $ 69.32 $ 56.54 $ 45.12 $ 34.84 ========== ========== ========== ========== ========== TOTAL RETURN (a) 29.33% 23.20% 25.55% 30.72% 0.42% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,205,109 $2,395,347 $1,996,201 $ 607,101 $ 491,478 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.61% 0.63% 0.63% 0.63% Ratio of net expenses to average net assets 0.61% 0.61% 0.63% 0.63% 0.63% Ratio of net investment income (loss) to average net assets 0.16% 0.50% 0.17% 0.82% 0.82% Portfolio turnover rate (b) 110% 91% 127% 115% 109%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (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, -------------------------------------------------------------- 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 28.87 $ 26.37 $ 27.64 $ 27.46 $ 23.06 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.05 0.63 0.98 0.76 0.73 Net realized and unrealized gain (loss) (1.29) 2.43 (1.30) 0.19 4.38 ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.24) 3.06 (0.32) 0.95 5.11 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.09) (0.56) (0.95) (0.77) (0.71) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.54 $ 28.87 $ 26.37 $ 27.64 $ 27.46 ========== ========== ========== ========== ========== TOTAL RETURN (a) (0.70)% 11.71% (1.09)% 3.57% 22.66% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 229,988 $1,349,541 $ 308,540 $1,350,332 $1,831,298 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.63% 0.63% 0.62% 0.62% Ratio of net expenses to average net assets 0.62% 0.63% 0.63% 0.62% 0.62% Ratio of net investment income (loss) to average net assets 2.42% 2.23% 2.67% 2.74% 2.79% Portfolio turnover rate (b) 64% 60% 76% 57% 71%
(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, 2020 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 Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment Page 57 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2020 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, 2020 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, 2020, 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, 2020, all the Funds except FXH and FXU had securities in the securities lending program. During the fiscal year ended July 31, 2020, 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, 2020 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, 2020, were received as collateral for lending securities. There were no repurchase agreements held by the Funds as of July 31, 2020. 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, 2020 was as follows:
Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 3,533,221 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 5,348,032 -- -- First Trust Energy AlphaDEX(R) Fund 2,332,625 -- -- First Trust Financials AlphaDEX(R) Fund 34,034,992 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 4,258,336 -- -- First Trust Materials AlphaDEX(R) Fund 2,392,541 -- -- First Trust Technology AlphaDEX(R) Fund 4,987,541 -- -- First Trust Utilities AlphaDEX(R) Fund 30,455,522 -- --
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 -- --
Page 60 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2020 As of July 31, 2020, 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 $ 98,971 $ (466,302,471) $ 15,910,749 First Trust Consumer Staples AlphaDEX(R) Fund 198,506 (274,074,178) 17,877,751 First Trust Energy AlphaDEX(R) Fund 1,827,486 (469,339,224) (68,911,599) First Trust Financials AlphaDEX(R) Fund 1,830,492 (264,244,884) (75,913,413) First Trust Health Care AlphaDEX(R) Fund (30,924) (675,458,254) 117,206,364 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 85,255 (211,251,781) 4,575,376 First Trust Materials AlphaDEX(R) Fund 82,775 (143,809,632) (2,457,876) First Trust Technology AlphaDEX(R) Fund -- (498,729,025) 495,896,563 First Trust Utilities AlphaDEX(R) Fund 818,264 (191,586,590) (18,973,800)
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 2017, 2018, 2019, and 2020 remain open to federal and state audit. As of July 31, 2020, 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. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is 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. At July 31, 2020, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. 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 each applicable Fund's shareholders.
Non-Expiring Capital Loss Carryforward -------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 466,302,471 First Trust Consumer Staples AlphaDEX(R) Fund 274,074,178 First Trust Energy AlphaDEX(R) Fund 469,339,224 First Trust Financials AlphaDEX(R) Fund 264,244,884 First Trust Health Care AlphaDEX(R) Fund 675,458,254 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 211,251,781 First Trust Materials AlphaDEX(R) Fund 143,809,632 First Trust Technology AlphaDEX(R) Fund 498,729,025 First Trust Utilities AlphaDEX(R) Fund 191,586,590
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, 2020, 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 $ 30,924 $ --
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 Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2020 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, 2020, 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 $ -- $ (41,006,858) $ 41,006,858 First Trust Consumer Staples AlphaDEX(R) Fund -- (15,960,122) 15,960,122 First Trust Energy AlphaDEX(R) Fund -- (1,573,337) 1,573,337 First Trust Financials AlphaDEX(R) Fund 201,664 164,164,878 (164,366,542) First Trust Health Care AlphaDEX(R) Fund 708,195 (268,979,701) 268,271,506 First Trust Industrials/Producer Durables AlphaDEX(R) Fund -- 2,454,365 (2,454,365) First Trust Materials AlphaDEX(R) Fund -- 589,888 (589,888) First Trust Technology AlphaDEX(R) Fund 586,656 (392,075,030) 391,488,374 First Trust Utilities AlphaDEX(R) Fund -- (7,667,028) 7,667,028
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. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Funds. For these services, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least November 30, 2021. 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 (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. For the fiscal year ended July 31, 2020, there were no fees waived or expenses reimbursed by First Trust for the Funds. As of July 31, 2020, 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. Page 62 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2020 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, a defined-outcome 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, 2020, 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 $ 438,225,619 $ 437,809,375 First Trust Consumer Staples AlphaDEX(R) Fund 333,763,932 334,285,291 First Trust Energy AlphaDEX(R) Fund 274,804,340 274,261,175 First Trust Financials AlphaDEX(R) Fund 1,099,094,133 1,098,867,935 First Trust Health Care AlphaDEX(R) Fund 1,365,472,560 1,365,492,609 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 259,641,861 260,741,769 First Trust Materials AlphaDEX(R) Fund 92,011,069 92,436,400 First Trust Technology AlphaDEX(R) Fund 2,367,667,870 2,370,826,330 First Trust Utilities AlphaDEX(R) Fund 647,866,072 640,272,214
For the fiscal year ended July 31, 2020, 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 $ 936,291,363 $ 355,013,997 First Trust Consumer Staples AlphaDEX(R) Fund 104,191,164 192,962,254 First Trust Energy AlphaDEX(R) Fund 748,978,331 155,219,944 First Trust Financials AlphaDEX(R) Fund 1,171,189,813 1,151,743,586 First Trust Health Care AlphaDEX(R) Fund 1,477,848,600 1,650,763,723 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 68,156,145 225,979,597 First Trust Materials AlphaDEX(R) Fund 55,258,819 114,734,246 First Trust Technology AlphaDEX(R) Fund 1,227,251,612 1,823,385,484 First Trust Utilities AlphaDEX(R) Fund 1,493,238,488 2,505,667,901
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. 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 Creation Transaction Fee may increase or decrease with changes in each Fund's portfolio. 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. 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. Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2020 The Redemption Transaction Fee may increase or decrease with changes in each Fund's portfolio. 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, 2021. 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, including the portfolios of investments, as of July 31, 2020, 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 Funds as of July 31, 2020, 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, 2020, 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 23, 2020 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, 2020 (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, 2020, 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 84.95% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 100.00% First Trust Utilities AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2020, the following percentages of income dividend paid by the Funds are 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 85.71% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00% First Trust Materials AlphaDEX(R) Fund 100.00% First Trust Technology AlphaDEX(R) Fund 100.00% First Trust Utilities AlphaDEX(R) Fund 100.00%
A portion of each of the First Trust Exchange-Traded AlphaDEX(R) Sector Funds' 2020 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2020, 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 Trusts (REITs) these Funds invest in. Page 66 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2020 (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, 2020 (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. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. In 2017, the United Kingdom's Financial Conduct Authority announced that LIBOR will cease to be available for use after 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to the fund. 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. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 68 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2020 (UNAUDITED) REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Fund 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, 2019, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $2,786,563. This figure is comprised of $173,009 paid (or to be paid) in fixed compensation and $2,613,554 paid (or to be paid) in variable compensation. There were a total of 15 beneficiaries of the remuneration described above. Those amounts include $1,627,293 paid (or to be paid) to senior management of First Trust Advisors L.P. and $1,159,270 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees 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) Page 69 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2020 (UNAUDITED) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2021 at a meeting held on June 8, 2020. 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 May 11, 2020 and June 8, 2020, 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 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 the Advisor to realize economies of scale, if any; profitability and other financial data for 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 May 11, 2020, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the May meeting, counsel to the Independent Trustees, 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 their counsel held prior to the June 8, 2020 meeting, as well as at the meeting held that day. The Board considered supplemental information provided by the Advisor on the operations of the Advisor and the performance of the Funds since the onset of the COVID-19 pandemic. 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 May 11, 2020 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, 2021. For each Fund, the Board noted that expenses reimbursed and fees waived by the Advisor are subject to recovery by the Advisor for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment will be made by the Fund if it would result in the Fund exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. 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 Page 70 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2020 (UNAUDITED) Board, at the May 11, 2020 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 demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex. 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, 2019 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by 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, 2019 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. LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee. Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, Page 71 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JULY 31, 2020 (UNAUDITED) including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the May 11, 2020 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from June 1, 2019 (the initial compliance date for certain requirements of Rule 22e-4) through the Liquidity Committee's annual meeting held on March 20, 2020 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted a highly liquid investment minimum. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 72 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2020 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East 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 Orthopedics; 184 None (1951) Limited Partner, Gundersen Real Estate o Since Inception 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. 184 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 184 Director of Trust (1956) and Management Consulting) Company of o Since Inception Illinois Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 184 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 184 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 73 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2020 (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 to o Since January 2016 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 First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception 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 74 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2020 (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 2020 Page 75 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, 2020 -------------------------------------------------------------------------------- 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, 2020 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)..................... 44 First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 52 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 56 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 60 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 70 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 79 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 84 First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 89 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 94 First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 99 Statements of Assets and Liabilities........................................ 102 Statements of Operations.................................................... 105 Statements of Changes in Net Assets......................................... 108 Financial Highlights........................................................ 112 Notes to Financial Statements............................................... 119 Report of Independent Registered Public Accounting Firm..................... 128 Additional Information...................................................... 129 Board of Trustees and Officers.............................................. 136 Privacy Policy.............................................................. 138 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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's shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of other risks in investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL LETTER FROM THE CHAIRMAN AND CEO JULY 31, 2020 Dear Shareholders: First Trust is pleased to provide you with the annual report for the Style Funds of the First Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which contains detailed information about the Funds for the 12-month period ended July 31, 2020. When I think back to the direction the U.S. economy was headed midway through 2018, the first thought that comes to mind is normalization. At that time, it was a welcome notion. If you recall, the Trump Administration signed the Tax Cuts & Jobs Act of 2017 on December 22, 2017. Perhaps the most exciting part of the new tax law was the slashing of the federal corporate tax rate from 35%, which was among the highest of any country in the world, to 21%. This was well received, in our opinion. U.S. economic activity was rising even before the ink was dry on the tax bill. Real U.S. gross domestic product grew at an annualized rate of 3.9% in the fourth quarter of 2017, and then rose an annualized 3.8% in the first quarter of 2018, according to the Bureau of Economic Analysis. The last time U.S. economic growth had exceeded the 3.0% mark was in the first quarter of 2015. Over the two terms of the Obama Administration (2009-2016), U.S. economic growth averaged just 2.0%, which was modest by historical standards. Brian Wesbury, Chief Economist at First Trust Advisors L.P., referred to it as the "Plow Horse Economy." The main takeaway here is that the Trump Administration's tax cuts were helping to drive economic growth to more normalized levels. The process had begun. As economic growth was normalizing in 2018, so were interest rates and bond yields. The Federal Reserve (the "Fed") raised the federal funds target rate (upper bound) from 1.50% at the start of 2018 to 2.50% at year-end, or an increase of 100 basis points ("bps"). The yield on the 10-Year Treasury Note ("T-Note"), which the Fed does not control, rose 83 bps from the start of 2018 to its calendar year peak of 3.24% on November 8, 2018. The point here is that while interest rates and bond yields were well into the process of normalizing, they were still below their historical norms. For the 30-year period ended December 31, 2018, the federal funds target rate (upper bound) averaged 3.18%, while the 10-Year T-Note's average yield was 4.71%, according to Bloomberg. If you recall, industry pundits had been characterizing the persistent low-rate, low-growth climate as the "new normal." While the concept of getting back to normal in the economy and markets looked achievable, in the end, it was not meant to be. What derailed the momentum? In a word: tariffs. In March 2018, less than three months after enacting its tax reform legislation, the Trump Administration initiated a tariff program targeting imported goods and services from the major trading partners of the U.S. In February 2020, the White House acknowledged that the Trump Administration's trade policies "depressed economic growth and business investment," according to Bloomberg. President Trump was pressuring the Fed to lower interest rates months before the coronavirus ("COVID-19") showed itself. The tariffs are still in play today. Let us fast forward to today's climate. For all intents and purposes, from a monetary policy standpoint, we are back to where we were following the 2008-2009 financial crisis. The federal funds target rate (upper bound) stood at 0.25% on July 31, 2020. That is where it sat from December 2008 to December 2015. That puts us farther away from normalcy than we were leading up to 2018. While the COVID-19 pandemic was what drove the U.S. economy into a recession and what pushed the stock market into bear market territory, at least for a few months, we know that there are other headwinds to be navigated, such as government trade policies and elections. There are always going to be headwinds to be navigated. As of July 31, 2020, the yield on the 10-Year T-Note was 0.53%, which was about 150 bps below where it stood at the close of December 2008. The Fed has stated that it is in no rush to raise interest rates. Inflation levels are subdued. By keeping interest rates artificially low, the Fed is incentivizing investors to assume more risk to potentially earn a higher return on their capital. With the help of the Fed, the stock and bond markets have proved their resiliency once again, despite how destructive COVID-19 has been to date. Investors should take solace in that fact. Maybe the new normal will work as well for investors as what we deemed normal in the past. Stay the course! Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL REPORT JULY 31, 2020 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 27 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 A year ago, we were laser focused on the Trump Administration's trade war with China. Little did we know back then that we would be swapping anxiety over tariffs for a virus pandemic. The coronavirus ("COVID-19") has been front and center since its onset early in the first quarter of 2020. Its arrival ended the bull market in stocks and temporarily shuttered a major chunk of not only the U.S. economy, but economies around the globe. The U.S. economy contracted by an annualized 5.0% in the first quarter of 2020 and then plunged an annualized 32.9% in the second quarter of 2020, according to the Bureau of Economic Analysis. The National Bureau of Economic Research, the organization that determines the beginning and end of business cycles in the U.S., reported on June 8, 2020, that U.S. economic activity peaked in February of this year. That marked the end of a 128-month economic expansion, the longest in this nation's history. We now know that the U.S. economy is in a recession. While the trillions of dollars of stimulus that has been appropriated by government leaders and central bankers throughout the globe is helping to prop up economies decimated (financial cost and human toll) by COVID-19, we believe that its primary objective is to simply buy time so that health care companies can develop therapeutics and vaccines to combat the virus. There are indicators we can cite that show just how rough it is in the business world despite the stimulus efforts. One of our go to barometers is the default rate on lower-quality, high yield corporate bonds. As of July 31, 2020, the trailing 12-month global speculative-grade default rate was 6.1%, according to Moody's Investors Service. It now stands above its historical average of 4.1%. Moody's estimates that it will climb to 8.8% by the end of 2020. That happens to coincide with the target date for when some pundits believe we could see the first FDA-approved vaccines for COVID-19. This is something we plan to monitor closely. The International Monetary Fund ("IMF") is forecasting year-over-year global growth rate estimates of -4.9% for 2020 and 5.4% for 2021, compared to 3.6% in 2018 and 2.9% in 2019. With respect to the U.S., it sees gross domestic product growth declining by an estimated 8.0% in 2020 and then rebounding 4.5% in 2021. That is in line with the -8.0% and 4.8% estimates for 2020 and 2021 for all Advanced Economies. Emerging Market and Developing Economies are expected to hold up better than their developed nation counterparts. The IMF puts their growth rate targets at -3.0% for 2020 and 5.9% for 2021. 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 $6.66 trillion in July 2020, up from $5.74 trillion a year ago, according to its own release. Total assets of U.S. listed ETFs/ETPs stood at an all-time high of $4.61 trillion, up from $4.02 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, 2020, U.S. Equity funds/ETFs reported estimated net outflows totaling $177.64 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 $62.14 billion, compared to estimated net outflows totaling $239.78 billion for actively managed U.S. Equity funds/ETFs. For the 12-month period ended July 31, 2020, U.S. Large Blend, U.S. Large Growth and U.S. Large Value equity funds/ETFs reported estimated net flows totaling -$4.81 billion, -$59.38 billion and -$29.68 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 -$12.34 billion, -$14.30 billion and -$21.91 billion, respectively. U.S. Small Blend, U.S. Small Growth and U.S. Small Value equity funds/ETFs reported estimated net flows totaling -$10.30 billion, -$12.44 billion and -$2.99 billion, respectively. Overall, investors were not particularly interested in style-driven portfolios over the past year. For the 12-month period ended July 31, 2020, the S&P 500(R) Index posted a total return of 11.96%, according to Bloomberg. Growth stocks outperformed value stocks by a huge margin for the same period. The S&P 500(R) Growth Index posted a total return of 24.55%, compared to -2.72% for the S&P 500(R) Value Index in the period. The S&P MidCap 400(R) Index posted a total return of -3.54% for the same period. Growth stocks significantly outperformed value stocks in the period. The S&P MidCap 400(R) Growth Index posted a total return of 5.38%, compared to -13.39% for the S&P MidCap 400(R) Value Index. The S&P SmallCap 600(R) Index posted a total return of -8.68% in the period. Despite posting a negative return, growth stocks outperformed value stocks in the period. The S&P SmallCap 600(R) Growth Index posted a total return of -1.58%, compared to -16.31% 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 the 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV 1.95% 7.72% 11.53% 6.99% 45.01% 197.83% 144.38% Market Price 1.95% 7.69% 11.53% 6.99% 44.87% 197.85% 144.34% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Core Index(1) 2.58% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(1) 13.58% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 11.96% 11.49% 13.84% 8.29% 72.23% 265.58% 186.97% -----------------------------------------------------------------------------------------------------------------
(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 The Fund generated a net asset value ("NAV") return of 1.95% during the period covered by this report. During the same period, the S&P 500(R) Index (the "Benchmark") generated a return of 11.96%. During the period covered by this report, the Fund allocated 17.4% to the Information Technology sector and 17.1% to the Financials sector, the two largest allocations in the period. The allocation to the Information Technology sector also contributed 5.1% to the Fund's return, which was more than any other sector. Investments in the Financials sector contributed -3.1% to the Fund's return, which was the largest negative contribution of any sector. On a relative basis, the Fund underperformed the Benchmark. The largest source of the underperformance came from investments in the Information Technology sector, which caused -3.1% of underperformance for the Fund versus the Benchmark. The greatest source of outperformance for the Fund versus the Benchmark was 0.8%, which was earned from investments in the Health Care sector. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 ---------------------------------------------------------- Information Technology 23.26% Financials 16.62 Health Care 13.28 Industrials 11.34 Consumer Discretionary 9.98 Communication Services 6.19 Utilities 5.18 Consumer Staples 4.21 Energy 3.85 Materials 3.69 Real Estate 2.40 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesla, Inc. 0.56% PulteGroup, Inc. 0.54 Twilio, Inc., Class A 0.54 DocuSign, Inc. 0.53 Square, Inc., Class A 0.53 D.R. Horton, Inc. 0.51 West Pharmaceutical Services, Inc. 0.50 Universal Health Services, Inc., Class B 0.50 Pfizer, Inc. 0.50 Lennar Corp., Class A 0.50 ------- Total 5.21% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 First Trust Large Cap S&P 500(R) Core AlphaDEX(R) Fund Index 7/10 $10,000 $10,000 1/11 11,901 11,793 7/11 12,055 11,965 1/12 12,143 12,289 7/12 12,320 13,058 1/13 14,165 14,352 7/13 16,188 16,322 1/14 17,399 17,440 7/14 19,075 19,086 1/15 19,822 19,920 7/15 20,538 21,225 1/16 18,388 19,788 7/16 21,276 22,418 1/17 22,789 23,754 7/17 24,824 26,013 1/18 28,416 30,027 7/18 28,229 30,237 1/19 26,716 29,332 7/19 29,214 32,654 1/20 30,378 35,694 7/20 29,783 36,558
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 30 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 223 0 0 0 Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -5.86% 5.24% 10.09% 6.89% 29.07% 161.49% 141.53% Market Price -5.81% 5.23% 10.09% 6.89% 29.03% 161.51% 141.46% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Core Index(1) -5.24% N/A N/A N/A N/A N/A N/A Nasdaq US 600 Mid Cap Index(1) -2.41% N/A N/A N/A N/A N/A N/A S&P MidCap 400(R) Index -3.54% 6.14% 11.10% 7.38% 34.73% 186.58% 156.51% -----------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of -5.86% during the period covered by this report. During the same period, the S&P MidCap 400(R) Index (the "Benchmark") generated a return of -3.54%. During the period covered by this report, the Financials sector received the largest allocation within the Fund at a 19.3% weight. This sector also generated the largest negative contribution to the Fund's return during the period at -8.2%. The Fund's allocation to the Health Care sector generated a 5.2% contribution to the Fund's return during the period, which was the largest return contribution by sector. On a relative basis, the Fund underperformed the Benchmark. The bulk of this underperformance came from the Financials sector, where the Fund's holdings within this sector underperformed the Benchmark's sector holdings by -2.4%. The Fund's holdings within the Health Care sector minimized a portion of the Fund's relative underperformance by earning 2.1% of outperformance for the Fund compared to the Benchmark. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 18.26% Industrials 16.39 Information Technology 15.34 Consumer Discretionary 13.46 Health Care 12.83 Real Estate 5.84 Materials 5.29 Communication Services 3.79 Utilities 3.68 Consumer Staples 3.22 Energy 1.90 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Boston Beer (The) Co., Inc., Class A 0.54% Wayfair, Inc., Class A 0.48 Carvana Co. 0.46 Enphase Energy, Inc. 0.45 Quidel Corp. 0.45 Chegg, Inc. 0.43 Zillow Group, Inc., Class C 0.42 Zscaler, Inc. 0.42 Scotts Miracle-Gro (The) Co. 0.42 Toll Brothers, Inc. 0.42 ------- Total 4.49% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 First Trust Mid Cap S&P MidCap 400(R) Core AlphaDEX(R) Fund Index 7/10 $10,000 $10,000 1/11 12,277 12,249 7/11 12,660 12,576 1/12 12,863 12,580 7/12 12,744 12,727 1/13 14,880 14,915 7/13 16,913 16,927 1/14 18,471 18,176 7/14 19,195 19,108 1/15 19,525 20,154 7/15 20,259 21,266 1/16 17,435 18,803 7/16 20,413 22,442 1/17 22,327 24,475 7/17 23,395 25,738 1/18 26,632 28,786 7/18 27,446 29,477 1/19 25,804 27,491 7/19 27,781 29,713 1/20 28,261 30,591 7/20 26,149 28,658
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 70 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 183 0 0 0 Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -8.55% 3.95% 9.22% 5.51% 21.36% 141.45% 103.33% Market Price -8.53% 3.96% 9.21% 5.51% 21.41% 141.40% 103.30% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Core Index(1) -7.92% N/A N/A N/A N/A N/A N/A Nasdaq US 700 Small Cap Index(1) -5.65% N/A N/A N/A N/A N/A N/A S&P SmallCap 600(R) Index -8.68% 5.50% 11.00% 6.81% 30.71% 184.07% 139.01% -----------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of -8.55% during the period covered by this report. During the same period, the S&P SmallCap 600(R) Index (the "Benchmark") generated a return of -8.68%. The Industrials sector received an allocation of 20.3%, the greatest weight of any sector in the Fund during the period covered by this report. Investments in this sector contributed -3.1% to the Fund's return. The most negative contribution to the Fund's return came from investments in the Financials sector, which received an allocation of 16.4% and caused -5.0% drag on the Fund's performance. The sector with the greatest contribution to the Fund's return came in a 1.3% contribution to return from investments in the Information Technology sector. On a relative basis, the Fund outperformed the Benchmark. Outperformance of 2.2% came from investments in the Financials sector. While these investments were the greatest drag on Fund performance, they were even worse contributors to the Benchmark. Meanwhile, -1.2% of underperformance for the Fund came from investments in Consumer Discretionary. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 18.64% Financials 17.94 Consumer Discretionary 15.35 Information Technology 14.46 Health Care 10.68 Materials 6.23 Real Estate 5.85 Energy 3.96 Consumer Staples 3.12 Communication Services 3.09 Utilities 0.68 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Vivint Solar, Inc. 0.63% National General Holdings Corp. 0.48 Ultra Clean Holdings, Inc. 0.41 Mr. Cooper Group, Inc. 0.40 Meritage Homes Corp. 0.40 LGI Homes, Inc. 0.40 Stewart Information Services Corp. 0.40 Group 1 Automotive, Inc. 0.39 Laureate Education, Inc., Class A 0.39 M.D.C. Holdings, Inc. 0.39 ------- Total 4.29% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 First Trust Small Cap S&P SmallCap 600(R) Core AlphaDEX(R) Fund Index 7/10 $10,000 $10,000 1/11 12,001 12,001 7/11 12,421 12,473 1/12 12,922 12,902 7/12 12,597 12,971 1/13 14,657 14,896 7/13 17,206 17,482 1/14 18,882 19,133 7/14 18,866 19,412 1/15 19,310 20,311 7/15 19,897 21,737 1/16 17,022 19,359 7/16 20,334 23,031 1/17 22,555 26,007 7/17 23,594 27,099 1/18 26,202 30,313 7/18 28,243 33,357 1/19 25,735 29,933 7/19 26,399 31,106 1/20 26,489 31,896 7/20 24,145 28,407
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 59 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 193 1 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 the 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -9.84% 4.22% 9.06% 5.22% 22.97% 138.11% 95.93% Market Price -9.80% 4.22% 9.08% 5.21% 22.97% 138.41% 95.92% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Value Index(1) -9.31% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Value Index(1) -0.77% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 11.96% 11.49% 13.84% 8.29% 72.23% 265.58% 186.97% S&P 500(R) Value Index -2.72% 6.67% 10.52% 5.08% 38.09% 172.00% 92.54% -----------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of -9.84% during the period covered by this report. During the same period, the S&P 500(R) Value Index (the "Benchmark") generated a return of -2.72%. During the period covered by this report, the Fund's largest allocation was to the Financials sector with a 25.3% weight. This allocation also generated the largest negative contribution to the Fund's return at -6.8%. The Fund's largest contribution to return for the period was found within its allocation to the Health Care sector, generating a 1.64% contribution to the Fund's return. On a relative basis, the Fund underperformed the Benchmark. The Fund's allocation to the Financials sector was the largest source of underperformance as the Fund's allocation to this sector provided a -2.3% drag on portfolio performance compared to the Benchmark. The Fund's allocation to the Communication Services sector provided 0.6% of outperformance compared to the Benchmark. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 25.61% Industrials 12.25 Consumer Discretionary 10.44 Health Care 9.84 Utilities 9.18 Energy 6.77 Consumer Staples 6.40 Information Technology 5.93 Communication Services 5.81 Materials 5.00 Real Estate 2.77 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- PulteGroup, Inc. 1.13% Universal Health Services, Inc., Class B 1.04 Lennar Corp., Class A 1.03 Newmont Corp. 0.99 Exelon Corp. 0.94 Textron, Inc. 0.93 Equitable Holdings, Inc. 0.93 MetLife, Inc. 0.91 American International Group, Inc. 0.91 PPL Corp. 0.91 ------- Total 9.72% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 First Trust Large Cap S&P 500(R) S&P 500(R) Value AlphaDEX(R) Fund Index Value Index 7/10 $10,000 $10,000 $10,000 1/11 11,774 11,793 11,717 7/11 11,829 11,965 11,518 1/12 12,241 12,289 11,850 7/12 12,416 13,058 12,409 1/13 14,532 14,352 14,156 7/13 16,531 16,322 16,169 1/14 17,457 17,440 16,842 7/14 19,417 19,086 18,479 1/15 19,583 19,920 18,837 7/15 19,361 21,225 19,698 1/16 17,051 19,788 18,161 7/16 19,930 22,418 20,837 1/17 22,816 23,754 22,564 7/17 24,581 26,013 23,825 1/18 27,428 30,027 26,932 7/18 26,578 30,237 26,310 1/19 25,222 29,330 25,563 7/19 26,405 32,650 27,961 1/20 27,395 35,690 30,242 7/20 23,811 36,558 27,200
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 82 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 171 0 0 0 Page 11 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) The First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV 16.10% 11.14% 13.91% 8.59% 69.60% 267.88% 197.60% Market Price 16.04% 11.12% 13.92% 8.59% 69.42% 268.09% 197.52% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Growth Index(1) 16.88% N/A N/A N/A N/A N/A N/A Nasdaq US 500 Large Cap Growth Index(1) 25.09% N/A N/A N/A N/A N/A N/A S&P 500(R) Index 11.96% 11.49% 13.84% 8.29% 72.23% 265.58% 186.97% S&P 500(R) Growth Index 24.55% 15.36% 16.63% 11.11% 104.34% 365.63% 302.81% -----------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of 16.10% during the period covered by this report. During the same period, the S&P 500(R) Growth Index (the "Benchmark") generated a return of 24.55%. During the period covered by this report, the Fund allocated 29.2% to the Information Technology sector which was the largest sector weight for the Fund as well as the largest contributor to the Fund's return with an 11.4% contribution during the period. The Fund's allocation to the Industrials sector provided the largest negative contribution to the Fund's return with a -0.9% contribution to return during the period. On a relative basis, the Fund underperformed the Benchmark. The largest source of underperformance was within the Information Technology sector where the Fund's allocation to this sector underperformed the Benchmark by -1.9%. The Fund's relative underperformance was partially reduced by the Fund's relative outperformance within the Financials sector, with the Fund outperforming the Benchmark by 0.4% within this sector. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 41.77% Health Care 16.73 Consumer Discretionary 10.06 Industrials 9.88 Financials 8.12 Communication Services 5.85 Materials 2.29 Real Estate 2.10 Consumer Staples 1.60 Energy 0.85 Utilities 0.75 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesla, Inc. 1.12% Twilio, Inc., Class A 1.07 DocuSign, Inc. 1.06 Square, Inc., Class A 1.04 West Pharmaceutical Services, Inc. 1.00 Advanced Micro Devices, Inc. 0.99 Apple, Inc. 0.98 Qorvo, Inc. 0.98 QUALCOMM, Inc. 0.98 EPAM Systems, Inc. 0.97 ------- Total 10.19% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 First Trust Large Cap S&P 500(R) S&P 500(R) Growth AlphaDEX(R) Fund Index Growth Index 7/10 $10,000 $10,000 $10,000 1/11 12,101 11,793 11,874 7/11 12,343 11,965 12,414 1/12 11,958 12,289 12,742 7/12 12,110 13,058 13,703 1/13 13,561 14,352 14,578 7/13 15,553 16,322 16,511 1/14 17,080 17,440 18,070 7/14 18,489 19,086 19,729 1/15 19,852 19,920 21,035 7/15 21,692 21,225 22,785 1/16 19,874 19,788 21,436 7/16 22,553 22,418 23,989 1/17 22,298 23,754 24,853 7/17 24,604 26,013 28,061 1/18 28,996 30,027 32,975 7/18 29,570 30,237 34,126 1/19 27,739 29,332 33,064 7/19 31,685 32,654 37,387 1/20 33,098 35,694 41,240 7/20 36,788 36,558 46,563
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 111 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 142 0 0 0 Page 13 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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 Value Index, Nasdaq US 600 Mid Cap Value Index, and Nasdaq US 700 Small Cap Value 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -12.24% 2.59% 8.22% 4.96% 13.66% 120.24% 89.65% Market Price -12.04% 2.64% 8.23% 4.97% 13.91% 120.61% 89.88% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Value Index(1) -11.57% N/A N/A N/A N/A N/A N/A Nasdaq US Multi Cap Value Index(1) -2.62% N/A N/A N/A N/A N/A N/A S&P Composite 1500(R) Index 10.40% 10.99% 13.60% 8.23% 68.40% 257.97% 184.68% S&P Composite 1500(R) Value Index -3.81% 6.39% 10.42% 5.16% 36.29% 169.47% 94.49% -----------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of -12.24% during the period covered by this report. During the same period, the S&P Composite 1500(R) Value Index (the "Benchmark") generated a return of -3.81%. During the period covered by this report, the Fund's performance suffered from its allocation to the Financials sector. The Financials sector received an allocation of 24.2%, which was a greater weight than any other sector. The investments in the Financials sector contributed -7.8% to the Fund's return, which was more negative than any other sector. Meanwhile, the most positively contributing sector was the Health Care sector. This sector received an allocation of 4.9% and contributed 0.9% to the Fund's return. On a relative basis, the Fund underperformed the Benchmark. Much of this underperformance came from the heavily weighted Financials sector, which contributed -2.5% to the Fund's underperformance versus the Benchmark. However, investments in the Energy sector were a bright spot for the Fund, at least in relation to the Benchmark. Investments in this sector contributed -0.4% to the Fund's return, but 3.1% to the Fund's outperformance versus the Benchmark. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 26.77% Industrials 15.69 Consumer Discretionary 11.76 Utilities 6.79 Materials 6.43 Energy 6.18 Health Care 5.90 Information Technology 5.62 Consumer Staples 5.14 Real Estate 5.11 Communication Services 4.61 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- PulteGroup, Inc. 0.57% Universal Health Services, Inc., Class B 0.53 Lennar Corp., Class A 0.52 Newmont Corp. 0.50 Exelon Corp. 0.47 Textron, Inc. 0.47 Equitable Holdings, Inc. 0.47 MetLife, Inc. 0.46 American International Group, Inc. 0.46 PPL Corp. 0.46 ------- Total 4.91% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Value AlphaDEX(R) Fund 1500(R) Index Value Index 7/10 $10,000 $10,000 $10,000 1/11 11,937 11,838 11,748 7/11 12,013 12,035 11,575 1/12 12,541 12,337 11,904 7/12 12,449 13,030 12,406 1/13 14,678 14,419 14,207 7/13 16,922 16,414 16,251 1/14 18,128 17,562 16,994 7/14 19,524 19,107 18,562 1/15 19,522 19,961 18,946 7/15 19,380 21,257 19,772 1/16 16,733 19,709 18,161 7/16 19,763 22,447 20,963 1/17 22,599 23,886 22,791 7/17 23,609 26,040 23,992 1/18 26,114 29,965 27,042 7/18 26,039 30,289 26,605 1/19 24,461 29,235 25,716 7/19 25,097 32,423 28,011 1/20 25,641 35,251 30,132 7/20 22,024 35,797 26,947
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 92 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 159 1 1 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 the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FAD." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Growth Index, Nasdaq US 600 Mid Cap Growth Index and Nasdaq US 700 Small Cap Growth 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) 7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV 10.23% 10.22% 13.24% 8.42% 62.68% 246.75% 191.23% Market Price 10.18% 10.18% 13.23% 8.40% 62.40% 246.56% 190.84% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Growth Index(1) 10.99% N/A N/A N/A N/A N/A N/A Nasdaq US Multi Cap Growth Index(1) 23.00% N/A N/A N/A N/A N/A N/A S&P Composite 1500(R) Index 10.40% 10.99% 13.60% 8.23% 68.40% 257.97% 184.68% S&P Composite 1500(R) Growth Index 22.66% 14.69% 16.28% 10.93% 98.47% 352.10% 294.47% -----------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of 10.23% during the period covered by this report. During the same period, the S&P Composite 1500(R) Growth Index (the "Benchmark") generated a return of 22.66%. The Information Technology sector received the greatest allocation during the period, with an average weight of 24.8%. This sector was also the greatest driver of the Fund's return, with a contribution to return of 7.7%. The greatest drag on the Fund's portfolio were investments in the Energy sector, which contributed -1.2% to the Fund's return. On a relative basis, the Fund underperformed the Benchmark. Underperformance of -3.8% was a result of investments in the Information Technology sector, which was the worst contribution to relative performance of any sector. The Fund earned 0.6% of outperformance versus the Benchmark as a result of investments in the Health Care sector. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 33.40% Health Care 19.49 Consumer Discretionary 12.57 Industrials 11.99 Financials 8.69 Communication Services 4.88 Real Estate 3.13 Materials 2.68 Consumer Staples 1.89 Energy 0.67 Utilities 0.61 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesla, Inc. 0.56% Twilio, Inc., Class A 0.53 DocuSign, Inc. 0.53 Square, Inc., Class A 0.52 West Pharmaceutical Services, Inc. 0.50 Advanced Micro Devices, Inc. 0.50 Apple, Inc. 0.49 Qorvo, Inc. 0.49 QUALCOMM, Inc. 0.49 EPAM Systems, Inc. 0.49 ------- Total 5.10% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JULY 31, 2020 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Growth AlphaDEX(R) Fund 1500(R) Index Growth Index 7/10 $10,000 $10,000 $10,000 1/11 12,170 11,838 11,934 7/11 12,674 12,035 12,501 1/12 12,428 12,337 12,786 7/12 12,535 13,030 13,658 1/13 14,113 14,419 14,664 7/13 16,045 16,414 16,615 1/14 17,691 17,562 18,165 7/14 18,394 19,107 19,691 1/15 19,574 19,961 21,010 7/15 21,315 21,257 22,777 1/16 19,092 19,709 21,285 7/16 21,881 22,447 23,931 1/17 22,297 23,886 24,895 7/17 24,473 26,040 27,953 1/18 28,616 29,965 32,744 7/18 30,055 30,291 33,922 1/19 27,957 29,237 32,705 7/19 31,455 32,424 36,858 1/20 32,447 35,249 40,439 7/20 34,675 35,797 45,210
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 56 0 1 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 196 0 0 0 Page 17 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) The First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the 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) 7/31/20 7/31/20 to 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -18.19% 0.33% 4.91% 1.66% 56.07% Market Price -18.17% 0.34% 4.91% 1.69% 56.01% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Value Index(1) -17.57% N/A N/A N/A N/A Nasdaq US 600 Mid Cap Value Index(1) -16.54% N/A N/A N/A N/A S&P MidCap 400(R) Value Index -13.39% 3.78% 7.47% 20.41% 95.12% --------------------------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of -18.19% during the period covered by this report. During the same period, the S&P MidCap 400(R) Value Index (the "Benchmark") generated a return of -13.39%. The Fund allocated 27.8% to the Financials sector during the period covered by this report, which was more weight than was given to investments in any other sector. These investments caused a -10.9% contribution to the Fund's return, the worst of any sector. The most positive contribution to Fund return came from investments in the Energy sector, which contributed 2.3% to the Fund's return. On a relative basis, the Fund underperformed the Benchmark. The most significant source of outperformance was investments in the Energy sector, which earned 2.4% of outperformance versus the Benchmark. The greatest source of underperformance for the Fund was investments in Information Technology, which caused -1.9% of underperformance for the Fund. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 30.95% Industrials 17.18 Consumer Discretionary 12.67 Real Estate 8.21 Utilities 7.02 Materials 6.46 Information Technology 4.12 Energy 4.07 Consumer Staples 3.76 Communication Services 3.30 Health Care 2.26 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Toll Brothers, Inc. 0.86% Darling Ingredients, Inc. 0.84 KB Home 0.81 Xerox Holdings Corp. 0.80 NCR Corp. 0.78 First American Financial Corp. 0.78 TEGNA, Inc. 0.78 Steel Dynamics, Inc. 0.77 Jefferies Financial Group, Inc. 0.77 Unum Group 0.77 ------- Total 7.96% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2020 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 1/20 19,040 23,044 7/20 15,607 19,512
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 63 0 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% 8/1/15 - 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 8/1/19 - 7/31/20 187 1 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 the 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) 7/31/20 7/31/20 to 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV 10.28% 10.64% 10.89% 65.82% 161.12% Market Price 10.28% 10.64% 10.89% 65.77% 161.12% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Growth Index(1) 11.10% N/A N/A N/A N/A Nasdaq US 600 Mid Cap Growth Index(1) 11.31% N/A N/A N/A N/A S&P MidCap 400(R) Growth Index 5.38% 7.96% 10.14% 46.67% 145.11% --------------------------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of 10.28% during the period covered by this report. During the same period, the S&P MidCap 400(R) Growth Index (the "Benchmark") generated a return of 5.38%. During the period covered by this report, the Fund's greatest allocation was to the Information Technology sector, which received an average weight of 22.5% and contributed 5.0% to the Fund's return. The greatest contributor to the Fund's return was investments in the Health Care sector, which earned a 10.8% contribution to the Fund's return. Meanwhile, the greatest source of drag on the Fund's performance was investments in the Financials sector, which caused a -4.2% return during the same period. On a relative basis, the Fund outperformed the Benchmark. The greatest source of outperformance was from investments in the Health Care sector which returned 5.2% of outperformance for the Fund compared to the Benchmark. The largest source of underperformance for the Fund came from the Financials sector, which caused -1.9% of underperformance for the Fund versus the Benchmark. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 26.84% Health Care 23.41 Industrials 14.70 Consumer Discretionary 13.84 Financials 6.65 Communication Services 4.77 Materials 4.21 Real Estate 2.99 Consumer Staples 2.30 Energy 0.15 Utilities 0.14 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Boston Beer (The) Co., Inc., Class A 1.04% Wayfair, Inc., Class A 0.93 Generac Holdings, Inc. 0.89 Carvana Co. 0.89 Medpace Holdings, Inc. 0.88 Enphase Energy, Inc. 0.87 Quidel Corp. 0.87 Teladoc Health, Inc. 0.86 Pinterest, Inc., Class A 0.85 Chegg, Inc. 0.83 ------- Total 8.91% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2020 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 1/20 24,570 24,075 7/20 26,112 24,511
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 106 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 146 1 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 the 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) 7/31/20 7/31/20 to 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -9.83% 1.70% 5.89% 8.79% 70.03% Market Price -9.78% 1.70% 5.88% 8.79% 69.98% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Value Index(1) -9.09% N/A N/A N/A N/A Nasdaq US 700 Small Cap Value Index(1) -14.63% N/A N/A N/A N/A S&P SmallCap 600(R) Value Index -16.31% 3.27% 7.53% 17.45% 96.17% --------------------------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of -9.83% during the period covered by this report. During the same period, the S&P SmallCap 600(R) Value Index (the "Benchmark") generated a return of -16.31%. The Fund allocated the greatest weight to the Industrials sector. Investments in this sector received an allocation of 21.9% and contributed -3.2% to Fund performance. The greatest contributor to Fund performance was investments in Consumer Staples. Investments in this sector received a 3.8% allocation and contributed 1.3% to Fund return. The greatest drag on Fund performance was investments in the Financials sector. This sector received an allocation of 16.2% and caused a -5.4% drag on the Fund's return. On a relative basis, the Fund outperformed the Benchmark. Much of this outperformance came from investments in the Financials sector. While the Financials sector caused the most negative contribution to Fund return, its contribution to the return of the Benchmark was even more significantly negative. In total, investments in the Financials sector caused 4.3% of outperformance for the Fund versus the Benchmark. Meanwhile, investments in the Health Care sector earned -3.8% of underperformance for the Fund during the period. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 ---------------------------------------------------------- Financials 23.46% Industrials 22.16 Consumer Discretionary 13.79 Materials 9.99 Energy 7.82 Information Technology 7.08 Real Estate 6.41 Consumer Staples 4.03 Communication Services 3.52 Health Care 1.36 Utilities 0.38 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- National General Holdings Corp. 1.00% Stewart Information Services Corp. 0.82 Group 1 Automotive, Inc. 0.81 Laureate Education, Inc., Class A 0.81 M/I Homes, Inc. 0.77 Helix Energy Solutions Group, Inc. 0.77 Graham Holdings Co., Class B 0.74 Century Communities, Inc. 0.74 Rush Enterprises, Inc., Class A 0.73 TRI Pointe Group, Inc. 0.72 ------- Total 7.91% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2020 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 1/20 19,185 23,717 7/20 17,003 19,617
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 93 0 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% 8/1/15 - 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 8/1/19 - 7/31/20 153 4 1 1 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 the 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) 7/31/20 7/31/20 to 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV -4.79% 6.91% 9.13% 39.64% 125.03% Market Price -4.75% 6.91% 9.13% 39.68% 125.03% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Growth Index(1) -4.05% N/A N/A N/A N/A Nasdaq US 700 Small Cap Growth Index(1) 3.48% N/A N/A N/A N/A S&P SmallCap 600(R) Growth Index -1.58% 7.55% 10.65% 43.91% 155.86% --------------------------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of -4.79% during the period covered by this report. During the same period, the S&P SmallCap 600(R) Growth Index (the "Benchmark") generated a return of -1.58%. The Health Care, Information Technology, Industrials, and Financials sectors all received similar and significant allocations in the Fund during the period covered by this report. The Health Care sector received the greatest allocation, by a small margin, with an allocation of 20.9%. Investments in the Health Care sector contributed 2.7% to the Fund's return. The most positive contribution to the Fund's return was from the Information Technology sector, which earned a 3.0% return for the Fund. Meanwhile, the Financials sector was the greatest drag on Fund performance with a contribution to return of -4.9%. On a relative basis, the Fund underperformed the Benchmark. Most of the underperformance came from investments in the Consumer Discretionary sector, which earned -3.1% of underperformance for the Fund versus the Benchmark. The Health Care sector recovered some of this underperformance, with 1.8% of outperformance coming from investments in Health Care. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 ---------------------------------------------------------- Information Technology 22.23% Health Care 20.45 Consumer Discretionary 17.00 Financials 13.26 Industrials 13.20 Real Estate 5.98 Communication Services 2.58 Consumer Staples 2.00 Materials 1.32 Energy 0.99 Utilities 0.99 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Vivint Solar, Inc. 1.25% Ultra Clean Holdings, Inc. 0.81 Mr. Cooper Group, Inc. 0.80 LGI Homes, Inc. 0.79 Kinsale Capital Group, Inc. 0.76 2U, Inc. 0.76 Medifast, Inc. 0.73 Papa John's International, Inc. 0.73 Sailpoint Technologies Holdings, Inc. 0.72 Trupanion, Inc. 0.72 ------- Total 8.07% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JULY 31, 2020 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 1/20 23,358 26,970 7/20 22,503 25,586
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 60 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 191 2 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 the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FMK." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
-------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (5/11/11) Ended (5/11/11) 7/31/20 7/31/20 to 7/31/20 7/31/20 to 7/31/20 FUND PERFORMANCE NAV 2.74% 7.35% 8.36% 42.59% 109.59% Market Price 2.77% 7.35% 8.36% 42.54% 109.59% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mega Cap Index(1) 3.55% N/A N/A N/A N/A Nasdaq US 500 Large Cap Index(1) 13.58% N/A N/A N/A N/A S&P 100(R) Index 16.62% 12.50% 13.05% 80.20% 210.00% --------------------------------------------------------------------------------------------------------------------------------
(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 The Fund generated a NAV return of 2.74% during the period covered by this report. During the same period, the S&P 100(R) Index (the "Benchmark") generated a return of 16.62%. Investments in the Communication Services sector received an allocation of 17.8%, more than any other sector during the period covered by this report. The investments in this sector were a slight boon for the Fund, with a contribution to return of 2.3% over the period covered by this report. The sector with the greatest contribution to the Fund's return was the Consumer Discretionary sector. Investments in this sector received an allocation of 8.7% and contributed 4.6% to the Fund's return. Meanwhile, investments in the Financials sector caused significant drag for the Fund, with an allocation of 16.3% and a contribution to Fund return of -6.0%. On a relative basis, the Fund underperformed the Benchmark. Underperformance of -6.0% for the Fund versus the Benchmark was the result of investments in the Information Technology sector. The sector with the most outperformance for the Fund versus the Benchmark was the Consumer Discretionary sector, which earned 2.5% of outperformance for the Fund. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO 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 ---------------------------------------------------------- Information Technology 29.69% Health Care 18.32 Communication Services 16.95 Consumer Discretionary 13.47 Financials 11.58 Energy 5.42 Industrials 3.88 Consumer Staples 0.69 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Tesla, Inc. 4.24% Pfizer, Inc. 3.77 Amazon.com, Inc. 3.67 PayPal Holdings, Inc. 3.60 Lowe's Cos., Inc. 3.53 Zoom Video Communications, Inc., Class A 3.20 AT&T, Inc. 3.13 Exxon Mobil Corp. 3.01 Apple, Inc. 2.98 QUALCOMM, Inc. 2.96 ------- Total 34.09% =======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT MAY 11, 2011 - JULY 31, 2020 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 1/20 21,671 29,502 7/20 20,959 31,000
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, 2020 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, 2015 through July 31, 2020. 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% 8/1/15 - 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 8/1/19 - 7/31/20 61 0 0 0 -------------------------------------------------------------------------------- NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV -------------------------------------------------------------------------------- FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00% 8/1/15 - 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 8/1/19 - 7/31/20 191 1 0 0 Page 27 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. For certain Funds the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 28 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES JULY 31, 2020 (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 (12b-1) 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, 2020. 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, 2020 JULY 31, 2020 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $ 980.50 0.60% $2.95 Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $ 925.30 0.60% $2.87 Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $ 911.40 0.60% $2.85 Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $ 869.00 0.60% $2.79 Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $1,111.50 0.59% $3.10 Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.59% $2.97
Page 29 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2020 (UNAUDITED)
----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2020 JULY 31, 2020 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $ 859.00 0.70% $3.24 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $1,068.70 0.64% $3.29 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.64% $3.22 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $ 819.70 0.70% $3.17 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $1,062.80 0.70% $3.59 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $ 886.30 0.70% $3.28 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $ 963.20 0.70% $3.42 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) Actual $1,000.00 $ 967.20 0.70% $3.42 Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2020 through July 31, 2020), multiplied by 182/366 (to reflect the six-month period). Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.7% 15,755 General Dynamics Corp. $ 2,311,889 13,497 Huntington Ingalls Industries, Inc. 2,344,564 4,625 L3Harris Technologies, Inc. 778,526 4,304 Lockheed Martin Corp. 1,631,087 2,551 Northrop Grumman Corp. 829,100 25,476 Raytheon Technologies Corp. 1,443,980 2,525 Teledyne Technologies, Inc. (a) 774,417 119,251 Textron, Inc. 4,166,630 3,551 TransDigm Group, Inc. 1,532,541 --------------- 15,812,734 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 20,644 Expeditors International of Washington, Inc. 1,744,624 5,597 FedEx Corp. 942,535 --------------- 2,687,159 --------------- AIRLINES -- 1.1% 139,916 Delta Air Lines, Inc. 3,493,702 114,821 Southwest Airlines Co. 3,546,821 113,395 United Airlines Holdings, Inc. (a) 3,558,335 --------------- 10,598,858 --------------- AUTO COMPONENTS -- 0.4% 50,366 Aptiv PLC 3,915,956 --------------- AUTOMOBILES -- 1.0% 155,125 General Motors Co. 3,861,061 3,636 Tesla, Inc. (a) 5,202,244 --------------- 9,063,305 --------------- BANKS -- 4.3% 99,148 Bank of America Corp. 2,466,802 61,442 Citigroup, Inc. 3,072,714 155,490 Citizens Financial Group, Inc. 3,857,707 162,849 Fifth Third Bancorp 3,234,181 22,217 First Republic Bank 2,498,968 347,504 Huntington Bancshares, Inc. 3,221,362 257,775 KeyCorp 3,095,878 30,197 M&T Bank Corp. 3,199,372 29,844 PNC Financial Services Group (The), Inc. 3,183,460 282,346 Regions Financial Corp. 3,066,278 7,281 SVB Financial Group (a) 1,632,910 62,711 Truist Financial Corp. 2,349,154 63,955 U.S. Bancorp 2,356,102 122,645 Wells Fargo & Co. 2,975,368 --------------- 40,210,256 --------------- BEVERAGES -- 0.7% 68,532 Molson Coors Beverage Co., Class B 2,571,321 33,971 Monster Beverage Corp. (a) 2,666,044 5,935 PepsiCo, Inc. 817,012 --------------- 6,054,377 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY -- 3.6% 23,983 AbbVie, Inc. $ 2,276,227 34,966 Alexion Pharmaceuticals, Inc. (a) 3,583,665 26,499 Alnylam Pharmaceuticals, Inc. (a) 3,862,494 6,657 Amgen, Inc. 1,628,768 14,671 Biogen, Inc. (a) 4,029,977 31,820 BioMarin Pharmaceutical, Inc. (a) 3,812,354 18,056 Exact Sciences Corp. (a) 1,710,806 20,402 Gilead Sciences, Inc. 1,418,551 30,197 Incyte Corp. (a) 2,982,256 1,259 Regeneron Pharmaceuticals, Inc. (a) 795,776 23,096 Seattle Genetics, Inc. (a) 3,840,172 10,816 Vertex Pharmaceuticals, Inc. (a) 2,941,952 --------------- 32,882,998 --------------- CAPITAL MARKETS -- 5.3% 15,694 Ameriprise Financial, Inc. 2,411,069 78,617 Apollo Global Management, Inc. 3,860,095 81,233 Bank of New York Mellon (The) Corp. 2,912,203 13,852 Blackstone Group (The), Inc., Class A 738,035 28,133 Carlyle Group (The), Inc. 800,946 46,527 Charles Schwab (The) Corp. 1,542,370 7,169 FactSet Research Systems, Inc. 2,482,625 187,155 Franklin Resources, Inc. 3,939,613 11,916 Goldman Sachs Group (The), Inc. 2,358,891 17,137 Intercontinental Exchange, Inc. 1,658,519 25,417 KKR & Co., Inc. 898,999 7,837 MarketAxess Holdings, Inc. 4,049,378 11,430 Moody's Corp. 3,215,259 65,004 Morgan Stanley 3,177,395 7,053 MSCI, Inc. 2,651,787 6,570 Nasdaq, Inc. 862,707 34,212 Raymond James Financial, Inc. 2,377,050 9,529 S&P Global, Inc. 3,337,532 49,407 State Street Corp. 3,151,672 19,067 T. Rowe Price Group, Inc. 2,633,153 --------------- 49,059,298 --------------- CHEMICALS -- 1.7% 3,250 Air Products and Chemicals, Inc. 931,547 27,273 Celanese Corp. 2,650,936 7,889 Ecolab, Inc. 1,475,874 15,759 FMC Corp. 1,671,242 6,408 International Flavors & Fragrances, Inc. 807,088 59,718 LyondellBasell Industries N.V., Class A 3,733,569 14,801 PPG Industries, Inc. 1,593,328 4,074 Sherwin-Williams (The) Co. 2,639,626 --------------- 15,503,210 --------------- See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES -- 0.8% 11,786 Cintas Corp. $ 3,557,840 18,855 Copart, Inc. (a) 1,758,229 19,135 Republic Services, Inc. 1,669,529 7,411 Waste Management, Inc. 812,245 --------------- 7,797,843 --------------- COMMUNICATIONS EQUIPMENT -- 0.2% 33,660 Cisco Systems, Inc. 1,585,386 --------------- CONSUMER FINANCE -- 1.4% 158,332 Ally Financial, Inc. 3,182,473 50,163 Capital One Financial Corp. 3,200,399 47,013 Discover Financial Services 2,323,853 177,106 Synchrony Financial 3,919,356 --------------- 12,626,081 --------------- CONTAINERS & PACKAGING -- 1.1% 13,761 Avery Dennison Corp. 1,559,672 11,296 Ball Corp. 831,725 24,104 Crown Holdings, Inc. (a) 1,725,364 66,879 International Paper Co. 2,326,720 138,874 WestRock Co. 3,730,156 --------------- 10,173,637 --------------- DISTRIBUTORS -- 0.4% 9,028 Genuine Parts Co. 813,874 119,838 LKQ Corp. (a) 3,378,233 --------------- 4,192,107 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 4,396 Berkshire Hathaway, Inc., Class B (a) 860,649 203,454 Equitable Holdings, Inc. 4,162,669 --------------- 5,023,318 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 129,826 AT&T, Inc. 3,840,253 391,291 CenturyLink, Inc. 3,775,958 56,950 Verizon Communications, Inc. 3,273,486 --------------- 10,889,697 --------------- ELECTRIC UTILITIES -- 2.8% 49,221 Alliant Energy Corp. 2,650,551 19,714 American Electric Power Co., Inc. 1,712,752 39,302 Duke Energy Corp. 3,330,451 43,358 Edison International 2,413,740 13,237 Evergy, Inc. 858,155 9,425 Eversource Energy 848,910 108,147 Exelon Corp. 4,175,556 20,241 FirstEnergy Corp. 586,989 42,841 Pinnacle West Capital Corp. 3,559,230 151,884 PPL Corp. 4,043,152 25,116 Xcel Energy, Inc. 1,734,009 --------------- 25,913,495 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 1.0% 8,781 AMETEK, Inc. $ 818,828 26,916 Eaton Corp. PLC 2,506,687 37,961 Emerson Electric Co. 2,353,962 14,739 Rockwell Automation, Inc. 3,215,165 --------------- 8,894,642 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 8,191 Amphenol Corp., Class A 866,280 20,269 CDW Corp. 2,356,272 60,612 Corning, Inc. 1,878,972 7,789 Keysight Technologies, Inc. (a) 778,043 9,627 TE Connectivity Ltd. 857,477 54,520 Trimble, Inc. (a) 2,426,685 12,268 Zebra Technologies Corp., Class A (a) 3,444,241 --------------- 12,607,970 --------------- ENTERTAINMENT -- 1.6% 20,682 Activision Blizzard, Inc. 1,708,953 23,777 Electronic Arts, Inc. (a) 3,367,299 6,901 Netflix, Inc. (a) 3,373,761 20,208 Roku, Inc. (a) 3,130,017 22,494 Take-Two Interactive Software, Inc. (a) 3,689,466 --------------- 15,269,496 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.0% 4,839 Alexandria Real Estate Equities, Inc. 859,164 6,074 American Tower Corp. 1,587,683 9,379 Crown Castle International Corp. 1,563,479 2,233 Equinix, Inc. 1,753,977 28,480 Healthpeak Properties, Inc. 777,219 363,727 Host Hotels & Resorts, Inc. 3,920,977 8,411 Prologis, Inc. 886,688 17,103 Regency Centers Corp. 701,736 5,268 SBA Communications Corp. 1,641,193 22,959 Simon Property Group, Inc. 1,431,494 85,736 Ventas, Inc. 3,288,833 --------------- 18,412,443 --------------- FOOD & STAPLES RETAILING -- 0.9% 92,755 Kroger (The) Co. 3,226,946 92,583 Walgreens Boots Alliance, Inc. 3,769,054 13,107 Walmart, Inc. 1,696,046 --------------- 8,692,046 --------------- FOOD PRODUCTS -- 2.3% 78,689 Archer-Daniels-Midland Co. 3,370,250 44,637 Conagra Brands, Inc. 1,671,656 25,463 General Mills, Inc. 1,611,044 16,260 Hormel Foods Corp. 826,984 29,672 J.M. Smucker (The) Co. 3,244,633 73,839 Kraft Heinz (The) Co. 2,538,585 12,279 Lamb Weston Holdings, Inc. 737,722 8,752 McCormick & Co., Inc. 1,705,765 Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 30,705 Mondelez International, Inc., Class A $ 1,703,820 65,730 Tyson Foods, Inc., Class A 4,039,108 --------------- 21,449,567 --------------- GAS UTILITIES -- 0.3% 23,645 Atmos Energy Corp. 2,506,134 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.7% 17,169 Abbott Laboratories 1,727,888 8,580 Align Technology, Inc. (a) 2,520,976 9,115 Baxter International, Inc. 787,354 8,878 Danaher Corp. 1,809,336 9,679 DexCom, Inc. (a) 4,215,592 11,359 Edwards Lifesciences Corp. (a) 890,659 27,540 Hologic, Inc. (a) 1,921,741 9,510 IDEXX Laboratories, Inc. (a) 3,782,602 12,121 Insulet Corp. (a) 2,464,926 2,756 Intuitive Surgical, Inc. (a) 1,889,073 17,118 Medtronic PLC 1,651,545 16,353 ResMed, Inc. 3,311,646 4,311 Teleflex, Inc. 1,608,434 6,405 Varian Medical Systems, Inc. (a) 914,122 17,276 West Pharmaceutical Services, Inc. 4,644,998 --------------- 34,140,892 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 7,790 AmerisourceBergen Corp. 780,480 8,955 Anthem, Inc. 2,451,879 15,039 Cardinal Health, Inc. 821,430 16,733 Cigna Corp. 2,889,622 48,324 CVS Health Corp. 3,041,513 29,756 DaVita, Inc. (a) 2,600,377 8,088 HCA Healthcare, Inc. 1,024,264 40,328 Henry Schein, Inc. (a) 2,771,744 4,047 Humana, Inc. 1,588,245 4,725 Laboratory Corp. of America Holdings (a) 911,547 20,661 Quest Diagnostics, Inc. 2,625,393 5,322 UnitedHealth Group, Inc. 1,611,395 42,251 Universal Health Services, Inc., Class B 4,643,385 --------------- 27,761,274 --------------- HEALTH CARE TECHNOLOGY -- 0.6% 11,449 Cerner Corp. 795,133 16,743 Veeva Systems, Inc., Class A (a) 4,429,696 --------------- 5,224,829 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.1% 69,555 Aramark 1,469,002 239,015 Carnival Corp. (b) 3,317,528 3,727 Chipotle Mexican Grill, Inc. (a) 4,305,281 8,497 Domino's Pizza, Inc. 3,285,025 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 34,472 Las Vegas Sands Corp. $ 1,504,358 233,607 MGM Resorts International 3,758,737 46,813 Royal Caribbean Cruises Ltd. 2,280,261 --------------- 19,920,192 --------------- HOUSEHOLD DURABLES -- 2.0% 70,779 D.R. Horton, Inc. 4,682,739 32,204 Garmin Ltd. 3,174,992 63,693 Lennar Corp., Class A 4,608,189 240 NVR, Inc. (a) 943,236 115,330 PulteGroup, Inc. 5,028,388 --------------- 18,437,544 --------------- HOUSEHOLD PRODUCTS -- 0.3% 10,155 Church & Dwight Co., Inc. 978,231 5,552 Kimberly-Clark Corp. 844,126 6,565 Procter & Gamble (The) Co. 860,803 --------------- 2,683,160 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 210,774 Vistra Corp. 3,933,043 --------------- INDUSTRIAL CONGLOMERATES -- 0.6% 10,064 3M Co. 1,514,330 459,692 General Electric Co. 2,790,330 4,042 Roper Technologies, Inc. 1,747,963 --------------- 6,052,623 --------------- INSURANCE -- 4.9% 87,143 Aflac, Inc. 3,099,677 40,465 Allstate (The) Corp. 3,819,491 125,870 American International Group, Inc. 4,045,462 8,052 Arthur J. Gallagher & Co. 865,509 57,770 Brown & Brown, Inc. 2,626,802 12,397 Chubb Ltd. 1,577,394 11,421 Everest Re Group Ltd. 2,498,801 128,005 Fidelity National Financial, Inc. 4,142,242 31,722 Globe Life, Inc. 2,525,071 64,004 Lincoln National Corp. 2,385,429 21,931 Marsh & McLennan Cos., Inc. 2,557,155 107,465 MetLife, Inc. 4,067,550 56,686 Principal Financial Group, Inc. 2,405,187 29,395 Progressive (The) Corp. 2,655,544 51,554 Prudential Financial, Inc. 3,266,977 20,645 Travelers (The) Cos., Inc. 2,362,201 13,702 W.R. Berkley Corp. 846,098 --------------- 45,746,590 --------------- INTERACTIVE MEDIA & SERVICES -- 1.2% 2,216 Alphabet, Inc., Class A (a) 3,297,297 13,825 Facebook, Inc., Class A (a) 3,506,988 167,075 Snap, Inc., Class A (a) 3,745,821 26,347 Twitter, Inc. (a) 959,031 --------------- 11,509,137 --------------- See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & DIRECT MARKETING RETAIL -- 0.8% 1,422 Amazon.com, Inc. (a) $ 4,500,175 59,859 eBay, Inc. 3,309,005 --------------- 7,809,180 --------------- IT SERVICES -- 6.1% 10,966 Accenture PLC, Class A 2,464,937 21,989 Akamai Technologies, Inc. (a) 2,472,443 5,271 Automatic Data Processing, Inc. 700,569 40,361 Booz Allen Hamilton Holding Corp. 3,299,915 24,880 Broadridge Financial Solutions, Inc. 3,342,379 55,257 Cognizant Technology Solutions Corp., Class A 3,775,158 15,575 EPAM Systems, Inc. (a) 4,517,996 8,041 Fiserv, Inc. (a) 802,411 3,119 FleetCor Technologies, Inc. (a) 806,480 6,468 Gartner, Inc. (a) 806,172 42,817 GoDaddy, Inc., Class A (a) 3,009,179 19,497 International Business Machines Corp. 2,396,961 8,529 Jack Henry & Associates, Inc. 1,520,721 25,138 Leidos Holdings, Inc. 2,392,132 5,308 Mastercard, Inc., Class A 1,637,677 19,601 Okta, Inc. (a) 4,331,429 10,362 Paychex, Inc. 745,235 22,525 PayPal Holdings, Inc. (a) 4,416,477 37,398 Square, Inc., Class A (a) 4,856,130 17,887 Twilio, Inc., Class A (a) 4,962,212 3,794 VeriSign, Inc. (a) 803,114 8,128 Visa, Inc., Class A 1,547,571 36,306 Western Union (The) Co. 881,510 --------------- 56,488,808 --------------- LEISURE PRODUCTS -- 0.2% 20,944 Hasbro, Inc. 1,523,885 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.3% 26,646 Agilent Technologies, Inc. 2,566,809 92,344 Avantor, Inc. (a) 2,038,956 4,240 Illumina, Inc. (a) 1,620,358 975 Mettler-Toledo International, Inc. (a) 911,625 16,004 PerkinElmer, Inc. 1,903,036 6,499 Thermo Fisher Scientific, Inc. 2,690,261 --------------- 11,731,045 --------------- MACHINERY -- 2.0% 18,122 Cummins, Inc. 3,502,258 9,988 Deere & Co. 1,760,984 16,257 Dover Corp. 1,673,333 4,490 Illinois Tool Works, Inc. 830,605 41,947 PACCAR, Inc. 3,568,851 12,849 Parker-Hannifin Corp. 2,298,943 11,263 Stanley Black & Decker, Inc. 1,726,843 40,901 Westinghouse Air Brake Technologies Corp. 2,543,633 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 12,082 Xylem, Inc. $ 881,745 --------------- 18,787,195 --------------- MEDIA -- 2.0% 1,540 Charter Communications, Inc., Class A (a) 893,200 80,547 Comcast Corp., Class A 3,447,412 186,002 Discovery, Inc., Class A (a) 3,924,642 68,233 DISH Network Corp., Class A (a) 2,190,962 6,334 Liberty Broadband Corp., Class C (a) 869,468 43,129 Omnicom Group, Inc. 2,317,321 267,438 Sirius XM Holdings, Inc. 1,572,535 134,637 ViacomCBS, Inc., Class B 3,509,987 --------------- 18,725,527 --------------- METALS & MINING -- 0.9% 63,567 Newmont Corp. 4,398,837 94,776 Nucor Corp. 3,975,853 --------------- 8,374,690 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.1% 119,652 Annaly Capital Management, Inc. 886,621 --------------- MULTILINE RETAIL -- 1.0% 20,602 Dollar General Corp. 3,922,621 8,467 Dollar Tree, Inc. (a) 790,394 32,725 Target Corp. 4,119,423 --------------- 8,832,438 --------------- MULTI-UTILITIES -- 1.5% 22,312 Ameren Corp. 1,790,315 32,738 Consolidated Edison, Inc. 2,515,261 9,668 Dominion Energy, Inc. 783,398 21,904 DTE Energy Co. 2,532,759 69,036 NiSource, Inc. 1,687,930 47,902 Public Service Enterprise Group, Inc. 2,679,638 17,912 WEC Energy Group, Inc. 1,706,297 --------------- 13,695,598 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.8% 48,734 Cheniere Energy, Inc. (a) 2,411,358 35,188 Chevron Corp. 2,953,681 93,401 ConocoPhillips 3,492,263 223,880 Continental Resources, Inc. (b) 3,870,885 75,075 Diamondback Energy, Inc. 2,992,489 77,469 EOG Resources, Inc. 3,629,423 87,762 Exxon Mobil Corp. 3,693,025 15,150 Hess Corp. 745,532 171,567 Occidental Petroleum Corp. 2,700,465 47,256 ONEOK, Inc. 1,318,915 10,916 Phillips 66 677,010 40,171 Pioneer Natural Resources Co. 3,893,373 40,033 Valero Energy Corp. 2,251,056 41,268 Williams (The) Cos., Inc. 789,457 --------------- 35,418,932 --------------- Page 34 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS -- 1.2% 9,562 Eli Lilly and Co. $ 1,437,073 195,257 Mylan N.V. (a) 3,145,590 120,020 Pfizer, Inc. 4,618,370 11,454 Zoetis, Inc. 1,737,343 --------------- 10,938,376 --------------- PROFESSIONAL SERVICES -- 1.2% 3,314 CoStar Group, Inc. (a) 2,816,105 18,266 Equifax, Inc. 2,969,321 27,054 TransUnion 2,423,227 13,834 Verisk Analytics, Inc. 2,610,614 --------------- 10,819,267 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 86,791 CBRE Group, Inc., Class A (a) 3,802,314 --------------- ROAD & RAIL -- 1.6% 33,764 CSX Corp. 2,408,724 13,045 J.B. Hunt Transport Services, Inc. 1,688,023 10,517 Kansas City Southern 1,807,347 23,779 Lyft, Inc., Class A (a) 695,060 13,413 Norfolk Southern Corp. 2,578,113 18,515 Old Dominion Freight Line, Inc. 3,384,912 25,255 Uber Technologies, Inc. (a) 764,216 9,286 Union Pacific Corp. 1,609,728 --------------- 14,936,123 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.9% 44,758 Advanced Micro Devices, Inc. (a) 3,465,612 6,398 Analog Devices, Inc. 734,810 38,955 Applied Materials, Inc. 2,505,975 4,973 Broadcom, Inc. 1,575,198 39,356 Intel Corp. 1,878,462 12,107 KLA Corp. 2,419,342 9,705 Lam Research Corp. 3,660,338 67,165 Marvell Technology Group Ltd. 2,449,508 12,949 Maxim Integrated Products, Inc. 881,697 14,907 Microchip Technology, Inc. 1,516,489 60,942 Micron Technology, Inc. (a) 3,050,452 8,264 NVIDIA Corp. 3,508,812 6,884 NXP Semiconductors N.V. 809,076 28,404 Qorvo, Inc. (a) 3,639,973 43,028 QUALCOMM, Inc. 4,544,187 18,417 Skyworks Solutions, Inc. 2,681,147 46,441 Teradyne, Inc. 4,131,391 6,181 Texas Instruments, Inc. 788,386 7,977 Xilinx, Inc. 856,331 --------------- 45,097,186 --------------- SOFTWARE -- 9.0% 9,017 Adobe, Inc. (a) 4,006,433 8,073 ANSYS, Inc. (a) 2,507,474 16,409 Autodesk, Inc. (a) 3,879,580 32,719 Cadence Design Systems, Inc. (a) 3,574,551 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 39,609 Ceridian HCM Holding, Inc. (a) $ 3,100,989 15,919 Citrix Systems, Inc. 2,272,596 14,165 Coupa Software, Inc. (a) 4,340,864 22,788 DocuSign, Inc. (a) 4,941,122 7,511 Fair Isaac Corp. (a) 3,298,756 28,591 Fortinet, Inc. (a) 3,954,135 5,299 Intuit, Inc. 1,623,455 11,570 Microsoft Corp. 2,371,966 158,332 NortonLifeLock, Inc. 3,396,221 14,201 Oracle Corp. 787,446 13,670 Palo Alto Networks, Inc. (a) 3,498,426 12,669 Paycom Software, Inc. (a) 3,602,684 13,772 RingCentral, Inc., Class A (a) 3,997,598 16,762 salesforce.com, Inc. (a) 3,266,076 9,687 ServiceNow, Inc. (a) 4,254,530 19,751 Splunk, Inc. (a) 4,144,155 41,693 SS&C Technologies Holdings, Inc. 2,397,348 16,102 Synopsys, Inc. (a) 3,207,840 9,653 Trade Desk (The), Inc., Class A (a) 4,356,592 6,788 Tyler Technologies, Inc. (a) 2,425,013 10,138 VMware, Inc., Class A (a) (b) 1,421,449 12,570 Workday, Inc., Class A (a) 2,274,164 --------------- 82,901,463 --------------- SPECIALTY RETAIL -- 1.8% 2,785 AutoZone, Inc. (a) 3,362,665 17,987 Best Buy Co., Inc. 1,791,325 3,988 Burlington Stores, Inc. (a) 749,744 35,061 CarMax, Inc. (a) 3,399,865 12,534 Home Depot (The), Inc. 3,327,652 7,446 O'Reilly Automotive, Inc. (a) 3,554,572 3,859 Ulta Beauty, Inc. (a) 744,748 --------------- 16,930,571 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.8% 10,759 Apple, Inc. 4,573,005 14,287 Dell Technologies, Inc., Class C (a) 854,791 322,685 Hewlett Packard Enterprise Co. 3,184,901 90,067 HP, Inc. 1,583,378 35,381 NetApp, Inc. 1,567,378 64,858 Seagate Technology PLC 2,932,879 35,556 Western Digital Corp. 1,532,464 --------------- 16,228,796 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.2% 16,010 NIKE, Inc., Class B 1,562,736 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 73,288 Fastenal Co. 3,447,468 26,331 United Rentals, Inc. (a) 4,091,047 2,500 W.W. Grainger, Inc. 853,825 --------------- 8,392,340 --------------- See Notes to Financial Statements Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) WATER UTILITIES -- 0.2% 12,202 American Water Works Co., Inc. $ 1,796,989 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.1% 7,538 T-Mobile US, Inc. (a) 809,430 --------------- TOTAL COMMON STOCKS -- 99.8% 923,720,807 (Cost $843,681,498) --------------- WARRANTS -- 0.0% OIL, GAS & CONSUMABLE FUELS -- 0.0% 27,697 Occidental Petroleum Corp., expiring 08/03/27 (a) 155,103 (Cost $0) --------------- MONEY MARKET FUNDS -- 1.0% 8,014,309 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 8,014,309 943,072 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 943,072 --------------- TOTAL MONEY MARKET FUNDS -- 1.0% 8,957,381 (Cost $8,957,381) --------------- TOTAL INVESTMENTS -- 100.8% 932,833,291 (Cost $852,638,879) (e) NET OTHER ASSETS AND LIABILITIES -- (0.8)% (7,853,465) --------------- NET ASSETS -- 100.0% $ 924,979,826 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $7,738,999 and the total value of the collateral held by the Fund is $8,014,309. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $856,835,640. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $140,010,805 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $64,013,154. The net unrealized appreciation was $75,997,651. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 923,720,807 $ -- $ -- Warrants* 155,103 -- -- Money Market Funds 8,957,381 -- -- -------------------------------------------- Total Investments $ 932,833,291 $ -- $ -- ============================================ * 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) $ 7,738,999 Non-cash Collateral(2) (7,738,999) --------------- 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, 2020, 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. Page 36 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.5% 10,603 Aerojet Rocketdyne Holdings, Inc. (a) $ 437,374 21,410 Axon Enterprise, Inc. (a) 1,779,813 22,260 BWX Technologies, Inc. 1,213,615 10,683 Mercury Systems, Inc. (a) 827,185 39,659 Moog, Inc., Class A 2,130,482 34,789 Parsons Corp. (a) 1,211,701 70,213 Spirit AeroSystems Holdings, Inc., Class A 1,374,068 --------------- 8,974,238 --------------- AIR FREIGHT & LOGISTICS -- 0.4% 5,317 C.H. Robinson Worldwide, Inc. 498,309 27,203 XPO Logistics, Inc. (a) 2,040,769 --------------- 2,539,078 --------------- AIRLINES -- 1.3% 57,950 Alaska Air Group, Inc. 1,995,798 192,769 JetBlue Airways Corp. (a) 1,993,232 64,413 SkyWest, Inc. 1,694,706 118,041 Spirit Airlines, Inc. (a) (b) 1,866,228 --------------- 7,549,964 --------------- AUTO COMPONENTS -- 0.9% 59,524 BorgWarner, Inc. 2,178,578 32,616 Gentex Corp. 880,306 19,273 Lear Corp. 2,127,354 --------------- 5,186,238 --------------- AUTOMOBILES -- 0.3% 53,041 Harley-Davidson, Inc. 1,380,657 3,942 Thor Industries, Inc. 449,349 --------------- 1,830,006 --------------- BANKS -- 8.2% 53,440 Ameris Bancorp 1,233,128 122,877 Associated Banc-Corp. 1,577,741 55,438 BancorpSouth Bank 1,160,317 71,619 Bank OZK 1,722,437 83,010 BankUnited, Inc. 1,671,821 29,780 BOK Financial Corp. 1,658,746 63,915 Cathay General Bancorp 1,545,465 40,542 CIT Group, Inc. 769,082 44,480 Columbia Banking System, Inc. 1,286,806 44,122 Comerica, Inc. 1,699,579 14,130 Commerce Bancshares, Inc. 809,084 7,373 Community Bank System, Inc. 414,584 11,249 Cullen/Frost Bankers, Inc. 810,603 44,852 CVB Financial Corp. 810,476 46,382 East West Bancorp, Inc. 1,607,600 224,129 F.N.B. Corp. 1,660,796 3,114 First Citizens BancShares, Inc., Class A 1,326,159 97,501 First Hawaiian, Inc. 1,694,567 168,771 First Horizon National Corp. 1,564,507 59,465 Hancock Whitney Corp. 1,133,403 81,973 Home BancShares, Inc. 1,338,619 148,318 Investors Bancorp, Inc. 1,204,342 91,624 Old National Bancorp 1,281,820 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 145,286 People's United Financial, Inc. $ 1,567,636 30,024 Pinnacle Financial Partners, Inc. 1,189,551 56,527 Popular, Inc. 2,097,717 14,152 Prosperity Bancshares, Inc. 786,285 7,862 Signature Bank 806,091 179,282 Sterling Bancorp 2,016,923 81,877 Synovus Financial Corp. 1,649,822 16,301 UMB Financial Corp. 811,790 30,385 United Bankshares, Inc. 799,733 161,215 Valley National Bancorp 1,204,276 58,752 Webster Financial Corp. 1,602,167 11,097 Western Alliance Bancorp 398,937 38,534 Wintrust Financial Corp. 1,649,255 49,437 Zions Bancorp N.A. 1,605,219 --------------- 48,167,084 --------------- BEVERAGES -- 0.5% 3,912 Boston Beer (The) Co., Inc., Class A (a) 3,170,441 --------------- BIOTECHNOLOGY -- 4.3% 34,678 ACADIA Pharmaceuticals, Inc. (a) 1,441,565 17,644 Acceleron Pharma, Inc. (a) 1,749,756 31,429 Agios Pharmaceuticals, Inc. (a) 1,424,362 29,192 Arrowhead Pharmaceuticals, Inc. (a) 1,257,299 10,776 Blueprint Medicines Corp. (a) 788,588 28,592 CRISPR Therapeutics AG (a) 2,443,472 70,807 Exelixis, Inc. (a) 1,634,934 20,737 FibroGen, Inc. (a) 839,226 35,576 Immunomedics, Inc. (a) 1,502,375 21,386 Ionis Pharmaceuticals, Inc. (a) 1,230,978 3,682 Mirati Therapeutics, Inc. (a) 446,663 19,633 Moderna, Inc. (a) 1,454,805 25,261 Momenta Pharmaceuticals, Inc. (a) 744,947 17,220 Neurocrine Biosciences, Inc. (a) 2,072,599 16,565 PTC Therapeutics, Inc. (a) 767,456 10,481 Sarepta Therapeutics, Inc. (a) 1,609,043 26,860 Ultragenyx Pharmaceutical, Inc. (a) 2,099,378 17,368 United Therapeutics Corp. (a) 1,936,011 --------------- 25,443,457 --------------- BUILDING PRODUCTS -- 2.3% 17,837 A.O. Smith Corp. 858,673 42,532 Advanced Drainage Systems, Inc. 2,084,068 81,206 Builders FirstSource, Inc. (a) 1,923,770 26,297 Fortune Brands Home & Security, Inc. 2,011,721 3,606 Lennox International, Inc. 966,913 19,929 Simpson Manufacturing Co., Inc. 1,924,344 16,153 Trex Co., Inc. (a) 2,250,597 25,463 UFP Industries, Inc. 1,482,456 --------------- 13,502,542 --------------- See Notes to Financial Statements Page 37 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS -- 2.8% 16,908 Affiliated Managers Group, Inc. $ 1,163,102 10,586 Ares Management Corp., Class A 422,805 24,700 Cohen & Steers, Inc. 1,486,446 10,886 Eaton Vance Corp. 393,420 35,661 Evercore, Inc., Class A 1,972,053 88,658 Federated Hermes, Inc. 2,337,025 195,276 Invesco Ltd. 1,960,571 14,676 Lazard Ltd., Class A 430,300 21,439 LPL Financial Holdings, Inc. 1,694,110 8,944 Morningstar, Inc. 1,502,950 7,643 SEI Investments Co. 399,958 35,438 Stifel Financial Corp. 1,718,034 21,685 Tradeweb Markets, Inc., Class A 1,172,508 --------------- 16,653,282 --------------- CHEMICALS -- 2.9% 16,327 Albemarle Corp. 1,346,324 18,639 Axalta Coating Systems Ltd. (a) 413,786 59,737 CF Industries Holdings, Inc. 1,871,560 30,171 Eastman Chemical Co. 2,251,662 116,197 Element Solutions, Inc. (a) 1,261,899 70,159 Huntsman Corp. 1,297,941 2,095 NewMarket Corp. 785,227 16,798 RPM International, Inc. 1,370,549 15,625 Scotts Miracle-Gro (The) Co. 2,477,656 86,959 Valvoline, Inc. 1,784,399 8,274 W.R. Grace & Co. 381,680 39,166 Westlake Chemical Corp. 2,134,547 --------------- 17,377,230 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 105,321 ADT, Inc. (b) 906,814 17,948 Brady Corp., Class A 825,070 16,513 Cimpress PLC (a) 1,651,300 7,009 Clean Harbors, Inc. (a) 417,737 21,789 IAA, Inc. (a) 944,553 7,346 MSA Safety, Inc. 870,721 15,017 Stericycle, Inc. (a) 907,552 15,931 Tetra Tech, Inc. 1,412,283 4,695 UniFirst Corp. 875,524 --------------- 8,811,554 --------------- COMMUNICATIONS EQUIPMENT -- 0.5% 15,520 Ciena Corp. (a) 923,595 6,026 F5 Networks, Inc. (a) 818,934 36,766 Juniper Networks, Inc. 933,121 5,163 Lumentum Holdings, Inc. (a) 479,281 --------------- 3,154,931 --------------- CONSTRUCTION & ENGINEERING -- 1.1% 25,412 EMCOR Group, Inc. 1,740,722 46,830 MasTec, Inc. (a) 1,862,897 42,851 Quanta Services, Inc. 1,712,755 11,095 Valmont Industries, Inc. 1,344,714 --------------- 6,661,088 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONSTRUCTION MATERIALS -- 0.1% 5,984 Eagle Materials, Inc. $ 480,096 --------------- CONSUMER FINANCE -- 1.7% 4,012 Credit Acceptance Corp. (a) (b) 1,877,375 18,680 FirstCash, Inc. 1,076,715 4,354 LendingTree, Inc. (a) 1,507,747 239,109 Navient Corp. 1,903,308 34,250 OneMain Holdings, Inc. 982,975 68,481 Santander Consumer USA Holdings, Inc. (b) 1,257,311 239,109 SLM Corp. 1,618,768 --------------- 10,224,199 --------------- CONTAINERS & PACKAGING -- 1.2% 3,750 AptarGroup, Inc. 432,000 28,447 Berry Global Group, Inc. (a) 1,422,066 60,077 Graphic Packaging Holding Co. 837,473 12,635 Packaging Corp. of America 1,214,476 25,582 Sealed Air Corp. 912,766 25,946 Silgan Holdings, Inc. 992,434 24,113 Sonoco Products Co. 1,247,607 --------------- 7,058,822 --------------- DISTRIBUTORS -- 0.3% 6,182 Pool Corp. 1,957,839 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.0% 31,237 Chegg, Inc. (a) 2,529,260 28,441 frontdoor, Inc. (a) 1,194,380 13,924 Grand Canyon Education, Inc. (a) 1,235,616 10,808 Service Corp. International 468,635 5,470 Strategic Education, Inc. 690,368 --------------- 6,118,259 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.7% 20,452 Cannae Holdings, Inc. (a) 770,631 135,127 Jefferies Financial Group, Inc. 2,189,058 27,028 Voya Financial, Inc. 1,335,183 --------------- 4,294,872 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.9% 5,431 Cogent Communications Holdings, Inc. 489,387 29,546 GCI Liberty, Inc., Class A (a) 2,316,111 16,517 Iridium Communications, Inc. (a) 452,401 178,068 Liberty Latin America Ltd., Class C (a) 1,821,636 --------------- 5,079,535 --------------- ELECTRIC UTILITIES -- 1.4% 30,782 ALLETE, Inc. 1,825,373 23,308 Hawaiian Electric Industries, Inc. 845,148 14,432 IDACORP, Inc. 1,345,784 64,530 NRG Energy, Inc. 2,181,759 40,203 Portland General Electric Co. 1,774,158 --------------- 7,972,222 --------------- Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT -- 1.1% 17,561 Acuity Brands, Inc. $ 1,740,295 13,053 EnerSys 877,945 13,785 Generac Holdings, Inc. (a) 2,172,240 3,355 Hubbell, Inc. 452,824 14,440 Regal Beloit Corp. 1,328,047 --------------- 6,571,351 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.1% 14,076 Cognex Corp. 941,262 12,760 Dolby Laboratories, Inc., Class A 888,096 10,357 FLIR Systems, Inc. 431,473 2,623 IPG Photonics Corp. (a) 469,543 12,684 Itron, Inc. (a) 882,299 13,099 Jabil, Inc. 456,631 2,459 Littelfuse, Inc. 436,841 10,854 National Instruments Corp. 385,317 14,036 SYNNEX Corp. 1,750,851 --------------- 6,642,313 --------------- ENTERTAINMENT -- 0.7% 145,535 Cinemark Holdings, Inc. 1,721,679 220,250 Zynga, Inc., Class A (a) 2,165,058 --------------- 3,886,737 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.1% 6,396 Agree Realty Corp. 428,340 31,242 American Homes 4 Rent, Class A 906,018 11,574 Americold Realty Trust 467,011 217,514 Apple Hospitality REIT, Inc. 1,918,474 115,768 Brandywine Realty Trust 1,253,767 131,121 Brixmor Property Group, Inc. 1,509,203 3,472 CoreSite Realty Corp. 448,062 33,169 Corporate Office Properties Trust 878,315 28,174 Cousins Properties, Inc. 865,505 17,331 CyrusOne, Inc. 1,445,752 3,546 EastGroup Properties, Inc. 470,412 50,736 EPR Properties 1,452,572 65,252 Equity Commonwealth 2,060,006 10,933 First Industrial Realty Trust, Inc. 480,177 15,846 Healthcare Trust of America, Inc., Class A 437,508 56,288 Highwoods Properties, Inc. 2,158,082 33,403 Hudson Pacific Properties, Inc. 787,309 6,292 Lamar Advertising Co., Class A 413,573 234,244 Macerich (The) Co. (b) 1,787,282 163,519 Paramount Group, Inc. 1,165,890 153,821 Pebblebrook Hotel Trust 1,630,503 23,985 Physicians Realty Trust 432,689 13,114 QTS Realty Trust, Inc., Class A 943,552 16,953 Rayonier, Inc. 470,954 10,141 Rexford Industrial Realty, Inc. 475,917 116,490 Sabra Health Care REIT, Inc. 1,717,063 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 237,084 Service Properties Trust $ 1,588,463 12,057 Spirit Realty Capital, Inc. 415,484 14,331 STAG Industrial, Inc. 467,191 51,564 Sunstone Hotel Investors, Inc. 385,699 7,982 Terreno Realty Corp. 484,986 --------------- 30,345,759 --------------- FOOD & STAPLES RETAILING -- 0.9% 56,375 BJ's Wholesale Club Holdings, Inc. (a) 2,257,819 5,620 Casey's General Stores, Inc. 894,648 28,846 Performance Food Group Co. (a) 808,265 63,932 US Foods Holding Corp. (a) 1,297,819 --------------- 5,258,551 --------------- FOOD PRODUCTS -- 1.7% 12,546 Beyond Meat, Inc. (a) 1,579,541 85,344 Darling Ingredients, Inc. (a) 2,383,658 18,796 Flowers Foods, Inc. 427,609 20,254 Ingredion, Inc. 1,751,971 6,613 J & J Snack Foods Corp. 814,259 2,710 Lancaster Colony Corp. 429,779 124,401 Pilgrim's Pride Corp. (a) 1,909,555 284 Seaboard Corp. 767,723 --------------- 10,064,095 --------------- GAS UTILITIES -- 1.2% 30,068 National Fuel Gas Co. 1,219,859 38,614 New Jersey Resources Corp. 1,199,351 10,908 ONE Gas, Inc. 825,735 18,260 Southwest Gas Holdings, Inc. 1,271,626 19,189 Spire, Inc. 1,183,194 39,643 UGI Corp. 1,321,698 --------------- 7,021,463 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.4% 6,960 ABIOMED, Inc. (a) 2,087,582 9,502 Cantel Medical Corp. 448,970 17,615 Globus Medical, Inc., Class A (a) 848,691 2,277 ICU Medical, Inc. (a) 418,353 11,507 Integer Holdings Corp. (a) 756,815 7,370 Masimo Corp. (a) 1,622,284 10,828 Neogen Corp. (a) 831,266 7,032 Nevro Corp. (a) 934,975 4,699 Penumbra, Inc. (a) 1,042,755 9,389 Quidel Corp. (a) 2,652,111 21,239 Tandem Diabetes Care, Inc. (a) 2,218,626 --------------- 13,862,428 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.9% 50,185 Acadia Healthcare Co., Inc. (a) 1,496,015 8,463 Amedisys, Inc. (a) 1,981,696 18,578 AMN Healthcare Services, Inc. (a) 1,020,675 1,865 Chemed Corp. 917,934 See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 13,568 Encompass Health Corp. $ 923,710 10,359 Guardant Health, Inc. (a) 882,380 14,323 HealthEquity, Inc. (a) 738,494 7,230 LHC Group, Inc. (a) 1,410,645 4,722 Molina Healthcare, Inc. (a) 872,153 28,528 Select Medical Holdings Corp. (a) 543,173 23,207 Tenet Healthcare Corp. (a) 613,593 --------------- 11,400,468 --------------- HEALTH CARE TECHNOLOGY -- 0.4% 5,948 Omnicell, Inc. (a) 418,085 8,811 Teladoc Health, Inc. (a) 2,093,758 --------------- 2,511,843 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.4% 20,110 Boyd Gaming Corp. 476,004 20,982 Caesars Entertainment, Inc. (a) 651,491 5,328 Choice Hotels International, Inc. 447,765 12,627 Churchill Downs, Inc. 1,749,092 6,445 Dunkin' Brands Group, Inc. 442,965 5,112 Marriott Vacations Worldwide Corp. 432,782 6,939 Planet Fitness, Inc., Class A (a) 362,216 15,986 Texas Roadhouse, Inc. 898,253 77,179 Wendy's (The) Co. 1,789,009 14,912 Wyndham Destinations, Inc. 396,659 9,861 Wyndham Hotels & Resorts, Inc. 435,462 --------------- 8,081,698 --------------- HOUSEHOLD DURABLES -- 2.8% 8,915 Helen of Troy Ltd. (a) 1,678,249 68,489 KB Home 2,303,970 35,867 Leggett & Platt, Inc. 1,437,908 20,651 Mohawk Industries, Inc. (a) 1,648,982 29,206 Tempur Sealy International, Inc. (a) 2,364,226 64,474 Toll Brothers, Inc. 2,462,907 18,472 TopBuild Corp. (a) 2,436,826 12,980 Whirlpool Corp. 2,117,297 --------------- 16,450,365 --------------- INDUSTRIAL CONGLOMERATES -- 0.1% 3,514 Carlisle Cos., Inc. 418,447 --------------- INSURANCE -- 3.6% 13,242 American Financial Group, Inc. 804,716 17,493 American National Group, Inc. 1,288,360 8,135 Assurant, Inc. 874,268 86,078 Assured Guaranty Ltd. 1,879,083 26,947 Athene Holding Ltd., Class A (a) 869,041 10,360 Axis Capital Holdings Ltd. 415,643 75,527 Brighthouse Financial, Inc. (a) 2,140,435 2,752 Enstar Group Ltd. (a) 462,198 4,380 Erie Indemnity Co., Class A 920,326 43,759 First American Financial Corp. 2,232,147 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 8,291 Hanover Insurance Group (The), Inc. $ 844,687 23,181 Kemper Corp. 1,820,172 3,603 Primerica, Inc. 431,135 21,428 Reinsurance Group of America, Inc. 1,826,737 7,373 RenaissanceRe Holdings Ltd. 1,329,942 15,933 Selective Insurance Group, Inc. 865,799 126,652 Unum Group 2,182,214 --------------- 21,186,903 --------------- INTERACTIVE MEDIA & SERVICES -- 1.0% 16,578 Cargurus, Inc. (a) 478,938 56,869 Pinterest, Inc., Class A (a) 1,950,038 44,212 TripAdvisor, Inc. 894,409 36,475 Zillow Group, Inc., Class C (a) 2,494,525 --------------- 5,817,910 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.9% 19,777 Etsy, Inc. (a) 2,341,202 10,636 Wayfair, Inc., Class A (a) 2,830,133 --------------- 5,171,335 --------------- IT SERVICES -- 1.5% 11,580 Black Knight, Inc. (a) 867,574 5,812 CACI International, Inc., Class A (a) 1,207,850 34,518 Genpact Ltd. 1,374,507 18,639 KBR, Inc. 414,531 11,927 MAXIMUS, Inc. 885,103 9,283 MongoDB, Inc. (a) 2,126,550 52,141 Sabre Corp. 394,186 10,823 Science Applications International Corp. 865,623 5,093 WEX, Inc. (a) 806,578 --------------- 8,942,502 --------------- LEISURE PRODUCTS -- 0.6% 9,080 Polaris, Inc. 940,960 49,175 YETI Holdings, Inc. (a) 2,404,166 --------------- 3,345,126 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.7% 43,428 Adaptive Biotechnologies Corp. (a) 1,620,733 2,795 Bio-Rad Laboratories, Inc., Class A (a) 1,467,068 4,776 Bio-Techne Corp. 1,314,164 10,329 Bruker Corp. 460,880 9,641 Charles River Laboratories International, Inc. (a) 1,918,463 18,073 Medpace Holdings, Inc. (a) 2,157,013 40,691 NeoGenomics, Inc. (a) 1,555,617 12,959 PRA Health Sciences, Inc. (a) 1,380,911 13,597 Repligen Corp. (a) 2,051,923 28,855 Syneos Health, Inc. (a) 1,800,263 --------------- 15,727,035 --------------- Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY -- 3.5% 15,157 AGCO Corp. $ 994,754 45,703 Allison Transmission Holdings, Inc. 1,707,464 42,494 Barnes Group, Inc. 1,566,754 7,066 Crane Co. 399,724 9,031 Donaldson Co., Inc. 436,559 14,306 ITT, Inc. 825,885 9,976 Lincoln Electric Holdings, Inc. 901,731 15,969 Middleby (The) Corp. (a) 1,326,385 44,703 Navistar International Corp. (a) 1,431,837 6,642 Nordson Corp. 1,286,090 29,339 Oshkosh Corp. 2,309,566 11,206 Proto Labs, Inc. (a) 1,346,065 28,836 Rexnord Corp. 835,379 12,134 Snap-on, Inc. 1,769,987 46,188 Timken (The) Co. 2,108,944 12,667 Toro (The) Co. 903,790 5,417 Woodward, Inc. 405,950 --------------- 20,556,864 --------------- MEDIA -- 1.3% 710 Cable One, Inc. 1,294,018 73,465 Interpublic Group of (The) Cos., Inc. 1,326,043 29,994 New York Times (The) Co., Class A 1,383,923 15,062 Nexstar Media Group, Inc., Class A 1,320,184 188,618 TEGNA, Inc. 2,221,920 --------------- 7,546,088 --------------- METALS & MINING -- 1.1% 22,131 Reliance Steel & Aluminum Co. 2,174,592 13,523 Royal Gold, Inc. 1,892,274 80,537 Steel Dynamics, Inc. 2,207,519 --------------- 6,274,385 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.2% 42,840 Apollo Commercial Real Estate Finance, Inc. 398,412 28,093 Starwood Property Trust, Inc. 419,990 83,381 Two Harbors Investment Corp. 452,759 --------------- 1,271,161 --------------- MULTILINE RETAIL -- 0.7% 80,929 Kohl's Corp. 1,540,888 305,404 Macy's, Inc. (b) 1,850,748 27,130 Nordstrom, Inc. (b) 371,410 4,301 Ollie's Bargain Outlet Holdings, Inc. (a) 452,035 --------------- 4,215,081 --------------- MULTI-UTILITIES -- 1.1% 46,191 Avista Corp. 1,715,072 22,252 Black Hills Corp. 1,287,501 75,789 MDU Resources Group, Inc. 1,590,053 30,834 NorthWestern Corp. 1,734,721 --------------- 6,327,347 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS -- 1.9% 104,484 CVR Energy, Inc. $ 2,006,093 57,568 HollyFrontier Corp. 1,583,120 343,332 Marathon Oil Corp. 1,884,893 152,257 Murphy Oil Corp. 2,011,315 220,018 Ovintiv, Inc. (b) 2,131,974 263,468 WPX Energy, Inc. (a) 1,572,904 --------------- 11,190,299 --------------- PERSONAL PRODUCTS -- 0.1% 9,345 Herbalife Nutrition Ltd. (a) (b) 478,838 --------------- PHARMACEUTICALS -- 1.1% 22,932 Catalent, Inc. (a) 2,002,881 37,802 Horizon Therapeutics PLC (a) 2,313,104 3,808 Jazz Pharmaceuticals PLC (a) 412,216 13,046 MyoKardia, Inc. (a) 1,175,836 15,203 Perrigo Co. PLC 806,063 --------------- 6,710,100 --------------- PROFESSIONAL SERVICES -- 1.3% 18,906 ASGN, Inc. (a) 1,294,305 15,575 Exponent, Inc. 1,309,234 11,009 FTI Consulting, Inc. (a) 1,314,915 6,490 Insperity, Inc. 433,921 24,453 ManpowerGroup, Inc. 1,682,122 23,864 Robert Half International, Inc. 1,213,962 6,895 TriNet Group, Inc. (a) 455,070 --------------- 7,703,529 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 8,093 Howard Hughes (The) Corp. (a) 430,467 20,306 Jones Lang LaSalle, Inc. 2,008,466 110,442 Kennedy-Wilson Holdings, Inc. 1,638,959 --------------- 4,077,892 --------------- ROAD & RAIL -- 0.8% 6,954 AMERCO 2,209,494 40,304 Knight-Swift Transportation Holdings, Inc. 1,752,821 7,484 Landstar System, Inc. 911,402 --------------- 4,873,717 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.4% 12,048 Cabot Microelectronics Corp. 1,815,875 6,805 Cirrus Logic, Inc. (a) 466,347 44,168 Enphase Energy, Inc. (a) 2,665,981 21,352 Entegris, Inc. 1,535,422 8,487 First Solar, Inc. (a) 505,401 17,884 Inphi Corp. (a) 2,336,723 3,714 MKS Instruments, Inc. 473,312 7,092 Monolithic Power Systems, Inc. 1,879,451 21,205 ON Semiconductor Corp. (a) 436,823 14,231 Power Integrations, Inc. 1,736,609 4,191 Silicon Laboratories, Inc. (a) 421,237 --------------- 14,273,181 --------------- SOFTWARE -- 8.7% 15,567 ACI Worldwide, Inc. (a) 417,040 See Notes to Financial Statements Page 41 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 12,792 Alteryx, Inc., Class A (a) $ 2,244,868 27,823 Anaplan, Inc. (a) 1,263,442 4,058 Aspen Technology, Inc. (a) 394,681 15,786 Avalara, Inc. (a) 2,122,428 25,344 Blackline, Inc. (a) 2,253,335 10,144 CDK Global, Inc. 461,146 165,185 Cloudera, Inc. (a) 1,861,635 20,952 Crowdstrike Holdings, Inc., Class A (a) 2,371,766 57,911 Dropbox, Inc., Class A (a) 1,317,475 22,788 Elastic N.V. (a) 2,191,978 17,145 Envestnet, Inc. (a) 1,392,174 12,147 Everbridge, Inc. (a) 1,734,592 18,988 Five9, Inc. (a) 2,294,130 7,580 Guidewire Software, Inc. (a) 891,863 9,369 HubSpot, Inc. (a) 2,198,061 17,845 Manhattan Associates, Inc. (a) 1,709,373 20,173 Mimecast Ltd. (a) 946,719 18,295 New Relic, Inc. (a) 1,297,298 66,427 Nuance Communications, Inc. (a) 1,816,778 17,730 Nutanix, Inc., Class A (a) 393,429 14,403 Paylocity Holding Corp. (a) 1,918,480 16,617 Pegasystems, Inc. 1,942,361 7,560 Proofpoint, Inc. (a) 874,465 10,807 PTC, Inc. (a) 924,647 19,591 Q2 Holdings, Inc. (a) 1,842,534 12,117 Qualys, Inc. (a) 1,496,207 16,471 Rapid7, Inc. (a) 981,178 19,389 RealPage, Inc. (a) 1,221,701 24,759 Smartsheet, Inc., Class A (a) 1,181,995 47,567 SolarWinds Corp. (a) 873,330 18,989 Zendesk, Inc. (a) 1,730,847 8,284 Zoom Video Communications, Inc., Class A (a) 2,103,390 19,192 Zscaler, Inc. (a) 2,492,081 --------------- 51,157,427 --------------- SPECIALTY RETAIL -- 3.3% 2,952 Advance Auto Parts, Inc. 443,213 22,364 AutoNation, Inc. (a) 1,148,168 17,481 Carvana Co. (a) 2,708,681 20,370 Dick's Sporting Goods, Inc. 929,280 7,863 Five Below, Inc. (a) 856,359 36,449 Floor & Decor Holdings, Inc., Class A (a) 2,401,989 57,644 Foot Locker, Inc. 1,694,157 8,329 Lithia Motors, Inc., Class A 1,908,590 11,195 Murphy USA, Inc. (a) 1,482,330 54,281 Penske Automotive Group, Inc. 2,432,875 6,754 RH (a) 1,941,302 15,376 Williams-Sonoma, Inc. 1,339,557 --------------- 19,286,501 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.1% 121,313 NCR Corp. (a) 2,235,799 96,995 Pure Storage, Inc., Class A (a) 1,732,331 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 137,422 Xerox Holdings Corp. $ 2,288,076 --------------- 6,256,206 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.3% 5,205 Carter's, Inc. 409,738 5,213 Columbia Sportswear Co. 395,354 8,559 Deckers Outdoor Corp. (a) 1,790,971 111,663 Hanesbrands, Inc. 1,577,798 23,181 Ralph Lauren Corp. 1,652,805 40,174 Skechers U.S.A., Inc., Class A (a) 1,176,295 34,041 Steven Madden Ltd. 720,988 --------------- 7,723,949 --------------- THRIFTS & MORTGAGE FINANCE -- 1.0% 57,934 Essent Group Ltd. 2,075,775 256,552 MGIC Investment Corp. 2,121,685 123,599 New York Community Bancorp, Inc. 1,301,497 27,094 Radian Group, Inc. 404,243 --------------- 5,903,200 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.2% 71,738 Air Lease Corp. 1,880,970 24,258 HD Supply Holdings, Inc. (a) 851,456 17,316 MSC Industrial Direct Co., Inc., Class A 1,143,029 18,438 SiteOne Landscape Supply, Inc. (a) 2,360,617 24,925 Univar Solutions, Inc. (a) 440,425 2,365 Watsco, Inc. 558,306 --------------- 7,234,803 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.2% 41,077 Macquarie Infrastructure Corp. 1,230,667 --------------- WATER UTILITIES -- 0.1% 5,347 American States Water Co. 411,077 --------------- TOTAL COMMON STOCKS -- 100.0% 589,615,618 (Cost $549,571,977) --------------- MONEY MARKET FUNDS -- 1.8% 10,256,447 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 10,256,447 648,386 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 648,386 --------------- TOTAL MONEY MARKET FUNDS -- 1.8% 10,904,833 (Cost $10,904,833) --------------- Page 42 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 101.8% $ 600,520,451 (Cost $560,476,810) (e) NET OTHER ASSETS AND LIABILITIES -- (1.8)% (10,607,998) --------------- NET ASSETS -- 100.0% $ 589,912,453 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $9,766,584 and the total value of the collateral held by the Fund is $10,256,447. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $562,993,380. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $91,124,132 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $53,597,061. The net unrealized appreciation was $37,527,071. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 589,615,618 $ -- $ -- Money Market Funds 10,904,833 -- -- -------------------------------------------- Total Investments $ 600,520,451 $ -- $ -- ============================================ * 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) $ 9,766,584 Non-cash Collateral(2) (9,766,584) --------------- 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, 2020, 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. See Notes to Financial Statements Page 43 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.9% 47,346 AAR Corp. $ 815,298 3,072 AeroVironment, Inc. (a) 235,162 5,093 Cubic Corp. 213,906 17,644 Kaman Corp. 696,762 31,307 Kratos Defense & Security Solutions, Inc. (a) 563,839 54,488 Maxar Technologies, Inc. 969,341 --------------- 3,494,308 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 54,929 Air Transport Services Group, Inc. (a) 1,338,620 14,732 Forward Air Corp. 765,917 20,448 Hub Group, Inc., Class A (a) 1,081,699 --------------- 3,186,236 --------------- AIRLINES -- 0.4% 4,480 Allegiant Travel Co. 501,895 87,126 Hawaiian Holdings, Inc. 1,035,928 --------------- 1,537,823 --------------- AUTO COMPONENTS -- 1.7% 35,443 Cooper Tire & Rubber Co. 1,100,860 100,350 Dana, Inc. 1,147,001 7,296 Dorman Products, Inc. (a) 596,448 14,808 Fox Factory Holding Corp. (a) 1,317,912 12,578 Gentherm, Inc. (a) 487,649 10,639 LCI Industries 1,338,386 17,815 Standard Motor Products, Inc. 810,226 --------------- 6,798,482 --------------- AUTOMOBILES -- 0.3% 18,362 Winnebago Industries, Inc. 1,109,248 --------------- BANKS -- 8.2% 20,629 1st Source Corp. 683,232 10,565 Atlantic Union Bankshares Corp. 238,452 6,031 BancFirst Corp. 262,710 19,315 Banner Corp. 684,330 88,804 Berkshire Hills Bancorp, Inc. 884,488 142,240 Boston Private Financial Holdings, Inc. 837,082 48,542 Brookline Bancorp, Inc. 465,760 27,614 Cadence BanCorp 215,665 3,755 City Holding Co. 234,537 15,177 ConnectOne Bancorp, Inc. 209,291 29,882 Eagle Bancorp, Inc. 898,851 7,862 Enterprise Financial Services Corp. 228,470 29,630 FB Financial Corp. 752,898 39,019 First Bancorp 806,133 175,065 First BanCorp 952,354 39,355 First Busey Corp. 672,970 118,191 First Commonwealth Financial Corp. 930,163 88,069 First Financial Bancorp 1,225,480 23,707 First Interstate BancSystem, Inc., Class A 690,111 35,496 First Merchants Corp. 867,167 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 73,305 First Midwest Bancorp, Inc. $ 889,556 92,937 Fulton Financial Corp. 901,489 23,600 German American Bancorp, Inc. 671,184 29,265 Heartland Financial USA, Inc. 914,239 36,699 Heritage Financial Corp. 694,162 53,040 Hilltop Holdings, Inc. 1,032,689 106,142 Hope Bancorp, Inc. 894,777 3,646 Independent Bank Corp. 235,240 24,151 Independent Bank Group, Inc. 1,060,953 22,923 International Bancshares Corp. 697,318 10,502 Lakeland Financial Corp. 464,818 9,061 National Bank Holdings Corp., Class A 251,715 15,907 NBT Bancorp, Inc. 473,870 41,632 OceanFirst Financial Corp. 637,802 36,597 OFG Bancorp 478,689 33,855 Pacific Premier Bancorp, Inc. 711,294 6,952 Park National Corp. 596,203 11,420 Preferred Bank 425,395 29,475 Renasant Corp. 684,704 31,300 S&T Bancorp, Inc. 672,950 11,994 Seacoast Banking Corp. of Florida (a) 226,447 20,524 ServisFirst Bancshares, Inc. 750,973 71,495 Simmons First National Corp., Class A 1,186,102 8,826 Southside Bancshares, Inc. 244,480 51,943 TowneBank 916,275 24,103 TriCo Bancshares 674,884 10,081 Triumph Bancorp, Inc. (a) 264,122 29,933 Trustmark Corp. 674,091 12,159 United Community Banks, Inc. 218,011 27,644 Veritex Holdings, Inc. 462,208 48,185 WesBanco, Inc. 955,509 --------------- 32,702,293 --------------- BEVERAGES -- 0.1% 1,066 Coca-Cola Consolidated, Inc. 244,711 4,010 National Beverage Corp. (a) (b) 257,241 --------------- 501,952 --------------- BIOTECHNOLOGY -- 3.8% 10,011 Alector, Inc. (a) 156,872 81,119 Amicus Therapeutics, Inc. (a) 1,172,170 7,772 Arena Pharmaceuticals, Inc. (a) 477,123 53,339 Athenex, Inc. (a) 565,927 27,620 CareDx, Inc. (a) 921,127 12,755 ChemoCentryx, Inc. (a) 672,316 41,096 Coherus Biosciences, Inc. (a) 722,879 20,235 Denali Therapeutics, Inc. (a) 473,904 38,529 Dicerna Pharmaceuticals, Inc. (a) 828,374 16,543 Editas Medicine, Inc. (a) 485,702 4,873 Enanta Pharmaceuticals, Inc. (a) 223,427 4,767 Esperion Therapeutics, Inc. (a) (b) 179,382 35,654 Fate Therapeutics, Inc. (a) 1,114,901 27,376 Halozyme Therapeutics, Inc. (a) 744,353 16,632 Heron Therapeutics, Inc. (a) 270,935 44,417 Insmed, Inc. (a) 1,160,172 Page 44 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 40,386 Invitae Corp. (a) (b) $ 1,179,271 47,413 Ironwood Pharmaceuticals, Inc. (a) 434,777 38,752 Karyopharm Therapeutics, Inc. (a) 621,970 4,374 Ligand Pharmaceuticals, Inc. (a) 512,545 19,628 Natera, Inc. (a) 942,537 4,091 Principia Biopharma, Inc. (a) 342,008 37,678 TG Therapeutics, Inc. (a) 737,735 9,445 Veracyte, Inc. (a) 336,903 --------------- 15,277,310 --------------- BUILDING PRODUCTS -- 1.8% 13,520 AAON, Inc. 801,060 9,703 American Woodmark Corp. (a) 782,256 201,859 Cornerstone Building Brands, Inc. (a) 1,144,541 7,080 CSW Industrials, Inc. 472,873 10,192 Gibraltar Industries, Inc. (a) 527,130 26,421 Griffon Corp. 604,248 45,559 JELD-WEN Holding, Inc. (a) 892,956 11,984 Patrick Industries, Inc. 766,377 46,808 PGT Innovations, Inc. (a) 799,013 20,875 Resideo Technologies, Inc. (a) 277,220 --------------- 7,067,674 --------------- CAPITAL MARKETS -- 2.0% 22,583 Artisan Partners Asset Management, Inc., Class A 818,182 178,579 BGC Partners, Inc., Class A 494,664 37,012 Focus Financial Partners, Inc., Class A (a) 1,367,593 7,263 Hamilton Lane, Inc., Class A 524,679 13,191 Houlihan Lokey, Inc. 722,867 15,702 Moelis & Co., Class A 467,763 8,272 Piper Sandler Cos. 512,119 23,826 PJT Partners, Inc., Class A 1,275,406 8,896 StoneX Group, Inc. (a) 466,862 10,367 Virtu Financial, Inc., Class A 257,102 78,871 Waddell & Reed Financial, Inc., Class A 1,150,728 --------------- 8,057,965 --------------- CHEMICALS -- 2.5% 27,982 Avient Corp. 668,770 19,809 Cabot Corp. 722,632 15,939 Chemours (The) Co. 295,350 20,491 Ferro Corp. (a) 239,540 13,167 GCP Applied Technologies, Inc. (a) 300,471 16,456 H.B. Fuller Co. 746,115 4,654 Ingevity Corp. (a) 272,166 3,168 Innospec, Inc. 238,139 79,434 Livent Corp. (a) 498,051 26,065 Minerals Technologies, Inc. 1,221,927 85,171 Olin Corp. 957,322 92,409 Orion Engineered Carbons S.A. 942,572 73,913 PQ Group Holdings, Inc. (a) 906,912 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CHEMICALS (CONTINUED) 4,691 Sensient Technologies Corp. $ 244,917 7,559 Stepan Co. 825,443 33,122 Trinseo S.A. 718,747 --------------- 9,799,074 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 26,959 ABM Industries, Inc. 967,828 65,533 BrightView Holdings, Inc. (a) 794,260 18,777 Casella Waste Systems, Inc., Class A (a) 1,040,434 25,511 Covanta Holding Corp. 251,028 20,004 Healthcare Services Group, Inc. 523,905 24,009 HNI Corp. 713,067 71,120 KAR Auction Services, Inc. 1,076,046 80,281 Knoll, Inc. 940,090 4,530 McGrath RentCorp 262,831 11,814 SP Plus Corp. (a) 187,724 101,433 Steelcase, Inc., Class A 1,088,376 12,862 Viad Corp. 185,985 --------------- 8,031,574 --------------- COMMUNICATIONS EQUIPMENT -- 0.8% 29,370 CommScope Holding Co., Inc. (a) 272,554 26,250 EchoStar Corp., Class A (a) 716,625 165,307 Infinera Corp. (a) 1,304,272 4,321 InterDigital, Inc. 259,346 19,143 NetScout Systems, Inc. (a) 487,381 16,667 Plantronics, Inc. 333,173 --------------- 3,373,351 --------------- CONSTRUCTION & ENGINEERING -- 1.6% 23,191 Arcosa, Inc. 979,124 24,015 Comfort Systems USA, Inc. 1,193,786 11,967 Dycom Industries, Inc. (a) 512,547 101,264 Fluor Corp. 1,031,880 63,912 Granite Construction, Inc. 1,083,947 68,878 Primoris Services Corp. 1,104,114 39,814 WillScot Mobile Mini Holdings Corp. (a) 599,599 --------------- 6,504,997 --------------- CONSTRUCTION MATERIALS -- 0.2% 60,858 Summit Materials, Inc., Class A (a) 895,830 --------------- CONSUMER FINANCE -- 0.6% 28,630 Encore Capital Group, Inc. (a) 1,045,854 4,985 Green Dot Corp., Class A (a) 252,690 53,769 LendingClub Corp. (a) 280,674 5,125 Nelnet, Inc., Class A 297,250 12,657 PRA Group, Inc. (a) 500,711 --------------- 2,377,179 --------------- CONTAINERS & PACKAGING -- 0.2% 28,441 Greif, Inc., Class A 989,462 --------------- See Notes to Financial Statements Page 45 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DISTRIBUTORS -- 0.1% 19,608 Core-Mark Holding Co., Inc. $ 520,004 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.4% 39,269 Adtalem Global Education, Inc. (a) 1,348,497 3,570 Graham Holdings Co., Class B 1,422,181 122,757 Laureate Education, Inc., Class A (a) 1,556,559 46,075 Perdoceo Education Corp. (a) 663,480 28,918 WW International, Inc. (a) 745,506 --------------- 5,736,223 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 4,040 ATN International, Inc. 232,825 9,632 Bandwidth, Inc., Class A (a) 1,394,521 97,278 Vonage Holdings Corp. (a) 1,162,472 --------------- 2,789,818 --------------- ELECTRIC UTILITIES -- 0.2% 18,922 Otter Tail Corp. 723,766 --------------- ELECTRICAL EQUIPMENT -- 1.8% 17,890 Atkore International Group, Inc. (a) 477,126 28,514 AZZ, Inc. 900,472 20,046 Encore Wire Corp. 1,006,109 148,998 Plug Power, Inc. (a) (b) 1,148,775 12,407 Sunrun, Inc. (a) 455,213 10,201 Vicor Corp. (a) 831,075 123,563 Vivint Solar, Inc. (a) 2,513,271 --------------- 7,332,041 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.9% 7,776 Badger Meter, Inc. 486,778 22,652 Benchmark Electronics, Inc. 461,195 36,625 CTS Corp. 727,373 10,385 ePlus, Inc. (a) 774,098 9,129 FARO Technologies, Inc. (a) 546,188 19,891 Insight Enterprises, Inc. (a) 991,367 16,032 Knowles Corp. (a) 244,648 39,131 Methode Electronics, Inc. 1,103,494 69,543 MTS Systems Corp. 1,290,023 3,278 OSI Systems, Inc. (a) 232,607 15,833 PC Connection, Inc. 691,902 6,934 Plexus Corp. (a) 515,127 1,963 Rogers Corp. (a) 233,970 39,083 Sanmina Corp. (a) 1,159,983 82,514 TTM Technologies, Inc. (a) 1,015,747 64,088 Vishay Intertechnology, Inc. 1,005,541 --------------- 11,480,041 --------------- ENERGY EQUIPMENT & SERVICES -- 1.5% 150,788 Archrock, Inc. 1,004,248 11,858 Cactus, Inc., Class A 268,228 8,212 Dril-Quip, Inc. (a) 273,377 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 352,526 Helix Energy Solutions Group, Inc. (a) $ 1,477,084 299,576 NexTier Oilfield Solutions, Inc. (a) 754,932 211,515 Patterson-UTI Energy, Inc. 819,621 237,990 ProPetro Holding Corp. (a) 1,278,006 --------------- 5,875,496 --------------- ENTERTAINMENT -- 0.1% 5,630 World Wrestling Entertainment, Inc., Class A 262,414 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.8% 20,071 Alexander & Baldwin, Inc. 237,239 11,964 Community Healthcare Trust, Inc. 547,114 130,692 CoreCivic, Inc. 1,164,466 221,205 DiamondRock Hospitality Co. 1,021,967 221,157 Diversified Healthcare Trust 861,407 21,164 Easterly Government Properties, Inc. 517,460 139,801 Empire State Realty Trust, Inc., Class A 922,687 20,054 Four Corners Property Trust, Inc. 505,361 82,722 GEO Group (The), Inc. 879,335 16,486 Getty Realty Corp. 488,480 14,624 Global Net Lease, Inc. 243,490 21,293 Independence Realty Trust, Inc. 244,869 35,715 Industrial Logistics Properties Trust 753,944 5,559 Innovative Industrial Properties, Inc. 579,415 99,292 iStar, Inc. 1,152,780 12,990 LTC Properties, Inc. 482,578 33,768 Monmouth Real Estate Investment Corp. 487,272 8,537 National Storage Affiliates Trust 263,110 20,763 NexPoint Residential Trust, Inc. 793,769 18,840 Office Properties Income Trust 473,826 129,583 RLJ Lodging Trust 1,037,960 175,756 RPT Realty 1,093,202 4,256 Safehold, Inc. 214,630 120,816 SITE Centers Corp. 885,581 206,284 Summit Hotel Properties, Inc. 1,068,551 68,627 Tanger Factory Outlet Centers, Inc. (b) 441,272 104,665 Uniti Group, Inc. 1,036,184 104,888 Xenia Hotels & Resorts, Inc. 834,908 --------------- 19,232,857 --------------- FOOD & STAPLES RETAILING -- 0.6% 18,015 Chefs' Warehouse (The), Inc. (a) 207,713 8,111 PriceSmart, Inc. 530,216 19,121 Sprouts Farmers Market, Inc. (a) 504,412 19,526 Weis Markets, Inc. 972,785 --------------- 2,215,126 --------------- Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS -- 1.0% 20,071 B&G Foods, Inc. (b) $ 580,253 3,890 Calavo Growers, Inc. 224,725 39,749 Fresh Del Monte Produce, Inc. 897,532 11,698 Freshpet, Inc. (a) 1,123,593 40,042 Hostess Brands, Inc. (a) 507,732 13,167 Simply Good Foods (The) Co. (a) 316,535 7,140 Tootsie Roll Industries, Inc. (b) 226,338 --------------- 3,876,708 --------------- GAS UTILITIES -- 0.1% 5,825 Chesapeake Utilities Corp. 492,154 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.0% 48,414 Accelerate Diagnostics, Inc. (a) (b) 703,456 21,772 AtriCure, Inc. (a) 888,515 8,324 Avanos Medical, Inc. (a) 255,297 27,873 Axonics Modulation Technologies, Inc. (a) 1,180,700 6,887 Inogen, Inc. (a) 211,431 10,556 iRhythm Technologies, Inc. (a) 1,314,011 15,494 Shockwave Medical, Inc. (a) 764,164 17,522 Silk Road Medical, Inc. (a) 814,072 19,878 STAAR Surgical Co. (a) 1,156,701 32,298 Varex Imaging Corp. (a) 506,433 --------------- 7,794,780 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.0% 16,242 BioTelemetry, Inc. (a) 691,259 6,902 CorVel Corp. (a) 548,640 17,537 Ensign Group (The), Inc. 806,527 14,774 Hanger, Inc. (a) 257,954 10,057 Magellan Health, Inc. (a) 745,928 7,713 National HealthCare Corp. 457,535 8,406 National Research Corp. 480,739 7,138 Premier, Inc., Class A (a) 249,616 87,768 R1 RCM, Inc. (a) 1,199,789 77,080 RadNet, Inc. (a) 1,224,801 86,375 Tivity Health, Inc. (a) 1,133,240 --------------- 7,796,028 --------------- HEALTH CARE TECHNOLOGY -- 1.1% 36,139 Allscripts Healthcare Solutions, Inc. (a) 325,251 22,659 HMS Holdings Corp. (a) 736,417 38,109 Inovalon Holdings, Inc., Class A (a) 896,705 11,246 Inspire Medical Systems, Inc. (a) 1,117,403 44,563 NextGen Healthcare, Inc. (a) 651,511 13,412 Tabula Rasa HealthCare, Inc. (a) (b) 753,754 --------------- 4,481,041 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 2.4% 22,950 Bloomin' Brands, Inc. $ 264,384 30,582 Brinker International, Inc. 822,350 36,708 Dave & Buster's Entertainment, Inc. (b) 452,977 11,622 Dine Brands Global, Inc. 527,987 37,543 Hilton Grand Vacations, Inc. (a) 762,123 16,511 Jack in the Box, Inc. 1,355,718 15,405 Papa John's International, Inc. 1,458,391 135,168 Playa Hotels & Resorts N.V. (a) 490,660 31,650 Scientific Games Corp. (a) 556,091 16,520 SeaWorld Entertainment, Inc. (a) 239,044 9,236 Shake Shack, Inc., Class A (a) 448,408 43,904 Twin River Worldwide Holdings, Inc. 946,570 8,802 Wingstop, Inc. 1,375,313 --------------- 9,700,016 --------------- HOUSEHOLD DURABLES -- 4.0% 5,074 Cavco Industries, Inc. (a) 1,016,474 39,898 Century Communities, Inc. (a) 1,421,167 17,786 Installed Building Products, Inc. (a) 1,407,050 2,915 iRobot Corp. (a) 211,891 27,123 La-Z-Boy, Inc. 771,921 13,896 LGI Homes, Inc. (a) 1,585,672 34,266 M.D.C. Holdings, Inc. 1,536,145 35,519 M/I Homes, Inc. (a) 1,478,656 16,071 Meritage Homes Corp. (a) 1,593,922 30,155 Skyline Champion Corp. (a) 851,276 83,614 Sonos, Inc. (a) 1,337,824 50,732 Taylor Morrison Home Corp. (a) 1,189,665 83,273 TRI Pointe Group, Inc. (a) 1,392,325 --------------- 15,793,988 --------------- HOUSEHOLD PRODUCTS -- 0.2% 14,481 Central Garden & Pet Co., Class A (a) 501,767 2,468 WD-40 Co. 485,085 --------------- 986,852 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.2% 31,829 Clearway Energy, Inc., Class C 781,084 --------------- INDUSTRIAL CONGLOMERATES -- 0.1% 22,748 Raven Industries, Inc. 491,584 --------------- INSURANCE -- 3.9% 49,504 American Equity Investment Life Holding Co. 1,259,877 7,025 Argo Group International Holdings Ltd. 235,408 78,566 CNO Financial Group, Inc. 1,186,346 7,470 eHealth, Inc. (a) 516,476 24,344 Employers Holdings, Inc. 791,667 20,450 FBL Financial Group, Inc., Class A 711,251 26,643 Horace Mann Educators Corp. 1,001,244 See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 7,881 Kinsale Capital Group, Inc. $ 1,536,007 6,004 Mercury General Corp. 257,631 56,606 National General Holdings Corp. 1,924,038 4,816 National Western Life Group, Inc., Class A 938,109 14,265 Palomar Holdings, Inc. (a) 1,302,965 16,908 ProAssurance Corp. 248,547 6,416 Safety Insurance Group, Inc. 485,499 37,627 Stewart Information Services Corp. 1,578,453 32,578 Third Point Reinsurance Ltd. (a) 253,782 28,654 Trupanion, Inc. (a) 1,449,033 --------------- 15,676,333 --------------- INTERACTIVE MEDIA & SERVICES -- 0.1% 10,578 Yelp, Inc. (a) 264,238 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.0% 21,898 Chewy, Inc., Class A (a) 1,149,426 66,845 Quotient Technology, Inc. (a) 535,429 38,258 RealReal (The), Inc. (a) 521,839 6,997 Shutterstock, Inc. 380,217 1,332 Stamps.com, Inc. (a) 346,693 39,240 Stitch Fix, Inc., Class A (a) (b) 869,166 --------------- 3,802,770 --------------- IT SERVICES -- 2.0% 11,822 CSG Systems International, Inc. 498,061 17,412 EVERTEC, Inc. 540,643 10,717 Evo Payments, Inc., Class A (a) 243,169 11,576 ExlService Holdings, Inc. (a) 741,559 10,717 ManTech International Corp., Class A 745,689 21,312 NIC, Inc. 467,159 20,514 Perficient, Inc. (a) 804,354 27,459 Switch, Inc., Class A 493,987 35,381 Sykes Enterprises, Inc. (a) 971,562 21,018 TTEC Holdings, Inc. 997,514 71,397 Verra Mobility Corp. (a) 730,391 15,070 Virtusa Corp. (a) 611,842 --------------- 7,845,930 --------------- LEISURE PRODUCTS -- 1.0% 28,129 Acushnet Holdings Corp. 1,070,308 69,861 Callaway Golf Co. 1,330,852 23,547 Malibu Boats, Inc., Class A (a) 1,384,093 --------------- 3,785,253 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.2% 16,672 NanoString Technologies, Inc. (a) 602,026 --------------- MACHINERY -- 3.9% 7,152 Alamo Group, Inc. 737,443 4,168 Albany International Corp., Class A 200,398 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 7,679 Altra Industrial Motion Corp. $ 262,852 10,567 Astec Industries, Inc. 470,126 10,091 Chart Industries, Inc. (a) 691,536 14,890 EnPro Industries, Inc. 710,700 2,895 ESCO Technologies, Inc. 248,796 65,768 Evoqua Water Technologies Corp. (a) 1,264,719 24,687 Federal Signal Corp. 763,075 9,316 Franklin Electric Co., Inc. 503,530 15,743 Gorman-Rupp (The) Co. 476,383 9,820 Kadant, Inc. 1,065,568 8,522 Kennametal, Inc. 229,753 2,653 Lindsay Corp. 257,261 49,425 Meritor, Inc. (a) 1,124,419 27,614 Mueller Industries, Inc. 772,087 77,833 Mueller Water Products, Inc., Class A 787,670 17,835 SPX Corp. (a) 749,070 7,527 Tennant Co. 501,449 39,104 Terex Corp. 737,110 51,075 TriMas Corp. (a) 1,195,155 57,457 Trinity Industries, Inc. 1,122,135 80,346 Welbilt, Inc. (a) 488,504 --------------- 15,359,739 --------------- MARINE -- 0.3% 33,629 Matson, Inc. 1,224,768 --------------- MEDIA -- 1.6% 52,299 AMC Networks, Inc., Class A (a) 1,208,107 17,480 Cardlytics, Inc. (a) (b) 1,161,021 70,152 Gray Television, Inc. (a) 1,005,980 146,499 iHeartMedia, Inc., Class A (a) (b) 1,224,732 16,343 Scholastic Corp. 391,088 66,265 Sinclair Broadcast Group, Inc., Class A (b) 1,365,059 --------------- 6,355,987 --------------- METALS & MINING -- 2.3% 21,767 Alcoa Corp. (a) 282,971 120,047 Allegheny Technologies, Inc. (a) 1,043,208 50,381 Carpenter Technology Corp. 1,126,519 177,286 Cleveland-Cliffs, Inc. (b) 918,342 96,321 Coeur Mining, Inc. (a) 763,826 59,965 Commercial Metals Co. 1,240,076 10,036 Compass Minerals International, Inc. 511,234 74,817 Hecla Mining Co. 412,990 9,970 Kaiser Aluminum Corp. 617,642 7,958 Materion Corp. 456,948 79,484 Warrior Met Coal, Inc. 1,265,385 13,119 Worthington Industries, Inc. 490,913 --------------- 9,130,054 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.7% 26,478 Arbor Realty Trust, Inc. 269,811 34,852 Colony Credit Real Estate, Inc. 219,568 Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MORTGAGE REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 34,074 Granite Point Mortgage Trust, Inc. $ 231,362 8,595 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 301,083 29,512 KKR Real Estate Finance Trust, Inc. 491,375 120,816 Ladder Capital Corp. 938,740 13,957 PennyMac Mortgage Investment Trust 263,089 --------------- 2,715,028 --------------- MULTILINE RETAIL -- 0.5% 29,126 Big Lots, Inc. 1,145,817 37,946 Dillard's, Inc., Class A (b) 893,628 --------------- 2,039,445 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.5% 1,063,712 Callon Petroleum Co. (a) (b) 1,212,632 84,850 CNX Resources Corp. (a) 818,802 14,053 Delek US Holdings, Inc. 245,646 20,559 EQT Corp. 298,517 29,441 Equitrans Midstream Corp. 284,106 294,763 Kosmos Energy Ltd. 474,568 143,915 Matador Resources Co. (a) (b) 1,249,182 78,667 PDC Energy, Inc. (a) 1,121,791 49,365 Renewable Energy Group, Inc. (a) 1,361,487 260,964 SM Energy Co. 769,844 132,965 Talos Energy, Inc. (a) 905,492 47,488 World Fuel Services Corp. 1,117,393 --------------- 9,859,460 --------------- PAPER & FOREST PRODUCTS -- 1.0% 19,516 Boise Cascade Co. 909,250 57,948 Domtar Corp. 1,216,329 19,787 Neenah, Inc. 882,698 29,292 Schweitzer-Mauduit International, Inc. 952,869 --------------- 3,961,146 --------------- PERSONAL PRODUCTS -- 0.8% 8,815 Medifast, Inc. 1,473,251 25,599 Nu Skin Enterprises, Inc., Class A 1,148,115 6,663 USANA Health Sciences, Inc. (a) 540,902 --------------- 3,162,268 --------------- PHARMACEUTICALS -- 1.6% 14,588 Arvinas, Inc. (a) 459,522 72,727 Corcept Therapeutics, Inc. (a) 1,087,269 71,328 Endo International PLC (a) 248,221 35,002 Innoviva, Inc. (a) 474,102 37,181 NGM Biopharmaceuticals, Inc. (a) 680,041 18,652 Pacira BioSciences, Inc. (a) 981,282 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 13,027 Prestige Consumer Healthcare, Inc. (a) $ 484,474 30,055 Revance Therapeutics, Inc. (a) 705,691 41,205 Supernus Pharmaceuticals, Inc. (a) 917,429 23,312 Theravance Biopharma, Inc. (a) 452,719 --------------- 6,490,750 --------------- PROFESSIONAL SERVICES -- 0.7% 30,619 CBIZ, Inc. (a) 740,367 5,529 Huron Consulting Group, Inc. (a) 263,844 11,321 ICF International, Inc. 765,413 31,846 Korn Ferry 894,873 --------------- 2,664,497 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.0% 64,895 Forestar Group, Inc. (a) 1,123,332 25,432 Marcus & Millichap, Inc. (a) 692,768 50,339 Newmark Group, Inc., Class A 204,880 29,187 Redfin Corp. (a) 1,213,596 37,794 St Joe (The) Co. (a) 778,934 --------------- 4,013,510 --------------- ROAD & RAIL -- 1.6% 21,376 Avis Budget Group, Inc. (a) 553,638 35,253 Heartland Express, Inc. 715,107 38,895 Marten Transport Ltd. 1,035,385 26,089 Ryder System, Inc. 955,640 11,004 Saia, Inc. (a) 1,314,428 29,750 Schneider National, Inc., Class B 747,618 22,482 Werner Enterprises, Inc. 988,871 --------------- 6,310,687 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.9% 14,435 Advanced Energy Industries, Inc. (a) 1,061,983 99,372 Amkor Technology, Inc. (a) 1,350,962 56,438 Cohu, Inc. 1,062,728 9,651 Diodes, Inc. (a) 496,544 33,366 FormFactor, Inc. (a) 962,275 34,470 Lattice Semiconductor Corp. (a) 1,071,672 28,489 MACOM Technology Solutions Holdings, Inc. (a) 1,203,945 7,186 Onto Innovation, Inc. (a) 271,775 48,287 Rambus, Inc. (a) 712,716 95,817 SunPower Corp. (a) (b) 893,973 8,140 Synaptics, Inc. (a) 651,363 54,055 Ultra Clean Holdings, Inc. (a) 1,626,515 --------------- 11,366,451 --------------- SOFTWARE -- 5.7% 32,225 2U, Inc. (a) 1,517,636 30,582 8x8, Inc. (a) 486,254 18,874 Alarm.com Holdings, Inc. (a) 1,321,935 18,465 Altair Engineering, Inc., Class A (a) 744,139 See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 7,518 Appfolio, Inc., Class A (a) $ 1,046,656 19,096 Appian Corp. (a) (b) 971,414 14,456 Bottomline Technologies DE, Inc. (a) 697,647 47,139 Box, Inc., Class A (a) 846,145 54,708 Ebix, Inc. (b) 1,206,585 29,526 LivePerson, Inc. (a) 1,269,027 2,067 MicroStrategy, Inc., Class A (a) 256,143 21,115 Model N, Inc. (a) 812,083 25,644 PagerDuty, Inc. (a) 781,629 40,663 Pluralsight, Inc., Class A (a) 860,836 12,627 Progress Software Corp. 440,177 11,012 PROS Holdings, Inc. (a) 359,322 36,972 Sailpoint Technologies Holdings, Inc. (a) 1,164,618 13,027 SPS Commerce, Inc. (a) 979,240 51,965 SVMK, Inc. (a) 1,246,121 32,829 Tenable Holdings, Inc. (a) 1,113,888 23,524 Teradata Corp. (a) 494,004 21,115 Upland Software, Inc. (a) 726,778 5,530 Varonis Systems, Inc. (a) 599,175 18,295 Workiva, Inc. (a) 1,022,690 58,917 Yext, Inc. (a) 990,984 57,566 Zuora, Inc., Class A (a) 670,068 --------------- 22,625,194 --------------- SPECIALTY RETAIL -- 2.2% 22,994 Abercrombie & Fitch Co., Class A 221,432 9,491 Asbury Automotive Group, Inc. (a) 950,524 22,695 Boot Barn Holdings, Inc. (a) 439,375 18,542 Group 1 Automotive, Inc. 1,557,899 25,301 Guess?, Inc. 261,612 4,454 Monro, Inc. 250,760 8,017 National Vision Holdings, Inc. (a) 256,464 43,970 Rent-A-Center, Inc. 1,271,612 39,051 Sally Beauty Holdings, Inc. (a) 453,382 95,289 Signet Jewelers Ltd. (b) 1,023,404 29,377 Sleep Number Corp. (a) 1,366,031 48,223 Urban Outfitters, Inc. (a) 797,609 --------------- 8,850,104 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.2% 25,853 Super Micro Computer, Inc. (a) 783,475 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 33,223 Crocs, Inc. (a) 1,194,035 92,045 G-III Apparel Group Ltd. (a) 910,325 30,826 Wolverine World Wide, Inc. 741,057 --------------- 2,845,417 --------------- THRIFTS & MORTGAGE FINANCE -- 2.5% 33,241 Axos Financial, Inc. (a) 744,931 22,222 Capitol Federal Financial, Inc. 214,442 SHARES DESCRIPTION VALUE ------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE (CONTINUED) 17,533 Columbia Financial, Inc. (a) $ 210,922 33,253 Flagstar Bancorp, Inc. 1,043,479 98,334 Mr. Cooper Group, Inc. (a) 1,605,794 15,215 NMI Holdings, Inc., Class A (a) 236,137 47,854 Northwest Bancshares, Inc. 471,362 29,272 PennyMac Financial Services, Inc. 1,412,667 27,691 Premier Financial Corp. 489,577 67,724 Provident Financial Services, Inc. 924,433 24,074 Walker & Dunlop, Inc. 1,213,570 9,116 Washington Federal, Inc. 212,767 34,098 WSFS Financial Corp. 972,816 --------------- 9,752,897 --------------- TOBACCO -- 0.4% 28,775 Universal Corp. 1,213,154 48,638 Vector Group Ltd. 428,987 --------------- 1,642,141 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.7% 27,833 Beacon Roofing Supply, Inc. (a) 867,276 38,927 BMC Stock Holdings, Inc. (a) 996,531 20,061 GATX Corp. 1,223,520 19,899 GMS, Inc. (a) 466,234 39,716 H&E Equipment Services, Inc. 698,605 31,846 Herc Holdings, Inc. (a) 1,068,115 165,586 MRC Global, Inc. (a) 985,237 29,504 Rush Enterprises, Inc., Class A 1,403,800 23,822 Systemax, Inc. 533,851 40,452 Triton International Ltd. 1,273,024 34,842 WESCO International, Inc. (a) 1,354,309 --------------- 10,870,502 --------------- WATER UTILITIES -- 0.2% 5,129 California Water Service Group 240,396 3,641 Middlesex Water Co. 233,243 3,939 SJW Group 246,030 --------------- 719,669 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 4,963 Shenandoah Telecommunications Co. 249,490 61,533 Telephone and Data Systems, Inc. 1,194,971 39,627 United States Cellular Corp. (a) 1,175,733 --------------- 2,620,194 --------------- TOTAL COMMON STOCKS -- 100.0% 397,406,712 (Cost $368,089,046) --------------- Page 50 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 3.4% 13,511,982 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) $ 13,511,982 212,931 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 212,931 --------------- TOTAL MONEY MARKET FUNDS -- 3.4% 13,724,913 (Cost $13,724,913) --------------- TOTAL INVESTMENTS -- 103.4% 411,131,625 (Cost $381,813,959) (e) NET OTHER ASSETS AND LIABILITIES -- (3.4)% (13,661,226) --------------- NET ASSETS -- 100.0% $ 397,470,399 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $12,801,455 and the total value of the collateral held by the Fund is $13,511,982. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $385,023,229. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $61,653,209 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $35,544,813. The net unrealized appreciation was $26,108,396. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 397,406,712 $ -- $ -- Money Market Funds 13,724,913 -- -- -------------------------------------------- Total Investments $ 411,131,625 $ -- $ -- ============================================ * 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) $ 12,801,455 Non-cash Collateral(2) (12,801,455) --------------- 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, 2020, 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. See Notes to Financial Statements Page 51 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 2.1% 21,162 General Dynamics Corp. $ 3,105,312 18,126 Huntington Ingalls Industries, Inc. 3,148,667 17,110 Raytheon Technologies Corp. 969,795 164,508 Textron, Inc. 5,747,910 --------------- 12,971,684 --------------- AIR FREIGHT & LOGISTICS -- 0.4% 13,865 Expeditors International of Washington, Inc. 1,171,731 9,483 United Parcel Service, Inc., Class B 1,353,793 --------------- 2,525,524 --------------- AIRLINES -- 2.2% 193,012 Delta Air Lines, Inc. 4,819,510 126,716 Southwest Airlines Co. 3,914,257 156,428 United Airlines Holdings, Inc. (a) 4,908,711 --------------- 13,642,478 --------------- AUTO COMPONENTS -- 0.9% 69,481 Aptiv PLC 5,402,148 --------------- AUTOMOBILES -- 0.9% 213,991 General Motors Co. 5,326,236 --------------- BANKS -- 8.9% 133,175 Bank of America Corp. 3,313,394 105,949 Citigroup, Inc. 5,298,509 214,500 Citizens Financial Group, Inc. 5,321,745 224,646 Fifth Third Bancorp 4,461,469 479,378 Huntington Bancshares, Inc. 4,443,834 355,598 KeyCorp 4,270,732 41,658 M&T Bank Corp. 4,413,665 41,167 PNC Financial Services Group (The), Inc. 4,391,284 486,868 Regions Financial Corp. 5,287,386 10,048 SVB Financial Group (a) 2,253,465 84,232 Truist Financial Corp. 3,155,331 85,902 U.S. Bancorp 3,164,630 211,483 Wells Fargo & Co. 5,130,578 --------------- 54,906,022 --------------- BEVERAGES -- 0.6% 92,052 Molson Coors Beverage Co., Class B 3,453,791 --------------- BIOTECHNOLOGY -- 1.9% 38,588 Alexion Pharmaceuticals, Inc. (a) 3,954,884 20,235 Biogen, Inc. (a) 5,558,352 13,703 Gilead Sciences, Inc. 952,770 1,690 Regeneron Pharmaceuticals, Inc. (a) 1,068,198 --------------- 11,534,204 --------------- CAPITAL MARKETS -- 4.7% 21,080 Ameriprise Financial, Inc. 3,238,520 112,062 Bank of New York Mellon (The) Corp. 4,017,423 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 31,248 Charles Schwab (The) Corp. $ 1,035,871 258,177 Franklin Resources, Inc. 5,434,626 16,005 Goldman Sachs Group (The), Inc. 3,168,350 89,673 Morgan Stanley 4,383,216 45,952 Raymond James Financial, Inc. 3,192,745 68,154 State Street Corp. 4,347,544 --------------- 28,818,295 --------------- CHEMICALS -- 1.8% 36,633 Celanese Corp. 3,560,728 8,609 International Flavors & Fragrances, Inc. (b) 1,084,303 82,380 LyondellBasell Industries N.V., Class A 5,150,398 9,940 PPG Industries, Inc. 1,070,041 --------------- 10,865,470 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.5% 26,394 Republic Services, Inc. 2,302,877 9,955 Waste Management, Inc. 1,091,068 --------------- 3,393,945 --------------- COMMUNICATIONS EQUIPMENT -- 0.2% 22,605 Cisco Systems, Inc. 1,064,695 --------------- CONSUMER FINANCE -- 3.0% 273,019 Ally Financial, Inc. 5,487,682 69,199 Capital One Financial Corp. 4,414,896 63,144 Discover Financial Services 3,121,208 244,313 Synchrony Financial 5,406,647 --------------- 18,430,433 --------------- CONTAINERS & PACKAGING -- 1.5% 18,982 Avery Dennison Corp. 2,151,420 61,505 International Paper Co. 2,139,759 191,577 WestRock Co. 5,145,758 --------------- 9,436,937 --------------- DISTRIBUTORS -- 0.9% 12,124 Genuine Parts Co. 1,092,979 165,312 LKQ Corp. (a) 4,660,145 --------------- 5,753,124 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.1% 5,906 Berkshire Hathaway, Inc., Class B (a) 1,156,277 280,662 Equitable Holdings, Inc. 5,742,344 --------------- 6,898,621 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.2% 179,093 AT&T, Inc. 5,297,571 539,778 CenturyLink, Inc. 5,208,858 57,372 Verizon Communications, Inc. 3,297,742 --------------- 13,804,171 --------------- Page 52 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 5.3% 45,267 Alliant Energy Corp. $ 2,437,628 27,192 American Electric Power Co., Inc. 2,362,441 54,214 Duke Energy Corp. 4,594,094 58,238 Edison International 3,242,110 12,661 Eversource Energy 1,140,376 149,186 Exelon Corp. 5,760,071 59,096 Pinnacle West Capital Corp. 4,909,696 209,519 PPL Corp. 5,577,396 34,650 Xcel Energy, Inc. 2,392,236 --------------- 32,416,048 --------------- ELECTRICAL EQUIPMENT -- 0.9% 36,156 Eaton Corp. PLC 3,367,208 34,912 Emerson Electric Co. 2,164,893 --------------- 5,532,101 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.2% 40,707 Corning, Inc. 1,261,917 --------------- ENTERTAINMENT -- 0.5% 23,952 Electronic Arts, Inc. (a) 3,392,082 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.1% 501,758 Host Hotels & Resorts, Inc. 5,408,951 22,974 Regency Centers Corp. 942,623 31,670 Simon Property Group, Inc. 1,974,625 118,274 Ventas, Inc. 4,536,991 --------------- 12,863,190 --------------- FOOD & STAPLES RETAILING -- 1.6% 127,952 Kroger (The) Co. 4,451,450 102,174 Walgreens Boots Alliance, Inc. 4,159,503 8,802 Walmart, Inc. 1,138,979 --------------- 9,749,932 --------------- FOOD PRODUCTS -- 3.5% 108,551 Archer-Daniels-Midland Co. 4,649,239 61,575 Conagra Brands, Inc. 2,305,984 17,101 General Mills, Inc. 1,081,980 21,842 Hormel Foods Corp. 1,110,884 29,892 J.M. Smucker (The) Co. 3,268,690 67,908 Kraft Heinz (The) Co. 2,334,677 20,620 Mondelez International, Inc., Class A 1,144,204 90,671 Tyson Foods, Inc., Class A 5,571,733 --------------- 21,467,391 --------------- GAS UTILITIES -- 0.4% 21,747 Atmos Energy Corp. 2,304,965 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.4% 18,497 Hologic, Inc. (a) 1,290,721 11,497 Medtronic PLC 1,109,230 --------------- 2,399,951 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 5.9% 10,463 AmerisourceBergen Corp. $ 1,048,288 8,235 Anthem, Inc. 2,254,743 41,494 Cardinal Health, Inc. 2,266,402 16,855 Cigna Corp. 2,910,690 66,664 CVS Health Corp. 4,195,832 39,966 DaVita, Inc. (a) 3,492,629 32,587 HCA Healthcare, Inc. 4,126,818 54,168 Henry Schein, Inc. (a) 3,722,967 5,585 Humana, Inc. 2,191,833 19,003 Quest Diagnostics, Inc. 2,414,711 3,574 UnitedHealth Group, Inc. 1,082,136 58,284 Universal Health Services, Inc., Class B 6,405,411 --------------- 36,112,460 --------------- HEALTH CARE TECHNOLOGY -- 0.2% 15,380 Cerner Corp. 1,068,141 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.7% 95,950 Aramark 2,026,464 329,718 Carnival Corp. (b) 4,576,486 47,554 Las Vegas Sands Corp. 2,075,257 322,260 MGM Resorts International 5,185,163 62,880 Royal Caribbean Cruises Ltd. 3,062,885 --------------- 16,926,255 --------------- HOUSEHOLD DURABLES -- 3.0% 78,110 D.R. Horton, Inc. 5,167,758 87,861 Lennar Corp., Class A 6,356,743 159,094 PulteGroup, Inc. 6,936,498 --------------- 18,460,999 --------------- HOUSEHOLD PRODUCTS -- 0.8% 13,639 Church & Dwight Co., Inc. 1,313,845 14,391 Colgate-Palmolive Co. 1,110,985 7,459 Kimberly-Clark Corp. 1,134,066 8,817 Procter & Gamble (The) Co. 1,156,085 --------------- 4,714,981 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.9% 290,761 Vistra Corp. 5,425,600 --------------- INDUSTRIAL CONGLOMERATES -- 0.8% 6,759 3M Co. 1,017,027 634,140 General Electric Co. 3,849,230 --------------- 4,866,257 --------------- INSURANCE -- 7.9% 87,785 Aflac, Inc. 3,122,513 44,656 Allstate (The) Corp. 4,215,080 173,636 American International Group, Inc. 5,580,661 17,103 Chubb Ltd. 2,176,186 15,339 Everest Re Group Ltd. 3,356,020 141,265 Fidelity National Financial, Inc. 4,571,335 42,609 Globe Life, Inc. 3,391,676 85,971 Lincoln National Corp. 3,204,139 See Notes to Financial Statements Page 53 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 148,247 MetLife, Inc. $ 5,611,149 76,141 Principal Financial Group, Inc. 3,230,663 27,033 Progressive (The) Corp. 2,442,161 71,120 Prudential Financial, Inc. 4,506,874 27,733 Travelers (The) Cos., Inc. 3,173,210 --------------- 48,581,667 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.7% 82,577 eBay, Inc. 4,564,857 --------------- IT SERVICES -- 1.1% 55,665 Cognizant Technology Solutions Corp., Class A 3,803,033 26,189 International Business Machines Corp. 3,219,675 --------------- 7,022,708 --------------- LEISURE PRODUCTS -- 0.3% 28,894 Hasbro, Inc. 2,102,327 --------------- MACHINERY -- 3.0% 18,255 Cummins, Inc. 3,527,961 13,780 Deere & Co. 2,429,552 22,427 Dover Corp. 2,308,411 57,865 PACCAR, Inc. 4,923,154 11,816 Parker-Hannifin Corp. 2,114,119 7,564 Stanley Black & Decker, Inc. 1,159,713 37,617 Westinghouse Air Brake Technologies Corp. 2,339,401 --------------- 18,802,311 --------------- MEDIA -- 2.8% 81,142 Comcast Corp., Class A 3,472,877 256,586 Discovery, Inc., Class A (a) (b) 5,413,965 91,652 DISH Network Corp., Class A (a) 2,942,946 39,663 Omnicom Group, Inc. 2,131,093 135,630 ViacomCBS, Inc., Class B 3,535,874 --------------- 17,496,755 --------------- METALS & MINING -- 1.7% 87,690 Newmont Corp. 6,068,148 104,592 Nucor Corp. 4,387,634 --------------- 10,455,782 --------------- MULTILINE RETAIL -- 0.2% 11,375 Dollar Tree, Inc. (a) 1,061,856 --------------- MULTI-UTILITIES -- 2.6% 30,779 Ameren Corp. 2,469,707 43,972 Consolidated Edison, Inc. 3,378,369 29,423 DTE Energy Co. 3,402,181 95,233 NiSource, Inc. 2,328,447 64,339 Public Service Enterprise Group, Inc. 3,599,124 12,029 WEC Energy Group, Inc. 1,145,882 --------------- 16,323,710 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS -- 6.7% 48,539 Chevron Corp. $ 4,074,364 128,843 ConocoPhillips 4,817,440 308,841 Continental Resources, Inc. (b) 5,339,861 103,567 Diamondback Energy, Inc. 4,128,180 106,869 EOG Resources, Inc. 5,006,813 121,064 Exxon Mobil Corp. 5,094,373 236,676 Occidental Petroleum Corp. 3,725,280 65,189 ONEOK, Inc. 1,819,425 55,414 Pioneer Natural Resources Co. 5,370,725 36,817 Valero Energy Corp. 2,070,220 --------------- 41,446,681 --------------- PHARMACEUTICALS -- 1.5% 269,352 Mylan N.V. (a) 4,339,261 132,452 Pfizer, Inc. 5,096,753 --------------- 9,436,014 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 95,780 CBRE Group, Inc., Class A (a) 4,196,122 --------------- ROAD & RAIL -- 1.3% 31,052 CSX Corp. 2,215,250 17,995 J.B. Hunt Transport Services, Inc. 2,328,553 12,335 Norfolk Southern Corp. 2,370,910 6,236 Union Pacific Corp. 1,081,011 --------------- 7,995,724 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.7% 84,068 Micron Technology, Inc. (a) 4,208,024 --------------- SOFTWARE -- 0.9% 218,416 NortonLifeLock, Inc. 4,685,023 19,075 Oracle Corp. 1,057,709 --------------- 5,742,732 --------------- SPECIALTY RETAIL -- 0.7% 24,815 Best Buy Co., Inc. 2,471,326 7,803 Lowe's Cos., Inc. 1,161,945 5,183 Ulta Beauty, Inc. (a) 1,000,267 --------------- 4,633,538 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.8% 39,418 Dell Technologies, Inc., Class C (a) 2,358,379 445,136 Hewlett Packard Enterprise Co. 4,393,492 181,463 HP, Inc. 3,190,120 48,807 NetApp, Inc. 2,162,150 65,335 Seagate Technology PLC 2,954,449 49,051 Western Digital Corp. 2,114,098 --------------- 17,172,688 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 29,061 United Rentals, Inc. (a) 4,515,207 3,356 W.W. Grainger, Inc. 1,146,175 --------------- 5,661,382 --------------- Page 54 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES -- 0.2% 10,123 T-Mobile US, Inc. (a) $ 1,087,008 --------------- TOTAL COMMON STOCKS -- 99.7% 615,181,934 (Cost $649,705,726) --------------- WARRANTS -- 0.0% OIL, GAS & CONSUMABLE FUELS -- 0.0% 38,009 Occidental Petroleum Corp. expiring 08/03/27 (a) 212,850 (Cost $0) --------------- MONEY MARKET FUNDS -- 1.5% 7,922,251 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 7,922,251 1,116,171 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 1,116,171 --------------- TOTAL MONEY MARKET FUNDS -- 1.5% 9,038,422 (Cost $9,038,422) --------------- TOTAL INVESTMENTS -- 101.2% 624,433,206 (Cost $658,744,148) (e) NET OTHER ASSETS AND LIABILITIES -- (1.2)% (7,417,315) --------------- NET ASSETS -- 100.0% $ 617,015,891 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $7,625,448 and the total value of the collateral held by the Fund is $7,922,251. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $662,022,172. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $48,268,205 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $85,857,171. The net unrealized depreciation was $37,588,966. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 615,181,934 $ -- $ -- Warrants* 212,850 -- -- Money Market Funds 9,038,422 -- -- -------------------------------------------- Total Investments $ 624,433,206 $ -- $ -- ============================================ * 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) $ 7,625,448 Non-cash Collateral(2) (7,625,448) --------------- 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, 2020, 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. See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.5% 16,295 HEICO Corp. $ 1,566,275 19,658 L3Harris Technologies, Inc. 3,309,031 9,140 Lockheed Martin Corp. 3,463,786 5,222 Teledyne Technologies, Inc. (a) 1,601,587 11,020 TransDigm Group, Inc. 4,756,012 --------------- 14,696,691 --------------- AUTOMOBILES -- 1.1% 7,723 Tesla, Inc. (a) 11,049,759 --------------- BANKS -- 0.5% 45,963 First Republic Bank 5,169,918 --------------- BEVERAGES -- 0.9% 70,278 Monster Beverage Corp. (a) 5,515,417 25,219 PepsiCo, Inc. 3,471,648 --------------- 8,987,065 --------------- BIOTECHNOLOGY -- 5.3% 67,948 AbbVie, Inc. 6,448,945 56,301 Alnylam Pharmaceuticals, Inc. (a) 8,206,434 14,142 Amgen, Inc. 3,460,123 67,608 BioMarin Pharmaceutical, Inc. (a) 8,100,114 38,366 Exact Sciences Corp. (a) 3,635,179 64,165 Incyte Corp. (a) 6,336,935 49,075 Seattle Genetics, Inc. (a) 8,159,700 28,724 Vertex Pharmaceuticals, Inc. (a) 7,812,928 --------------- 52,160,358 --------------- BUILDING PRODUCTS -- 0.2% 15,886 Allegion PLC 1,580,022 --------------- CAPITAL MARKETS -- 5.8% 167,046 Apollo Global Management, Inc. 8,201,958 28,660 Blackstone Group (The), Inc., Class A 1,527,005 58,203 Carlyle Group (The), Inc. 1,657,039 14,830 FactSet Research Systems, Inc. 5,135,629 36,415 Intercontinental Exchange, Inc. 3,524,244 108,018 KKR & Co., Inc. 3,820,597 16,647 MarketAxess Holdings, Inc. 8,601,505 24,282 Moody's Corp. 6,830,526 14,592 MSCI, Inc. 5,486,300 20,247 S&P Global, Inc. 7,091,512 39,447 T. Rowe Price Group, Inc. 5,447,631 --------------- 57,323,946 --------------- CHEMICALS -- 1.6% 6,725 Air Products and Chemicals, Inc. 1,927,587 16,765 Ecolab, Inc. 3,136,396 48,902 FMC Corp. 5,186,057 8,431 Sherwin-Williams (The) Co. 5,462,614 --------------- 15,712,654 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 25,045 Cintas Corp. $ 7,560,334 40,058 Copart, Inc. (a) 3,735,409 --------------- 11,295,743 --------------- CONSTRUCTION MATERIALS -- 0.2% 7,861 Martin Marietta Materials, Inc. 1,628,642 --------------- CONSUMER FINANCE -- 0.2% 17,057 American Express Co. 1,591,759 --------------- CONTAINERS & PACKAGING -- 0.5% 48,001 Ball Corp. 3,534,313 24,934 Crown Holdings, Inc. (a) 1,784,776 --------------- 5,319,089 --------------- ELECTRIC UTILITIES -- 0.4% 56,259 Evergy, Inc. 3,647,271 --------------- ELECTRICAL EQUIPMENT -- 0.9% 18,172 AMETEK, Inc. 1,694,539 31,320 Rockwell Automation, Inc. 6,832,145 --------------- 8,526,684 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.2% 16,950 Amphenol Corp., Class A 1,792,632 41,932 CDW Corp. 4,874,595 33,098 Keysight Technologies, Inc. (a) 3,306,159 112,797 Trimble, Inc. (a) 5,020,594 26,065 Zebra Technologies Corp., Class A (a) 7,317,749 --------------- 22,311,729 --------------- ENTERTAINMENT -- 2.7% 64,186 Activision Blizzard, Inc. 5,303,689 14,661 Netflix, Inc. (a) 7,167,470 41,808 Roku, Inc. (a) 6,475,641 47,799 Take-Two Interactive Software, Inc. (a) 7,839,992 --------------- 26,786,792 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.1% 10,008 Alexandria Real Estate Equities, Inc. 1,776,920 12,900 American Tower Corp. 3,371,931 19,931 Crown Castle International Corp. 3,322,498 4,749 Equinix, Inc. 3,730,245 58,986 Invitation Homes, Inc. 1,758,963 17,400 Prologis, Inc. 1,834,308 11,197 SBA Communications Corp. 3,488,313 42,500 Vornado Realty Trust 1,467,100 --------------- 20,750,278 --------------- FOOD PRODUCTS -- 0.7% 25,402 Lamb Weston Holdings, Inc. 1,526,152 27,153 McCormick & Co., Inc. 5,292,120 --------------- 6,818,272 --------------- Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES -- 6.7% 36,483 Abbott Laboratories $ 3,671,649 17,751 Align Technology, Inc. (a) 5,215,599 18,861 Baxter International, Inc. 1,629,213 27,551 Danaher Corp. 5,614,894 20,571 DexCom, Inc. (a) 8,959,493 23,498 Edwards Lifesciences Corp. (a) 1,842,478 20,205 IDEXX Laboratories, Inc. (a) 8,036,539 25,078 Insulet Corp. (a) 5,099,862 2,850 Intuitive Surgical, Inc. (a) 1,953,504 34,746 ResMed, Inc. 7,036,412 9,165 Teleflex, Inc. 3,419,462 27,224 Varian Medical Systems, Inc. (a) 3,885,409 36,709 West Pharmaceutical Services, Inc. 9,869,949 --------------- 66,234,463 --------------- HEALTH CARE TECHNOLOGY -- 0.9% 35,572 Veeva Systems, Inc., Class A (a) 9,411,284 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.8% 7,924 Chipotle Mexican Grill, Inc. (a) 9,153,488 18,057 Domino's Pizza, Inc. 6,981,017 22,066 Starbucks Corp. 1,688,711 --------------- 17,823,216 --------------- HOUSEHOLD DURABLES -- 0.9% 68,422 Garmin Ltd. 6,745,725 498 NVR, Inc. (a) 1,957,215 --------------- 8,702,940 --------------- INDUSTRIAL CONGLOMERATES -- 0.4% 8,590 Roper Technologies, Inc. 3,714,746 --------------- INSURANCE -- 1.3% 56,681 Arch Capital Group Ltd. (a) 1,742,941 119,522 Brown & Brown, Inc. 5,434,665 45,374 Marsh & McLennan Cos., Inc. 5,290,609 --------------- 12,468,215 --------------- INTERACTIVE MEDIA & SERVICES -- 2.5% 4,703 Alphabet, Inc., Class A (a) 6,997,829 29,379 Facebook, Inc., Class A (a) 7,452,571 354,999 Snap, Inc., Class A (a) 7,959,077 54,512 Twitter, Inc. (a) 1,984,237 --------------- 24,393,714 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.0% 3,022 Amazon.com, Inc. (a) 9,563,663 --------------- IT SERVICES -- 11.1% 31,069 Accenture PLC, Class A 6,983,690 62,295 Akamai Technologies, Inc. (a) 7,004,450 10,907 Automatic Data Processing, Inc. 1,449,649 85,758 Booz Allen Hamilton Holding Corp. 7,011,574 52,867 Broadridge Financial Solutions, Inc. 7,102,153 SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES (CONTINUED) 33,091 EPAM Systems, Inc. (a) $ 9,599,037 16,635 Fiserv, Inc. (a) 1,660,007 13,261 FleetCor Technologies, Inc. (a) 3,428,897 13,384 Gartner, Inc. (a) 1,668,182 90,976 GoDaddy, Inc., Class A (a) 6,393,793 18,126 Jack Henry & Associates, Inc. 3,231,866 52,008 Leidos Holdings, Inc. 4,949,081 11,280 Mastercard, Inc., Class A 3,480,218 41,646 Okta, Inc. (a) 9,202,933 21,437 Paychex, Inc. 1,541,749 47,861 PayPal Holdings, Inc. (a) 9,384,106 79,463 Square, Inc., Class A (a) 10,318,270 38,004 Twilio, Inc., Class A (a) 10,543,070 17,267 Visa, Inc., Class A 3,287,637 75,110 Western Union (The) Co. 1,823,671 --------------- 110,064,033 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.5% 55,128 Agilent Technologies, Inc. 5,310,480 196,211 Avantor, Inc. (a) 4,332,339 9,007 Illumina, Inc. (a) 3,442,115 2,017 Mettler-Toledo International, Inc. (a) 1,885,895 34,006 PerkinElmer, Inc. 4,043,654 13,444 Thermo Fisher Scientific, Inc. 5,565,144 --------------- 24,579,627 --------------- MACHINERY -- 0.3% 19,077 Illinois Tool Works, Inc. 3,529,054 --------------- MEDIA -- 0.7% 13,101 Liberty Broadband Corp., Class C (a) 1,798,374 829,930 Sirius XM Holdings, Inc. 4,879,989 --------------- 6,678,363 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.4% 508,471 Annaly Capital Management, Inc. 3,767,770 --------------- MULTILINE RETAIL -- 1.5% 43,771 Dollar General Corp. 8,333,998 55,625 Target Corp. 7,002,075 --------------- 15,336,073 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.8% 120,289 Apache Corp. 1,846,436 100,822 Cheniere Energy, Inc. (a) 4,988,673 31,343 Hess Corp. 1,542,389 --------------- 8,377,498 --------------- PHARMACEUTICALS -- 1.3% 27,616 Bristol-Myers Squibb Co. 1,619,955 29,673 Eli Lilly and Co. 4,459,555 11,547 Johnson & Johnson 1,683,091 21,000 Merck & Co., Inc. 1,685,040 24,340 Zoetis, Inc. 3,691,891 --------------- 13,139,532 --------------- See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 2.5% 6,856 CoStar Group, Inc. (a) $ 5,825,955 38,813 Equifax, Inc. 6,309,441 76,644 TransUnion 6,865,003 28,623 Verisk Analytics, Inc. 5,401,446 --------------- 24,401,845 --------------- ROAD & RAIL -- 2.1% 32,634 Kansas City Southern 5,608,153 101,048 Lyft, Inc., Class A (a) 2,953,633 49,171 Old Dominion Freight Line, Inc. 8,989,442 107,323 Uber Technologies, Inc. (a) 3,247,594 --------------- 20,798,822 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 10.1% 126,804 Advanced Micro Devices, Inc. (a) 9,818,434 27,198 Analog Devices, Inc. 3,123,690 80,591 Applied Materials, Inc. 5,184,419 10,568 Broadcom, Inc. 3,347,414 81,426 Intel Corp. 3,886,463 34,303 KLA Corp. 6,854,768 20,624 Lam Research Corp. 7,778,548 190,277 Marvell Technology Group Ltd. 6,939,402 26,792 Maxim Integrated Products, Inc. 1,824,267 46,261 Microchip Technology, Inc. 4,706,132 21,950 NVIDIA Corp. 9,319,751 75,445 Qorvo, Inc. (a) 9,668,277 91,426 QUALCOMM, Inc. 9,655,500 38,102 Skyworks Solutions, Inc. 5,546,889 98,675 Teradyne, Inc. 8,778,128 12,789 Texas Instruments, Inc. 1,631,237 16,506 Xilinx, Inc. 1,771,919 --------------- 99,835,238 --------------- SOFTWARE -- 17.3% 19,158 Adobe, Inc. (a) 8,512,283 16,700 ANSYS, Inc. (a) 5,187,020 34,863 Autodesk, Inc. (a) 8,242,659 69,521 Cadence Design Systems, Inc. (a) 7,595,169 84,158 Ceridian HCM Holding, Inc. (a) 6,588,730 45,103 Citrix Systems, Inc. 6,438,904 30,100 Coupa Software, Inc. (a) 9,224,145 48,423 DocuSign, Inc. (a) 10,499,559 15,958 Fair Isaac Corp. (a) 7,008,594 60,749 Fortinet, Inc. (a) 8,401,587 11,261 Intuit, Inc. 3,450,033 23,939 Microsoft Corp. 4,907,734 29,046 Palo Alto Networks, Inc. (a) 7,433,452 26,923 Paycom Software, Inc. (a) 7,656,094 29,259 RingCentral, Inc., Class A (a) 8,493,010 35,611 salesforce.com, Inc. (a) 6,938,803 20,588 ServiceNow, Inc. (a) 9,042,250 41,968 Splunk, Inc. (a) 8,805,726 86,255 SS&C Technologies Holdings, Inc. 4,959,663 42,765 Synopsys, Inc. (a) 8,519,643 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 20,514 Trade Desk (The), Inc., Class A (a) $ 9,258,378 14,045 Tyler Technologies, Inc. (a) 5,017,576 31,458 VMware, Inc., Class A (a) (b) 4,410,726 26,001 Workday, Inc., Class A (a) 4,704,101 --------------- 171,295,839 --------------- SPECIALTY RETAIL -- 3.2% 5,913 AutoZone, Inc. (a) 7,139,474 16,939 Burlington Stores, Inc. (a) 3,184,532 74,496 CarMax, Inc. (a) 7,223,877 26,631 Home Depot (The), Inc. 7,070,264 15,820 O'Reilly Automotive, Inc. (a) 7,552,152 --------------- 32,170,299 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.0% 22,859 Apple, Inc. 9,715,989 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 49,686 NIKE, Inc., Class B 4,849,850 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 194,652 Fastenal Co. 9,156,430 --------------- WATER UTILITIES -- 0.4% 25,925 American Water Works Co., Inc. 3,817,975 --------------- TOTAL COMMON STOCKS -- 100.0% 989,183,150 (Cost $765,544,340) --------------- MONEY MARKET FUNDS -- 0.4% 4,013,226 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 4,013,226 351,854 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 351,854 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 4,365,080 (Cost $4,365,080) --------------- TOTAL INVESTMENTS -- 100.4% 993,548,230 (Cost $769,909,420) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (4,401,246) --------------- NET ASSETS -- 100.0% $ 989,146,984 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $3,969,626 and the total value of the collateral held by the Fund is $4,013,226. (c) Rate shown reflects yield as of July 31, 2020. Page 58 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $770,890,958. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $227,327,908 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,670,636. The net unrealized appreciation was $222,657,272. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 989,183,150 $ -- $ -- Money Market Funds 4,365,080 -- -- -------------------------------------------- Total Investments $ 993,548,230 $ -- $ -- ============================================ * 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) $ 3,969,626 Non-cash Collateral(2) (3,969,626) --------------- 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, 2020, 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. See Notes to Financial Statements Page 59 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.6% 2,510 AAR Corp. $ 43,222 160 AeroVironment, Inc. (a) 12,248 891 General Dynamics Corp. 130,745 763 Huntington Ingalls Industries, Inc. 132,541 624 Kaman Corp. 24,642 2,122 Moog, Inc., Class A 113,994 720 Raytheon Technologies Corp. 40,810 2,818 Spirit AeroSystems Holdings, Inc., Class A 55,148 6,924 Textron, Inc. 241,924 --------------- 795,274 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 2,330 Air Transport Services Group, Inc. (a) 56,782 284 C.H. Robinson Worldwide, Inc. 26,617 583 Expeditors International of Washington, Inc. 49,269 520 Forward Air Corp. 27,035 1,084 Hub Group, Inc., Class A (a) 57,344 399 United Parcel Service, Inc., Class B 56,961 --------------- 274,008 --------------- AIRLINES -- 2.0% 3,100 Alaska Air Group, Inc. 106,764 8,124 Delta Air Lines, Inc. 202,856 4,619 Hawaiian Holdings, Inc. 54,920 10,313 JetBlue Airways Corp. (a) 106,637 3,446 SkyWest, Inc. 90,664 5,334 Southwest Airlines Co. 164,767 6,316 Spirit Airlines, Inc. (a) (b) 99,856 6,584 United Airlines Holdings, Inc. (a) 206,606 --------------- 1,033,070 --------------- AUTO COMPONENTS -- 1.2% 2,924 Aptiv PLC 227,341 3,184 BorgWarner, Inc. 116,534 1,880 Cooper Tire & Rubber Co. 58,393 5,320 Dana, Inc. 60,807 189 Dorman Products, Inc. (a) 15,451 327 Gentherm, Inc. (a) 12,678 1,031 Lear Corp. 113,802 629 Standard Motor Products, Inc. 28,607 --------------- 633,613 --------------- AUTOMOBILES -- 0.6% 9,007 General Motors Co. 224,184 2,838 Harley-Davidson, Inc. 73,873 211 Thor Industries, Inc. 24,052 --------------- 322,109 --------------- BANKS -- 12.0% 1,073 1st Source Corp. 35,538 2,859 Ameris Bancorp 65,971 6,574 Associated Banc-Corp. 84,410 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 2,966 BancorpSouth Bank $ 62,078 5,605 Bank of America Corp. 139,452 3,832 Bank OZK 92,160 4,441 BankUnited, Inc. 89,442 1,004 Banner Corp. 35,572 4,708 Berkshire Hills Bancorp, Inc. 46,892 1,594 BOK Financial Corp. 88,786 7,541 Boston Private Financial Holdings, Inc. 44,379 2,574 Brookline Bancorp, Inc. 24,697 1,437 Cadence BanCorp 11,223 3,420 Cathay General Bancorp 82,696 2,169 CIT Group, Inc. 41,146 4,459 Citigroup, Inc. 222,995 9,028 Citizens Financial Group, Inc. 223,985 2,380 Columbia Banking System, Inc. 68,853 2,361 Comerica, Inc. 90,946 394 Community Bank System, Inc. 22,155 602 Cullen/Frost Bankers, Inc. 43,380 2,400 CVB Financial Corp. 43,368 1,584 Eagle Bancorp, Inc. 47,647 2,481 East West Bancorp, Inc. 85,991 14,989 F.N.B. Corp. 111,068 1,047 FB Financial Corp. 26,604 9,455 Fifth Third Bancorp 187,776 2,069 First Bancorp 42,745 9,281 First BanCorp 50,489 2,047 First Busey Corp. 35,004 166 First Citizens BancShares, Inc., Class A 70,694 4,611 First Commonwealth Financial Corp. 36,288 4,669 First Financial Bancorp 64,969 5,217 First Hawaiian, Inc. 90,671 9,030 First Horizon National Corp. 83,708 838 First Interstate BancSystem, Inc., Class A 24,394 1,385 First Merchants Corp. 33,835 3,886 First Midwest Bancorp, Inc. 47,157 3,626 Fulton Financial Corp. 35,172 3,181 Hancock Whitney Corp. 60,630 1,551 Heartland Financial USA, Inc. 48,453 1,909 Heritage Financial Corp. 36,109 2,812 Hilltop Holdings, Inc. 54,750 2,924 Home BancShares, Inc. 47,749 5,627 Hope Bancorp, Inc. 47,436 20,177 Huntington Bancshares, Inc. 187,041 1,281 Independent Bank Group, Inc. 56,274 1,193 International Bancshares Corp. 36,291 7,935 Investors Bancorp, Inc. 64,432 14,967 KeyCorp 179,754 1,753 M&T Bank Corp. 185,730 844 NBT Bancorp, Inc. 25,143 2,166 OceanFirst Financial Corp. 33,183 1,941 OFG Bancorp 25,388 4,902 Old National Bancorp 68,579 1,197 Pacific Premier Bancorp, Inc. 25,149 368 Park National Corp. 31,560 Page 60 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 7,773 People's United Financial, Inc. $ 83,871 1,606 Pinnacle Financial Partners, Inc. 63,630 1,732 PNC Financial Services Group (The), Inc. 184,752 3,025 Popular, Inc. 112,258 758 Prosperity Bancshares, Inc. 42,114 20,492 Regions Financial Corp. 222,543 1,533 Renasant Corp. 35,612 1,628 S&T Bancorp, Inc. 35,002 421 Signature Bank 43,165 3,791 Simmons First National Corp., Class A 62,893 9,592 Sterling Bancorp 107,910 423 SVB Financial Group (a) 94,866 4,381 Synovus Financial Corp. 88,277 2,027 TowneBank 35,756 1,254 TriCo Bancshares 35,112 3,545 Truist Financial Corp. 132,796 1,557 Trustmark Corp. 35,064 3,616 U.S. Bancorp 133,213 872 UMB Financial Corp. 43,426 813 United Bankshares, Inc. 21,398 8,625 Valley National Bancorp 64,429 3,143 Webster Financial Corp. 85,710 8,901 Wells Fargo & Co. 215,938 2,555 WesBanco, Inc. 50,666 2,061 Wintrust Financial Corp. 88,211 2,645 Zions Bancorp N.A. 85,883 --------------- 6,152,482 --------------- BEVERAGES -- 0.3% 3,874 Molson Coors Beverage Co., Class B 145,353 209 National Beverage Corp. (a) (b) 13,407 --------------- 158,760 --------------- BIOTECHNOLOGY -- 1.1% 1,624 Alexion Pharmaceuticals, Inc. (a) 166,444 851 Biogen, Inc. (a) 233,761 253 Enanta Pharmaceuticals, Inc. (a) 11,600 577 Gilead Sciences, Inc. 40,119 71 Regeneron Pharmaceuticals, Inc. (a) 44,877 743 United Therapeutics Corp. (a) 82,822 --------------- 579,623 --------------- BUILDING PRODUCTS -- 0.5% 477 A.O. Smith Corp. 22,963 540 Gibraltar Industries, Inc. (a) 27,929 1,400 Griffon Corp. 32,018 424 Patrick Industries, Inc. 27,115 1,655 PGT Innovations, Inc. (a) 28,251 1,086 Resideo Technologies, Inc. (a) 14,422 1,362 UFP Industries, Inc. 79,295 --------------- 231,993 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS -- 3.5% 905 Affiliated Managers Group, Inc. $ 62,255 888 Ameriprise Financial, Inc. 136,423 4,717 Bank of New York Mellon (The) Corp. 169,105 4,645 BGC Partners, Inc., Class A 12,867 1,315 Charles Schwab (The) Corp. 43,592 1,527 Evercore, Inc., Class A 84,443 3,795 Federated Hermes, Inc. 100,036 10,866 Franklin Resources, Inc. 228,729 673 Goldman Sachs Group (The), Inc. 133,227 10,447 Invesco Ltd. 104,888 785 Lazard Ltd., Class A 23,016 408 Moelis & Co., Class A 12,154 3,774 Morgan Stanley 184,473 438 Piper Sandler Cos. 27,117 1,934 Raymond James Financial, Inc. 134,374 2,869 State Street Corp. 183,014 1,896 Stifel Financial Corp. 91,918 231 StoneX Group, Inc. (a) 12,123 3,345 Waddell & Reed Financial, Inc., Class A 48,804 --------------- 1,792,558 --------------- CHEMICALS -- 2.5% 989 Avient Corp. 23,637 700 Cabot Corp. 25,536 1,542 Celanese Corp. 149,882 3,196 CF Industries Holdings, Inc. 100,131 1,291 Eastman Chemical Co. 96,347 4,145 Element Solutions, Inc. (a) 45,015 582 H.B. Fuller Co. 26,388 3,753 Huntsman Corp. 69,430 363 International Flavors & Fragrances, Inc. 45,720 4,212 Livent Corp. (a) 26,409 3,467 LyondellBasell Industries N.V., Class A 216,757 1,106 Minerals Technologies, Inc. 51,849 112 NewMarket Corp. 41,979 4,516 Olin Corp. 50,760 4,899 Orion Engineered Carbons S.A. 49,970 418 PPG Industries, Inc. 44,998 3,919 PQ Group Holdings, Inc. (a) 48,086 244 Sensient Technologies Corp. 12,739 267 Stepan Co. 29,156 1,171 Trinseo S.A. 25,411 2,096 Westlake Chemical Corp. 114,232 --------------- 1,294,432 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.0% 5,635 ADT, Inc. 48,517 960 Brady Corp., Class A 44,131 3,409 BrightView Holdings, Inc. (a) 41,317 1,327 Covanta Holding Corp. 13,058 520 Healthcare Services Group, Inc. 13,619 1,249 HNI Corp. 37,095 See Notes to Financial Statements Page 61 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 3,771 KAR Auction Services, Inc. $ 57,055 4,257 Knoll, Inc. 49,850 1,111 Republic Services, Inc. 96,935 5,378 Steelcase, Inc., Class A 57,706 419 Waste Management, Inc. 45,922 --------------- 505,205 --------------- COMMUNICATIONS EQUIPMENT -- 0.4% 415 Ciena Corp. (a) 24,697 952 Cisco Systems, Inc. 44,839 1,366 EchoStar Corp., Class A (a) 37,292 161 F5 Networks, Inc. (a) 21,880 1,967 Juniper Networks, Inc. 49,922 498 NetScout Systems, Inc. (a) 12,679 --------------- 191,309 --------------- CONSTRUCTION & ENGINEERING -- 1.2% 1,229 Arcosa, Inc. 51,888 937 Comfort Systems USA, Inc. 46,578 634 Dycom Industries, Inc. (a) 27,154 1,360 EMCOR Group, Inc. 93,160 5,369 Fluor Corp. 54,710 3,388 Granite Construction, Inc. 57,461 2,505 MasTec, Inc. (a) 99,649 2,921 Primoris Services Corp. 46,824 1,719 Quanta Services, Inc. 68,708 594 Valmont Industries, Inc. 71,993 --------------- 618,125 --------------- CONSTRUCTION MATERIALS -- 0.1% 2,374 Summit Materials, Inc., Class A (a) 34,945 --------------- CONSUMER FINANCE -- 2.2% 11,491 Ally Financial, Inc. 230,969 2,913 Capital One Financial Corp. 185,849 2,657 Discover Financial Services 131,336 1,117 Encore Capital Group, Inc. (a) 40,804 667 FirstCash, Inc. 38,446 259 Green Dot Corp., Class A (a) 13,129 2,797 LendingClub Corp. (a) 14,600 12,793 Navient Corp. 101,832 329 PRA Group, Inc. (a) 13,015 3,663 Santander Consumer USA Holdings, Inc. 67,253 12,793 SLM Corp. 86,609 10,283 Synchrony Financial 227,563 --------------- 1,151,405 --------------- CONTAINERS & PACKAGING -- 1.4% 799 Avery Dennison Corp. 90,559 1,522 Berry Global Group, Inc. (a) 76,085 3,214 Graphic Packaging Holding Co. 44,803 1,507 Greif, Inc., Class A 52,429 2,588 International Paper Co. 90,036 676 Packaging Corp. of America 64,977 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONTAINERS & PACKAGING (CONTINUED) 1,388 Silgan Holdings, Inc. $ 53,091 860 Sonoco Products Co. 44,496 8,063 WestRock Co. 216,572 --------------- 733,048 --------------- DISTRIBUTORS -- 0.5% 1,040 Core-Mark Holding Co., Inc. 27,581 510 Genuine Parts Co. 45,976 6,958 LKQ Corp. (a) 196,146 --------------- 269,703 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 2,082 Adtalem Global Education, Inc. (a) 71,496 189 Graham Holdings Co., Class B 75,292 496 Grand Canyon Education, Inc. (a) 44,015 6,508 Laureate Education, Inc., Class A (a) 82,521 --------------- 273,324 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 249 Berkshire Hathaway, Inc., Class B (a) 48,749 11,813 Equitable Holdings, Inc. 241,694 7,229 Jefferies Financial Group, Inc. 117,110 1,446 Voya Financial, Inc. 71,432 --------------- 478,985 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.5% 7,537 AT&T, Inc. 222,945 210 ATN International, Inc. 12,102 22,718 CenturyLink, Inc. 219,229 1,265 GCI Liberty, Inc., Class A (a) 99,163 9,527 Liberty Latin America Ltd., Class C (a) 97,461 2,414 Verizon Communications, Inc. 138,757 --------------- 789,657 --------------- ELECTRIC UTILITIES -- 3.5% 1,647 ALLETE, Inc. 97,667 1,905 Alliant Energy Corp. 102,584 1,144 American Electric Power Co., Inc. 99,391 2,282 Duke Energy Corp. 193,377 2,452 Edison International 136,503 533 Eversource Energy 48,007 6,280 Exelon Corp. 242,471 1,247 Hawaiian Electric Industries, Inc. 45,216 515 IDACORP, Inc. 48,024 3,452 NRG Energy, Inc. 116,712 669 Otter Tail Corp. 25,589 2,487 Pinnacle West Capital Corp. 206,620 2,151 Portland General Electric Co. 94,924 8,818 PPL Corp. 234,735 Page 62 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 1,459 Xcel Energy, Inc. $ 100,729 --------------- 1,792,549 --------------- ELECTRICAL EQUIPMENT -- 1.0% 705 Acuity Brands, Inc. 69,865 1,112 AZZ, Inc. 35,117 1,522 Eaton Corp. PLC 141,744 1,469 Emerson Electric Co. 91,093 782 Encore Wire Corp. 39,249 698 EnerSys 46,947 773 Regal Beloit Corp. 71,093 --------------- 495,108 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.2% 1,201 Benchmark Electronics, Inc. 24,452 1,713 Corning, Inc. 53,103 1,294 CTS Corp. 25,699 540 ePlus, Inc. (a) 40,252 776 Insight Enterprises, Inc. (a) 38,676 701 Jabil, Inc. 24,437 132 Littelfuse, Inc. 23,450 2,075 Methode Electronics, Inc. 58,515 3,687 MTS Systems Corp. 68,394 560 PC Connection, Inc. 24,472 367 Plexus Corp. (a) 27,264 1,525 Sanmina Corp. (a) 45,262 751 SYNNEX Corp. 93,680 4,375 TTM Technologies, Inc. (a) 53,856 2,500 Vishay Intertechnology, Inc. 39,225 --------------- 640,737 --------------- ENERGY EQUIPMENT & SERVICES -- 0.6% 5,883 Archrock, Inc. 39,181 18,690 Helix Energy Solutions Group, Inc. (a) 78,311 21,177 NexTier Oilfield Solutions, Inc. (a) 53,366 14,952 Patterson-UTI Energy, Inc. 57,939 12,617 ProPetro Holding Corp. (a) 67,753 --------------- 296,550 --------------- ENTERTAINMENT -- 0.5% 7,786 Cinemark Holdings, Inc. 92,108 1,008 Electronic Arts, Inc. (a) 142,753 --------------- 234,861 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.3% 1,044 Alexander & Baldwin, Inc. 12,340 11,637 Apple Hospitality REIT, Inc. 102,638 4,129 Brandywine Realty Trust 44,717 7,015 Brixmor Property Group, Inc. 80,743 6,929 CoreCivic, Inc. 61,737 754 Cousins Properties, Inc. 23,163 11,728 DiamondRock Hospitality Co. 54,183 11,725 Diversified Healthcare Trust 45,669 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 7,412 Empire State Realty Trust, Inc., Class A $ 48,919 2,715 EPR Properties 77,730 3,491 Equity Commonwealth 110,211 4,386 GEO Group (The), Inc. 46,623 2,409 Highwoods Properties, Inc. 92,361 21,118 Host Hotels & Resorts, Inc. 227,652 1,787 Hudson Pacific Properties, Inc. 42,120 5,265 iStar, Inc. 61,127 12,532 Macerich (The) Co. (b) 95,619 8,748 Paramount Group, Inc. 62,373 2,274 Park Hotels & Resorts, Inc. 18,806 8,230 Pebblebrook Hotel Trust 87,238 967 Regency Centers Corp. 39,676 6,871 RLJ Lodging Trust 55,037 9,318 RPT Realty 57,958 6,233 Sabra Health Care REIT, Inc. 91,874 15,855 Service Properties Trust 106,228 1,333 Simon Property Group, Inc. 83,113 6,406 SITE Centers Corp. 46,956 10,937 Summit Hotel Properties, Inc. 56,654 2,759 Sunstone Hotel Investors, Inc. 20,637 1,785 Tanger Factory Outlet Centers, Inc. (b) 11,478 4,978 Ventas, Inc. 190,956 5,561 Xenia Hotels & Resorts, Inc. 44,266 --------------- 2,200,802 --------------- FOOD & STAPLES RETAILING -- 1.3% 300 Casey's General Stores, Inc. 47,757 937 Chefs' Warehouse (The), Inc. (a) 10,804 5,385 Kroger (The) Co. 187,344 772 Performance Food Group Co. (a) 21,631 430 PriceSmart, Inc. 28,109 1,014 Sprouts Farmers Market, Inc. (a) 26,749 3,421 US Foods Holding Corp. (a) 69,446 4,301 Walgreens Boots Alliance, Inc. 175,094 370 Walmart, Inc. 47,878 1,035 Weis Markets, Inc. 51,564 --------------- 666,376 --------------- FOOD PRODUCTS -- 2.8% 4,568 Archer-Daniels-Midland Co. 195,648 1,064 B&G Foods, Inc. (b) 30,760 2,591 Conagra Brands, Inc. 97,033 4,566 Darling Ingredients, Inc. (a) 127,528 2,107 Fresh Del Monte Produce, Inc. 47,576 720 General Mills, Inc. 45,554 919 Hormel Foods Corp. 46,740 2,123 Hostess Brands, Inc. (a) 26,920 813 Ingredion, Inc. 70,325 354 J & J Snack Foods Corp. 43,588 1,258 J.M. Smucker (The) Co. 137,562 2,858 Kraft Heinz (The) Co. 98,258 145 Lancaster Colony Corp. 22,996 868 Mondelez International, Inc., Class A 48,165 6,655 Pilgrim's Pride Corp. (a) 102,154 See Notes to Financial Statements Page 63 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 15 Seaboard Corp. $ 40,549 371 Tootsie Roll Industries, Inc. 11,761 3,817 Tyson Foods, Inc., Class A 234,555 --------------- 1,427,672 --------------- GAS UTILITIES -- 0.9% 915 Atmos Energy Corp. 96,981 151 Chesapeake Utilities Corp. 12,758 1,609 National Fuel Gas Co. 65,277 2,066 New Jersey Resources Corp. 64,170 583 ONE Gas, Inc. 44,133 977 Southwest Gas Holdings, Inc. 68,039 1,026 Spire, Inc. 63,263 2,121 UGI Corp. 70,714 --------------- 485,335 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.4% 779 Hologic, Inc. (a) 54,359 122 ICU Medical, Inc. (a) 22,415 359 Inogen, Inc. (a) 11,021 616 Integer Holdings Corp. (a) 40,515 484 Medtronic PLC 46,696 840 Varex Imaging Corp. (a) 13,171 --------------- 188,177 --------------- HEALTH CARE PROVIDERS & SERVICES-- 3.4% 2,685 Acadia Healthcare Co., Inc. (a) 80,040 440 AmerisourceBergen Corp. 44,084 497 AMN Healthcare Services, Inc. (a) 27,305 346 Anthem, Inc. 94,735 1,747 Cardinal Health, Inc. 95,421 710 Cigna Corp. 122,610 2,805 CVS Health Corp. 176,547 1,683 DaVita, Inc. (a) 147,077 363 Encompass Health Corp. 24,713 1,372 HCA Healthcare, Inc. 173,750 2,280 Henry Schein, Inc. (a) 156,704 235 Humana, Inc. 92,226 523 Magellan Health, Inc. (a) 38,791 126 Molina Healthcare, Inc. (a) 23,272 201 National HealthCare Corp. 11,923 800 Quest Diagnostics, Inc. 101,656 150 UnitedHealth Group, Inc. 45,417 2,453 Universal Health Services, Inc., Class B 269,585 --------------- 1,725,856 --------------- HEALTH CARE TECHNOLOGY -- 0.1% 648 Cerner Corp. 45,004 1,159 NextGen Healthcare, Inc. (a) 16,944 --------------- 61,948 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.7% 4,038 Aramark 85,282 1,194 Bloomin' Brands, Inc. 13,755 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,076 Boyd Gaming Corp. $ 25,469 13,877 Carnival Corp. (b) 192,613 955 Dave & Buster's Entertainment, Inc. (b) 11,785 1,327 Hilton Grand Vacations, Inc. (a) 26,938 2,001 Las Vegas Sands Corp. 87,324 13,563 MGM Resorts International 218,229 7,166 Playa Hotels & Resorts N.V. (a) 26,013 2,647 Royal Caribbean Cruises Ltd. 128,935 428 Texas Roadhouse, Inc. 24,049 1,595 Wyndham Destinations, Inc. 42,427 --------------- 882,819 --------------- HOUSEHOLD DURABLES -- 3.4% 2,115 Century Communities, Inc. (a) 75,336 3,288 D.R. Horton, Inc. 217,534 152 iRobot Corp. (a) 11,049 3,664 KB Home 123,257 958 La-Z-Boy, Inc. 27,265 1,279 Leggett & Platt, Inc. 51,275 3,698 Lennar Corp., Class A 267,550 1,453 M.D.C. Holdings, Inc. 65,138 1,883 M/I Homes, Inc. (a) 78,389 682 Meritage Homes Corp. (a) 67,641 1,105 Mohawk Industries, Inc. (a) 88,234 6,697 PulteGroup, Inc. 291,989 1,979 Taylor Morrison Home Corp. (a) 46,408 3,449 Toll Brothers, Inc. 131,752 4,415 TRI Pointe Group, Inc. (a) 73,819 694 Whirlpool Corp. 113,205 --------------- 1,729,841 --------------- HOUSEHOLD PRODUCTS -- 0.4% 768 Central Garden & Pet Co., Class A (a) 26,611 574 Church & Dwight Co., Inc. 55,293 605 Colgate-Palmolive Co. 46,706 314 Kimberly-Clark Corp. 47,741 371 Procter & Gamble (The) Co. 48,646 --------------- 224,997 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 12,238 Vistra Corp. 228,361 --------------- INDUSTRIAL CONGLOMERATES -- 0.4% 284 3M Co. 42,734 26,691 General Electric Co. 162,014 592 Raven Industries, Inc. 12,793 --------------- 217,541 --------------- INSURANCE -- 7.0% 3,695 Aflac, Inc. 131,431 1,880 Allstate (The) Corp. 177,453 2,625 American Equity Investment Life Holding Co. 66,806 709 American Financial Group, Inc. 43,086 Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 7,308 American International Group, Inc. $ 234,879 935 American National Group, Inc. 68,863 365 Argo Group International Holdings Ltd. 12,231 218 Assurant, Inc. 23,428 4,606 Assured Guaranty Ltd. 100,549 1,441 Athene Holding Ltd., Class A (a) 46,472 555 Axis Capital Holdings Ltd. 22,267 4,041 Brighthouse Financial, Inc. (a) 114,522 720 Chubb Ltd. 91,613 4,166 CNO Financial Group, Inc. 62,907 1,266 Employers Holdings, Inc. 41,170 147 Enstar Group Ltd. (a) 24,689 646 Everest Re Group Ltd. 141,338 1,064 FBL Financial Group, Inc., Class A 37,006 5,946 Fidelity National Financial, Inc. 192,413 2,341 First American Financial Corp. 119,414 1,793 Globe Life, Inc. 142,723 444 Hanover Insurance Group (The), Inc. 45,235 1,040 Horace Mann Educators Corp. 39,083 930 Kemper Corp. 73,024 3,619 Lincoln National Corp. 134,880 313 Mercury General Corp. 13,431 6,239 MetLife, Inc. 236,146 3,002 National General Holdings Corp. 102,038 255 National Western Life Group, Inc., Class A 49,671 193 Primerica, Inc. 23,094 3,204 Principal Financial Group, Inc. 135,946 879 ProAssurance Corp. 12,921 1,138 Progressive (The) Corp. 102,807 2,993 Prudential Financial, Inc. 189,666 1,147 Reinsurance Group of America, Inc. 97,782 341 Safety Insurance Group, Inc. 25,804 852 Selective Insurance Group, Inc. 46,298 1,995 Stewart Information Services Corp. 83,690 1,695 Third Point Reinsurance Ltd. (a) 13,204 1,167 Travelers (The) Cos., Inc. 133,528 6,776 Unum Group 116,751 --------------- 3,570,259 --------------- INTERACTIVE MEDIA & SERVICES -- 0.1% 1,182 TripAdvisor, Inc. 23,912 550 Yelp, Inc. (a) 13,739 --------------- 37,651 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.4% 3,476 eBay, Inc. 192,153 69 Stamps.com, Inc. (a) 17,960 --------------- 210,113 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES -- 0.8% 2,343 Cognizant Technology Solutions Corp., Class A $ 160,074 1,102 International Business Machines Corp. 135,480 638 MAXIMUS, Inc. 47,346 290 Science Applications International Corp. 23,194 1,380 Sykes Enterprises, Inc. (a) 37,895 --------------- 403,989 --------------- LEISURE PRODUCTS -- 0.2% 1,216 Hasbro, Inc. 88,476 243 Polaris, Inc. 25,182 --------------- 113,658 --------------- MACHINERY -- 3.6% 811 AGCO Corp. 53,226 2,445 Allison Transmission Holdings, Inc. 91,345 400 Altra Industrial Motion Corp. 13,692 275 Astec Industries, Inc. 12,235 2,274 Barnes Group, Inc. 83,842 535 Chart Industries, Inc. (a) 36,663 378 Crane Co. 21,383 768 Cummins, Inc. 148,424 580 Deere & Co. 102,260 944 Dover Corp. 97,166 775 EnPro Industries, Inc. 36,991 835 Gorman-Rupp (The) Co. 25,267 267 Lincoln Electric Holdings, Inc. 24,134 2,621 Meritor, Inc. (a) 59,628 854 Middleby (The) Corp. (a) 70,933 1,437 Mueller Industries, Inc. 40,178 4,049 Mueller Water Products, Inc., Class A 40,976 1,256 Oshkosh Corp. 98,872 2,435 PACCAR, Inc. 207,170 497 Parker-Hannifin Corp. 88,923 1,543 Rexnord Corp. 44,701 487 Snap-on, Inc. 71,039 319 Stanley Black & Decker, Inc. 48,909 1,382 Terex Corp. 26,051 1,977 Timken (The) Co. 90,270 2,167 TriMas Corp. (a) 50,708 2,437 Trinity Industries, Inc. 47,595 2,090 Welbilt, Inc. (a) 12,707 1,583 Westinghouse Air Brake Technologies Corp. 98,447 --------------- 1,843,735 --------------- MARINE -- 0.1% 1,312 Matson, Inc. 47,783 --------------- MEDIA -- 2.2% 2,218 AMC Networks, Inc., Class A (a) 51,236 3,415 Comcast Corp., Class A 146,162 10,799 Discovery, Inc., Class A (a) 227,859 3,858 DISH Network Corp., Class A (a) 123,880 See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 7,767 iHeartMedia, Inc., Class A (a) (b) $ 64,932 3,930 Interpublic Group of (The) Cos., Inc. 70,937 1,669 Omnicom Group, Inc. 89,675 867 Scholastic Corp. 20,747 2,810 Sinclair Broadcast Group, Inc., Class A (b) 57,886 10,091 TEGNA, Inc. 118,872 5,709 ViacomCBS, Inc., Class B 148,834 --------------- 1,121,020 --------------- METALS & MINING -- 2.0% 1,133 Alcoa Corp. (a) 14,729 6,365 Allegheny Technologies, Inc. (a) 55,312 2,672 Carpenter Technology Corp. 59,746 6,917 Cleveland-Cliffs, Inc. (b) 35,830 3,179 Commercial Metals Co. 65,742 3,892 Hecla Mining Co. 21,484 352 Kaiser Aluminum Corp. 21,806 207 Materion Corp. 11,886 3,691 Newmont Corp. 255,417 4,402 Nucor Corp. 184,664 1,184 Reliance Steel & Aluminum Co. 116,340 4,309 Steel Dynamics, Inc. 118,109 4,214 Warrior Met Coal, Inc. 67,087 341 Worthington Industries, Inc. 12,760 --------------- 1,040,912 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.2% 2,292 Apollo Commercial Real Estate Finance, Inc. 21,315 2,340 Chimera Investment Corp. 21,037 6,406 Ladder Capital Corp. 49,775 --------------- 92,127 --------------- MULTILINE RETAIL -- 0.7% 1,544 Big Lots, Inc. 60,741 1,481 Dillard's, Inc., Class A (b) 34,878 479 Dollar Tree, Inc. (a) 44,715 5,412 Kohl's Corp. 103,044 16,339 Macy's, Inc. (b) 99,014 1,451 Nordstrom, Inc. (b) 19,864 --------------- 362,256 --------------- MULTI-UTILITIES -- 1.9% 1,295 Ameren Corp. 103,911 1,854 Avista Corp. 68,839 1,191 Black Hills Corp. 68,911 1,851 Consolidated Edison, Inc. 142,212 1,239 DTE Energy Co. 143,266 4,055 MDU Resources Group, Inc. 85,074 4,008 NiSource, Inc. 97,996 1,237 NorthWestern Corp. 69,594 2,708 Public Service Enterprise Group, Inc. 151,485 506 WEC Energy Group, Inc. 48,201 --------------- 979,489 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS -- 5.6% 56,396 Callon Petroleum Co. (a) $ 64,291 14,299 Centennial Resource Development, Inc., Class A (a) 11,258 2,043 Chevron Corp. 171,489 4,413 CNX Resources Corp. (a) 42,585 5,423 ConocoPhillips 202,766 12,999 Continental Resources, Inc. (b) 224,753 5,590 CVR Energy, Inc. 107,328 731 Delek US Holdings, Inc. 12,778 4,359 Diamondback Energy, Inc. 173,750 4,498 EOG Resources, Inc. 210,731 1,069 EQT Corp. 15,522 5,095 Exxon Mobil Corp. 214,398 3,850 HollyFrontier Corp. 105,875 18,368 Marathon Oil Corp. 100,840 7,630 Matador Resources Co. (a) 66,228 8,146 Murphy Oil Corp. 107,609 9,961 Occidental Petroleum Corp. 156,786 2,743 ONEOK, Inc. 76,557 11,771 Ovintiv, Inc. (b) 114,061 4,170 PDC Energy, Inc. (a) 59,464 2,332 Pioneer Natural Resources Co. 226,017 2,617 Renewable Energy Group, Inc. (a) 72,177 17,295 SM Energy Co. 51,020 7,050 Talos Energy, Inc. (a) 48,011 1,550 Valero Energy Corp. 87,157 2,518 World Fuel Services Corp. 59,249 14,096 WPX Energy, Inc. (a) 84,153 --------------- 2,866,853 --------------- PAPER & FOREST PRODUCTS -- 0.4% 1,015 Boise Cascade Co. 47,289 3,072 Domtar Corp. 64,481 772 Neenah, Inc. 34,439 1,553 Schweitzer-Mauduit International, Inc. 50,519 --------------- 196,728 --------------- PERSONAL PRODUCTS -- 0.2% 500 Herbalife Nutrition Ltd. (a) (b) 25,620 999 Nu Skin Enterprises, Inc., Class A 44,805 353 USANA Health Sciences, Inc. (a) 28,657 --------------- 99,082 --------------- PHARMACEUTICALS -- 0.9% 11,337 Mylan N.V. (a) 182,639 814 Perrigo Co. PLC 43,159 5,575 Pfizer, Inc. 214,526 1,608 Supernus Pharmaceuticals, Inc. (a) 35,802 --------------- 476,126 --------------- PROFESSIONAL SERVICES -- 0.6% 674 ASGN, Inc. (a) 46,142 400 ICF International, Inc. 27,044 347 Insperity, Inc. 23,201 Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 1,688 Korn Ferry $ 47,433 1,309 ManpowerGroup, Inc. 90,046 851 Robert Half International, Inc. 43,290 369 TriNet Group, Inc. (a) 24,354 --------------- 301,510 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 4,032 CBRE Group, Inc., Class A (a) 176,642 1,087 Jones Lang LaSalle, Inc. 107,515 5,908 Kennedy-Wilson Holdings, Inc. 87,675 1,323 Marcus & Millichap, Inc. (a) 36,038 1,717 Realogy Holdings Corp. 15,556 --------------- 423,426 --------------- ROAD & RAIL -- 1.4% 297 AMERCO 94,366 1,133 Avis Budget Group, Inc. (a) 29,345 1,307 CSX Corp. 93,241 1,246 Heartland Express, Inc. 25,275 758 J.B. Hunt Transport Services, Inc. 98,085 1,617 Knight-Swift Transportation Holdings, Inc. 70,323 200 Landstar System, Inc. 24,356 1,517 Marten Transport Ltd. 40,383 519 Norfolk Southern Corp. 99,757 1,383 Ryder System, Inc. 50,659 1,051 Schneider National, Inc., Class B 26,412 262 Union Pacific Corp. 45,418 877 Werner Enterprises, Inc. 38,575 --------------- 736,195 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.6% 5,269 Amkor Technology, Inc. (a) 71,632 454 First Solar, Inc. (a) 27,036 3,538 Micron Technology, Inc. (a) 177,095 199 MKS Instruments, Inc. 25,360 --------------- 301,123 --------------- SOFTWARE -- 0.7% 542 CDK Global, Inc. 24,639 2,900 Ebix, Inc. 63,960 9,193 NortonLifeLock, Inc. 197,190 803 Oracle Corp. 44,526 1,247 Teradata Corp. (a) 26,187 --------------- 356,502 --------------- SPECIALTY RETAIL -- 1.9% 158 Advance Auto Parts, Inc. 23,722 494 Asbury Automotive Group, Inc. (a) 49,474 1,197 AutoNation, Inc. (a) 61,454 1,045 Best Buy Co., Inc. 104,071 545 Dick's Sporting Goods, Inc. 24,863 2,313 Foot Locker, Inc. 67,979 983 Group 1 Automotive, Inc. 82,592 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 297 Lithia Motors, Inc., Class A $ 68,058 328 Lowe's Cos., Inc. 48,842 231 Monro, Inc. 13,005 599 Murphy USA, Inc. (a) 79,314 2,323 Penske Automotive Group, Inc. 104,117 3,047 Sally Beauty Holdings, Inc. (a) 35,376 6,315 Signet Jewelers Ltd. 67,823 218 Ulta Beauty, Inc. (a) 42,072 2,508 Urban Outfitters, Inc. (a) 41,482 548 Williams-Sonoma, Inc. 47,742 --------------- 961,986 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.9% 1,659 Dell Technologies, Inc., Class C (a) 99,258 18,735 Hewlett Packard Enterprise Co. 184,914 7,638 HP, Inc. 134,276 6,491 NCR Corp. (a) 119,629 2,055 NetApp, Inc. 91,037 2,750 Seagate Technology PLC 124,355 913 Super Micro Computer, Inc. (a) 27,669 2,064 Western Digital Corp. 88,958 7,352 Xerox Holdings Corp. 122,411 --------------- 992,507 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 278 Carter's, Inc. 21,884 4,880 G-III Apparel Group Ltd. (a) 48,263 5,974 Hanesbrands, Inc. 84,413 930 Ralph Lauren Corp. 66,309 1,433 Skechers U.S.A., Inc., Class A (a) 41,958 911 Steven Madden Ltd. 19,295 --------------- 282,122 --------------- THRIFTS & MORTGAGE FINANCE -- 1.0% 1,729 Axos Financial, Inc. (a) 38,747 1,155 Capitol Federal Financial, Inc. 11,146 3,099 Essent Group Ltd. 111,037 13,726 MGIC Investment Corp. 113,514 4,409 New York Community Bancorp, Inc. 46,427 2,537 Northwest Bancshares, Inc. 24,989 720 Premier Financial Corp. 12,730 2,642 Provident Financial Services, Inc. 36,063 1,276 Walker & Dunlop, Inc. 64,323 1,808 WSFS Financial Corp. 51,582 --------------- 510,558 --------------- TOBACCO -- 0.1% 1,526 Universal Corp. 64,336 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.7% 3,838 Air Lease Corp. 100,632 983 Beacon Roofing Supply, Inc. (a) 30,630 See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 850 GATX Corp. $ 51,841 1,055 GMS, Inc. (a) 24,719 2,066 H&E Equipment Services, Inc. 36,341 1,688 Herc Holdings, Inc. (a) 56,616 8,779 MRC Global, Inc. (a) 52,235 618 MSC Industrial Direct Co., Inc., Class A 40,794 1,564 Rush Enterprises, Inc., Class A 74,415 620 Systemax, Inc. 13,894 2,145 Triton International Ltd. 67,503 1,223 United Rentals, Inc. (a) 190,018 142 W.W. Grainger, Inc. 48,497 126 Watsco, Inc. 29,745 1,847 WESCO International, Inc. (a) 71,793 --------------- 889,673 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.1% 2,198 Macquarie Infrastructure Corp. 65,852 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 258 Shenandoah Telecommunications Co. 12,970 3,263 Telephone and Data Systems, Inc. 63,367 426 T-Mobile US, Inc. (a) 45,744 2,101 United States Cellular Corp. (a) 62,337 --------------- 184,418 --------------- TOTAL COMMON STOCKS -- 99.9% 51,345,147 (Cost $54,423,195) --------------- WARRANTS -- 0.0% OIL, GAS & CONSUMABLE FUELS -- 0.0% 1,598 Occidental Petroleum Corp., expiring 08/03/27 (a) 8,949 (Cost $0) --------------- MONEY MARKET FUNDS -- 2.0% 960,628 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 960,628 52,330 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 52,330 --------------- TOTAL MONEY MARKET FUNDS -- 2.0% 1,012,958 (Cost $1,012,958) --------------- DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 101.9% $ 52,367,054 (Cost $55,436,153) (e) NET OTHER ASSETS AND LIABILITIES -- (1.9)% (979,721) --------------- NET ASSETS -- 100.0% $ 51,387,333 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $915,738 and the total value of the collateral held by the Fund is $960,628. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $55,669,315. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $4,512,785 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,815,046. The net unrealized depreciation was $3,302,261. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 51,345,147 $ -- $ -- Warrants* 8,949 -- -- Money Market Funds 1,012,958 -- -- -------------------------------------------- Total Investments $ 52,367,054 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 --------------------------------- 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) $ 915,738 Non-cash Collateral(2) (915,738) --------------- 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, 2020, 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. See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.5% 1,789 Aerojet Rocketdyne Holdings, Inc. (a) $ 73,796 3,614 Axon Enterprise, Inc. (a) 300,432 3,756 BWX Technologies, Inc. 204,777 1,405 HEICO Corp. 135,049 5,235 Kratos Defense & Security Solutions, Inc. (a) 94,282 1,694 L3Harris Technologies, Inc. 285,151 788 Lockheed Martin Corp. 298,629 11,390 Maxar Technologies, Inc. 202,628 1,803 Mercury Systems, Inc. (a) 139,606 5,871 Parsons Corp. (a) 204,487 450 Teledyne Technologies, Inc. (a) 138,015 950 TransDigm Group, Inc. 410,001 --------------- 2,486,853 --------------- AIR FREIGHT & LOGISTICS -- 0.2% 3,672 XPO Logistics, Inc. (a) 275,473 --------------- AIRLINES -- 0.0% 749 Allegiant Travel Co. 83,910 --------------- AUTO COMPONENTS -- 0.3% 2,476 Fox Factory Holding Corp. (a) 220,364 5,504 Gentex Corp. 148,553 1,779 LCI Industries 223,798 --------------- 592,715 --------------- AUTOMOBILES -- 0.7% 666 Tesla, Inc. (a) 952,886 3,071 Winnebago Industries, Inc. 185,519 --------------- 1,138,405 --------------- BANKS -- 1.2% 1,733 Atlantic Union Bankshares Corp. 39,114 989 BancFirst Corp. 43,081 1,256 City Holding Co. 78,450 2,385 Commerce Bancshares, Inc. 136,565 2,490 ConnectOne Bancorp, Inc. 34,337 2,629 Enterprise Financial Services Corp. 76,399 3,962 First Republic Bank 445,646 3,872 German American Bancorp, Inc. 110,120 1,220 Independent Bank Corp. 78,714 2,585 Lakeland Financial Corp. 114,412 3,031 National Bank Holdings Corp., Class A 84,201 2,810 Preferred Bank 104,672 1,620 Sandy Spring Bancorp, Inc. 37,454 1,968 Seacoast Banking Corp. of Florida (a) 37,156 3,368 ServisFirst Bancshares, Inc. 123,235 2,952 Southside Bancshares, Inc. 81,770 2,411 TCF Financial Corp. 66,278 1,654 Triumph Bancorp, Inc. (a) 43,335 1,995 United Community Banks, Inc. 35,770 4,623 Veritex Holdings, Inc. 77,297 699 Westamerica Bancorporation 42,192 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 3,745 Western Alliance Bancorp $ 134,633 --------------- 2,024,831 --------------- BEVERAGES -- 0.8% 661 Boston Beer (The) Co., Inc., Class A (a) 535,700 6,058 Monster Beverage Corp. (a) 475,432 2,174 PepsiCo, Inc. 299,273 --------------- 1,310,405 --------------- BIOTECHNOLOGY -- 6.7% 5,857 AbbVie, Inc. 555,888 5,853 ACADIA Pharmaceuticals, Inc. (a) 243,309 2,978 Acceleron Pharma, Inc. (a) 295,328 5,304 Agios Pharmaceuticals, Inc. (a) 240,377 1,642 Alector, Inc. (a) 25,730 4,853 Alnylam Pharmaceuticals, Inc. (a) 707,373 1,219 Amgen, Inc. 298,253 13,566 Amicus Therapeutics, Inc. (a) 196,029 1,300 Arena Pharmaceuticals, Inc. (a) 79,807 4,926 Arrowhead Pharmaceuticals, Inc. (a) 212,163 8,752 Athenex, Inc. (a) 92,859 5,828 BioMarin Pharmaceutical, Inc. (a) 698,253 1,818 Blueprint Medicines Corp. (a) 133,041 5,774 CareDx, Inc. (a) 192,563 2,093 ChemoCentryx, Inc. (a) 110,322 9,163 Coherus Biosciences, Inc. (a) 161,177 4,825 CRISPR Therapeutics AG (a) 412,344 3,384 Denali Therapeutics, Inc. (a) 79,253 8,054 Dicerna Pharmaceuticals, Inc. (a) 173,161 2,766 Editas Medicine, Inc. (a) 81,210 782 Esperion Therapeutics, Inc. (a) (b) 29,427 3,307 Exact Sciences Corp. (a) 313,338 11,949 Exelixis, Inc. (a) 275,902 5,963 Fate Therapeutics, Inc. (a) 186,463 3,500 FibroGen, Inc. (a) 141,645 6,104 Halozyme Therapeutics, Inc. (a) 165,968 2,729 Heron Therapeutics, Inc. (a) 44,455 8,004 Immunomedics, Inc. (a) 338,009 5,531 Incyte Corp. (a) 546,242 7,428 Insmed, Inc. (a) 194,019 6,754 Invitae Corp. (a) 197,217 3,608 Ionis Pharmaceuticals, Inc. (a) 207,676 7,929 Ironwood Pharmaceuticals, Inc. (a) 72,709 8,641 Karyopharm Therapeutics, Inc. (a) 138,688 732 Ligand Pharmaceuticals, Inc. (a) 85,776 621 Mirati Therapeutics, Inc. (a) 75,333 4,418 Moderna, Inc. (a) 327,374 4,263 Momenta Pharmaceuticals, Inc. (a) 125,716 3,282 Natera, Inc. (a) 157,602 Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 2,906 Neurocrine Biosciences, Inc. (a) $ 349,766 671 Principia Biopharma, Inc. (a) 56,096 4,193 PTC Therapeutics, Inc. (a) 194,262 1,769 Sarepta Therapeutics, Inc. (a) 271,577 4,230 Seattle Genetics, Inc. (a) 703,322 8,401 TG Therapeutics, Inc. (a) 164,492 4,533 Ultragenyx Pharmaceutical, Inc. (a) 354,299 1,550 Veracyte, Inc. (a) 55,288 2,476 Vertex Pharmaceuticals, Inc. (a) 673,472 --------------- 11,434,573 --------------- BUILDING PRODUCTS -- 1.6% 2,218 AAON, Inc. 131,416 7,178 Advanced Drainage Systems, Inc. 351,722 1,369 Allegion PLC 136,161 2,163 American Woodmark Corp. (a) 174,381 13,704 Builders FirstSource, Inc. (a) 324,648 27,006 Cornerstone Building Brands, Inc. (a) 153,124 1,743 CSW Industrials, Inc. 116,415 4,437 Fortune Brands Home & Security, Inc. 339,431 7,475 JELD-WEN Holding, Inc. (a) 146,510 609 Lennox International, Inc. 163,297 3,363 Simpson Manufacturing Co., Inc. 324,731 2,726 Trex Co., Inc. (a) 379,814 --------------- 2,741,650 --------------- CAPITAL MARKETS -- 4.2% 14,398 Apollo Global Management, Inc. 706,942 3,573 Ares Management Corp., Class A 142,706 5,036 Artisan Partners Asset Management, Inc., Class A 182,454 2,470 Blackstone Group (The), Inc., Class A 131,602 5,017 Carlyle Group (The), Inc. 142,834 4,169 Cohen & Steers, Inc. 250,890 1,837 Eaton Vance Corp. 66,389 1,278 FactSet Research Systems, Inc. 442,571 6,190 Focus Financial Partners, Inc., Class A (a) 228,721 1,215 Hamilton Lane, Inc., Class A 87,772 2,941 Houlihan Lokey, Inc. 161,167 3,139 Intercontinental Exchange, Inc. 303,792 9,311 KKR & Co., Inc. 329,330 3,618 LPL Financial Holdings, Inc. 285,894 1,435 MarketAxess Holdings, Inc. 741,465 2,093 Moody's Corp. 588,761 1,509 Morningstar, Inc. 253,572 1,258 MSCI, Inc. 472,983 3,985 PJT Partners, Inc., Class A 213,317 1,745 S&P Global, Inc. 611,186 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 2,580 SEI Investments Co. $ 135,011 3,400 T. Rowe Price Group, Inc. 469,540 3,659 Tradeweb Markets, Inc., Class A 197,842 --------------- 7,146,741 --------------- CHEMICALS -- 1.8% 580 Air Products and Chemicals, Inc. 166,245 3,674 Albemarle Corp. 302,958 3,145 Axalta Coating Systems Ltd. (a) 69,819 748 Balchem Corp. 74,995 1,445 Ecolab, Inc. 270,331 4,215 FMC Corp. 447,001 1,557 Ingevity Corp. (a) 91,053 520 Innospec, Inc. 39,088 3,779 RPM International, Inc. 308,329 2,637 Scotts Miracle-Gro (The) Co. 418,149 727 Sherwin-Williams (The) Co. 471,038 14,675 Valvoline, Inc. 301,131 1,396 W.R. Grace & Co. 64,397 --------------- 3,024,534 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.6% 4,509 ABM Industries, Inc. 161,873 3,140 Casella Waste Systems, Inc., Class A (a) 173,987 2,787 Cimpress PLC (a) 278,700 2,159 Cintas Corp. 651,737 2,365 Clean Harbors, Inc. (a) 140,954 3,453 Copart, Inc. (a) 321,992 5,516 IAA, Inc. (a) 239,119 743 McGrath RentCorp 43,109 1,239 MSA Safety, Inc. 146,859 2,534 Stericycle, Inc. (a) 153,142 2,689 Tetra Tech, Inc. 238,380 1,189 UniFirst Corp. 221,725 --------------- 2,771,577 --------------- COMMUNICATIONS EQUIPMENT -- 0.4% 9,823 CommScope Holding Co., Inc. (a) 91,157 27,645 Infinera Corp. (a) 218,119 1,742 Lumentum Holdings, Inc. (a) 161,710 2,734 Plantronics, Inc. 54,653 5,567 Viavi Solutions, Inc. (a) 76,992 --------------- 602,631 --------------- CONSTRUCTION & ENGINEERING -- 0.1% 9,799 WillScot Mobile Mini Holdings Corp. (a) 147,573 --------------- CONSTRUCTION MATERIALS -- 0.2% 2,020 Eagle Materials, Inc. 162,065 678 Martin Marietta Materials, Inc. 140,468 --------------- 302,533 --------------- See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE -- 0.6% 1,470 American Express Co. $ 137,181 677 Credit Acceptance Corp. (a) (b) 316,795 980 LendingTree, Inc. (a) 339,364 1,714 Nelnet, Inc., Class A 99,412 5,780 OneMain Holdings, Inc. 165,886 --------------- 1,058,638 --------------- CONTAINERS & PACKAGING -- 0.4% 633 AptarGroup, Inc. 72,922 4,137 Ball Corp. 304,607 2,149 Crown Holdings, Inc. (a) 153,826 4,318 Sealed Air Corp. 154,066 --------------- 685,421 --------------- DISTRIBUTORS -- 0.2% 1,304 Pool Corp. 412,977 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 605 Bright Horizons Family Solutions, Inc. (a) 64,880 5,272 Chegg, Inc. (a) 426,874 4,799 frontdoor, Inc. (a) 201,534 10,273 Perdoceo Education Corp. (a) 147,931 1,385 Strategic Education, Inc. 174,801 6,448 WW International, Inc. (a) 166,230 --------------- 1,182,250 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.1% 5,176 Cannae Holdings, Inc. (a) 195,032 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% 1,611 Bandwidth, Inc., Class A (a) 233,240 1,833 Cogent Communications Holdings, Inc. 165,172 2,788 Iridium Communications, Inc. (a) 76,363 16,268 Vonage Holdings Corp. (a) 194,403 --------------- 669,178 --------------- ELECTRIC UTILITIES -- 0.2% 4,849 Evergy, Inc. 314,361 --------------- ELECTRICAL EQUIPMENT -- 1.3% 1,566 AMETEK, Inc. 146,029 4,403 Atkore International Group, Inc. (a) 117,428 2,908 Generac Holdings, Inc. (a) 458,243 566 Hubbell, Inc. 76,393 24,917 Plug Power, Inc. (a) (b) 192,110 2,700 Rockwell Automation, Inc. 588,978 2,275 Vicor Corp. (a) 185,344 20,664 Vivint Solar, Inc. (a) 420,306 --------------- 2,184,831 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.7% 1,461 Amphenol Corp., Class A 154,516 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 1,300 Badger Meter, Inc. $ 81,380 3,614 CDW Corp. 420,128 2,375 Cognex Corp. 158,816 2,153 Dolby Laboratories, Inc., Class A 149,849 2,247 FARO Technologies, Inc. (a) 134,438 3,496 FLIR Systems, Inc. 145,643 3,211 Itron, Inc. (a) 223,357 2,853 Keysight Technologies, Inc. (a) 284,986 2,631 Knowles Corp. (a) 40,149 1,832 National Instruments Corp. 65,036 538 OSI Systems, Inc. (a) 38,177 9,722 Trimble, Inc. (a) 432,726 2,247 Zebra Technologies Corp., Class A (a) 630,845 --------------- 2,960,046 --------------- ENERGY EQUIPMENT & SERVICES -- 0.0% 3,966 Cactus, Inc., Class A 89,711 --------------- ENTERTAINMENT -- 1.6% 5,532 Activision Blizzard, Inc. 457,109 1,264 Netflix, Inc. (a) 617,944 3,603 Roku, Inc. (a) 558,069 4,120 Take-Two Interactive Software, Inc. (a) 675,762 924 World Wrestling Entertainment, Inc., Class A 43,068 37,169 Zynga, Inc., Class A (a) 365,371 --------------- 2,717,323 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.8% 1,079 Agree Realty Corp. 72,261 863 Alexandria Real Estate Equities, Inc. 153,226 5,059 American Finance Trust, Inc. 36,956 5,273 American Homes 4 Rent, Class A 152,917 1,112 American Tower Corp. 290,666 1,954 Americold Realty Trust 78,844 4,034 Armada Hoffler Properties, Inc. 38,888 2,001 Community Healthcare Trust, Inc. 91,506 586 CoreSite Realty Corp. 75,623 5,597 Corporate Office Properties Trust 148,208 1,718 Crown Castle International Corp. 286,391 2,925 CyrusOne, Inc. 244,003 5,209 Easterly Government Properties, Inc. 127,360 598 EastGroup Properties, Inc. 79,331 409 Equinix, Inc. 321,261 1,845 First Industrial Realty Trust, Inc. 81,032 3,354 Four Corners Property Trust, Inc. 84,521 2,757 Getty Realty Corp. 81,690 Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 2,399 Global Net Lease, Inc. $ 39,943 3,494 Independence Realty Trust, Inc. 40,181 5,860 Industrial Logistics Properties Trust 123,705 930 Innovative Industrial Properties, Inc. 96,934 5,084 Invitation Homes, Inc. 151,605 2,717 Iron Mountain, Inc. 76,592 1,062 Lamar Advertising Co., Class A 69,805 2,172 LTC Properties, Inc. 80,690 5,647 Monmouth Real Estate Investment Corp. 81,486 1,401 National Storage Affiliates Trust 43,179 3,407 NexPoint Residential Trust, Inc. 130,250 4,637 Office Properties Income Trust 116,620 4,048 Physicians Realty Trust 73,026 1,500 Prologis, Inc. 158,130 2,213 QTS Realty Trust, Inc., Class A 159,225 1,712 Rexford Industrial Realty, Inc. 80,344 698 Safehold, Inc. 35,200 965 SBA Communications Corp. 300,636 2,034 Spirit Realty Capital, Inc. 70,092 2,419 STAG Industrial, Inc. 78,859 17,503 Uniti Group, Inc. 173,280 3,382 Urban Edge Properties 35,443 3,663 Vornado Realty Trust 126,447 --------------- 4,786,356 --------------- FOOD & STAPLES RETAILING -- 0.2% 9,514 BJ's Wholesale Club Holdings, Inc. (a) 381,036 --------------- FOOD PRODUCTS -- 0.6% 2,117 Beyond Meat, Inc. (a) 266,530 1,956 Freshpet, Inc. (a) 187,874 2,189 Lamb Weston Holdings, Inc. 131,515 2,341 McCormick & Co., Inc. 456,261 2,161 Simply Good Foods (The) Co. (a) 51,951 --------------- 1,094,131 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.4% 3,145 Abbott Laboratories 316,513 1,174 ABIOMED, Inc. (a) 352,130 7,944 Accelerate Diagnostics, Inc. (a) (b) 115,426 1,530 Align Technology, Inc. (a) 449,545 3,641 AtriCure, Inc. (a) 148,589 4,661 Axonics Modulation Technologies, Inc. (a) 197,440 1,626 Baxter International, Inc. 140,454 2,375 Danaher Corp. 484,025 1,773 DexCom, Inc. (a) 772,212 2,025 Edwards Lifesciences Corp. (a) 158,780 2,973 Globus Medical, Inc., Class A (a) 143,239 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 1,742 IDEXX Laboratories, Inc. (a) $ 692,880 2,162 Insulet Corp. (a) 439,664 246 Intuitive Surgical, Inc. (a) 168,618 1,765 iRhythm Technologies, Inc. (a) 219,707 1,244 Masimo Corp. (a) 273,829 1,828 Neogen Corp. (a) 140,336 1,187 Nevro Corp. (a) 157,824 1,274 NuVasive, Inc. (a) 72,796 1,190 Penumbra, Inc. (a) 264,073 1,585 Quidel Corp. (a) 447,715 2,995 ResMed, Inc. 606,517 3,455 Shockwave Medical, Inc. (a) 170,401 2,875 Silk Road Medical, Inc. (a) 133,572 3,324 STAAR Surgical Co. (a) 193,424 969 Tactile Systems Technology, Inc. (a) 39,710 3,585 Tandem Diabetes Care, Inc. (a) 374,489 790 Teleflex, Inc. 294,749 2,347 Varian Medical Systems, Inc. (a) 334,964 3,164 West Pharmaceutical Services, Inc. 850,705 --------------- 9,154,326 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.4% 1,429 Amedisys, Inc. (a) 334,615 2,665 BioTelemetry, Inc. (a) 113,422 472 Chemed Corp. 232,314 1,154 CorVel Corp. (a) 91,731 2,878 Ensign Group (The), Inc. 132,359 1,748 Guardant Health, Inc. (a) 148,895 2,424 Hanger, Inc. (a) 42,323 2,418 HealthEquity, Inc. (a) 124,672 1,627 LHC Group, Inc. (a) 317,444 1,406 National Research Corp. 80,409 1,171 Premier, Inc., Class A (a) 40,950 14,678 R1 RCM, Inc. (a) 200,648 10,312 RadNet, Inc. (a) 163,858 4,815 Select Medical Holdings Corp. (a) 91,678 3,916 Tenet Healthcare Corp. (a) 103,539 14,445 Tivity Health, Inc. (a) 189,518 495 US Physical Therapy, Inc. 41,115 --------------- 2,449,490 --------------- HEALTH CARE TECHNOLOGY -- 1.2% 3,718 HMS Holdings Corp. (a) 120,835 8,497 Inovalon Holdings, Inc., Class A (a) 199,934 1,881 Inspire Medical Systems, Inc. (a) 186,896 1,004 Omnicell, Inc. (a) 70,571 2,990 Tabula Rasa HealthCare, Inc. (a) (b) 168,038 1,858 Teladoc Health, Inc. (a) 441,517 3,066 Veeva Systems, Inc., Class A (a) 811,172 --------------- 1,998,963 --------------- See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 2.5% 5,018 Brinker International, Inc. $ 134,934 5,311 Caesars Entertainment, Inc. (a) 164,907 683 Chipotle Mexican Grill, Inc. (a) 788,974 1,798 Choice Hotels International, Inc. 151,104 2,131 Churchill Downs, Inc. 295,186 1,944 Dine Brands Global, Inc. 88,316 1,556 Domino's Pizza, Inc. 601,565 1,087 Dunkin' Brands Group, Inc. 74,709 7,779 Everi Holdings, Inc. (a) 44,185 2,761 Jack in the Box, Inc. 226,706 1,178 Monarch Casino & Resort, Inc. (a) 42,632 2,576 Papa John's International, Inc. 243,870 2,342 Planet Fitness, Inc., Class A (a) 122,252 5,293 Scientific Games Corp. (a) 92,998 2,711 SeaWorld Entertainment, Inc. (a) 39,228 1,545 Shake Shack, Inc., Class A (a) 75,010 3,692 Six Flags Entertainment Corp. 64,204 1,902 Starbucks Corp. 145,560 9,178 Twin River Worldwide Holdings, Inc. 197,878 13,024 Wendy's (The) Co. 301,896 1,472 Wingstop, Inc. 230,000 1,664 Wyndham Hotels & Resorts, Inc. 73,482 --------------- 4,199,596 --------------- HOUSEHOLD DURABLES -- 1.7% 849 Cavco Industries, Inc. (a) 170,080 5,898 Garmin Ltd. 581,484 1,504 Helen of Troy Ltd. (a) 283,128 2,974 Installed Building Products, Inc. (a) 235,273 2,324 LGI Homes, Inc. (a) 265,192 43 NVR, Inc. (a) 168,996 4,948 Skyline Champion Corp. (a) 139,682 13,983 Sonos, Inc. (a) 223,728 4,928 Tempur Sealy International, Inc. (a) 398,921 3,117 TopBuild Corp. (a) 411,195 --------------- 2,877,679 --------------- HOUSEHOLD PRODUCTS -- 0.0% 413 WD-40 Co. 81,175 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 7,097 Clearway Energy, Inc., Class C 174,160 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 593 Carlisle Cos., Inc. 70,614 741 Roper Technologies, Inc. 320,446 --------------- 391,060 --------------- INSURANCE -- 1.4% 2,803 Ambac Financial Group, Inc. (a) 35,878 656 AMERISAFE, Inc. 41,630 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 4,886 Arch Capital Group Ltd. (a) $ 150,244 10,302 Brown & Brown, Inc. 468,432 1,226 eHealth, Inc. (a) 84,766 739 Erie Indemnity Co., Class A 155,279 1,318 Kinsale Capital Group, Inc. 256,878 3,911 Marsh & McLennan Cos., Inc. 456,023 2,385 Palomar Holdings, Inc. (a) 217,846 1,244 RenaissanceRe Holdings Ltd. 224,393 4,792 Trupanion, Inc. (a) 242,331 --------------- 2,333,700 --------------- INTERACTIVE MEDIA & SERVICES -- 1.8% 405 Alphabet, Inc., Class A (a) 602,620 5,595 Cargurus, Inc. (a) 161,639 2,532 Facebook, Inc., Class A (a) 642,292 12,795 Pinterest, Inc., Class A (a) 438,741 30,599 Snap, Inc., Class A (a) 686,030 4,699 Twitter, Inc. (a) 171,044 6,155 Zillow Group, Inc., Class C (a) 420,940 --------------- 3,123,306 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.4% 261 Amazon.com, Inc. (a) 825,982 4,578 Chewy, Inc., Class A (a) 240,299 3,338 Etsy, Inc. (a) 395,152 11,179 Quotient Technology, Inc. (a) 89,544 9,416 RealReal (The), Inc. (a) 128,434 2,340 Shutterstock, Inc. 127,156 6,562 Stitch Fix, Inc., Class A (a) (b) 145,348 1,794 Wayfair, Inc., Class A (a) 477,365 --------------- 2,429,280 --------------- IT SERVICES -- 7.0% 2,678 Accenture PLC, Class A 601,961 5,369 Akamai Technologies, Inc. (a) 603,690 940 Automatic Data Processing, Inc. 124,935 2,932 Black Knight, Inc. (a) 219,665 7,392 Booz Allen Hamilton Holding Corp. 604,370 4,557 Broadridge Financial Solutions, Inc. 612,187 981 CACI International, Inc., Class A (a) 203,871 1,977 CSG Systems International, Inc. 83,291 2,852 EPAM Systems, Inc. (a) 827,308 2,912 EVERTEC, Inc. 90,418 1,758 Evo Payments, Inc., Class A (a) 39,889 1,899 ExlService Holdings, Inc. (a) 121,650 1,434 Fiserv, Inc. (a) 143,099 1,143 FleetCor Technologies, Inc. (a) 295,546 1,154 Gartner, Inc. (a) 143,835 5,826 Genpact Ltd. 231,991 7,841 GoDaddy, Inc., Class A (a) 551,066 1,562 Jack Henry & Associates, Inc. 278,505 4,483 Leidos Holdings, Inc. 426,602 1,758 ManTech International Corp., Class A 122,322 Page 74 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 972 Mastercard, Inc., Class A $ 299,891 1,567 MongoDB, Inc. (a) 358,968 5,245 NIC, Inc. 114,970 3,590 Okta, Inc. (a) 793,318 1,848 Paychex, Inc. 132,908 4,125 PayPal Holdings, Inc. (a) 808,789 3,366 Perficient, Inc. (a) 131,981 6,849 Square, Inc., Class A (a) 889,343 6,758 Switch, Inc., Class A 121,576 3,515 TTEC Holdings, Inc. 166,822 3,276 Twilio, Inc., Class A (a) 908,828 11,715 Verra Mobility Corp. (a) 119,845 2,520 Virtusa Corp. (a) 102,312 1,488 Visa, Inc., Class A 283,315 6,474 Western Union (The) Co. 157,189 1,289 WEX, Inc. (a) 204,139 --------------- 11,920,395 --------------- LEISURE PRODUCTS -- 0.7% 4,704 Acushnet Holdings Corp. 178,987 11,683 Callaway Golf Co. 222,561 3,938 Malibu Boats, Inc., Class A (a) 231,476 7,334 Mattel, Inc. (a) 81,481 8,298 YETI Holdings, Inc. (a) 405,689 --------------- 1,120,194 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.9% 5,863 Adaptive Biotechnologies Corp. (a) 218,807 4,752 Agilent Technologies, Inc. 457,760 16,912 Avantor, Inc. (a) 373,417 471 Bio-Rad Laboratories, Inc., Class A (a) 247,223 806 Bio-Techne Corp. 221,779 1,743 Bruker Corp. 77,773 2,034 Charles River Laboratories International, Inc. (a) 404,746 776 Illumina, Inc. (a) 296,556 3,812 Medpace Holdings, Inc. (a) 454,962 174 Mettler-Toledo International, Inc. (a) 162,690 2,788 NanoString Technologies, Inc. (a) 100,675 6,868 NeoGenomics, Inc. (a) 262,564 2,931 PerkinElmer, Inc. 348,525 2,187 PRA Health Sciences, Inc. (a) 233,047 2,295 Repligen Corp. (a) 346,338 4,870 Syneos Health, Inc. (a) 303,839 1,159 Thermo Fisher Scientific, Inc. 479,768 --------------- 4,990,469 --------------- MACHINERY -- 1.7% 1,595 Alamo Group, Inc. 164,460 684 Albany International Corp., Class A 32,887 1,524 Donaldson Co., Inc. 73,670 1,143 Douglas Dynamics, Inc. 40,405 968 ESCO Technologies, Inc. 83,190 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 10,998 Evoqua Water Technologies Corp. (a) $ 211,492 5,505 Federal Signal Corp. 170,160 2,487 Flowserve Corp. 69,313 2,293 Franklin Electric Co., Inc. 123,937 1,644 Illinois Tool Works, Inc. 304,124 2,415 ITT, Inc. 139,418 824 John Bean Technologies Corp. 77,258 1,642 Kadant, Inc. 178,173 7,544 Navistar International Corp. (a) 241,634 1,121 Nordson Corp. 217,059 1,892 Proto Labs, Inc. (a) 227,267 529 RBC Bearings, Inc. (a) 64,760 2,927 SPX Corp. (a) 122,934 1,852 Tennant Co. 123,380 3,207 Toro (The) Co. 228,819 914 Woodward, Inc. 68,495 --------------- 2,962,835 --------------- MEDIA -- 1.1% 120 Cable One, Inc. 218,707 2,923 Cardlytics, Inc. (a) 194,146 38,598 Clear Channel Outdoor Holdings, Inc. (a) 35,375 11,732 Gray Television, Inc. (a) 168,237 1,129 Liberty Broadband Corp., Class C (a) 154,978 6,749 New York Times (The) Co., Class A 311,399 3,390 Nexstar Media Group, Inc., Class A 297,133 71,535 Sirius XM Holdings, Inc. 420,626 --------------- 1,800,601 --------------- METALS & MINING -- 0.3% 23,706 Coeur Mining, Inc. (a) 187,989 2,470 Compass Minerals International, Inc. 125,822 1,711 Royal Gold, Inc. 239,420 --------------- 553,231 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.6% 43,827 Annaly Capital Management, Inc. 324,758 8,856 Arbor Realty Trust, Inc. 90,243 11,656 Colony Credit Real Estate, Inc. 73,433 11,397 Granite Point Mortgage Trust, Inc. 77,386 1,411 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 49,427 4,935 KKR Real Estate Finance Trust, Inc. 82,168 15,380 New York Mortgage Trust, Inc. 40,295 2,290 PennyMac Mortgage Investment Trust 43,166 4,741 Starwood Property Trust, Inc. 70,878 28,142 Two Harbors Investment Corp. 152,811 --------------- 1,004,565 --------------- See Notes to Financial Statements Page 75 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL -- 0.8% 3,773 Dollar General Corp. $ 718,379 4,795 Target Corp. 603,595 --------------- 1,321,974 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.6% 10,368 Apache Corp. 159,149 8,690 Cheniere Energy, Inc. (a) 429,981 9,847 Equitrans Midstream Corp. 95,024 2,702 Hess Corp. 132,965 72,547 Kosmos Energy Ltd. 116,801 7,915 Noble Energy, Inc. 79,071 34,906 Tellurian, Inc. (a) (b) 31,129 --------------- 1,044,120 --------------- PERSONAL PRODUCTS -- 0.1% 1,474 Medifast, Inc. 246,350 --------------- PHARMACEUTICALS -- 1.9% 2,440 Arvinas, Inc. (a) 76,860 2,380 Bristol-Myers Squibb Co. 139,611 3,870 Catalent, Inc. (a) 338,006 12,162 Corcept Therapeutics, Inc. (a) 181,822 2,558 Eli Lilly and Co. 384,442 11,703 Endo International PLC (a) 40,727 6,380 Horizon Therapeutics PLC (a) 390,392 8,614 Innoviva, Inc. (a) 116,677 643 Jazz Pharmaceuticals PLC (a) 69,605 995 Johnson & Johnson 145,031 1,810 Merck & Co., Inc. 145,234 2,202 MyoKardia, Inc. (a) 198,466 6,101 NGM Biopharmaceuticals, Inc. (a) 111,587 3,899 Pacira BioSciences, Inc. (a) 205,126 3,206 Prestige Consumer Healthcare, Inc. (a) 119,231 4,932 Revance Therapeutics, Inc. (a) 115,803 3,899 Theravance Biopharma, Inc. (a) 75,719 2,098 Zoetis, Inc. 318,225 --------------- 3,172,564 --------------- PROFESSIONAL SERVICES -- 1.7% 6,828 CBIZ, Inc. (a) 165,101 591 CoStar Group, Inc. (a) 502,208 3,345 Equifax, Inc. 543,763 2,629 Exponent, Inc. 220,994 2,476 FTI Consulting, Inc. (a) 295,734 1,849 Huron Consulting Group, Inc. (a) 88,234 6,606 TransUnion 591,699 2,467 Verisk Analytics, Inc. 465,548 --------------- 2,873,281 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 10,853 Forestar Group, Inc. (a) 187,865 8,260 Newmark Group, Inc., Class A 33,618 4,881 Redfin Corp. (a) 202,952 6,201 St Joe (The) Co. (a) 127,803 --------------- 552,238 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ROAD & RAIL -- 1.2% 2,813 Kansas City Southern $ 483,414 8,710 Lyft, Inc., Class A (a) 254,594 4,238 Old Dominion Freight Line, Inc. 774,791 1,840 Saia, Inc. (a) 219,788 9,251 Uber Technologies, Inc. (a) 279,935 --------------- 2,012,522 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 7.5% 3,018 Advanced Energy Industries, Inc. (a) 222,034 10,930 Advanced Micro Devices, Inc. (a) 846,310 876 Ambarella, Inc. (a) 39,665 2,344 Analog Devices, Inc. 269,208 6,946 Applied Materials, Inc. 446,836 911 Broadcom, Inc. 288,559 2,033 Cabot Microelectronics Corp. 306,414 2,296 Cirrus Logic, Inc. (a) 157,345 9,438 Cohu, Inc. 177,718 2,375 Diodes, Inc. (a) 122,194 7,454 Enphase Energy, Inc. (a) 449,923 4,804 Entegris, Inc. 345,456 6,975 FormFactor, Inc. (a) 201,159 3,018 Inphi Corp. (a) 394,332 7,018 Intel Corp. 334,969 2,957 KLA Corp. 590,897 1,778 Lam Research Corp. 670,591 5,765 Lattice Semiconductor Corp. (a) 179,234 4,764 MACOM Technology Solutions Holdings, Inc. (a) 201,327 16,401 Marvell Technology Group Ltd. 598,144 2,309 Maxim Integrated Products, Inc. 157,220 3,987 Microchip Technology, Inc. 405,598 1,197 Monolithic Power Systems, Inc. 317,217 1,892 NVIDIA Corp. 803,324 2,401 Power Integrations, Inc. 292,994 6,503 Qorvo, Inc. (a) 833,359 7,880 QUALCOMM, Inc. 832,207 7,923 Rambus, Inc. (a) 116,943 707 Silicon Laboratories, Inc. (a) 71,061 3,284 Skyworks Solutions, Inc. 478,085 15,722 SunPower Corp. (a) (b) 146,686 2,003 Synaptics, Inc. (a) 160,280 8,505 Teradyne, Inc. 756,605 1,102 Texas Instruments, Inc. 140,560 9,040 Ultra Clean Holdings, Inc. (a) 272,014 1,423 Xilinx, Inc. 152,759 --------------- 12,779,227 --------------- SOFTWARE -- 16.2% 5,389 2U, Inc. (a) 253,795 5,114 8x8, Inc. (a) 81,313 5,255 ACI Worldwide, Inc. (a) 140,781 1,651 Adobe, Inc. (a) 733,572 3,157 Alarm.com Holdings, Inc. (a) 221,116 4,117 Altair Engineering, Inc., Class A (a) 165,915 2,158 Alteryx, Inc., Class A (a) 378,707 Page 76 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 4,696 Anaplan, Inc. (a) $ 213,245 1,439 ANSYS, Inc. (a) 446,953 1,257 Appfolio, Inc., Class A (a) 175,000 3,193 Appian Corp. (a) (b) 162,428 3,005 Autodesk, Inc. (a) 710,472 2,664 Avalara, Inc. (a) 358,175 4,277 Blackline, Inc. (a) 380,268 2,372 Bottomline Technologies DE, Inc. (a) 114,473 7,883 Box, Inc., Class A (a) 141,500 5,992 Cadence Design Systems, Inc. (a) 654,626 7,254 Ceridian HCM Holding, Inc. (a) 567,916 3,888 Citrix Systems, Inc. 555,051 27,877 Cloudera, Inc. (a) 314,174 2,594 Coupa Software, Inc. (a) 794,931 3,536 Crowdstrike Holdings, Inc., Class A (a) 400,275 4,174 DocuSign, Inc. (a) 905,048 9,773 Dropbox, Inc., Class A (a) 222,336 3,846 Elastic N.V. (a) 369,947 2,893 Envestnet, Inc. (a) 234,912 2,563 Everbridge, Inc. (a) 365,996 1,375 Fair Isaac Corp. (a) 603,886 3,204 Five9, Inc. (a) 387,107 5,236 Fortinet, Inc. (a) 724,139 1,280 Guidewire Software, Inc. (a) 150,605 1,581 HubSpot, Inc. (a) 370,918 971 Intuit, Inc. 297,485 4,938 LivePerson, Inc. (a) 212,235 3,011 Manhattan Associates, Inc. (a) 288,424 2,063 Microsoft Corp. 422,936 339 MicroStrategy, Inc., Class A (a) 42,009 5,107 Mimecast Ltd. (a) 239,671 4,708 Model N, Inc. (a) 181,070 3,088 New Relic, Inc. (a) 218,970 11,210 Nuance Communications, Inc. (a) 306,593 5,983 Nutanix, Inc., Class A (a) 132,763 5,718 PagerDuty, Inc. (a) 174,285 2,504 Palo Alto Networks, Inc. (a) 640,824 2,321 Paycom Software, Inc. (a) 660,023 2,431 Paylocity Holding Corp. (a) 323,809 2,804 Pegasystems, Inc. 327,760 6,672 Pluralsight, Inc., Class A (a) 141,246 3,108 Progress Software Corp. 108,345 1,276 Proofpoint, Inc. (a) 147,595 903 PROS Holdings, Inc. (a) 29,465 2,735 PTC, Inc. (a) 234,007 3,307 Q2 Holdings, Inc. (a) 311,023 2,045 Qualys, Inc. (a) 252,517 2,780 Rapid7, Inc. (a) 165,605 4,363 RealPage, Inc. (a) 274,913 2,522 RingCentral, Inc., Class A (a) 732,061 7,728 Sailpoint Technologies Holdings, Inc. (a) 243,432 3,070 salesforce.com, Inc. (a) 598,189 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 1,775 ServiceNow, Inc. (a) $ 779,580 4,178 Smartsheet, Inc., Class A (a) 199,458 8,027 SolarWinds Corp. (a) 147,376 3,617 Splunk, Inc. (a) 758,919 2,723 SPS Commerce, Inc. (a) 204,688 7,435 SS&C Technologies Holdings, Inc. 427,512 8,690 SVMK, Inc. (a) 208,386 3,686 Synopsys, Inc. (a) 734,325 5,490 Tenable Holdings, Inc. (a) 186,276 1,768 Trade Desk (The), Inc., Class A (a) 797,934 1,210 Tyler Technologies, Inc. (a) 432,272 3,464 Upland Software, Inc. (a) 119,231 1,361 Varonis Systems, Inc. (a) 147,464 1,570 Verint Systems, Inc. (a) 70,477 2,712 VMware, Inc., Class A (a) (b) 380,249 2,241 Workday, Inc., Class A (a) 405,442 3,060 Workiva, Inc. (a) 171,054 9,853 Yext, Inc. (a) 165,727 3,204 Zendesk, Inc. (a) 292,045 1,399 Zoom Video Communications, Inc., Class A (a) 355,220 3,238 Zscaler, Inc. (a) 420,454 9,445 Zuora, Inc., Class A (a) 109,940 --------------- 27,520,864 --------------- SPECIALTY RETAIL -- 2.8% 510 AutoZone, Inc. (a) 615,784 3,795 Boot Barn Holdings, Inc. (a) 73,471 2,560 Buckle (The), Inc. 41,037 1,460 Burlington Stores, Inc. (a) 274,480 6,421 CarMax, Inc. (a) 622,644 2,950 Carvana Co. (a) 457,102 1,990 Five Below, Inc. (a) 216,731 6,151 Floor & Decor Holdings, Inc., Class A (a) 405,351 2,295 Home Depot (The), Inc. 609,300 1,364 O'Reilly Automotive, Inc. (a) 651,146 7,353 Rent-A-Center, Inc. 212,649 1,425 RH (a) 409,588 4,913 Sleep Number Corp. (a) 228,455 --------------- 4,817,738 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 1,970 Apple, Inc. 837,329 16,369 Pure Storage, Inc., Class A (a) 292,350 --------------- 1,129,679 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 1,760 Columbia Sportswear Co. 133,478 5,556 Crocs, Inc. (a) 199,683 1,805 Deckers Outdoor Corp. (a) 377,696 2,996 Levi Strauss & Co., Class A (b) 36,431 4,283 NIKE, Inc., Class B 418,064 6,873 Wolverine World Wide, Inc. 165,227 --------------- 1,330,579 --------------- See Notes to Financial Statements Page 77 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE -- 0.6% 5,864 Columbia Financial, Inc. (a) $ 70,544 5,561 Flagstar Bancorp, Inc. 174,504 2,209 Meta Financial Group, Inc. 41,220 16,445 Mr. Cooper Group, Inc. (a) 268,547 5,089 NMI Holdings, Inc., Class A (a) 78,981 4,895 PennyMac Financial Services, Inc. 236,233 9,145 Radian Group, Inc. 136,443 1,496 Washington Federal, Inc. 34,917 --------------- 1,041,389 --------------- TOBACCO -- 0.1% 11,971 Vector Group Ltd. 105,584 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 6,510 BMC Stock Holdings, Inc. (a) 166,656 16,778 Fastenal Co. 789,237 4,093 HD Supply Holdings, Inc. (a) 143,664 3,111 SiteOne Landscape Supply, Inc. (a) 398,302 --------------- 1,497,859 --------------- WATER UTILITIES -- 0.3% 902 American States Water Co. 69,346 2,235 American Water Works Co., Inc. 329,148 1,715 California Water Service Group 80,382 1,218 Middlesex Water Co. 78,025 --------------- 556,901 --------------- TOTAL COMMON STOCKS -- 100.0% 170,383,589 (Cost $130,856,398) --------------- MONEY MARKET FUNDS -- 0.9% 1,393,417 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 1,393,417 90,481 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (c) 90,481 --------------- TOTAL MONEY MARKET FUNDS -- 0.9% 1,483,898 (Cost $1,483,898) --------------- TOTAL INVESTMENTS -- 100.9% 171,867,487 (Cost $132,340,296) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (1,500,824) --------------- NET ASSETS -- 100.0% $ 170,366,663 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $1,336,590 and the total value of the collateral held by the Fund is $1,393,417. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $132,951,873. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $41,131,648 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,216,034. The net unrealized appreciation was $38,915,614. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 170,383,589 $ -- $ -- Money Market Funds 1,483,898 -- -- -------------------------------------------- Total Investments $ 171,867,487 $ -- $ -- ============================================ * 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) $ 1,336,590 Non-cash Collateral(2) (1,336,590) --------------- 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, 2020, 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. Page 78 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.1% 4,818 Moog, Inc., Class A $ 258,823 6,397 Spirit AeroSystems Holdings, Inc., Class A 125,189 --------------- 384,012 --------------- AIR FREIGHT & LOGISTICS -- 0.2% 646 C.H. Robinson Worldwide, Inc. 60,543 --------------- AIRLINES -- 2.7% 7,040 Alaska Air Group, Inc. 242,458 23,418 JetBlue Airways Corp. (a) 242,142 7,825 SkyWest, Inc. 205,876 14,340 Spirit Airlines, Inc. (a) (b) 226,715 --------------- 917,191 --------------- AUTO COMPONENTS -- 1.5% 7,231 BorgWarner, Inc. 264,655 2,341 Lear Corp. 258,399 --------------- 523,054 --------------- AUTOMOBILES -- 0.6% 6,443 Harley-Davidson, Inc. 167,712 479 Thor Industries, Inc. 54,601 --------------- 222,313 --------------- BANKS -- 16.3% 6,492 Ameris Bancorp 149,803 14,927 Associated Banc-Corp. 191,663 6,735 BancorpSouth Bank 140,964 8,701 Bank OZK 209,259 10,084 BankUnited, Inc. 203,092 3,618 BOK Financial Corp. 201,523 7,764 Cathay General Bancorp 187,733 4,925 CIT Group, Inc. 93,427 5,403 Columbia Banking System, Inc. 156,309 5,360 Comerica, Inc. 206,467 895 Community Bank System, Inc. 50,326 1,367 Cullen/Frost Bankers, Inc. 98,506 5,448 CVB Financial Corp. 98,445 5,635 East West Bancorp, Inc. 195,309 34,034 F.N.B. Corp. 252,192 378 First Citizens BancShares, Inc., Class A 160,979 11,845 First Hawaiian, Inc. 205,866 20,503 First Horizon National Corp. 190,063 7,224 Hancock Whitney Corp. 137,689 6,639 Home BancShares, Inc. 108,415 18,018 Investors Bancorp, Inc. 146,306 11,130 Old National Bancorp 155,709 17,650 People's United Financial, Inc. 190,443 3,647 Pinnacle Financial Partners, Inc. 144,494 6,867 Popular, Inc. 254,834 1,719 Prosperity Bancshares, Inc. 95,508 955 Signature Bank 97,916 21,780 Sterling Bancorp 245,025 9,947 Synovus Financial Corp. 200,432 1,981 UMB Financial Corp. 98,654 1,846 United Bankshares, Inc. 48,587 19,585 Valley National Bancorp 146,300 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 7,138 Webster Financial Corp. $ 194,653 4,681 Wintrust Financial Corp. 200,347 6,006 Zions Bancorp N.A. 195,015 --------------- 5,652,253 --------------- BIOTECHNOLOGY -- 0.5% 1,688 United Therapeutics Corp. (a) 188,161 --------------- BUILDING PRODUCTS -- 0.7% 1,083 A.O. Smith Corp. 52,136 3,093 UFP Industries, Inc. 180,074 --------------- 232,210 --------------- CAPITAL MARKETS -- 3.1% 2,054 Affiliated Managers Group, Inc. 141,295 3,466 Evercore, Inc., Class A 191,670 8,616 Federated Hermes, Inc. 227,118 23,723 Invesco Ltd. 238,179 1,783 Lazard Ltd., Class A 52,277 4,305 Stifel Financial Corp. 208,706 --------------- 1,059,245 --------------- CHEMICALS -- 3.1% 7,257 CF Industries Holdings, Inc. 227,362 2,932 Eastman Chemical Co. 218,815 9,410 Element Solutions, Inc. (a) 102,193 8,523 Huntsman Corp. 157,675 255 NewMarket Corp. 95,577 4,758 Westlake Chemical Corp. 259,311 --------------- 1,060,933 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.6% 12,795 ADT, Inc. 110,165 2,181 Brady Corp., Class A 100,261 --------------- 210,426 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 943 Ciena Corp. (a) 56,118 366 F5 Networks, Inc. (a) 49,739 4,466 Juniper Networks, Inc. 113,347 --------------- 219,204 --------------- CONSTRUCTION & ENGINEERING -- 2.2% 3,087 EMCOR Group, Inc. 211,459 5,689 MasTec, Inc. (a) 226,308 3,904 Quanta Services, Inc. 156,043 1,348 Valmont Industries, Inc. 163,378 --------------- 757,188 --------------- CONSUMER FINANCE -- 1.9% 1,513 FirstCash, Inc. 87,209 29,048 Navient Corp. 231,222 8,319 Santander Consumer USA Holdings, Inc. 152,737 29,048 SLM Corp. 196,655 --------------- 667,823 --------------- See Notes to Financial Statements Page 79 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING -- 1.9% 3,456 Berry Global Group, Inc. (a) $ 172,766 7,298 Graphic Packaging Holding Co. 101,734 1,535 Packaging Corp. of America 147,544 3,152 Silgan Holdings, Inc. 120,564 1,953 Sonoco Products Co. 101,048 --------------- 643,656 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.3% 1,128 Grand Canyon Education, Inc. (a) 100,099 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.2% 16,415 Jefferies Financial Group, Inc. 265,923 3,283 Voya Financial, Inc. 162,180 --------------- 428,103 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3% 2,871 GCI Liberty, Inc., Class A (a) 225,058 21,632 Liberty Latin America Ltd., Class C (a) 221,295 --------------- 446,353 --------------- ELECTRIC UTILITIES -- 2.6% 3,739 ALLETE, Inc. 221,723 2,831 Hawaiian Electric Industries, Inc. 102,652 1,169 IDACORP, Inc. 109,009 7,840 NRG Energy, Inc. 265,070 4,884 Portland General Electric Co. 215,531 --------------- 913,985 --------------- ELECTRICAL EQUIPMENT -- 1.2% 1,600 Acuity Brands, Inc. 158,560 1,586 EnerSys 106,674 1,754 Regal Beloit Corp. 161,316 --------------- 426,550 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 1,591 Jabil, Inc. 55,462 299 Littelfuse, Inc. 53,117 1,705 SYNNEX Corp. 212,682 --------------- 321,261 --------------- ENTERTAINMENT -- 0.6% 17,680 Cinemark Holdings, Inc. 209,154 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.9% 26,424 Apple Hospitality REIT, Inc. 233,060 9,376 Brandywine Realty Trust 101,542 15,929 Brixmor Property Group, Inc. 183,343 1,711 Cousins Properties, Inc. 52,562 6,164 EPR Properties 176,475 7,927 Equity Commonwealth 250,255 5,470 Highwoods Properties, Inc. 209,720 4,058 Hudson Pacific Properties, Inc. 95,647 28,457 Macerich (The) Co. (b) 217,127 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 19,864 Paramount Group, Inc. $ 141,630 5,162 Park Hotels & Resorts, Inc. 42,690 18,686 Pebblebrook Hotel Trust 198,071 14,151 Sabra Health Care REIT, Inc. 208,586 36,002 Service Properties Trust 241,213 6,264 Sunstone Hotel Investors, Inc. 46,855 --------------- 2,398,776 --------------- FOOD & STAPLES RETAILING -- 0.9% 683 Casey's General Stores, Inc. 108,727 1,752 Performance Food Group Co. (a) 49,091 7,766 US Foods Holding Corp. (a) 157,650 --------------- 315,468 --------------- FOOD PRODUCTS -- 2.7% 10,368 Darling Ingredients, Inc. (a) 289,578 1,845 Ingredion, Inc. 159,593 803 J & J Snack Foods Corp. 98,873 329 Lancaster Colony Corp. 52,176 15,113 Pilgrim's Pride Corp. (a) 231,985 35 Seaboard Corp. 94,614 --------------- 926,819 --------------- GAS UTILITIES -- 2.5% 3,653 National Fuel Gas Co. 148,202 4,691 New Jersey Resources Corp. 145,703 1,325 ONE Gas, Inc. 100,303 2,218 Southwest Gas Holdings, Inc. 154,462 2,331 Spire, Inc. 143,729 4,816 UGI Corp. 160,565 --------------- 852,964 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.4% 277 ICU Medical, Inc. (a) 50,893 1,398 Integer Holdings Corp. (a) 91,947 --------------- 142,840 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.0% 6,097 Acadia Healthcare Co., Inc. (a) 181,752 1,128 AMN Healthcare Services, Inc. (a) 61,972 824 Encompass Health Corp. 56,098 287 Molina Healthcare, Inc. (a) 53,009 --------------- 352,831 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.6% 2,443 Boyd Gaming Corp. 57,826 971 Texas Roadhouse, Inc. 54,560 3,623 Wyndham Destinations, Inc. 96,372 --------------- 208,758 --------------- HOUSEHOLD DURABLES -- 3.3% 8,320 KB Home 279,885 2,905 Leggett & Platt, Inc. 116,462 2,508 Mohawk Industries, Inc. (a) 200,264 7,832 Toll Brothers, Inc. 299,182 Page 80 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 1,576 Whirlpool Corp. $ 257,077 --------------- 1,152,870 --------------- INSURANCE -- 6.3% 1,609 American Financial Group, Inc. 97,779 2,125 American National Group, Inc. 156,506 494 Assurant, Inc. 53,090 10,457 Assured Guaranty Ltd. 228,276 3,274 Athene Holding Ltd., Class A (a) 105,587 1,259 Axis Capital Holdings Ltd. 50,511 9,175 Brighthouse Financial, Inc. (a) 260,020 334 Enstar Group Ltd. (a) 56,095 5,316 First American Financial Corp. 271,169 1,008 Hanover Insurance Group (The), Inc. 102,695 2,112 Kemper Corp. 165,834 438 Primerica, Inc. 52,411 2,603 Reinsurance Group of America, Inc. 221,906 1,936 Selective Insurance Group, Inc. 105,202 15,386 Unum Group 265,101 --------------- 2,192,182 --------------- INTERACTIVE MEDIA & SERVICES -- 0.2% 2,686 TripAdvisor, Inc. 54,338 --------------- IT SERVICES -- 0.5% 1,449 MAXIMUS, Inc. 107,530 657 Science Applications International Corp. 52,547 --------------- 160,077 --------------- LEISURE PRODUCTS -- 0.2% 552 Polaris, Inc. 57,204 --------------- MACHINERY -- 4.3% 1,841 AGCO Corp. 120,825 5,552 Allison Transmission Holdings, Inc. 207,423 5,162 Barnes Group, Inc. 190,323 859 Crane Co. 48,593 606 Lincoln Electric Holdings, Inc. 54,776 1,940 Middleby (The) Corp. (a) 161,136 2,851 Oshkosh Corp. 224,431 3,503 Rexnord Corp. 101,482 1,106 Snap-on, Inc. 161,332 4,489 Timken (The) Co. 204,968 --------------- 1,475,289 --------------- MEDIA -- 1.2% 8,925 Interpublic Group of (The) Cos., Inc. 161,096 22,914 TEGNA, Inc. 269,927 --------------- 431,023 --------------- METALS & MINING -- 1.5% 2,689 Reliance Steel & Aluminum Co. 264,221 9,784 Steel Dynamics, Inc. 268,180 --------------- 532,401 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.3% 5,204 Apollo Commercial Real Estate Finance, Inc. $ 48,397 5,312 Chimera Investment Corp. 47,755 --------------- 96,152 --------------- MULTILINE RETAIL -- 1.5% 12,290 Kohl's Corp. 234,002 37,101 Macy's, Inc. (b) 224,832 3,296 Nordstrom, Inc. (b) 45,122 --------------- 503,956 --------------- MULTI-UTILITIES -- 1.9% 4,209 Avista Corp. 156,280 2,703 Black Hills Corp. 156,396 9,207 MDU Resources Group, Inc. 193,163 2,809 NorthWestern Corp. 158,034 --------------- 663,873 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.1% 12,693 CVR Energy, Inc. 243,706 8,742 HollyFrontier Corp. 240,405 41,709 Marathon Oil Corp. 228,983 18,497 Murphy Oil Corp. 244,345 26,728 Ovintiv, Inc. 258,994 32,007 WPX Energy, Inc. (a) 191,082 --------------- 1,407,515 --------------- PERSONAL PRODUCTS -- 0.2% 1,135 Herbalife Nutrition Ltd. (a) (b) 58,157 --------------- PHARMACEUTICALS -- 0.3% 1,847 Perrigo Co. PLC 97,928 --------------- PROFESSIONAL SERVICES -- 1.5% 1,531 ASGN, Inc. (a) 104,812 789 Insperity, Inc. 52,753 2,970 ManpowerGroup, Inc. 204,306 1,933 Robert Half International, Inc. 98,332 838 TriNet Group, Inc. (a) 55,308 --------------- 515,511 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.3% 2,467 Jones Lang LaSalle, Inc. 244,011 13,417 Kennedy-Wilson Holdings, Inc. 199,108 --------------- 443,119 --------------- ROAD & RAIL -- 1.2% 676 AMERCO 214,786 3,672 Knight-Swift Transportation Holdings, Inc. 159,695 455 Landstar System, Inc. 55,410 --------------- 429,891 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.3% 1,031 First Solar, Inc. (a) 61,396 451 MKS Instruments, Inc. 57,476 --------------- 118,872 --------------- See Notes to Financial Statements Page 81 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE -- 0.2% 1,233 CDK Global, Inc. $ 56,052 --------------- SPECIALTY RETAIL -- 3.1% 358 Advance Auto Parts, Inc. 53,750 2,717 AutoNation, Inc. (a) 139,491 1,237 Dick's Sporting Goods, Inc. 56,432 5,252 Foot Locker, Inc. 154,356 675 Lithia Motors, Inc., Class A 154,676 1,360 Murphy USA, Inc. (a) 180,078 5,275 Penske Automotive Group, Inc. 236,426 1,245 Williams-Sonoma, Inc. 108,464 --------------- 1,083,673 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.6% 14,738 NCR Corp. (a) 271,621 16,694 Xerox Holdings Corp. 277,955 --------------- 549,576 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.5% 633 Carter's, Inc. 49,830 13,565 Hanesbrands, Inc. 191,673 2,112 Ralph Lauren Corp. 150,586 3,254 Skechers U.S.A., Inc., Class A (a) 95,277 2,068 Steven Madden Ltd. 43,800 --------------- 531,166 --------------- THRIFTS & MORTGAGE FINANCE -- 1.8% 7,038 Essent Group Ltd. 252,172 31,167 MGIC Investment Corp. 257,751 10,010 New York Community Bancorp, Inc. 105,405 --------------- 615,328 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 8,715 Air Lease Corp. 228,507 1,402 MSC Industrial Direct Co., Inc., Class A 92,546 287 Watsco, Inc. 67,752 --------------- 388,805 --------------- TRANSPORTATION INFRASTRUCTURE -- 0.4% 4,990 Macquarie Infrastructure Corp. 149,500 --------------- TOTAL COMMON STOCKS -- 99.9% 34,606,631 (Cost $38,744,263) --------------- MONEY MARKET FUNDS -- 2.1% 729,618 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 729,618 (Cost $729,618) --------------- DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 102.0% $ 35,336,249 (Cost $39,473,881) (e) NET OTHER ASSETS AND LIABILITIES -- (2.0)% (699,959) --------------- NET ASSETS -- 100.0% $ 34,636,290 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $689,479 and the total value of the collateral held by the Fund is $729,618. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $40,198,539. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,571,794 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,434,084. The net unrealized depreciation was $4,862,290. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 34,606,631 $ -- $ -- Money Market Funds 729,618 -- -- -------------------------------------------- Total Investments $ 35,336,249 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. Page 82 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 --------------------------------- 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) $ 689,479 Non-cash Collateral(2) (689,479) --------------- 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, 2020, 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. See Notes to Financial Statements Page 83 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.8% 11,743 Aerojet Rocketdyne Holdings, Inc. (a) $ 484,399 23,720 Axon Enterprise, Inc. (a) 1,971,844 24,656 BWX Technologies, Inc. 1,344,245 11,837 Mercury Systems, Inc. (a) 916,539 38,534 Parsons Corp. (a) 1,342,139 --------------- 6,059,166 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 24,105 XPO Logistics, Inc. (a) 1,808,357 --------------- AUTO COMPONENTS -- 0.3% 36,128 Gentex Corp. 975,095 --------------- BANKS -- 0.7% 15,657 Commerce Bancshares, Inc. 896,520 15,823 TCF Financial Corp. 434,974 24,582 Western Alliance Bancorp 883,723 --------------- 2,215,217 --------------- BEVERAGES -- 1.0% 4,338 Boston Beer (The) Co., Inc., Class A (a) 3,515,689 --------------- BIOTECHNOLOGY -- 8.2% 38,414 ACADIA Pharmaceuticals, Inc. (a) 1,596,870 19,543 Acceleron Pharma, Inc. (a) 1,938,079 34,817 Agios Pharmaceuticals, Inc. (a) 1,577,907 32,333 Arrowhead Pharmaceuticals, Inc. (a) 1,392,582 11,935 Blueprint Medicines Corp. (a) 873,403 31,670 CRISPR Therapeutics AG (a) 2,706,518 78,431 Exelixis, Inc. (a) 1,810,972 22,970 FibroGen, Inc. (a) 929,596 52,538 Immunomedics, Inc. (a) 2,218,680 23,684 Ionis Pharmaceuticals, Inc. (a) 1,363,251 4,078 Mirati Therapeutics, Inc. (a) 494,702 29,000 Moderna, Inc. (a) 2,148,900 27,982 Momenta Pharmaceuticals, Inc. (a) 825,189 19,080 Neurocrine Biosciences, Inc. (a) 2,296,469 27,525 PTC Therapeutics, Inc. (a) 1,275,233 11,613 Sarepta Therapeutics, Inc. (a) 1,782,828 29,754 Ultragenyx Pharmaceutical, Inc. (a) 2,325,573 --------------- 27,556,752 --------------- BUILDING PRODUCTS -- 3.7% 47,114 Advanced Drainage Systems, Inc. 2,308,586 89,948 Builders FirstSource, Inc. (a) 2,130,868 29,127 Fortune Brands Home & Security, Inc. 2,228,216 3,994 Lennox International, Inc. 1,070,951 22,070 Simpson Manufacturing Co., Inc. 2,131,079 17,896 Trex Co., Inc. (a) 2,493,450 --------------- 12,363,150 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS -- 2.6% 23,452 Ares Management Corp., Class A $ 936,673 27,362 Cohen & Steers, Inc. 1,646,645 12,057 Eaton Vance Corp. 435,740 23,750 LPL Financial Holdings, Inc. 1,876,725 9,906 Morningstar, Inc. 1,664,604 16,931 SEI Investments Co. 885,999 24,019 Tradeweb Markets, Inc., Class A 1,298,708 --------------- 8,745,094 --------------- CHEMICALS -- 3.0% 24,117 Albemarle Corp. 1,988,688 20,642 Axalta Coating Systems Ltd. (a) 458,252 4,906 Balchem Corp. 491,876 24,806 RPM International, Inc. 2,023,921 17,307 Scotts Miracle-Gro (The) Co. 2,744,371 96,327 Valvoline, Inc. 1,976,630 9,159 W.R. Grace & Co. 422,505 --------------- 10,106,243 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.8% 18,295 Cimpress PLC (a) (b) 1,829,500 15,524 Clean Harbors, Inc. (a) 925,230 36,206 IAA, Inc. (a) 1,569,530 8,137 MSA Safety, Inc. 964,479 16,630 Stericycle, Inc. (a) 1,005,034 17,651 Tetra Tech, Inc. 1,564,761 7,803 UniFirst Corp. 1,455,104 --------------- 9,313,638 --------------- COMMUNICATIONS EQUIPMENT -- 0.5% 11,435 Lumentum Holdings, Inc. (a) 1,061,511 36,538 Viavi Solutions, Inc. (a) 505,321 --------------- 1,566,832 --------------- CONSTRUCTION MATERIALS -- 0.3% 13,257 Eagle Materials, Inc. 1,063,609 --------------- CONSUMER FINANCE -- 1.6% 4,446 Credit Acceptance Corp. (a) (b) 2,080,461 6,432 LendingTree, Inc. (a) (b) 2,227,338 37,936 OneMain Holdings, Inc. 1,088,763 --------------- 5,396,562 --------------- CONTAINERS & PACKAGING -- 0.4% 4,156 AptarGroup, Inc. 478,771 28,342 Sealed Air Corp. 1,011,243 --------------- 1,490,014 --------------- DISTRIBUTORS -- 0.8% 8,562 Pool Corp. 2,711,585 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.7% 3,971 Bright Horizons Family Solutions, Inc. (a) 425,850 34,602 Chegg, Inc. (a) 2,801,724 31,503 frontdoor, Inc. (a) 1,322,968 9,089 Strategic Education, Inc. 1,147,123 --------------- 5,697,665 --------------- Page 84 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES -- 0.4% 33,976 Cannae Holdings, Inc. (a) $ 1,280,216 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% 12,033 Cogent Communications Holdings, Inc. 1,084,294 18,300 Iridium Communications, Inc. (a) 501,237 --------------- 1,585,531 --------------- ELECTRICAL EQUIPMENT -- 1.0% 19,090 Generac Holdings, Inc. (a) 3,008,202 3,712 Hubbell, Inc. 501,009 --------------- 3,509,211 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 15,588 Cognex Corp. 1,042,369 14,133 Dolby Laboratories, Inc., Class A 983,657 22,948 FLIR Systems, Inc. 956,014 21,080 Itron, Inc. (a) 1,466,325 12,024 National Instruments Corp. 426,852 --------------- 4,875,217 --------------- ENTERTAINMENT -- 0.7% 243,967 Zynga, Inc., Class A (a) 2,398,196 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.0% 7,086 Agree Realty Corp. 474,549 34,607 American Homes 4 Rent, Class A 1,003,603 12,822 Americold Realty Trust 517,368 3,844 CoreSite Realty Corp. 496,068 36,739 Corporate Office Properties Trust 972,849 19,195 CyrusOne, Inc. 1,601,247 3,926 EastGroup Properties, Inc. 520,823 12,111 First Industrial Realty Trust, Inc. 531,915 17,834 Iron Mountain, Inc. 502,740 6,974 Lamar Advertising Co., Class A 458,401 26,569 Physicians Realty Trust 479,305 14,526 QTS Realty Trust, Inc., Class A 1,045,146 11,235 Rexford Industrial Realty, Inc. 527,259 13,352 Spirit Realty Capital, Inc. 460,110 15,874 STAG Industrial, Inc. 517,492 --------------- 10,108,875 --------------- FOOD & STAPLES RETAILING -- 0.7% 62,449 BJ's Wholesale Club Holdings, Inc. (a) 2,501,082 --------------- FOOD PRODUCTS -- 0.5% 13,895 Beyond Meat, Inc. (a) 1,749,380 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.3% 7,706 ABIOMED, Inc. (a) 2,311,338 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 19,514 Globus Medical, Inc., Class A (a) $ 940,185 8,168 Masimo Corp. (a) 1,797,940 11,998 Neogen Corp. (a) 921,087 7,792 Nevro Corp. (a) 1,036,024 8,361 NuVasive, Inc. (a) 477,748 7,808 Penumbra, Inc. (a) 1,732,673 10,403 Quidel Corp. (a) 2,938,535 23,527 Tandem Diabetes Care, Inc. (a) 2,457,630 --------------- 14,613,160 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.6% 9,378 Amedisys, Inc. (a) 2,195,952 3,093 Chemed Corp. 1,522,344 11,475 Guardant Health, Inc. (a) 977,440 15,867 HealthEquity, Inc. (a) 818,103 10,682 LHC Group, Inc. (a) 2,084,165 31,601 Select Medical Holdings Corp. (a) 601,683 25,705 Tenet Healthcare Corp. (a) 679,640 --------------- 8,879,327 --------------- HEALTH CARE TECHNOLOGY -- 1.0% 6,592 Omnicell, Inc. (a) 463,352 12,193 Teladoc Health, Inc. (a) 2,897,422 --------------- 3,360,774 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.4% 34,859 Caesars Entertainment, Inc. (a) 1,082,372 11,797 Choice Hotels International, Inc. 991,420 13,984 Churchill Downs, Inc. 1,937,064 7,136 Dunkin' Brands Group, Inc. 490,457 15,369 Planet Fitness, Inc., Class A (a) 802,262 24,234 Six Flags Entertainment Corp. 421,429 85,491 Wendy's (The) Co. 1,981,681 10,923 Wyndham Hotels & Resorts, Inc. 482,360 --------------- 8,189,045 --------------- HOUSEHOLD DURABLES -- 2.1% 9,876 Helen of Troy Ltd. (a) 1,859,157 32,347 Tempur Sealy International, Inc. (a) 2,618,490 20,457 TopBuild Corp. (a) 2,698,687 --------------- 7,176,334 --------------- INDUSTRIAL CONGLOMERATES -- 0.1% 3,887 Carlisle Cos., Inc. 462,864 --------------- INSURANCE -- 0.7% 4,853 Erie Indemnity Co., Class A 1,019,712 8,166 RenaissanceRe Holdings Ltd. 1,472,983 --------------- 2,492,695 --------------- INTERACTIVE MEDIA & SERVICES -- 2.0% 36,725 Cargurus, Inc. (a) 1,060,985 83,985 Pinterest, Inc., Class A (a) 2,879,846 See Notes to Financial Statements Page 85 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERACTIVE MEDIA & SERVICES (CONTINUED) 40,399 Zillow Group, Inc., Class C (a) $ 2,762,887 --------------- 6,703,718 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.7% 21,909 Etsy, Inc. (a) 2,593,587 11,776 Wayfair, Inc., Class A (a) (b) 3,133,476 --------------- 5,727,063 --------------- IT SERVICES -- 2.4% 19,247 Black Knight, Inc. (a) 1,441,985 6,440 CACI International, Inc., Class A (a) 1,338,361 38,240 Genpact Ltd. 1,522,717 10,283 MongoDB, Inc. (a) 2,355,629 8,462 WEX, Inc. (a) 1,340,127 --------------- 7,998,819 --------------- LEISURE PRODUCTS -- 0.9% 48,139 Mattel, Inc. (a) 534,824 54,470 YETI Holdings, Inc. (a) 2,663,039 --------------- 3,197,863 --------------- LIFE SCIENCES TOOLS & SERVICES -- 5.4% 38,488 Adaptive Biotechnologies Corp. (a) 1,436,372 3,090 Bio-Rad Laboratories, Inc., Class A (a) 1,621,910 5,288 Bio-Techne Corp. 1,455,046 11,444 Bruker Corp. 510,631 13,348 Charles River Laboratories International, Inc. (a) 2,656,119 25,023 Medpace Holdings, Inc. (a) 2,986,495 45,075 NeoGenomics, Inc. (a) 1,723,217 14,355 PRA Health Sciences, Inc. (a) 1,529,669 15,062 Repligen Corp. (a) 2,273,007 31,964 Syneos Health, Inc. (a) 1,994,234 --------------- 18,186,700 --------------- MACHINERY -- 2.7% 10,007 Donaldson Co., Inc. 483,738 16,323 Flowserve Corp. 454,922 15,849 ITT, Inc. 914,963 5,412 John Bean Technologies Corp. 507,429 49,521 Navistar International Corp. (a) 1,586,157 7,363 Nordson Corp. 1,425,698 12,416 Proto Labs, Inc. (a) 1,491,410 3,471 RBC Bearings, Inc. (a) 424,920 21,049 Toro (The) Co. 1,501,846 6,002 Woodward, Inc. 449,790 --------------- 9,240,873 --------------- MEDIA -- 1.6% 787 Cable One, Inc. 1,434,355 44,303 New York Times (The) Co., Class A 2,044,140 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MEDIA (CONTINUED) 22,251 Nexstar Media Group, Inc., Class A $ 1,950,300 --------------- 5,428,795 --------------- METALS & MINING -- 0.5% 11,232 Royal Gold, Inc. 1,571,694 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.4% 31,117 Starwood Property Trust, Inc. 465,199 184,718 Two Harbors Investment Corp. 1,003,019 --------------- 1,468,218 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.2% 51,954 Noble Energy, Inc. 519,020 --------------- PHARMACEUTICALS -- 1.9% 25,401 Catalent, Inc. (a) 2,218,523 41,876 Horizon Therapeutics PLC (a) 2,562,392 4,219 Jazz Pharmaceuticals PLC (a) 456,707 14,452 MyoKardia, Inc. (a) 1,302,559 --------------- 6,540,181 --------------- PROFESSIONAL SERVICES -- 1.0% 17,257 Exponent, Inc. 1,450,624 16,253 FTI Consulting, Inc. (a) 1,941,258 --------------- 3,391,882 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.5% 13,343 Cabot Microelectronics Corp. 2,011,057 15,068 Cirrus Logic, Inc. (a) 1,032,610 48,928 Enphase Energy, Inc. (a) 2,953,294 31,532 Entegris, Inc. 2,267,466 19,808 Inphi Corp. (a) 2,588,113 7,859 Monolithic Power Systems, Inc. 2,082,714 15,761 Power Integrations, Inc. 1,923,315 4,641 Silicon Laboratories, Inc. (a) 466,467 --------------- 15,325,036 --------------- SOFTWARE -- 17.5% 34,493 ACI Worldwide, Inc. (a) 924,067 14,165 Alteryx, Inc., Class A (a) 2,485,816 30,819 Anaplan, Inc. (a) 1,399,491 17,487 Avalara, Inc. (a) 2,351,127 28,074 Blackline, Inc. (a) 2,496,059 182,976 Cloudera, Inc. (a) 2,062,139 23,208 Crowdstrike Holdings, Inc., Class A (a) 2,627,146 64,148 Dropbox, Inc., Class A (a) 1,459,367 25,239 Elastic N.V. (a) 2,427,739 18,990 Envestnet, Inc. (a) 1,541,988 16,821 Everbridge, Inc. (a) 2,402,039 21,030 Five9, Inc. (a) 2,540,845 8,401 Guidewire Software, Inc. (a) 988,462 10,376 HubSpot, Inc. (a) 2,434,313 19,767 Manhattan Associates, Inc. (a) 1,893,481 33,521 Mimecast Ltd. (a) 1,573,140 20,271 New Relic, Inc. (a) 1,437,417 Page 86 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 73,579 Nuance Communications, Inc. (a) $ 2,012,386 39,276 Nutanix, Inc., Class A (a) 871,534 15,954 Paylocity Holding Corp. (a) 2,125,073 18,404 Pegasystems, Inc. 2,151,244 8,377 Proofpoint, Inc. (a) 968,968 17,952 PTC, Inc. (a) 1,535,973 21,703 Q2 Holdings, Inc. (a) 2,041,167 13,427 Qualys, Inc. (a) 1,657,966 18,246 Rapid7, Inc. (a) 1,086,914 28,641 RealPage, Inc. (a) 1,804,669 27,426 Smartsheet, Inc., Class A (a) 1,309,317 52,687 SolarWinds Corp. (a) 967,333 10,303 Verint Systems, Inc. (a) 462,502 21,032 Zendesk, Inc. (a) 1,917,067 9,182 Zoom Video Communications, Inc., Class A (a) 2,331,402 21,255 Zscaler, Inc. (a) 2,759,962 --------------- 59,048,113 --------------- SPECIALTY RETAIL -- 2.9% 19,365 Carvana Co. (a) 3,000,607 13,062 Five Below, Inc. (a) 1,422,582 40,372 Floor & Decor Holdings, Inc., Class A (a) 2,660,515 9,352 RH (a) 2,688,045 --------------- 9,771,749 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.6% 107,442 Pure Storage, Inc., Class A (a) 1,918,914 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 11,556 Columbia Sportswear Co. 876,407 11,852 Deckers Outdoor Corp. (a) 2,480,031 --------------- 3,356,438 --------------- THRIFTS & MORTGAGE FINANCE -- 0.3% 60,026 Radian Group, Inc. 895,588 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 26,870 HD Supply Holdings, Inc. (a) 943,137 20,423 SiteOne Landscape Supply, Inc. (a) 2,614,757 --------------- 3,557,894 --------------- WATER UTILITIES -- 0.1% 5,921 American States Water Co. 455,206 --------------- TOTAL COMMON STOCKS -- 100.0% 338,070,339 (Cost $263,664,957) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.9% 3,206,045 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) $ 3,206,045 (Cost $3,206,045) --------------- TOTAL INVESTMENTS -- 100.9% 341,276,384 (Cost $266,871,002) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (3,127,362) --------------- NET ASSETS -- 100.0% $ 338,149,022 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $3,059,093 and the total value of the collateral held by the Fund is $3,206,045. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $268,998,904. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $77,598,028 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,320,548. The net unrealized appreciation was $72,277,480. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 338,070,339 $ -- $ -- Money Market Funds 3,206,045 -- -- -------------------------------------------- Total Investments $ 341,276,384 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 87 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 --------------------------------- 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) $ 3,059,093 Non-cash Collateral(2) (3,059,093) --------------- 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, 2020, 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. Page 88 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.8% 11,331 AAR Corp. $ 195,120 721 AeroVironment, Inc. (a) 55,193 2,815 Kaman Corp. 111,164 --------------- 361,477 --------------- AIR FREIGHT & LOGISTICS -- 1.4% 10,517 Air Transport Services Group, Inc. (a) 256,299 2,351 Forward Air Corp. 122,228 4,894 Hub Group, Inc., Class A (a) 258,893 --------------- 637,420 --------------- AIRLINES -- 0.5% 20,853 Hawaiian Holdings, Inc. 247,942 --------------- AUTO COMPONENTS -- 1.7% 8,483 Cooper Tire & Rubber Co. 263,482 24,017 Dana, Inc. 274,515 857 Dorman Products, Inc. (a) 70,060 1,477 Gentherm, Inc. (a) 57,263 2,842 Standard Motor Products, Inc. 129,254 --------------- 794,574 --------------- BANKS -- 13.2% 4,844 1st Source Corp. 160,433 4,535 Banner Corp. 160,675 21,254 Berkshire Hills Bancorp, Inc. 211,690 34,043 Boston Private Financial Holdings, Inc. 200,343 11,618 Brookline Bancorp, Inc. 111,475 6,484 Cadence BanCorp 50,640 7,152 Eagle Bancorp, Inc. 215,132 4,728 FB Financial Corp. 120,138 9,339 First Bancorp 192,944 41,899 First BanCorp 227,931 9,241 First Busey Corp. 158,021 20,815 First Commonwealth Financial Corp. 163,814 21,078 First Financial Bancorp 293,300 3,783 First Interstate BancSystem, Inc., Class A 110,123 6,251 First Merchants Corp. 152,712 17,544 First Midwest Bancorp, Inc. 212,896 16,367 Fulton Financial Corp. 158,760 7,004 Heartland Financial USA, Inc. 218,805 8,617 Heritage Financial Corp. 162,991 12,695 Hilltop Holdings, Inc. 247,172 25,403 Hope Bancorp, Inc. 214,147 5,780 Independent Bank Group, Inc. 253,915 5,382 International Bancshares Corp. 163,720 3,807 NBT Bancorp, Inc. 113,411 9,776 OceanFirst Financial Corp. 149,768 8,759 OFG Bancorp 114,568 5,402 Pacific Premier Bancorp, Inc. 113,496 1,664 Park National Corp. 142,705 6,922 Renasant Corp. 160,798 7,350 S&T Bancorp, Inc. 158,025 17,111 Simmons First National Corp., Class A 283,871 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 9,148 TowneBank $ 161,371 5,660 TriCo Bancshares 158,480 7,029 Trustmark Corp. 158,293 11,532 WesBanco, Inc. 228,680 --------------- 6,105,243 --------------- BEVERAGES -- 0.1% 941 National Beverage Corp. (a) (b) 60,365 --------------- BIOTECHNOLOGY -- 0.1% 1,144 Enanta Pharmaceuticals, Inc. (a) 52,452 --------------- BUILDING PRODUCTS -- 1.3% 2,439 Gibraltar Industries, Inc. (a) 126,145 6,323 Griffon Corp. 144,607 1,912 Patrick Industries, Inc. 122,272 7,469 PGT Innovations, Inc. (a) 127,496 4,902 Resideo Technologies, Inc. (a) 65,099 --------------- 585,619 --------------- CAPITAL MARKETS -- 1.1% 20,967 BGC Partners, Inc., Class A 58,078 1,844 Moelis & Co., Class A 54,933 1,980 Piper Sandler Cos. 122,582 1,045 StoneX Group, Inc. (a) 54,842 15,101 Waddell & Reed Financial, Inc., Class A 220,323 --------------- 510,758 --------------- CHEMICALS -- 3.6% 4,465 Avient Corp. 106,714 3,161 Cabot Corp. 115,313 2,626 H.B. Fuller Co. 119,063 19,011 Livent Corp. (a) 119,199 4,991 Minerals Technologies, Inc. 233,978 20,384 Olin Corp. 229,116 22,117 Orion Engineered Carbons S.A. 225,593 17,690 PQ Group Holdings, Inc. (a) 217,056 1,101 Sensient Technologies Corp. 57,483 1,206 Stepan Co. 131,695 5,285 Trinseo S.A. 114,685 --------------- 1,669,895 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.6% 15,388 BrightView Holdings, Inc. (a) 186,503 5,991 Covanta Holding Corp. 58,951 2,349 Healthcare Services Group, Inc. 61,520 5,638 HNI Corp. 167,449 17,021 KAR Auction Services, Inc. 257,528 19,214 Knoll, Inc. 224,996 24,276 Steelcase, Inc., Class A 260,481 --------------- 1,217,428 --------------- COMMUNICATIONS EQUIPMENT -- 0.5% 6,164 EchoStar Corp., Class A (a) 168,277 2,248 NetScout Systems, Inc. (a) 57,234 --------------- 225,511 --------------- See Notes to Financial Statements Page 89 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING -- 2.8% 5,550 Arcosa, Inc. $ 234,321 4,229 Comfort Systems USA, Inc. 210,223 2,864 Dycom Industries, Inc. (a) 122,665 24,236 Fluor Corp. 246,965 15,296 Granite Construction, Inc. 259,420 13,188 Primoris Services Corp. 211,404 --------------- 1,284,998 --------------- CONSTRUCTION MATERIALS -- 0.3% 10,718 Summit Materials, Inc., Class A (a) 157,769 --------------- CONSUMER FINANCE -- 0.8% 5,042 Encore Capital Group, Inc. (a) 184,184 1,171 Green Dot Corp., Class A (a) 59,358 12,626 LendingClub Corp. (a) 65,908 1,486 PRA Group, Inc. (a) 58,786 --------------- 368,236 --------------- CONTAINERS & PACKAGING -- 0.5% 6,807 Greif, Inc., Class A 236,816 --------------- DISTRIBUTORS -- 0.3% 4,693 Core-Mark Holding Co., Inc. 124,458 --------------- DIVERSIFIED CONSUMER SERVICES -- 2.2% 9,399 Adtalem Global Education, Inc. (a) 322,762 854 Graham Holdings Co., Class B 340,208 29,380 Laureate Education, Inc., Class A (a) 372,538 --------------- 1,035,508 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1% 948 ATN International, Inc. 54,633 --------------- ELECTRIC UTILITIES -- 0.3% 3,019 Otter Tail Corp. 115,477 --------------- ELECTRICAL EQUIPMENT -- 0.7% 5,022 AZZ, Inc. 158,595 3,530 Encore Wire Corp. 177,171 --------------- 335,766 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.4% 5,422 Benchmark Electronics, Inc. 110,392 5,844 CTS Corp. 116,062 2,438 ePlus, Inc. (a) 181,729 3,503 Insight Enterprises, Inc. (a) 174,590 9,366 Methode Electronics, Inc. 264,121 16,644 MTS Systems Corp. 308,746 2,526 PC Connection, Inc. 110,386 1,660 Plexus Corp. (a) 123,321 6,883 Sanmina Corp. (a) 204,287 19,748 TTM Technologies, Inc. (a) 243,098 11,287 Vishay Intertechnology, Inc. 177,093 --------------- 2,013,825 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES -- 2.9% 26,556 Archrock, Inc. $ 176,863 84,371 Helix Energy Solutions Group, Inc. (a) 353,514 95,598 NexTier Oilfield Solutions, Inc. (a) 240,907 67,497 Patterson-UTI Energy, Inc. 261,551 56,959 ProPetro Holding Corp. (a) 305,870 --------------- 1,338,705 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.9% 4,713 Alexander & Baldwin, Inc. 55,708 31,279 CoreCivic, Inc. 278,696 52,942 DiamondRock Hospitality Co. 244,592 52,930 Diversified Healthcare Trust 206,162 33,459 Empire State Realty Trust, Inc., Class A 220,829 19,798 GEO Group (The), Inc. 210,453 23,764 iStar, Inc. 275,900 31,014 RLJ Lodging Trust 248,422 42,065 RPT Realty 261,644 28,915 SITE Centers Corp. 211,947 49,371 Summit Hotel Properties, Inc. 255,742 8,057 Tanger Factory Outlet Centers, Inc. (b) 51,807 25,103 Xenia Hotels & Resorts, Inc. 199,820 --------------- 2,721,722 --------------- FOOD & STAPLES RETAILING -- 1.1% 4,230 Chefs' Warehouse (The), Inc. (a) 48,772 1,941 PriceSmart, Inc. 126,883 4,576 Sprouts Farmers Market, Inc. (a) 120,715 4,673 Weis Markets, Inc. 232,809 --------------- 529,179 --------------- FOOD PRODUCTS -- 1.1% 4,803 B&G Foods, Inc. (b) 138,855 9,513 Fresh Del Monte Produce, Inc. 214,804 9,583 Hostess Brands, Inc. (a) 121,512 1,676 Tootsie Roll Industries, Inc. 53,129 --------------- 528,300 --------------- GAS UTILITIES -- 0.1% 684 Chesapeake Utilities Corp. 57,791 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.2% 1,617 Inogen, Inc. (a) 49,642 3,792 Varex Imaging Corp. (a) 59,459 --------------- 109,101 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.5% 2,362 Magellan Health, Inc. (a) 175,190 906 National HealthCare Corp. 53,744 --------------- 228,934 --------------- HEALTH CARE TECHNOLOGY -- 0.2% 5,232 NextGen Healthcare, Inc. (a) 76,492 --------------- Page 90 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 0.8% 5,389 Bloomin' Brands, Inc. $ 62,081 4,310 Dave & Buster's Entertainment, Inc. (b) 53,185 5,990 Hilton Grand Vacations, Inc. (a) 121,597 32,350 Playa Hotels & Resorts N.V. (a) 117,431 --------------- 354,294 --------------- HOUSEHOLD DURABLES -- 4.4% 9,549 Century Communities, Inc. (a) 340,135 685 iRobot Corp. (a) 49,793 4,328 La-Z-Boy, Inc. 123,175 6,561 M.D.C. Holdings, Inc. 294,129 8,501 M/I Homes, Inc. (a) 353,897 3,077 Meritage Homes Corp. (a) 305,177 8,935 Taylor Morrison Home Corp. (a) 209,526 19,930 TRI Pointe Group, Inc. (a) 333,229 --------------- 2,009,061 --------------- HOUSEHOLD PRODUCTS -- 0.3% 3,466 Central Garden & Pet Co., Class A (a) 120,097 --------------- INDUSTRIAL CONGLOMERATES -- 0.1% 2,671 Raven Industries, Inc. 57,720 --------------- INSURANCE -- 5.5% 11,848 American Equity Investment Life Holding Co. 301,532 1,649 Argo Group International Holdings Ltd. 55,258 18,803 CNO Financial Group, Inc. 283,925 5,716 Employers Holdings, Inc. 185,884 4,802 FBL Financial Group, Inc., Class A 167,014 4,692 Horace Mann Educators Corp. 176,325 1,410 Mercury General Corp. 60,503 13,548 National General Holdings Corp. 460,497 1,153 National Western Life Group, Inc., Class A 224,593 3,970 ProAssurance Corp. 58,359 1,536 Safety Insurance Group, Inc. 116,229 9,006 Stewart Information Services Corp. 377,802 7,650 Third Point Reinsurance Ltd. (a) 59,593 --------------- 2,527,514 --------------- INTERACTIVE MEDIA & SERVICES -- 0.1% 2,484 Yelp, Inc. (a) 62,050 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.2% 313 Stamps.com, Inc. (a) 81,468 --------------- IT SERVICES -- 0.4% 6,231 Sykes Enterprises, Inc. (a) 171,103 --------------- MACHINERY -- 3.9% 1,803 Altra Industrial Motion Corp. 61,717 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 1,241 Astec Industries, Inc. $ 55,212 2,415 Chart Industries, Inc. (a) 165,500 3,497 EnPro Industries, Inc. 166,912 3,768 Gorman-Rupp (The) Co. 114,020 11,829 Meritor, Inc. (a) 269,110 6,484 Mueller Industries, Inc. 181,293 18,276 Mueller Water Products, Inc., Class A 184,953 6,239 Terex Corp. 117,605 9,779 TriMas Corp. (a) 228,828 11,001 Trinity Industries, Inc. 214,849 9,433 Welbilt, Inc. (a) 57,353 --------------- 1,817,352 --------------- MARINE -- 0.5% 5,923 Matson, Inc. 215,716 --------------- MEDIA -- 1.9% 10,013 AMC Networks, Inc., Class A (a) 231,300 35,062 iHeartMedia, Inc., Class A (a) (b) 293,119 3,911 Scholastic Corp. 93,590 12,688 Sinclair Broadcast Group, Inc., Class A (b) 261,373 --------------- 879,382 --------------- METALS & MINING -- 3.6% 5,111 Alcoa Corp. (a) 66,443 28,731 Allegheny Technologies, Inc. (a) 249,672 12,058 Carpenter Technology Corp. 269,617 31,222 Cleveland-Cliffs, Inc. (b) 161,730 14,351 Commercial Metals Co. 296,779 17,569 Hecla Mining Co. 96,981 1,591 Kaiser Aluminum Corp. 98,563 934 Materion Corp. 53,630 19,023 Warrior Met Coal, Inc. 302,846 1,540 Worthington Industries, Inc. 57,627 --------------- 1,653,888 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.5% 28,915 Ladder Capital Corp. 224,670 --------------- MULTILINE RETAIL -- 0.9% 6,971 Big Lots, Inc. 274,239 6,683 Dillard's, Inc., Class A (b) 157,385 --------------- 431,624 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.9% 254,582 Callon Petroleum Co. (a) (b) 290,224 64,549 Centennial Resource Development, Inc., Class A (a) 50,819 19,925 CNX Resources Corp. (a) 192,276 3,300 Delek US Holdings, Inc. 57,684 4,828 EQT Corp. 70,103 34,443 Matador Resources Co. (a) 298,965 18,828 PDC Energy, Inc. (a) 268,487 11,815 Renewable Energy Group, Inc. (a) 325,858 78,072 SM Energy Co. 230,312 See Notes to Financial Statements Page 91 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 31,823 Talos Energy, Inc. (a) $ 216,715 11,365 World Fuel Services Corp. 267,418 --------------- 2,268,861 --------------- PAPER & FOREST PRODUCTS -- 1.9% 4,582 Boise Cascade Co. 213,476 13,869 Domtar Corp. 291,110 3,485 Neenah, Inc. 155,466 7,010 Schweitzer-Mauduit International, Inc. 228,035 --------------- 888,087 --------------- PERSONAL PRODUCTS -- 0.7% 4,508 Nu Skin Enterprises, Inc., Class A 202,184 1,595 USANA Health Sciences, Inc. (a) 129,482 --------------- 331,666 --------------- PHARMACEUTICALS -- 0.4% 7,257 Supernus Pharmaceuticals, Inc. (a) 161,577 --------------- PROFESSIONAL SERVICES -- 0.7% 1,806 ICF International, Inc. 122,104 7,622 Korn Ferry 214,178 --------------- 336,282 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 5,972 Marcus & Millichap, Inc. (a) 162,677 7,753 Realogy Holdings Corp. 70,242 --------------- 232,919 --------------- ROAD & RAIL -- 2.1% 5,116 Avis Budget Group, Inc. (a) 132,504 5,625 Heartland Express, Inc. 114,103 6,850 Marten Transport Ltd. 182,347 6,244 Ryder System, Inc. 228,718 4,747 Schneider National, Inc., Class B 119,292 3,959 Werner Enterprises, Inc. 174,137 --------------- 951,101 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.7% 23,783 Amkor Technology, Inc. (a) 323,330 --------------- SOFTWARE -- 0.9% 13,093 Ebix, Inc. 288,766 5,630 Teradata Corp. (a) 118,230 --------------- 406,996 --------------- SPECIALTY RETAIL -- 2.8% 2,229 Asbury Automotive Group, Inc. (a) 223,234 4,438 Group 1 Automotive, Inc. 372,881 1,046 Monro, Inc. 58,890 13,755 Sally Beauty Holdings, Inc. (a) 159,696 28,507 Signet Jewelers Ltd. 306,165 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 11,324 Urban Outfitters, Inc. (a) $ 187,299 --------------- 1,308,165 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 4,125 Super Micro Computer, Inc. (a) 125,008 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 22,029 G-III Apparel Group Ltd. (a) 217,867 --------------- THRIFTS & MORTGAGE FINANCE -- 2.3% 7,806 Axos Financial, Inc. (a) 174,932 5,218 Capitol Federal Financial, Inc. 50,354 11,453 Northwest Bancshares, Inc. 112,812 3,251 Premier Financial Corp. 57,478 11,927 Provident Financial Services, Inc. 162,804 5,762 Walker & Dunlop, Inc. 290,462 8,161 WSFS Financial Corp. 232,833 --------------- 1,081,675 --------------- TOBACCO -- 0.6% 6,887 Universal Corp. 290,356 --------------- TRADING COMPANIES & DISTRIBUTORS -- 4.7% 4,441 Beacon Roofing Supply, Inc. (a) 138,382 3,841 GATX Corp. 234,263 4,762 GMS, Inc. (a) 111,574 9,326 H&E Equipment Services, Inc. 164,044 7,622 Herc Holdings, Inc. (a) 255,642 39,630 MRC Global, Inc. (a) 235,798 7,061 Rush Enterprises, Inc., Class A 335,962 2,797 Systemax, Inc. 62,681 9,682 Triton International Ltd. 304,692 8,339 WESCO International, Inc. (a) 324,137 --------------- 2,167,175 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.4% 1,166 Shenandoah Telecommunications Co. 58,615 14,727 Telephone and Data Systems, Inc. 285,998 9,484 United States Cellular Corp. (a) 281,390 --------------- 626,003 --------------- TOTAL COMMON STOCKS -- 99.8% 46,109,401 (Cost $45,728,853) --------------- MONEY MARKET FUNDS -- 2.7% 1,243,127 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) 1,243,127 (Cost $1,243,127) --------------- Page 92 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 102.5% $ 47,352,528 (Cost $46,971,980) (e) NET OTHER ASSETS AND LIABILITIES -- (2.5)% (1,176,738) --------------- NET ASSETS -- 100.0% $ 46,175,790 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $1,178,971 and the total value of the collateral held by the Fund is $1,243,127. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $47,455,219. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $5,283,470 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,386,161. The net unrealized depreciation was $102,691. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 46,109,401 $ -- $ -- Money Market Funds 1,243,127 -- -- -------------------------------------------- Total Investments $ 47,352,528 $ -- $ -- ============================================ * 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) $ 1,178,971 Non-cash Collateral(2) (1,178,971) --------------- 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, 2020, 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. See Notes to Financial Statements Page 93 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.9% 22,848 Kratos Defense & Security Solutions, Inc. (a) $ 411,492 49,710 Maxar Technologies, Inc. 884,341 --------------- 1,295,833 --------------- AIRLINES -- 0.2% 3,270 Allegiant Travel Co. 366,338 --------------- AUTO COMPONENTS -- 1.3% 10,808 Fox Factory Holding Corp. (a) 961,912 7,765 LCI Industries 976,837 --------------- 1,938,749 --------------- AUTOMOBILES -- 0.6% 13,401 Winnebago Industries, Inc. 809,554 --------------- BANKS -- 3.7% 7,565 Atlantic Union Bankshares Corp. 170,742 4,318 BancFirst Corp. 188,092 5,480 City Holding Co. 342,281 10,868 ConnectOne Bancorp, Inc. 149,870 11,476 Enterprise Financial Services Corp. 333,493 16,899 German American Bancorp, Inc. 480,608 5,323 Independent Bank Corp. 343,440 11,281 Lakeland Financial Corp. 499,297 13,226 National Bank Holdings Corp., Class A 367,418 12,265 Preferred Bank 456,871 7,070 Sandy Spring Bancorp, Inc. 163,458 8,588 Seacoast Banking Corp. of Florida (a) 162,141 14,697 ServisFirst Bancshares, Inc. 537,763 12,883 Southside Bancshares, Inc. 356,859 7,218 Triumph Bancorp, Inc. (a) 189,112 8,707 United Community Banks, Inc. 156,117 20,176 Veritex Holdings, Inc. 337,343 3,051 Westamerica BanCorp. 184,158 --------------- 5,419,063 --------------- BIOTECHNOLOGY -- 8.2% 7,168 Alector, Inc. (a) 112,323 59,203 Amicus Therapeutics, Inc. (a) 855,483 5,673 Arena Pharmaceuticals, Inc. (a) 348,265 38,195 Athenex, Inc. (a) 405,249 25,199 CareDx, Inc. (a) 840,387 9,134 ChemoCentryx, Inc. (a) 481,453 39,991 Coherus Biosciences, Inc. (a) 703,442 14,769 Denali Therapeutics, Inc. (a) 345,890 35,149 Dicerna Pharmaceuticals, Inc. (a) 755,703 12,073 Editas Medicine, Inc. (a) 354,463 3,415 Esperion Therapeutics, Inc. (a) (b) 128,506 26,021 Fate Therapeutics, Inc. (a) 813,677 26,641 Halozyme Therapeutics, Inc. (a) 724,369 11,909 Heron Therapeutics, Inc. (a) 193,998 32,418 Insmed, Inc. (a) 846,758 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 29,475 Invitae Corp. (a) $ 860,670 34,604 Ironwood Pharmaceuticals, Inc. (a) 317,319 37,710 Karyopharm Therapeutics, Inc. (a) 605,245 3,192 Ligand Pharmaceuticals, Inc. (a) 374,039 14,325 Natera, Inc. (a) 687,886 2,930 Principia Biopharma, Inc. (a) 244,948 36,665 TG Therapeutics, Inc. (a) 717,901 6,767 Veracyte, Inc. (a) 241,379 --------------- 11,959,353 --------------- BUILDING PRODUCTS -- 2.1% 9,681 AAON, Inc. 573,599 9,441 American Woodmark Corp. (a) 761,134 117,860 Cornerstone Building Brands, Inc. (a) 668,266 7,605 CSW Industrials, Inc. 507,938 32,623 JELD-WEN Holding, Inc. (a) 639,411 --------------- 3,150,348 --------------- CAPITAL MARKETS -- 2.6% 21,976 Artisan Partners Asset Management, Inc., Class A 796,191 27,013 Focus Financial Partners, Inc., Class A (a) 998,130 5,300 Hamilton Lane, Inc., Class A 382,872 12,839 Houlihan Lokey, Inc. 703,577 17,389 PJT Partners, Inc., Class A 930,833 --------------- 3,811,603 --------------- CHEMICALS -- 0.4% 6,793 Ingevity Corp. (a) 397,255 2,267 Innospec, Inc. 170,410 --------------- 567,665 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 19,676 ABM Industries, Inc. 706,368 13,704 Casella Waste Systems, Inc., Class A (a) 759,339 3,243 McGrath RentCorp 188,159 --------------- 1,653,866 --------------- COMMUNICATIONS EQUIPMENT -- 1.1% 42,871 CommScope Holding Co., Inc. (a) 397,843 120,647 Infinera Corp. (a) 951,905 11,934 Plantronics, Inc. 238,560 --------------- 1,588,308 --------------- CONSTRUCTION & ENGINEERING -- 0.4% 42,764 WillScot Mobile Mini Holdings Corp. (a) 644,026 --------------- CONSUMER FINANCE -- 0.3% 7,480 Nelnet, Inc., Class A 433,840 --------------- Page 94 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES -- 0.9% 44,835 Perdoceo Education Corp. (a) $ 645,624 28,141 WW International, Inc. (a) 725,475 --------------- 1,371,099 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3% 7,027 Bandwidth, Inc., Class A (a) 1,017,369 70,997 Vonage Holdings Corp. (a) 848,414 --------------- 1,865,783 --------------- ELECTRICAL EQUIPMENT -- 2.7% 19,216 Atkore International Group, Inc. (a) 512,491 108,744 Plug Power, Inc. (a) (b) 838,416 9,926 Vicor Corp. (a) 808,671 90,180 Vivint Solar, Inc. (a) 1,834,261 --------------- 3,993,839 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 5,676 Badger Meter, Inc. 355,317 9,806 FARO Technologies, Inc. (a) 586,693 11,480 Knowles Corp. (a) 175,185 2,347 OSI Systems, Inc. (a) 166,543 --------------- 1,283,738 --------------- ENERGY EQUIPMENT & SERVICES -- 0.3% 17,310 Cactus, Inc., Class A 391,552 --------------- ENTERTAINMENT -- 0.1% 4,032 World Wrestling Entertainment, Inc., Class A 187,932 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.3% 22,075 American Finance Trust, Inc. 161,258 17,607 Armada Hoffler Properties, Inc. 169,732 8,731 Community Healthcare Trust, Inc. 399,269 22,732 Easterly Government Properties, Inc. 555,797 14,636 Four Corners Property Trust, Inc. 368,827 12,032 Getty Realty Corp. 356,508 10,472 Global Net Lease, Inc. 174,359 15,247 Independence Realty Trust, Inc. 175,341 25,577 Industrial Logistics Properties Trust 539,930 4,057 Innovative Industrial Properties, Inc. 422,861 9,480 LTC Properties, Inc. 352,182 24,645 Monmouth Real Estate Investment Corp. 355,627 6,113 National Storage Affiliates Trust 188,403 14,867 NexPoint Residential Trust, Inc. 568,365 20,238 Office Properties Income Trust 508,986 3,047 Safehold, Inc. 153,660 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 76,388 Uniti Group, Inc. $ 756,241 14,759 Urban Edge Properties 154,674 --------------- 6,362,020 --------------- FOOD PRODUCTS -- 0.7% 8,537 Freshpet, Inc. (a) 819,979 9,429 Simply Good Foods (The) Co. (a) 226,673 --------------- 1,046,652 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.6% 34,668 Accelerate Diagnostics, Inc. (a) (b) 503,726 15,890 AtriCure, Inc. (a) 648,471 20,342 Axonics Modulation Technologies, Inc. (a) 861,687 7,704 iRhythm Technologies, Inc. (a) 958,994 15,077 Shockwave Medical, Inc. (a) 743,598 12,546 Silk Road Medical, Inc. (a) 582,887 14,508 STAAR Surgical Co. (a) 844,221 4,228 Tactile Systems Technology, Inc. (a) 173,263 --------------- 5,316,847 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.3% 11,630 BioTelemetry, Inc. (a) 494,973 5,037 CorVel Corp. (a) 400,391 12,558 Ensign Group (The), Inc. 577,542 10,579 Hanger, Inc. (a) 184,709 6,135 National Research Corp. 350,861 5,110 Premier, Inc., Class A (a) 178,697 64,057 R1 RCM, Inc. (a) 875,659 45,005 RadNet, Inc. (a) 715,129 63,039 Tivity Health, Inc. (a) 827,072 2,162 US Physical Therapy, Inc. 179,576 --------------- 4,784,609 --------------- HEALTH CARE TECHNOLOGY -- 2.0% 16,226 HMS Holdings Corp. (a) 527,345 37,084 Inovalon Holdings, Inc., Class A (a) 872,587 8,207 Inspire Medical Systems, Inc. (a) 815,447 13,050 Tabula Rasa HealthCare, Inc. (a) (b) 733,410 --------------- 2,948,789 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.2% 21,899 Brinker International, Inc. 588,864 8,483 Dine Brands Global, Inc. 385,383 33,951 Everi Holdings, Inc. (a) 192,842 12,050 Jack in the Box, Inc. 989,425 5,141 Monarch Casino & Resort, Inc. (a) 186,053 11,242 Papa John's International, Inc. 1,064,280 23,099 Scientific Games Corp. (a) 405,849 See Notes to Financial Statements Page 95 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 11,829 SeaWorld Entertainment, Inc. (a) $ 171,166 6,740 Shake Shack, Inc., Class A (a) 327,227 40,053 Twin River Worldwide Holdings, Inc. 863,543 6,424 Wingstop, Inc. 1,003,750 --------------- 6,178,382 --------------- HOUSEHOLD DURABLES -- 3.1% 3,703 Cavco Industries, Inc. (a) 741,822 12,981 Installed Building Products, Inc. (a) 1,026,927 10,142 LGI Homes, Inc. (a) 1,157,304 21,592 Skyline Champion Corp. (a) 609,542 61,025 Sonos, Inc. (a) 976,400 --------------- 4,511,995 --------------- HOUSEHOLD PRODUCTS -- 0.2% 1,801 WD-40 Co. 353,987 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5% 30,972 Clearway Energy, Inc., Class C 760,053 --------------- INSURANCE -- 2.6% 12,233 Ambac Financial Group, Inc. (a) 156,582 2,864 AMERISAFE, Inc. 181,750 5,350 eHealth, Inc. (a) 369,899 5,752 Kinsale Capital Group, Inc. 1,121,065 10,411 Palomar Holdings, Inc. (a) 950,941 20,913 Trupanion, Inc. (a) 1,057,570 --------------- 3,837,807 --------------- INTERNET & DIRECT MARKETING RETAIL -- 2.2% 19,978 Chewy, Inc., Class A (a) 1,048,645 48,786 Quotient Technology, Inc. (a) 390,776 41,092 RealReal (The), Inc. (a) 560,495 10,212 Shutterstock, Inc. 554,920 28,638 Stitch Fix, Inc., Class A (a) (b) 634,332 --------------- 3,189,168 --------------- IT SERVICES -- 3.6% 8,628 CSG Systems International, Inc. 363,498 12,709 EVERTEC, Inc. 394,615 7,673 Evo Payments, Inc., Class A (a) 174,100 8,290 ExlService Holdings, Inc. (a) 531,057 7,673 ManTech International Corp., Class A 533,887 22,891 NIC, Inc. 501,771 14,689 Perficient, Inc. (a) 575,956 29,493 Switch, Inc., Class A 530,579 15,340 TTEC Holdings, Inc. 728,036 51,125 Verra Mobility Corp. (a) 523,009 10,999 Virtusa Corp. (a) 446,559 --------------- 5,303,067 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- LEISURE PRODUCTS -- 1.9% 20,530 Acushnet Holdings Corp. $ 781,167 50,988 Callaway Golf Co. 971,321 17,185 Malibu Boats, Inc., Class A (a) 1,010,134 --------------- 2,762,622 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.3% 12,167 NanoString Technologies, Inc. (a) 439,350 --------------- MACHINERY -- 3.7% 6,958 Alamo Group, Inc. 717,439 2,984 Albany International Corp., Class A 143,471 4,989 Douglas Dynamics, Inc. 176,361 4,225 ESCO Technologies, Inc. 363,097 47,999 Evoqua Water Technologies Corp. (a) 923,021 24,024 Federal Signal Corp. 742,582 10,007 Franklin Electric Co., Inc. 540,878 7,167 Kadant, Inc. 777,691 12,769 SPX Corp. (a) 536,298 8,087 Tennant Co. 538,756 --------------- 5,459,594 --------------- MEDIA -- 1.2% 12,757 Cardlytics, Inc. (a) 847,320 168,450 Clear Channel Outdoor Holdings, Inc. (a) 154,384 51,199 Gray Television, Inc. (a) 734,194 --------------- 1,735,898 --------------- METALS & MINING -- 0.9% 103,458 Coeur Mining, Inc. (a) 820,422 10,780 Compass Minerals International, Inc. 549,133 --------------- 1,369,555 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.4% 38,649 Arbor Realty Trust, Inc. 393,833 50,871 Colony Credit Real Estate, Inc. 320,487 49,738 Granite Point Mortgage Trust, Inc. 337,721 6,155 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 215,610 21,538 KKR Real Estate Finance Trust, Inc. 358,608 67,122 New York Mortgage Trust, Inc. 175,860 9,993 PennyMac Mortgage Investment Trust 188,368 --------------- 1,990,487 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.7% 42,974 Equitrans Midstream Corp. 414,699 316,605 Kosmos Energy Ltd. 509,734 152,338 Tellurian, Inc. (a) (b) 135,855 --------------- 1,060,288 --------------- Page 96 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PERSONAL PRODUCTS -- 0.7% 6,433 Medifast, Inc. $ 1,075,147 --------------- PHARMACEUTICALS -- 3.1% 10,647 Arvinas, Inc. (a) 335,380 53,079 Corcept Therapeutics, Inc. (a) 793,531 51,076 Endo International PLC (a) 177,744 37,594 Innoviva, Inc. (a) 509,211 26,624 NGM Biopharmaceuticals, Inc. (a) 486,953 17,015 Pacira BioSciences, Inc. (a) 895,159 13,993 Prestige Consumer Healthcare, Inc. (a) 520,400 21,522 Revance Therapeutics, Inc. (a) 505,337 17,014 Theravance Biopharma, Inc. (a) 330,412 --------------- 4,554,127 --------------- PROFESSIONAL SERVICES -- 0.8% 29,796 CBIZ, Inc. (a) 720,467 8,070 Huron Consulting Group, Inc. (a) 385,101 --------------- 1,105,568 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.6% 47,363 Forestar Group, Inc. (a) 819,854 36,047 Newmark Group, Inc., Class A 146,711 21,303 Redfin Corp. (a) 885,779 27,063 St Joe (The) Co. (a) 557,768 --------------- 2,410,112 --------------- ROAD & RAIL -- 0.7% 8,030 Saia, Inc. (a) 959,184 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.5% 13,170 Advanced Energy Industries, Inc. (a) 968,917 3,825 Ambarella, Inc. (a) 173,196 41,190 Cohu, Inc. 775,608 10,366 Diodes, Inc. (a) 533,331 30,439 FormFactor, Inc. (a) 877,861 25,158 Lattice Semiconductor Corp. (a) 782,162 20,793 MACOM Technology Solutions Holdings, Inc. (a) 878,712 34,577 Rambus, Inc. (a) 510,356 68,612 SunPower Corp. (a) (b) 640,150 8,742 Synaptics, Inc. (a) 699,535 39,452 Ultra Clean Holdings, Inc. (a) 1,187,110 --------------- 8,026,938 --------------- SOFTWARE -- 11.2% 23,519 2U, Inc. (a) 1,107,627 22,319 8x8, Inc. (a) 354,872 13,776 Alarm.com Holdings, Inc. (a) 964,871 17,968 Altair Engineering, Inc., Class A (a) 724,110 5,487 Appfolio, Inc., Class A (a) 763,900 13,936 Appian Corp. (a) (b) 708,924 10,352 Bottomline Technologies DE, Inc. (a) 499,588 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 34,404 Box, Inc., Class A (a) $ 617,552 21,547 LivePerson, Inc. (a) 926,090 1,481 MicroStrategy, Inc., Class A (a) 183,526 20,547 Model N, Inc. (a) 790,238 24,956 PagerDuty, Inc. (a) 760,659 29,117 Pluralsight, Inc., Class A (a) 616,407 13,565 Progress Software Corp. 472,876 3,943 PROS Holdings, Inc. (a) 128,660 33,728 Sailpoint Technologies Holdings, Inc. (a) 1,062,432 11,885 SPS Commerce, Inc. (a) 893,395 37,927 SVMK, Inc. (a) 909,490 23,959 Tenable Holdings, Inc. (a) 812,929 15,120 Upland Software, Inc. (a) 520,430 5,940 Varonis Systems, Inc. (a) 643,599 13,352 Workiva, Inc. (a) 746,377 42,997 Yext, Inc. (a) 723,210 41,221 Zuora, Inc., Class A (a) 479,812 --------------- 16,411,574 --------------- SPECIALTY RETAIL -- 1.7% 16,564 Boot Barn Holdings, Inc. (a) 320,679 11,172 Buckle (The), Inc. 179,087 32,091 Rent-A-Center, Inc. 928,072 21,441 Sleep Number Corp. (a) 997,006 --------------- 2,424,844 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.2% 24,247 Crocs, Inc. (a) 871,437 13,074 Levi Strauss & Co., Class A 158,980 29,999 Wolverine World Wide, Inc. 721,176 --------------- 1,751,593 --------------- THRIFTS & MORTGAGE FINANCE -- 2.7% 25,591 Columbia Financial, Inc. (a) 307,860 24,269 Flagstar Bancorp, Inc. 761,561 9,641 Meta Financial Group, Inc. 179,901 71,767 Mr. Cooper Group, Inc. (a) 1,171,955 22,211 NMI Holdings, Inc., Class A (a) 344,715 21,364 PennyMac Financial Services, Inc. 1,031,027 6,527 Washington Federal, Inc. 152,340 --------------- 3,949,359 --------------- TOBACCO -- 0.3% 52,244 Vector Group Ltd. 460,792 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 28,410 BMC Stock Holdings, Inc. (a) 727,296 --------------- WATER UTILITIES -- 0.5% 7,486 California Water Service Group 350,869 5,316 Middlesex Water Co. 340,543 --------------- 691,412 --------------- TOTAL COMMON STOCKS -- 100.0% 146,691,605 (Cost $121,509,795) --------------- See Notes to Financial Statements Page 97 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 2.4% 3,584,047 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.10% (c) (d) $ 3,584,047 (Cost $3,584,047) --------------- TOTAL INVESTMENTS -- 102.4% 150,275,652 (Cost $125,093,842) (e) NET OTHER ASSETS AND LIABILITIES -- (2.4)% (3,571,814) --------------- NET ASSETS -- 100.0% $ 146,703,838 =============== (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 remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $3,416,556 and the total value of the collateral held by the Fund is $3,584,047. (c) Rate shown reflects yield as of July 31, 2020. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $125,414,366. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $29,520,649 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,659,363. The net unrealized appreciation was $24,861,286. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 146,691,605 $ -- $ -- Money Market Funds 3,584,047 -- -- -------------------------------------------- Total Investments $ 150,275,652 $ -- $ -- ============================================ * 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) $ 3,416,556 Non-cash Collateral(2) (3,416,556) --------------- 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, 2020, 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. Page 98 See Notes to Financial Statements FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS JULY 31, 2020 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.6% 2,268 Raytheon Technologies Corp. $ 128,550 --------------- AUTOMOBILES -- 4.2% 647 Tesla, Inc. (a) 925,702 --------------- BANKS -- 6.3% 11,770 Bank of America Corp. 292,838 8,206 Citigroup, Inc. 410,382 2,972 JPMorgan Chase & Co. 287,214 16,380 Wells Fargo & Co. 397,379 --------------- 1,387,813 --------------- BIOTECHNOLOGY -- 5.6% 1,424 AbbVie, Inc. 135,152 1,817 Gilead Sciences, Inc. 126,336 896 Regeneron Pharmaceuticals, Inc. (a) 566,335 1,444 Vertex Pharmaceuticals, Inc. (a) 392,768 --------------- 1,220,591 --------------- CAPITAL MARKETS -- 5.2% 2,122 Goldman Sachs Group (The), Inc. 420,071 8,682 Morgan Stanley 424,376 848 S&P Global, Inc. 297,012 --------------- 1,141,459 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 2,997 Cisco Systems, Inc. 141,159 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.8% 23,118 AT&T, Inc. 683,830 10,141 Verizon Communications, Inc. 582,905 --------------- 1,266,735 --------------- ENTERTAINMENT -- 2.1% 922 Netflix, Inc. (a) 450,747 --------------- FOOD & STAPLES RETAILING -- 0.7% 1,167 Walmart, Inc. 151,010 --------------- HEALTH CARE PROVIDERS & SERVICES -- 7.6% 2,126 Anthem, Inc. 582,099 2,235 Cigna Corp. 385,962 8,605 CVS Health Corp. 541,598 474 UnitedHealth Group, Inc. 143,518 --------------- 1,653,177 --------------- INDUSTRIAL CONGLOMERATES -- 1.9% 896 3M Co. 134,821 1,933 Honeywell International, Inc. 288,732 --------------- 423,553 --------------- INTERACTIVE MEDIA & SERVICES -- 2.8% 197 Alphabet, Inc., Class A (a) 293,126 1,231 Facebook, Inc., Class A (a) 312,268 --------------- 605,394 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INTERNET & DIRECT MARKETING RETAIL -- 3.7% 253 Amazon.com, Inc. (a) $ 800,664 --------------- IT SERVICES -- 5.6% 651 Accenture PLC, Class A 146,332 2,315 International Business Machines Corp. 284,606 4,011 PayPal Holdings, Inc. (a) 786,437 --------------- 1,217,375 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.7% 386 Thermo Fisher Scientific, Inc. 159,785 --------------- MACHINERY -- 1.3% 2,210 Caterpillar, Inc. 293,665 --------------- MEDIA -- 5.0% 822 Charter Communications, Inc., Class A (a) 476,760 14,343 Comcast Corp., Class A 613,880 --------------- 1,090,640 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.4% 6,266 Chevron Corp. 525,968 15,628 Exxon Mobil Corp. 657,626 --------------- 1,183,594 --------------- PHARMACEUTICALS -- 4.4% 1,808 Merck & Co., Inc. 145,074 21,372 Pfizer, Inc. 822,394 --------------- 967,468 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 7.6% 11,681 Intel Corp. 557,534 1,104 NVIDIA Corp. 468,748 6,130 QUALCOMM, Inc. 647,389 --------------- 1,673,671 --------------- SOFTWARE -- 12.8% 1,284 Adobe, Inc. (a) 570,507 1,492 salesforce.com, Inc. (a) 290,716 1,380 ServiceNow, Inc. (a) 606,096 4,513 VMware, Inc., Class A (a) 632,768 2,756 Zoom Video Communications, Inc., Class A (a) 699,776 --------------- 2,799,863 --------------- SPECIALTY RETAIL -- 5.6% 1,674 Home Depot (The), Inc. 444,430 5,172 Lowe's Cos., Inc. 770,163 --------------- 1,214,593 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 3.0% 1,533 Apple, Inc. 651,586 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.3% 2,684 T-Mobile US, Inc. (a) 288,208 --------------- See Notes to Financial Statements Page 99 FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2020 DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 99.8% $ 21,837,002 (Cost $20,324,348) (b) NET OTHER ASSETS AND LIABILITIES -- 0.2% 41,419 --------------- NET ASSETS -- 100.0% $ 21,878,421 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $20,887,471. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,395,976 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,446,445. The net unrealized appreciation was $949,531. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2020 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* $ 21,837,002 $ -- $ -- ============================================ * See Portfolio of Investments for industry breakout. Page 100 See Notes to Financial Statements This page is intentionally left blank. FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2020
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................................................ $ 932,833,291 $ 600,520,451 $ 411,131,625 Cash................................................................. -- -- -- Receivables: Capital shares sold............................................ -- -- -- Investment securities sold..................................... -- -- -- Dividends...................................................... 826,786 86,693 123,958 Securities lending income...................................... 27,333 27,622 47,494 Prepaid expenses..................................................... 6,339 5,144 4,498 ---------------- ---------------- ---------------- Total Assets................................................... 933,693,749 600,639,910 411,307,575 ---------------- ---------------- ---------------- LIABILITIES: Payables: Collateral for securities on loan.............................. 8,014,309 10,256,447 13,511,982 Investment advisory fees....................................... 386,668 250,404 166,927 Shareholder reporting fees..................................... 54,040 44,746 32,004 Licensing fees................................................. 31,630 20,120 13,157 Audit and tax fees............................................. 22,286 22,286 22,279 Trustees' fees................................................. 2,679 2,543 2,456 Other liabilities.................................................... 202,311 130,911 88,371 ---------------- ---------------- ---------------- Total Liabilities.............................................. 8,713,923 10,727,457 13,837,176 ---------------- ---------------- ---------------- NET ASSETS........................................................... $ 924,979,826 $ 589,912,453 $ 397,470,399 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital...................................................... $ 1,180,308,820 $ 818,516,584 $ 665,497,929 Par value............................................................ 148,500 91,000 71,000 Accumulated distributable earnings (loss)............................ (255,477,494) (228,695,131) (268,098,530) ---------------- ---------------- ---------------- NET ASSETS........................................................... $ 924,979,826 $ 589,912,453 $ 397,470,399 ================ ================ ================ NET ASSET VALUE, per share........................................... $ 62.29 $ 64.83 $ 55.98 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................. 14,850,002 9,100,002 7,100,002 ================ ================ ================ Investments, at cost................................................. $ 852,638,879 $ 560,476,810 $ 381,813,959 ================ ================ ================ Securities on loan, at value......................................... $ 7,738,999 $ 9,766,584 $ 12,801,455 ================ ================ ================
Page 102 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 624,433,206 $ 993,548,230 $ 52,367,054 $ 171,867,487 $ 35,336,249 $ 341,276,384 -- -- -- -- 45,970 254,558 -- -- -- -- -- -- -- -- -- -- -- -- 943,732 310,090 43,937 36,391 538 10,383 46,617 1,801 4,248 5,910 3,451 2,162 5,865 5,586 3,340 3,558 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 625,429,420 993,865,707 52,418,579 171,913,346 35,386,208 341,543,487 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 7,922,251 4,013,226 960,628 1,393,417 729,618 3,206,045 257,179 410,193 9,294 70,137 20,300 188,420 49,744 45,059 8,878 13,163 -- -- 22,119 30,777 1,835 5,463 -- -- 22,330 22,388 22,191 22,272 -- -- 2,592 2,604 2,332 2,363 -- -- 137,314 194,476 26,088 39,868 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 8,413,529 4,718,723 1,031,246 1,546,683 749,918 3,394,465 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 617,015,891 $ 989,146,984 $ 51,387,333 $ 170,366,663 $ 34,636,290 $ 338,149,022 ================ ================ ================ ================ ================ ================ $ 961,232,476 $ 957,287,849 $ 96,739,692 $ 173,976,374 $ 66,841,610 $ 343,259,637 133,000 120,500 11,000 20,500 12,500 66,000 (344,349,585) 31,738,635 (45,363,359) (3,630,211) (32,217,820) (5,176,615) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 617,015,891 $ 989,146,984 $ 51,387,333 $ 170,366,663 $ 34,636,290 $ 338,149,022 ================ ================ ================ ================ ================ ================ $ 46.39 $ 82.09 $ 46.72 $ 83.11 $ 27.71 $ 51.23 ================ ================ ================ ================ ================ ================ 13,300,002 12,050,002 1,100,002 2,050,002 1,250,002 6,600,002 ================ ================ ================ ================ ================ ================ $ 658,744,148 $ 769,909,420 $ 55,436,153 $ 132,340,296 $ 39,473,881 $ 266,871,002 ================ ================ ================ ================ ================ ================ $ 7,625,448 $ 3,969,626 $ 915,738 $ 1,336,590 $ 689,479 $ 3,059,093 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 103 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JULY 31, 2020
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................................................ $ 47,352,528 $ 150,275,652 $ 21,837,002 Cash................................................................. 70,481 36,848 9,083 Receivables: Capital shares sold............................................ -- -- -- Investment securities sold..................................... -- -- -- Dividends...................................................... 18,239 35,043 45,239 Securities lending income...................................... 4,862 23,194 -- Prepaid expenses..................................................... -- -- -- ---------------- ---------------- ---------------- Total Assets................................................... 47,446,110 150,370,737 21,891,324 ---------------- ---------------- ---------------- LIABILITIES: Payables: Collateral for securities on loan.............................. 1,243,127 3,584,047 -- Investment advisory fees....................................... 27,193 82,852 12,903 Shareholder reporting fees..................................... -- -- -- Licensing fees................................................. -- -- -- Audit and tax fees............................................. -- -- -- Trustees' fees................................................. -- -- -- Other liabilities.................................................... -- -- -- ---------------- ---------------- ---------------- Total Liabilities.............................................. 1,270,320 3,666,899 12,903 ---------------- ---------------- ---------------- NET ASSETS........................................................... $ 46,175,790 $ 146,703,838 $ 21,878,421 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital...................................................... $ 86,302,117 $ 240,275,054 $ 27,335,889 Par value............................................................ 15,000 33,000 6,000 Accumulated distributable earnings (loss)............................ (40,141,327) (93,604,216) (5,463,468) ---------------- ---------------- ---------------- NET ASSETS........................................................... $ 46,175,790 $ 146,703,838 $ 21,878,421 ================ ================ ================ NET ASSET VALUE, per share........................................... $ 30.78 $ 44.46 $ 36.46 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................ 1,500,002 3,300,002 600,002 ================ ================ ================ Investments, at cost................................................. $ 46,971,980 $ 125,093,842 $ 20,324,348 ================ ================ ================ Securities on loan, at value......................................... $ 1,178,971 $ 3,416,556 $ -- ================ ================ ================
Page 104 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2020
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............................................................ $ 24,335,717 $ 14,103,062 $ 6,870,410 Securities lending income (net of fees).............................. 115,049 228,337 535,973 Foreign withholding tax.............................................. -- (6,062) (8,640) ---------------- ---------------- ---------------- Total investment income........................................ 24,450,766 14,325,337 7,397,743 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................. 5,857,343 3,726,820 2,405,311 Accounting and administration fees................................... 567,427 375,559 244,459 Licensing fees....................................................... 171,306 112,614 76,204 Shareholder reporting fees........................................... 107,771 88,416 65,488 Custodian fees....................................................... 99,336 86,219 67,522 Transfer agent fees.................................................. 53,450 37,268 24,049 Legal fees........................................................... 25,516 16,635 9,135 Audit and tax fees................................................... 22,939 22,939 22,939 Trustees' fees and expenses.......................................... 8,043 7,667 7,431 Listing fees......................................................... 5,513 5,155 4,602 Other expenses....................................................... 22,194 14,943 10,547 ---------------- ---------------- ---------------- Total expenses................................................. 6,940,838 4,494,235 2,937,687 Less fees waived and expenses reimbursed by the investment advisor ......................................... -- -- -- ---------------- ---------------- ---------------- Net expenses................................................... 6,940,838 4,494,235 2,937,687 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)......................................... 17,509,928 9,831,102 4,460,056 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments.................................................... (94,466,260) (72,533,015) (94,544,602) In-kind redemptions............................................ 83,681,605 1,175,921 7,160,098 ---------------- ---------------- ---------------- Net realized gain (loss)............................................. (10,784,655) (71,357,094) (87,384,504) ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments.. (46,535,745) (23,184,194) 13,740,440 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (57,320,400) (94,541,288) (73,644,064) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................... $ (39,810,472) $ (84,710,186) $ (69,184,008) ================ ================ ================
See Notes to Financial Statements Page 105 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE YEAR ENDED JULY 31, 2020
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............................................................ $ 24,646,918 $ 13,190,609 $ 1,786,542 Securities lending income (net of fees).............................. 189,341 8,128 35,410 Foreign withholding tax.............................................. -- -- (769) ---------------- ---------------- ---------------- Total investment income........................................ 24,836,259 13,198,737 1,821,183 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................. 4,575,710 4,858,991 355,838 Accounting and administration fees................................... 452,574 484,832 39,272 Licensing fees....................................................... 137,476 141,573 19,669 Shareholder reporting fees........................................... 99,739 93,239 18,366 Custodian fees....................................................... 83,929 81,914 48,304 Transfer agent fees.................................................. 44,089 47,931 3,559 Legal fees........................................................... 20,243 23,539 1,520 Audit and tax fees................................................... 22,939 22,939 22,939 Trustees' fees and expenses.......................................... 7,819 7,864 7,091 Listing fees......................................................... 5,484 5,242 5,573 Other expenses....................................................... 18,726 17,198 3,494 ---------------- ---------------- ---------------- Total expenses................................................. 5,468,728 5,785,262 525,625 Less fees waived and expenses reimbursed by the investment advisor ......................................... -- -- (27,452) ---------------- ---------------- ---------------- Net expenses................................................... 5,468,728 5,785,262 498,173 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)......................................... 19,367,531 7,413,475 1,323,010 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments.................................................... (98,794,990) (33,170,407) (10,207,182) In-kind redemptions............................................ (7,638,078) 74,642,867 818,795 ---------------- ---------------- ---------------- Net realized gain (loss)............................................. (106,433,068) 41,472,460 (9,388,387) ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments.. (56,133,633) 80,486,123 (2,828,463) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (162,566,701) 121,958,583 (12,216,850) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................... $ (143,199,170) $ 129,372,058 $ (10,893,840) ================ ================ ================
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). Page 106 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,984,537 $ 1,235,209 $ 2,680,104 $ 932,546 $ 2,036,319 $ 541,691 46,921 15,806 98,917 76,730 175,715 -- (222) (742) -- (1,426) (1,375) -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 2,031,236 1,250,273 2,779,021 1,007,850 2,210,659 541,691 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 850,840 319,134 (a) 2,082,412 (a) 375,724 (a) 1,352,945 (a) 158,167 (a) 89,160 -- -- -- -- -- 32,946 -- -- -- -- -- 26,833 -- -- -- -- -- 27,611 -- -- -- -- -- 8,506 -- -- -- -- -- 3,586 -- -- -- -- -- 22,939 -- -- -- -- -- 7,176 -- -- -- -- -- 5,572 -- -- -- -- -- 4,765 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,079,934 319,134 2,082,412 375,724 1,352,945 158,167 -- -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,079,934 319,134 2,082,412 375,724 1,352,945 158,167 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 951,302 931,139 696,609 632,126 857,714 383,524 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- (17,848,183) (11,216,470) (31,699,595) (12,832,286) (30,870,682) (2,423,900) 18,348,847 2,838,291 23,044,116 (2,573,013) (940,470) 1,953,466 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 500,664 (8,378,179) (8,655,479) (15,405,299) (31,811,152) (470,434) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 10,219,297 (2,884,268) 37,231,806 4,825,237 3,251,788 400,644 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 10,719,961 (11,262,447) 28,576,327 (10,580,062) (28,559,364) (69,790) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 11,671,263 $ (10,331,308) $ 29,272,936 $ (9,947,936) $ (27,701,650) $ 313,734 ================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 107 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 7/31/2020 7/31/2019 7/31/2020 7/31/2019 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)............................ $ 17,509,928 $ 18,340,763 $ 9,831,102 $ 8,240,591 Net realized gain (loss)................................ (10,784,655) 69,431,466 (71,357,094) 25,438,096 Net change in unrealized appreciation (depreciation).... (46,535,745) (51,939,570) (23,184,194) (28,927,358) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... (39,810,472) 35,832,659 (84,710,186) 4,751,329 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (18,540,837) (17,636,192) (11,195,657) (7,372,456) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 240,421,955 389,384,895 6,753,067 287,753,879 Cost of shares redeemed................................. (691,769,709) (513,826,091) (208,111,148) (299,688,790) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (451,347,754) (124,441,196) (201,358,081) (11,934,911) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. (509,699,063) (106,244,729) (297,263,924) (14,556,038) NET ASSETS: Beginning of period..................................... 1,434,678,889 1,540,923,618 887,176,377 901,732,415 --------------- --------------- --------------- --------------- End of period........................................... $ 924,979,826 $ 1,434,678,889 $ 589,912,453 $ 887,176,377 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 23,100,002 25,350,002 12,700,002 12,950,002 Shares sold............................................. 3,700,000 6,400,000 100,000 4,150,000 Shares redeemed......................................... (11,950,000) (8,650,000) (3,700,000) (4,400,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 14,850,002 23,100,002 9,100,002 12,700,002 =============== =============== =============== ===============
Page 108 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 7/31/2020 7/31/2019 7/31/2020 7/31/2019 7/31/2020 7/31/2019 7/31/2020 7/31/2019 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 4,460,056 $ 6,112,880 $ 19,367,531 $ 22,632,151 $ 7,413,475 $ 5,276,951 $ 1,323,010 $ 1,466,127 (87,384,504) 2,859,229 (106,433,068) 14,254,561 41,472,460 39,686,289 (9,388,387) 1,294,092 13,740,440 (66,349,033) (56,133,633) (47,887,065) 80,486,123 12,785,024 (2,828,463) (5,847,344) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (69,184,008) (57,376,924) (143,199,170) (11,000,353) 129,372,058 57,748,264 (10,893,840) (3,087,125) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (5,394,021) (5,893,001) (23,055,097) (19,337,442) (8,241,982) (4,584,530) (1,551,937) (1,340,962) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 32,895,792 262,073,225 25,870,706 127,487,293 230,961,993 726,158,507 -- 2,412,023 (163,765,527) (323,986,860) (409,169,376) (76,934,193) (404,670,821) (637,594,289) (20,467,579) (5,449,388) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (130,869,735) (61,913,635) (383,298,670) 50,553,100 (173,708,828) 88,564,218 (20,467,579) (3,037,365) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (205,447,764) (125,183,560) (549,552,937) 20,215,305 (52,578,752) 141,727,952 (32,913,356) (7,465,452) 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 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 397,470,399 $ 602,918,163 $ 617,015,891 $1,166,568,828 $ 989,146,984 $1,041,725,736 $ 51,387,333 $ 84,300,689 ============== ============== ============== ============== ============== ============== ============== ============== 9,750,002 10,900,002 22,100,002 21,200,002 14,600,002 13,450,002 1,550,002 1,600,002 600,000 3,950,000 500,000 2,450,000 3,000,000 10,750,000 -- 50,000 (3,250,000) (5,100,000) (9,300,000) (1,550,000) (5,550,000) (9,600,000) (450,000) (100,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 7,100,002 9,750,002 13,300,002 22,100,002 12,050,002 14,600,002 1,100,002 1,550,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 109 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 7/31/2020 7/31/2019 7/31/2020 7/31/2019 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)............................ $ 951,302 $ 571,783 $ 931,139 $ 780,370 Net realized gain (loss)................................ 500,664 2,171,060 (8,378,179) (632,580) Net change in unrealized appreciation (depreciation).... 10,219,297 622,734 (2,884,268) (2,569,766) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 11,671,263 3,365,577 (10,331,308) (2,421,976) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (1,097,351) (458,046) (1,096,681) (675,721) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 66,588,015 45,995,046 21,058,255 15,447,959 Cost of shares redeemed................................. (92,750,744) (55,632,416) (30,467,047) (6,442,277) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (26,162,729) (9,637,370) (9,408,792) 9,005,682 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. (15,588,817) (6,729,839) (20,836,781) 5,907,985 NET ASSETS: Beginning of period..................................... 185,955,480 192,685,319 55,473,071 49,565,086 --------------- --------------- --------------- --------------- End of period........................................... $ 170,366,663 $ 185,955,480 $ 34,636,290 $ 55,473,071 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 2,450,002 2,650,002 1,600,002 1,350,002 Shares sold............................................. 850,000 650,000 700,000 450,000 Shares redeemed......................................... (1,250,000) (850,000) (1,050,000) (200,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 2,050,002 2,450,002 1,250,002 1,600,002 =============== =============== =============== ===============
Page 110 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 7/31/2020 7/31/2019 7/31/2020 7/31/2019 7/31/2020 7/31/2019 7/31/2020 7/31/2019 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 696,609 $ 205,791 $ 632,126 $ 984,336 $ 857,714 $ 121,317 $ 383,524 $ 289,306 (8,655,479) (5,458,495) (15,405,299) (587,303) (31,811,152) (30,777,755) (470,434) 798,457 37,231,806 16,316,990 4,825,237 (7,220,590) 3,251,788 (8,010,419) 400,644 296,932 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 29,272,936 11,064,286 (9,947,936) (6,823,557) (27,701,650) (38,666,857) 313,734 1,384,695 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (906,911) (115,920) (854,116) (917,901) (937,821) (105,410) (396,256) (250,051) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 120,090,749 202,282,798 12,338,992 10,488,596 12,604,591 259,177,575 14,876,359 23,625,038 (120,133,429) (118,044,854) (16,020,220) (18,091,538) (116,112,612) (302,564,084) (16,396,539) (17,209,998) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (42,680) 84,237,944 (3,681,228) (7,602,942) (103,508,021) (43,386,509) (1,520,180) 6,415,040 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 28,323,345 95,186,310 (14,483,280) (15,344,400) (132,147,492) (82,158,776) (1,602,702) 7,549,684 309,825,677 214,639,367 60,659,070 76,003,470 278,851,330 361,010,106 23,481,123 15,931,439 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 338,149,022 $ 309,825,677 $ 46,175,790 $ 60,659,070 $ 146,703,838 $ 278,851,330 $ 21,878,421 $ 23,481,123 ============== ============== ============== ============== ============== ============== ============== ============== 6,650,002 4,900,002 1,750,002 1,950,002 5,950,002 7,400,002 650,002 450,002 2,600,000 4,550,000 350,000 300,000 300,000 5,200,000 400,000 700,000 (2,650,000) (2,800,000) (600,000) (500,000) (2,950,000) (6,650,000) (450,000) (500,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 6,600,002 6,650,002 1,500,002 1,750,002 3,300,002 5,950,002 600,002 650,002 ============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 111 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, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 62.11 $ 60.79 $ 54.07 $ 46.93 $ 45.96 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.93 0.77 0.69 0.61 0.64 Net realized and unrealized gain (loss) 0.20 1.28 6.69 7.16 0.95 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.13 2.05 7.38 7.77 1.59 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.95) (0.73) (0.66) (0.63) (0.62) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 62.29 $ 62.11 $ 60.79 $ 54.07 $ 46.93 ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.95% 3.48% 13.72% 16.68% 3.59% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 924,980 $1,434,679 $1,540,924 $1,554,447 $1,506,341 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.60% 0.61% 0.61% 0.61% Ratio of net expenses to average net assets 0.59% 0.60% 0.61% 0.61% 0.61% Ratio of net investment income (loss) to average net assets 1.49% 1.29% 1.17% 1.21% 1.43% Portfolio turnover rate (b) 104% 102% 87% 90% 109%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 69.86 $ 69.63 $ 59.91 $ 52.80 $ 52.97 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.85 0.63 0.61 0.56 0.56 Net realized and unrealized gain (loss) (4.93) 0.16 9.71 7.12 (0.21) ---------- ---------- ---------- ---------- ---------- Total from investment operations (4.08) 0.79 10.32 7.68 0.35 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.95) (0.56) (0.60) (0.57) (0.52) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 64.83 $ 69.86 $ 69.63 $ 59.91 $ 52.80 ========== ========== ========== ========== ========== TOTAL RETURN (a) (5.86)% 1.22% 17.30% 14.61% 0.76% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 589,912 $ 887,176 $ 901,732 $ 697,995 $ 644,144 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% 0.61% 0.62% 0.63% 0.63% Ratio of net expenses to average net assets 0.60% 0.61% 0.62% 0.63% 0.63% Ratio of net investment income (loss) to average net assets 1.32% 0.94% 0.94% 1.00% 1.10% Portfolio turnover rate (b) 115% 114% 101% 103% 126%
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (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 112 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, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 61.84 $ 66.80 $ 56.23 $ 48.91 $ 48.24 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.51 0.60 0.52 0.41 0.39 Net realized and unrealized gain (loss) (5.75) (4.98) 10.53 7.40 0.64 ---------- ---------- ---------- ---------- ---------- Total from investment operations (5.24) (4.38) 11.05 7.81 1.03 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.62) (0.58) (0.48) (0.49) (0.36) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 55.98 $ 61.84 $ 66.80 $ 56.23 $ 48.91 ========== ========== ========== ========== ========== TOTAL RETURN (a) (8.55)% (6.52)% 19.72%(b) 16.03% 2.20% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 397,470 $ 602,918 $ 728,102 $ 491,997 $ 442,627 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% 0.62% 0.63% 0.63% 0.64% Ratio of net expenses to average net assets 0.61% 0.62% 0.63% 0.63% 0.64% Ratio of net investment income (loss) to average net assets 0.93% 0.96% 0.87% 0.78% 0.86% Portfolio turnover rate (c) 123% 117% 116% 111% 126%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 52.79 $ 54.07 $ 50.94 $ 41.98 $ 41.61 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.11 1.02 1.02 0.77 0.78 (d) Net realized and unrealized gain (loss) (6.28) (1.43) 3.08 8.96 0.38 ---------- ---------- ---------- ---------- ---------- Total from investment operations (5.17) (0.41) 4.10 9.73 1.16 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.23) (0.87) (0.97) (0.77) (0.79) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 46.39 $ 52.79 $ 54.07 $ 50.94 $ 41.98 ========== ========== ========== ========== ========== TOTAL RETURN (a) (9.84)% (0.65)% 8.12% 23.35% 2.94% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 617,016 $1,166,569 $1,146,354 $1,056,997 $ 831,256 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% 0.60% 0.61% 0.62% 0.62% Ratio of net expenses to average net assets 0.60% 0.60% 0.61% 0.62% 0.62% Ratio of net investment income (loss) to average net assets 2.12% 1.99% 1.92% 1.63% 2.00% Portfolio turnover rate (c) 94% 96% 82% 72% 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) 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. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) Based on average shares outstanding. See Notes to Financial Statements Page 113 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, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 71.35 $ 66.91 $ 55.88 $ 51.56 $ 49.95 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.55 0.37 0.23 0.33 0.35 Net realized and unrealized gain (loss) 10.80 4.39 11.03 4.33 1.60 ---------- ---------- ---------- ---------- ---------- Total from investment operations 11.35 4.76 11.26 4.66 1.95 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.61) (0.32) (0.23) (0.34) (0.34) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 82.09 $ 71.35 $ 66.91 $ 55.88 $ 51.56 ========== ========== ========== ========== ========== TOTAL RETURN (a) 16.10% 7.16% 20.19% 9.10% 3.96% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 989,147 $1,041,726 $ 899,998 $ 650,949 $ 618,698 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% 0.61% 0.61% 0.62% 0.62% Ratio of net expenses to average net assets 0.60% 0.61% 0.61% 0.62% 0.62% Ratio of net investment income (loss) to average net assets 0.76% 0.56% 0.36% 0.63% 0.73% Portfolio turnover rate (b) 138% 132% 119% 148% 149%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 54.39 $ 57.35 $ 52.84 $ 44.91 $ 44.75 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.95 0.92 0.96 0.73 0.70 Net realized and unrealized gain (loss) (7.54) (3.04) 4.45 7.96 0.13 ---------- ---------- ---------- ---------- ---------- Total from investment operations (6.59) (2.12) 5.41 8.69 0.83 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.08) (0.84) (0.90) (0.76) (0.67) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 46.72 $ 54.39 $ 57.35 $ 52.84 $ 44.91 ========== ========== ========== ========== ========== TOTAL RETURN (a) (12.24)% (3.62)% 10.30% 19.46% 1.98% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 51,387 $ 84,301 $ 91,766 $ 110,959 $ 103,296 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.74% 0.73% 0.70% 0.66% 0.68% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.66% 0.68% Ratio of net investment income (loss) to average net assets 1.86% 1.69% 1.67% 1.45% 1.61% Portfolio turnover rate (b) 98% 96% 89% 81% 96%
(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 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 MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 75.90 $ 72.71 $ 59.33 $ 53.31 $ 52.16 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.42 0.22 0.12 0.25 0.24 Net realized and unrealized gain (loss) 7.27 3.14 13.40 6.04 1.13 ---------- ---------- ---------- ---------- ---------- Total from investment operations 7.69 3.36 13.52 6.29 1.37 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.48) (0.17) (0.14) (0.27) (0.22) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 83.11 $ 75.90 $ 72.71 $ 59.33 $ 53.31 ========== ========== ========== ========== ========== TOTAL RETURN (a) 10.23% 4.65% 22.82% 11.85% 2.66% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 170,367 $ 185,955 $ 192,685 $ 103,829 $ 85,293 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.66% 0.69% 0.70% 0.70% Ratio of net expenses to average net assets 0.63% 0.66% 0.69% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.56% 0.31% 0.18% 0.44% 0.50% Portfolio turnover rate (b) 123% 130% 118% 142% 160%
(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 115 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, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 34.67 $ 36.71 $ 33.65 $ 29.47 $ 29.56 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.63 0.51 0.58 0.44 0.43 Net realized and unrealized gain (loss) (6.86) (2.10) 3.04 4.17 (0.10) ---------- ---------- ---------- ---------- ---------- Total from investment operations (6.23) (1.59) 3.62 4.61 0.33 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.73) (0.45) (0.56) (0.43) (0.42) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.71 $ 34.67 $ 36.71 $ 33.65 $ 29.47 ========== ========== ========== ========== ========== TOTAL RETURN (a) (18.19)% (4.26)% 10.80% 15.72% 1.22% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 34,636 $ 55,473 $ 49,565 $ 57,201 $ 47,156 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 2.04% 1.49% 1.61% 1.31% 1.49% Portfolio turnover rate (b) 107% 113% 94% 95% 114%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 46.59 $ 43.80 $ 35.07 $ 31.22 $ 31.31 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.11 0.04 0.03 0.15 0.11 Net realized and unrealized gain (loss) 4.67 2.77 8.75 3.87 (0.11) ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.78 2.81 8.78 4.02 0.00 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.14) (0.02) (0.05) (0.17) (0.09) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 51.23 $ 46.59 $ 43.80 $ 35.07 $ 31.22 ========== ========== ========== ========== ========== TOTAL RETURN (a) 10.28% 6.43% 25.06% 12.94% 0.03% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 338,149 $ 309,826 $ 214,639 $ 94,700 $ 82,725 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 0.23% 0.09% 0.02% 0.48% 0.35% Portfolio turnover rate (b) 135% 144% 124% 153% 193%
(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 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 SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 34.66 $ 38.98 $ 34.33 $ 30.19 $ 30.20 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.38 0.57 0.48 0.41 0.26 Net realized and unrealized gain (loss) (3.75) (4.36) 4.60 4.23 (0.04) ---------- ---------- ---------- ---------- ---------- Total from investment operations (3.37) (3.79) 5.08 4.64 0.22 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.51) (0.53) (0.43) (0.50) (0.23) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.78 $ 34.66 $ 38.98 $ 34.33 $ 30.19 ========== ========== ========== ========== ========== TOTAL RETURN (a) (9.83)% (9.69)% 14.86%(b) 15.41% 0.79% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 46,176 $ 60,659 $ 76,003 $ 61,802 $ 54,341 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 1.18% 1.58% 1.28% 1.22% 0.89% Portfolio turnover rate (c) 120% 120% 123% 110% 125%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
YEAR ENDED JULY 31, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 46.87 $ 48.79 $ 38.83 $ 33.24 $ 32.18 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.17 0.02 0.06 0.05 0.09 Net realized and unrealized gain (loss) (2.40) (1.93) 9.97 5.63 1.04 ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.23) (1.91) 10.03 5.68 1.13 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.18) (0.01) (0.07) (0.09) (0.07) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 44.46 $ 46.87 $ 48.79 $ 38.83 $ 33.24 ========== ========== ========== ========== ========== TOTAL RETURN (a) (4.79)% (3.90)% 25.85%(d) 17.12% 3.54% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 146,704 $ 278,851 $ 361,010 $ 116,483 $ 56,502 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 0.44% 0.04% 0.11% 0.12% 0.32% Portfolio turnover rate (c) 137% 152% 141% 162% 161%
(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) 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. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) The Fund received a payment from the Advisor in the amount of $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 117 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, ------------------------------------------------------------------ 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 36.12 $ 35.40 $ 30.99 $ 27.09 $ 27.48 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.61 0.45 0.40 0.40 0.45 Net realized and unrealized gain (loss) 0.35 0.68 4.40 3.92 (0.42) ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.96 1.13 4.80 4.32 0.03 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.62) (0.41) (0.39) (0.42) (0.42) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 36.46 $ 36.12 $ 35.40 $ 30.99 $ 27.09 ========== ========== ========== ========== ========== TOTAL RETURN (a) 2.74% 3.24% 15.57% 16.10% 0.19% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 21,878 $ 23,481 $ 15,931 $ 15,496 $ 14,897 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 1.70% 1.33% 1.21% 1.38% 1.69% Portfolio turnover rate (b) 142% 156% 136% 128% 145%
(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 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 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." 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-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 Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Page 119 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 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 120 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 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, 2020, 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 Page 121 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At July 31, 2020, all the Funds except FMK had securities in the securities lending program. During the fiscal year ended July 31, 2020, 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, 2020, were received as collateral for lending securities. There were no repurchase agreements held by the Funds as of July 31, 2020. 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, 2020, was as follows:
Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 18,540,837 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 11,195,657 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 5,394,021 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 23,055,097 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 8,241,982 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 1,551,937 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 1,097,351 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 1,096,681 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 906,911 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 854,116 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 937,821 -- -- First Trust Mega Cap AlphaDEX(R) Fund 396,256 -- --
Page 122 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 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 -- --
As of July 31, 2020, the components of distributable earnings on a tax basis for each Fund were as follows:
Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ---------------- ---------------- ---------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 1,007,856 $(332,483,001) $ 75,997,651 First Trust Mid Cap Core AlphaDEX(R) Fund 1,093,337 (267,315,539) 37,527,071 First Trust Small Cap Core AlphaDEX(R) Fund 446,799 (294,653,725) 26,108,396 First Trust Large Cap Value AlphaDEX(R) Fund 1,419,906 (308,180,525) (37,588,966) First Trust Large Cap Growth AlphaDEX(R) Fund -- (190,918,637) 222,657,272 First Trust Multi Cap Value AlphaDEX(R) Fund 102,665 (42,163,763) (3,302,261) First Trust Multi Cap Growth AlphaDEX(R) Fund 89,962 (42,635,787) 38,915,614 First Trust Mid Cap Value AlphaDEX(R) Fund 51,319 (27,406,849) (4,862,290) First Trust Mid Cap Growth AlphaDEX(R) Fund 537,262 (77,991,357) 72,277,480 First Trust Small Cap Value AlphaDEX(R) Fund 90,561 (40,129,197) (102,691) First Trust Small Cap Growth AlphaDEX(R) Fund -- (118,465,502) 24,861,286 First Trust Mega Cap AlphaDEX(R) Fund 44,967 (6,457,966) 949,531
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 2017, 2018, 2019, and 2020 remain open to federal and state audit. As of July 31, 2020, 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. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is 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. At July 31, 2020, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. 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 each applicable Fund's shareholders. Page 123 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020
Non-Expiring Capital Loss Carryforwards ------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 332,483,001 First Trust Mid Cap Core AlphaDEX(R) Fund 267,315,539 First Trust Small Cap Core AlphaDEX(R) Fund 294,653,725 First Trust Large Cap Value AlphaDEX(R) Fund 308,180,525 First Trust Large Cap Growth AlphaDEX(R) Fund 190,918,637 First Trust Multi Cap Value AlphaDEX(R) Fund 42,163,763 First Trust Multi Cap Growth AlphaDEX(R) Fund 42,635,787 First Trust Mid Cap Value AlphaDEX(R) Fund 27,406,849 First Trust Mid Cap Growth AlphaDEX(R) Fund 77,991,357 First Trust Small Cap Value AlphaDEX(R) Fund 40,129,197 First Trust Small Cap Growth AlphaDEX(R) Fund 118,465,502 First Trust Mega Cap AlphaDEX(R) Fund 6,457,966
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, 2020, 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, 2020, the adjustments for each Fund were as follows:
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ---------------- ---------------- ---------------- First Trust Large Cap Core AlphaDEX(R) Fund $ -- $ (79,856,383) $ 79,856,383 First Trust Mid Cap Core AlphaDEX(R) Fund 117,152 (216,015) 98,863 First Trust Small Cap Core AlphaDEX(R) Fund 767,871 (6,665,566) 5,897,695 First Trust Large Cap Value AlphaDEX(R) Fund -- 10,450,152 (10,450,152) First Trust Large Cap Growth AlphaDEX(R) Fund 88,862 (74,023,524) 73,934,662 First Trust Multi Cap Value AlphaDEX(R) Fund 53,007 (680,136) 627,129 First Trust Multi Cap Growth AlphaDEX(R) Fund 2,364 (18,132,287) 18,129,923 First Trust Mid Cap Value AlphaDEX(R) Fund 7,471 (2,674,860) 2,667,389 First Trust Mid Cap Growth AlphaDEX(R) Fund 14,193 (21,526,634) 21,512,441 First Trust Small Cap Value AlphaDEX(R) Fund 142,506 2,730,572 (2,873,078) First Trust Small Cap Growth AlphaDEX(R) Fund 5,615 1,199,983 (1,205,598) First Trust Mega Cap AlphaDEX(R) Fund -- (1,919,112) 1,919,112
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. Page 124 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 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, 2021. 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 (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. 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, 2020 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 7/31/2018 7/31/2019 7/31/2020 Total ----------- -------------- ----------- ----------- ----------- ----------- First Trust Multi Cap Value AlphaDEX(R) Fund $ 27,452 $ -- $ -- $ 23,214 $ 27,452 $ 50,666
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, a defined-outcome fund or is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. Page 125 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended July 31, 2020, 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 $ 1,216,733,817 $ 1,216,475,488 First Trust Mid Cap Core AlphaDEX(R) Fund 856,615,754 855,803,588 First Trust Small Cap Core AlphaDEX(R) Fund 592,256,238 591,298,741 First Trust Large Cap Value AlphaDEX(R) Fund 852,804,535 855,870,622 First Trust Large Cap Growth AlphaDEX(R) Fund 1,347,613,965 1,347,958,319 First Trust Multi Cap Value AlphaDEX(R) Fund 69,114,244 69,111,846 First Trust Multi Cap Growth AlphaDEX(R) Fund 210,605,557 209,865,682 First Trust Mid Cap Value AlphaDEX(R) Fund 48,078,388 48,033,350 First Trust Mid Cap Growth AlphaDEX(R) Fund 406,811,750 406,797,453 First Trust Small Cap Value AlphaDEX(R) Fund 64,061,923 64,150,597 First Trust Small Cap Growth AlphaDEX(R) Fund 268,467,948 268,034,318 First Trust Mega Cap AlphaDEX(R) Fund 32,017,642 31,998,168
For the fiscal year ended July 31, 2020, 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 $ 239,981,100 $ 690,944,015 First Trust Mid Cap Core AlphaDEX(R) Fund 6,736,052 207,771,687 First Trust Small Cap Core AlphaDEX(R) Fund 32,817,712 163,342,334 First Trust Large Cap Value AlphaDEX(R) Fund 25,724,441 408,429,689 First Trust Large Cap Growth AlphaDEX(R) Fund 230,906,160 404,009,841 First Trust Multi Cap Value AlphaDEX(R) Fund -- 20,436,603 First Trust Multi Cap Growth AlphaDEX(R) Fund 66,165,272 92,687,350 First Trust Mid Cap Value AlphaDEX(R) Fund 21,039,488 30,427,000 First Trust Mid Cap Growth AlphaDEX(R) Fund 119,901,236 120,000,007 First Trust Small Cap Value AlphaDEX(R) Fund 12,308,296 15,895,616 First Trust Small Cap Growth AlphaDEX(R) Fund 12,594,716 115,835,228 First Trust Mega Cap AlphaDEX(R) Fund 14,853,214 16,376,199
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. 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 Creation Transaction Fee may increase or decrease with changes in each Fund's portfolio. 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. 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. The Redemption Transaction Fee may increase or decrease with changes in each Fund's portfolio. 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 126 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 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, 2021. 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 was the following subsequent event: The Board of Trustees of the Trust has approved a transaction to combine FMK with First Trust Dow 30 Equal Weight ETF ("EDOW"), an exchange-traded index fund that seeks investment results that correspond generally to the price and yield (before fees and expenses) of an equity index called the Dow Jones Industrial Average Equal Weight Index. Pursuant to this transaction, FMK shareholders will become shareholders of EDOW. In order for the transaction to occur, the shareholders of FMK and shareholders of EDOW must approve the transaction. If approved, shares of FMK would be exchanged, on a tax-free basis for federal income tax purposes, for shares of EDOW with an equal aggregate net asset value, and FMK shareholders will become shareholders of EDOW. A special meeting of shareholders of FMK for the purpose of voting on the transaction was held on September 14, 2020 and will reconvene on Monday, September 28, 2020 at 12:15 p.m. Central time at the offices of FTA at 120 East Liberty Drive, Suite 400, in Wheaton, Illinois in order to allow shareholders additional time to vote. If the required approval is obtained, it is anticipated that the transaction will be consummated shortly after the special shareholder meeting. FMK will continue sales and redemptions of shares as described in FMK's prospectus. Page 127 -------------------------------------------------------------------------------- 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, including the portfolios of investments, as of July 31, 2020, 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 the Funds as of July 31, 2020, 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, 2020, 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 23, 2020 We have served as the auditor of one or more First Trust investment companies since 2001. Page 128 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 (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, 2020, 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 74.61% 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 94.05% First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00% First Trust Small Cap Value AlphaDEX(R) Fund 77.81% 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, 2020, the following percentages of income dividend paid by the Funds are 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 74.61% 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 94.37% First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00% First Trust Small Cap Value AlphaDEX(R) Fund 78.79% 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' 2020 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2020, 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 Trusts (REITs) these Funds invest in. Page 129 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 (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 130 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 (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. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. In 2017, the United Kingdom's Financial Conduct Authority announced that LIBOR will cease to be available for use after 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to the fund. 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. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. The COVID-19 pandemic may last for an extended period of time and will continue to impact the economy for the foreseeable future. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 131 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 (UNAUDITED) REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Fund 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, 2019, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $2,280,220. This figure is comprised of $141,572 paid (or to be paid) in fixed compensation and $2,138,648 paid (or to be paid) in variable compensation. There were a total of 15 beneficiaries of the remuneration described above. Those amounts include $1,331,600 paid (or to be paid) to senior management of First Trust Advisors L.P. and $948,620 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees 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) Page 132 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 (UNAUDITED) 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, 2021 at a meeting held on June 8, 2020. 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 May 11, 2020 and June 8, 2020, 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 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 the Advisor to realize economies of scale, if any; profitability and other financial data for 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 May 11, 2020, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the May meeting, counsel to the Independent Trustees, 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 their counsel held prior to the June 8, 2020 meeting, as well as at the meeting held that day. The Board considered supplemental information provided by the Advisor on the operations of the Advisor and the performance of the Funds since the onset of the COVID-19 pandemic. 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 May 11, 2020 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, 2021. For each Non-Unitary Fee Fund, the Board noted that expenses reimbursed and fees waived by the Advisor are subject to recovery by the Advisor for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment will be made by the Page 133 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 (UNAUDITED) Non-Unitary Fee Fund if it would result in the Non-Unitary Fee Fund exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. 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, if any. 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 each Non-Unitary Fee Fund and the unitary fee rate 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 May 11, 2020 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 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 demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex. 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, 2019 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, 2019 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 Page 134 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2020 (UNAUDITED) 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. LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee. Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the May 11, 2020 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from June 1, 2019 (the initial compliance date for certain requirements of Rule 22e-4) through the Liquidity Committee's annual meeting held on March 20, 2020 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted a highly liquid investment minimum. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 135 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2020 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East 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 Orthopedics; 184 None (1951) Limited Partner, Gundersen Real Estate o Since Inception 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. 184 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 184 Director of Trust (1956) and Management Consulting) Company of o Since Inception Illinois Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 184 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 184 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 136 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2020 (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 to o Since January 2016 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 First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception 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 137 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2020 (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 2020 Page 138 This page is intentionally left blank. This page is intentionally left blank. -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 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 2019 and $399,000 for 2020. (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 2019 and $0 for 2020. 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 2019 and $0 for 2020. (c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $61,425 for 2019 and $62,950 for 2020. 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 2019 and $0 for 2020. (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 2019 and $0 for 2020. 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 2019 and $0 for 2020 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 2019 were $61,425 for the registrant, $33,300 for the registrant's investment adviser and $46,000 for the registrant's distributor, and for 2020 were $62,950 for the registrant, $47,170 for the registrant's investment adviser and $70,330 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. (a) (4) Not applicable. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (registrant) First Trust Exchange-Traded AlphaDEX(R) Fund ---------------------------------------------------- By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) Date: October 9, 2020 ----------------- 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 9, 2020 ----------------- By (Signature and Title)* /s/ Donald P. Swade ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: October 9, 2020 ----------------- * 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 9, 2020 /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 9, 2020 /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 9, 2020 /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 9, 2020 /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